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[增强功能] 中信证券ETF期权接口更新；修复在线realod策略

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This commit is contained in:
msincenselee 2020-09-04 16:35:40 +08:00
parent 739b075045
commit 83771b8e56
22 changed files with 25961 additions and 40 deletions
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20333
vnpy/api/t2sdk/py_t2sdk/py_t2sdk.cpp Normal file
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vnpy/api/t2sdk/py_t2sdk/py_t2sdk.pxd Normal file
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# coding=utf-8
# distutils: language = c++
cdef extern from "ufx_interface.h":
cdef cppclass c_IF2UnPacker
cdef cppclass c_IF2Packer:
c_IF2Packer() except+
void SetBuffer(char* pBuf,int iBufSize,int iDataLen)
void BeginPack()
int NewDataset(char *szDatasetName, int iReturnCode)
int AddField(char *szFieldName,char cFieldType,int iFieldWidth,int iFieldScale)
int AddStr(char *szValue)
int AddInt(int iValue)
int AddDouble(double fValue)
int AddChar(char* cValue)
int AddRaw(char* lpBuff,int iLen)
void EndPack()
int* GetPackBuf()
int GetPackLen()
int GetPackBufSize()
int GetVersion()
void SetReturnCode(long dwRetCode)
c_IF2UnPacker* UnPack()
void FreeMem()
void ClearValue()
void BeginPackEx(char* szName)
void ClearDataSet()
void Release()
cdef cppclass c_IF2UnPacker:
c_IF2UnPacker(char* lpBuffer,int iLen) except+
c_IF2UnPacker(c_IF2Packer* lpPacker) except+
int GetVersion()
char* GetErrorInfo()
int Open(char* lpBuffer,int iLen)
int GetDatasetCount()
int SetCurrentDatasetByIndex(int nIndex)
int SetCurrentDataset(char *szDatasetName)
char* GetPackBuf()
int GetPackLen()
int GetRowCount()
void First()
void Last()
void Go(int nRow)
char* GetDatasetName()
int OpenAndCopy(char* lpBuffer,int iLen)
char* GetColTypeByName(char* columnName)
int GetColScaleByName(char* columnName)
int GetColWidthByName(char* columnName)
int GetColCount();
char* GetColName(int column);
char* GetColType(int column);
int GetColScale(int column);
int GetColWidth(int column);
int FindColIndex(char * columnName);
char* GetStrByIndex(int column);
char* GetStr(char * columnName);
char* GetCharByIndex(int column);
char* GetChar(char * columnName);
double GetDoubleByIndex( int column);
double GetDouble(char * columnName);
int GetIntByIndex(int column);
int GetInt(char * columnName);
char* GetRawByIndex(int column,int * lpRawLen);
char* GetRaw(char * columnName,int * lpRawLen);
int WasNull();
void Next();
int IsEOF();
int IsEmpty();
void Destroy();
void Release()
cdef cppclass C_CConfigInterface:
C_CConfigInterface() except+
int Load(char *szFileName)
int Save(char *szFileName)
char * GetString(char *szSection, char *szEntry, char *szDefault)
int GetInt(char *szSection, char *szEntry, int iDefault)
int SetString(char *szSection, char *szEntry, char *szValue)
int SetInt(char *szSection, char *szEntry, int iValue)
void Release()
cdef cppclass c_IBizMessage:
c_IBizMessage() except+
void SetFunction(int nFUnctionNo)
int GetFunction()
void SetPacketType(int nPacketType)
int GetPacketType()
void SetBranchNo(int nBranchNo)
int GetBranchNo()
void SetSystemNo(int nSystemNo)
int GetSystemNo()
void SetSubSystemNo(int nSubSystemNo)
int GetSubSystemNo()
void SetSenderId(int nSenderId)
int GetSenderId()
void SetPacketId(int nPacketId)
int GetPacketId()
void SetErrorNo(int nErrorNo)
int GetErrorNo()
void SetErrorInfo(char* strErrorInfo)
char* GetErrorInfo()
void SetReturnCode(int nReturnCode)
int GetReturnCode()
void SetContent(char* lpContent,int iLen)
char* GetContent(int& iLen)
void SetIssueType(int nIssueType)
int GetIssueType()
void SetSequeceNo(int nSequeceNo)
int GetSequeceNo()
void SetKeyInfo(char* lpKeyData,int iLen)
char* GetKeyInfo(int& iLen)
void SetAppData(char* lpAppdata,int nAppLen)
char* GetAppData(int& nAppLen)
int ChangeReq2AnsMessage()
char* GetBuff(int& nBuffLen)
int SetBuff(char* lpBuff,int nBuffLen)
void ReSet()
void Release()
cdef cppclass c_CSubscribeParamInterface:
c_CSubscribeParamInterface() except+
void SetTopicName(char* szName)
void SetAppData(char* lpData,int iLen)
void SetFilter(char* filterName,char* filterValue)
void SetReturnFiled(char* filedName)
void SetFromNow(int bFromNow)
void SetReplace(int bReplace)
void SetSendInterval(int nSendInterval)
char* GetTopicName()
char* GetAppData(int *iLen)
char* GetFilterNameByIndex(int index)
char* GetFilterValueByIndex(int index)
char* GetFilterValue(char* fileName)
int GetFilterCount()
char* GetReturnFiled()
int GetFromNow()
int GetReplace()
int GetSendInterval()
void Release()
cdef cppclass c_SubCallBack:
c_SubCallBack(char *lpMould,char *lpClass) except+
c_SubCallBack() except+
int initInstance()
cdef cppclass c_CSubscribeInterface:
int SubscribeTopic(c_CSubscribeParamInterface* lpSubscribeParamInter ,int uiTimeout,c_IF2UnPacker** lppBizUnPack,c_IF2Packer* lpBizPack);
int CancelSubscribeTopic(int subscribeIndex)
void GetSubcribeTopic(c_IF2Packer* lpPack)
void Release();
cdef cppclass c_CCallbackInterface:
c_CCallbackInterface(char* sMould,char* sClass) except+
c_CCallbackInterface() except+
int InitInstance()
cdef cppclass c_CConnectionInterface:
c_CConnectionInterface(C_CConfigInterface* lpConfig) except+
int Create(c_CCallbackInterface *lpCallback)
int Connect(unsigned int uiTimeout)
int Close()
char* GetServerAddress(int *lpPort)
int GetStatus()
int GetServerLoad()
char* GetErrorMsg(int nErrorCode)
int GetConnectError()
int SendBiz(int iFunID, c_IF2Packer *lpPacker, int nAsy, int iSystemNo, int nCompressID)
int RecvBiz(int hSend, c_IF2UnPacker **lppUnPackerOrStr, int uiTimeout, int uiFlag)
int SendBizEx(int iFunID, c_IF2Packer *lpPacker,char* svrName, int nAsy, int iSystemNo, int nCompressID,int branchNo)
int RecvBizEx(int hSend, c_IF2UnPacker **lppUnpackerOrStr, unsigned uiTimeout, unsigned uiFlag)
int CreateEx(c_CCallbackInterface *lpCallback)
char* GetRealAddress()
int Reserved8()
int Reserved9()
char* GetSelfAddress()
char* GetSelfMac()
c_CSubscribeInterface* NewSubscriber(c_SubCallBack *lpCallback,char* SubScribeName,int iTimeOut,
int iInitRecvQLen=INIT_RECVQ_LEN,int iStepRecvQLen=STEP_RECVQ_LEN)
c_IF2UnPacker* GetTopic(int byForce,int iTimeOut)
char* GetMCLastError()
int Create2BizMsg(c_CCallbackInterface *lpCallback)
int SendBizMsg(c_IBizMessage* lpMsg,int nAsy)
int RecvBizMsg(int hSend, c_IBizMessage* lpMsg, unsigned uiTimeout, unsigned uiFlag)
int Reserved10()
int Reserved11()
char* GetLastAnsError(int bAsyError)

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vnpy/api/t2sdk/py_t2sdk/py_t2sdk.pyx Normal file
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# coding=utf-8
# distutils: language = c++
cimport py_t2sdk
from cpython.pycapsule cimport *
from ctypes import *
from libcpp.string cimport string
from libc.stdlib cimport *
cdef class pyIF2UnPacker
cdef class pyIF2Packer:
cdef c_IF2Packer* lpPacker
def __cinit__(self):
self.lpPacker = new c_IF2Packer()
def __dealloc__(self):
del self.lpPacker
def BeginPack(self):
self.lpPacker.BeginPack()
def NewDataset(self,str szDatasetName, int iReturnCode):
sName = bytes(szDatasetName,encoding='utf-8')
return self.lpPacker.NewDataset(sName,iReturnCode)
def AddField(self,str szFieldName,str cFieldType='S',int iFieldWidth=255,int iFieldScale=4):
sName = bytes(szFieldName,encoding='utf-8')
sType = bytes(cFieldType,encoding='utf-8')
return self.lpPacker.AddField(sName,sType[0],iFieldWidth,iFieldScale)
def AddStr(self,str szValue):
sValue = bytes(szValue,encoding='utf-8')
return self.lpPacker.AddStr(sValue)
def AddInt(self,int iValue):
return self.lpPacker.AddInt(iValue)
def AddDouble(self,double fValue):
return self.lpPacker.AddDouble(fValue)
def AddChar(self,str cValue):
sValue = bytes(cValue,encoding='utf-8')
return self.lpPacker.AddChar(sValue[0])
def AddRaw(self,list lpBuff,int iLen):
cdef char* sBuff = <char*>malloc(iLen)
cdef int iIndex = 0
while iIndex < iLen:
sBuff[iIndex] = lpBuff[iIndex]
iIndex+=1
iRet = self.lpPacker.AddRaw(sBuff,iLen)
free(sBuff)
return iRet
def EndPack(self):
return self.lpPacker.EndPack()
def GetPackBuf(self):
cdef int iLength = self.lpPacker.GetPackLen()
cdef int* sBuff = self.lpPacker.GetPackBuf()
lpBuff = []
cdef int iIndex = 0
while iIndex < iLength:
lpBuff.append(sBuff[iIndex])
iIndex +=1
return lpBuff
def GetPackLen(self):
return self.lpPacker.GetPackLen()
def GetPackBufSize(self):
return self.lpPacker.GetPackBufSize()
def GetVersion(self):
return self.lpPacker.GetVersion()
def SetReturnCode(self,long dwRetCode):
self.lpPacker.SetReturnCode(dwRetCode)
def UnPack(self):
cdef c_IF2UnPacker* lpUnpacker = self.lpPacker.UnPack()
lpPyUnpacker = pyIF2UnPacker()
lpPyUnpacker.lpUnpacker = lpUnpacker
return lpPyUnpacker
def FreeMem(self):
self.lpPacker.FreeMem()
def ClearValue(self):
self.lpPacker.ClearValue()
def BeginPackEx(self,str szName):
sName = bytes(szName,encoding='utf-8')
self.lpPacker.BeginPackEx(sName)
def ClearDataSet(self):
self.lpPacker.ClearDataSet()
def Release(self):
self.lpPacker.Release()
cdef class pyIF2UnPacker:
cdef c_IF2UnPacker* lpUnpacker
def __cinit__(self):
self.lpUnpacker = NULL
def __dealloc__(self):
if self.lpUnpacker != NULL:
del self.lpUnpacker
self.lpUnpacker = NULL
def GetVersion(self):
return self.lpUnpacker.GetVersion()
def Open(self,list lpBuff,int iLen):
cdef char* sBuff = <char*>malloc(iLen)
cdef int iIndex = 0
while iIndex < iLen:
sBuff[iIndex] = lpBuff[iIndex]
iIndex+=1
if self.lpUnpacker == NULL:
self.lpUnpacker = new c_IF2UnPacker(sBuff,iLen)
iRet = 0
else:
iRet = self.lpUnpacker.Open(sBuff,iLen)
free(sBuff)
return iRet
def GetDatasetCount(self):
if self.lpUnpacker == NULL:
return -1;
return self.lpUnpacker.GetDatasetCount()
def SetCurrentDatasetByIndex(self,int nIndex):
self.lpUnpacker.SetCurrentDatasetByIndex(nIndex)
def SetCurrentDataset(self,str szDatasetName):
sName = bytes(szDatasetName,encoding='utf-8')
self.lpUnpacker.SetCurrentDataset(sName)
def GetPackBuf(self):
cdef char* lpBuff = self.lpUnpacker.GetPackBuf()
return lpBuff
def GetPackLen(self):
return self.lpUnpacker.GetPackLen()
def GetRowCount(self):
return self.lpUnpacker.GetRowCount()
def First(self):
self.lpUnpacker.First()
def Last(self):
self.lpUnpacker.Last()
def Go(self,int nRow):
self.lpUnpacker.Go(nRow)
def GetDatasetName(self):
cdef char* sName = self.lpUnpacker.GetDatasetName()
return sName
def GetColTypeByName(self,str columnName):
sName = bytes(columnName,encoding='utf-8')
cdef char* sType = self.lpUnpacker.GetColTypeByName(sName)
return sType.decode('gbk')
def GetColScaleByName(self,str columnName):
sName = bytes(columnName,encoding='utf-8')
return self.lpUnpacker.GetColScaleByName(sName)
def GetColWidthByName(self,str columnName):
sName = bytes(columnName,encoding='utf-8')
return self.lpUnpacker.GetColWidthByName(sName)
def GetColCount(self):
return self.lpUnpacker.GetColCount()
def GetColName(self,int column):
return self.lpUnpacker.GetColName(column).decode('gbk')
def GetColType(self,int column):
cdef char* sType = self.lpUnpacker.GetColType(column)
return sType.decode('gbk')
def GetColScale(self,int column):
return self.lpUnpacker.GetColScale(column)
def GetColWidth(self,int column):
return self.lpUnpacker.GetColWidth(column)
def FindColIndex(self,str columnName):
sName = bytes(columnName,encoding='utf-8')
return self.lpUnpacker.FindColIndex(sName)
def GetStrByIndex(self,int column):
return self.lpUnpacker.GetStrByIndex(column).decode('GBK')
def GetStr(self,str columnName):
sName = bytes(columnName,encoding='UTF-8')
return self.lpUnpacker.GetStr(sName).decode('GBK')
def GetCharByIndex(self,int column):
return self.lpUnpacker.GetCharByIndex(column).decode('UTF-8')
def GetChar(self,str columnName):
sName = bytes(columnName,encoding='UTF-8')
return self.lpUnpacker.GetChar(sName).decode('UTF-8')
def GetDoubleByIndex(self, int column):
return self.lpUnpacker.GetDoubleByIndex(column)
def GetDouble(self,str columnName):
sName = bytes(columnName,encoding='utf-8')
return self.lpUnpacker.GetDouble(sName)
def GetIntByIndex(self,int column):
return self.lpUnpacker.GetIntByIndex(column)
def GetInt(self,str columnName):
sName = bytes(columnName,encoding='utf-8')
if self.lpUnpacker == NULL:
return -1
return self.lpUnpacker.GetInt(sName)
def GetRawByIndex(self,int column):
cdef int ilength = 0
cdef char* sBuff = self.lpUnpacker.GetRawByIndex(column,&ilength)
lpBuff = []
cdef int iIndex = 0
while iIndex < iLength:
lpBuff.append(sBuff[iIndex])
iIndex +=1
return lpBuff,ilength
def GetRaw(self,str columnName):
sName = bytes(columnName,encoding='utf-8')
cdef int ilength = 0
cdef char* sBuff = self.lpUnpacker.GetRaw(sName,&ilength)
lpBuff = []
cdef int iIndex = 0
while iIndex < iLength:
lpBuff.append(sBuff[iIndex])
iIndex +=1
return lpBuff,ilength
def WasNull(self):
return self.lpUnpacker.WasNull()
def Next(self):
self.lpUnpacker.Next()
def IsEOF(self):
return self.lpUnpacker.IsEOF()
def IsEmpty(self):
return self.lpUnpacker.IsEmpty()
def Destroy(self):
self.lpUnpacker.Destroy()
def Release(self):
if self.lpUnpacker != NULL:
self.lpUnpacker.Release()
cdef class pyCConfigInterface:
cdef C_CConfigInterface* lpConfig
def __cinit__(self):
self.lpConfig = new C_CConfigInterface()
def __dealloc__(self):
del self.lpConfig
def Load(self,str szFileName):
sName = bytes(szFileName,encoding='utf-8')
return self.lpConfig.Load(sName)
def Save(self,str szFileName):
sName = bytes(szFileName,encoding='utf-8')
return self.lpConfig.Save(sName)
def GetString(self,str szSection,str szEntry,str szDefault):
sSection = bytes(szSection,encoding='utf-8')
sEntry = bytes(szEntry,encoding='utf-8')
sDefault = bytes(szDefault,encoding='utf-8')
cdef char* sValue = self.lpConfig.GetString(sSection,sEntry,sDefault)
return sValue
def GetInt(self,str szSection,str szEntry, int iDefault):
sSection = bytes(szSection,encoding='utf-8')
sEntry = bytes(szEntry,encoding='utf-8')
return self.lpConfig.GetInt(sSection,sEntry,iDefault)
def SetString(self,str szSection,str szEntry,str szValue):
sSection = bytes(szSection,encoding='utf-8')
sEntry = bytes(szEntry,encoding='utf-8')
sValue = bytes(szValue,encoding='utf-8')
return self.lpConfig.SetString(sSection,sEntry,sValue)
def SetInt(self,str szSection,str szEntry, int iValue):
sSection = bytes(szSection,encoding='utf-8')
sEntry = bytes(szEntry,encoding='utf-8')
return self.lpConfig.SetInt(sSection,sEntry,iValue)
def Release(self):
self.lpConfig.Release()
cdef class pyIBizMessage:
cdef c_IBizMessage* lpBizMessage
def __cinit__(self):
self.lpBizMessage = new c_IBizMessage()
def __dealloc__(self):
del self.lpBizMessage
def SetFunction(self,int nFUnctionNo):
self.lpBizMessage.SetFunction(nFUnctionNo)
def GetFunction(self):
return self.lpBizMessage.GetFunction()
def SetPacketType(self,int nPacketType):
self.lpBizMessage.SetPacketType(nPacketType)
def GetPacketType(self):
return self.lpBizMessage.GetPacketType()
def SetBranchNo(self,int nBranchNo):
self.lpBizMessage.SetBranchNo(nBranchNo)
def GetBranchNo(self):
return self.lpBizMessage.GetBranchNo()
def SetSystemNo(self,int nSystemNo):
self.lpBizMessage.SetSystemNo(nSystemNo)
def GetSystemNo(self):
return self.lpBizMessage.GetSystemNo()
def SetSubSystemNo(self,int nSubSystemNo):
self.lpBizMessage.SetSubSystemNo(nSubSystemNo)
def GetSubSystemNo(self):
return self.lpBizMessage.GetSubSystemNo()
def SetSenderId(self,int nSenderId):
self.lpBizMessage.SetSenderId(nSenderId)
def GetSenderId(self):
return self.lpBizMessage.GetSenderId()
def SetPacketId(self,int nPacketId):
self.lpBizMessage.SetPacketId(nPacketId)
def GetPacketId(self):
return self.lpBizMessage.GetPacketId()
def SetErrorNo(self,int nErrorNo):
self.lpBizMessage.SetErrorNo(nErrorNo)
def GetErrorNo(self):
return self.lpBizMessage.GetErrorNo()
def SetErrorInfo(self,str strErrorInfo):
sErrorInfo = bytes(strErrorInfo,encoding='utf-8')
self.lpBizMessage.SetErrorInfo(sErrorInfo)
def GetErrorInfo(self):
cdef char* sErrInfo = self.lpBizMessage.GetErrorInfo()
return sErrInfo
def SetReturnCode(self,int nReturnCode):
self.lpBizMessage.SetReturnCode(nReturnCode)
def GetReturnCode(self):
return self.lpBizMessage.GetReturnCode()
def SetContent(self,list lpContent,int iLen):
cdef char* sBuff = <char*>malloc(iLen)
cdef int iIndex = 0
while iIndex < iLen:
sBuff[iIndex] = lpContent[iIndex]
iIndex+=1
self.lpBizMessage.SetContent(sBuff,iLen)
free(sBuff)
def GetContent(self):
cdef int iLen = 0
cdef char* sBuff = self.lpBizMessage.GetContent(iLen)
lpBuff = []
cdef iTemp = 0
cdef int iIndex = 0
while iIndex < iLen:
iTemp = sBuff[iIndex]
lpBuff.append(iTemp)
iIndex +=1
return lpBuff,iLen
def SetIssueType(self,int nIssueType):
self.lpBizMessage.SetIssueType(nIssueType)
def GetIssueType(self):
return self.lpBizMessage.GetIssueType()
def SetSequeceNo(self,int nSequeceNo):
self.lpBizMessage.SetSequeceNo(nSequeceNo)
def GetSequeceNo(self):
return self.lpBizMessage.GetSequeceNo()
def SetKeyInfo(self,list lpKeyData,int iLen):
cdef char* sBuff = <char*>malloc(iLen)
cdef int iIndex = 0
while iIndex < iLen:
sBuff[iIndex] = lpKeyData[iIndex]
iIndex+=1
self.lpBizMessage.SetKeyInfo(sBuff,iLen)
def GetKeyInfo(self):
cdef int iLen = 0
cdef int itemp = 0
cdef char* sBuff = self.lpBizMessage.GetKeyInfo(iLen)
lpBuff = []
cdef int iIndex = 0
while iIndex < iLen:
lpBuff.append(sBuff[iIndex])
iIndex +=1
return lpBuff,iLen
def SetAppData(self,str lpAppdata,int nAppLen):
sAppData = bytes(lpAppdata,encoding='utf-8')
self.lpBizMessage.SetAppData(sAppData,nAppLen)
def GetAppData(self):
cdef int iLen = 0
cdef char* sAppData = self.lpBizMessage.GetAppData(iLen)
return sAppData,iLen
def ChangeReq2AnsMessage(self):
self.lpBizMessage.ChangeReq2AnsMessage()
def GetBuff(self):
cdef int iLen = 0
cdef iTemp = 0
cdef char* sBuff = self.lpBizMessage.GetBuff(iLen)
lpBuff = []
cdef int iIndex = 0
while iIndex < iLen:
iTemp = sBuff[iIndex]
lpBuff.append(iTemp)
iIndex +=1
return lpBuff,iLen
def SetBuff(self,list lpBuff,int nBuffLen):
cdef char* sBuff = <char*>malloc(nBuffLen)
cdef int iIndex = 0
while iIndex < nBuffLen:
sBuff[iIndex] = lpBuff[iIndex]
iIndex+=1
self.lpBizMessage.SetBuff(sBuff,nBuffLen)
def ReSet(self):
self.lpBizMessage.ReSet()
def Release(self):
self.lpBizMessage.Release()
cdef class pySubscribeParamInterface:
cdef c_CSubscribeParamInterface* lpSubscribeParam
def __cinit__(self):
self.lpSubscribeParam = new c_CSubscribeParamInterface()
def __dealloc__(self):
del self.lpSubscribeParam
def SetTopicName(self,str szName):
sName = bytes(szName,encoding='utf-8')
self.lpSubscribeParam.SetTopicName(sName)
def SetAppData(self,str lpData,int iLen):
sData = bytes(lpData,encoding='utf-8')
self.lpSubscribeParam.SetAppData(sData,iLen)
def SetFilter(self,str filterName,str filterValue):
sName = bytes(filterName,encoding='utf-8')
sValue = bytes(filterValue,encoding='utf-8')
self.lpSubscribeParam.SetFilter(sName,sValue)
def SetReturnFiled(self,str filedName):
sName = bytes(filedName,encoding='utf-8')
self.lpSubscribeParam.SetReturnFiled(sName)
def SetFromNow(self,int bFromNow):
self.lpSubscribeParam.SetFromNow(bFromNow)
def SetReplace(self,int bReplace):
self.lpSubscribeParam.SetReplace(bReplace)
def SetSendInterval(self,int nSendInterval):
self.lpSubscribeParam.SetSendInterval(nSendInterval)
def GetTopicName(self):
cdef char* sName = self.lpSubscribeParam.GetTopicName()
return sName
def GetAppData(self):
cdef int iLen = 0
cdef char* sAppData = self.lpSubscribeParam.GetAppData(&iLen)
return sAppData,iLen
def GetFilterNameByIndex(self,int index):
cdef char* sName = self.lpSubscribeParam.GetFilterNameByIndex(index)
return sName
def GetFilterValueByIndex(self,int index):
cdef char* sName = self.lpSubscribeParam.GetFilterValueByIndex(index)
return sName
def GetFilterValue(self,str fileName):
sName = bytes(fileName,encoding='utf-8')
sValus = self.lpSubscribeParam.GetFilterValue(sName)
return sValus
def GetFilterCount(self):
return self.lpSubscribeParam.GetFilterCount()
def GetReturnFiled(self):
cdef char* sFields = self.lpSubscribeParam.GetReturnFiled()
return sFields
def GetFromNow(self):
cdef int bFromNow = self.lpSubscribeParam.GetFromNow()
return bFromNow
def GetReplace(self):
cdef int bRep = self.lpSubscribeParam.GetReplace()
return bRep
def GetSendInterval(self):
return self.lpSubscribeParam.GetSendInterval()
def Release(self):
return self.lpSubscribeParam.Release()
cdef class pySubCallBack:
cdef c_SubCallBack* lpSubCallBack
def __cinit__(self,str lpMould,str lpClass):
sMould = bytes(lpMould,encoding='utf-8')
sClass = bytes(lpClass,encoding='utf-8')
self.lpSubCallBack = new c_SubCallBack(sMould,sClass)
def initInstance(self):
return self.lpSubCallBack.initInstance()
cdef class pySubscribeInterface:
cdef c_CSubscribeInterface* lpSubcribe
def __cinit__(self):
self.lpSubcribe = NULL
def __dealloc__(self):
if self.lpSubcribe != NULL:
del self.lpSubcribe
self.lpSubcribe = NULL
def SubscribeTopic(self,pySubscribeParamInterface lpSubParam,int uiTimeout,pyIF2UnPacker lpUnPack = None,pyIF2Packer lpPack = None):
cdef c_IF2UnPacker** lppBizUnPack = NULL
cdef c_IF2Packer* lpBizPack = NULL
if lpUnPack != None and lpPack != None:
lppBizUnPack = &(lpUnPack.lpUnpacker)
lpBizPack = lpPack.lpPacker
cdef int ret = self.lpSubcribe.SubscribeTopic(lpSubParam.lpSubscribeParam,uiTimeout,lppBizUnPack,lpBizPack)
return ret
def CancelSubscribeTopic(self,int subscribeIndex):
return self.lpSubcribe.CancelSubscribeTopic(subscribeIndex)
def GetSubcribeTopic(self,pyIF2Packer lpPack):
return self.lpSubcribe.GetSubcribeTopic(lpPack.lpPacker)
def Release(self):
return self.lpSubcribe.Release()
cdef class pyCallbackInterface:
cdef c_CCallbackInterface* lpCallBack
def __cinit__(self,str lpMould,str lpClass):
sMould = bytes(lpMould,encoding='utf-8')
sClass = bytes(lpClass,encoding='utf-8')
self.lpCallBack = new c_CCallbackInterface(sMould,sClass)
def InitInstance(self):
return self.lpCallBack.InitInstance()
cdef class pyConnectionInterface:
cdef c_CConnectionInterface* lpConnect
def __cinit__(self,pyCConfigInterface pConfig):
self.lpConnect = new c_CConnectionInterface(pConfig.lpConfig)
def Connect(self,int uiTimeout):
return self.lpConnect.Connect(uiTimeout)
def Close(self):
return self.lpConnect.Close()
def GetServerAddress(self):
cdef int iPort = 0
cdef char* sAddress = self.lpConnect.GetServerAddress(&iPort)
return sAddress,iPort
def GetStatus(self):
return self.lpConnect.GetStatus()
def GetServerLoad(self):
return self.lpConnect.GetServerLoad()
def GetErrorMsg(self,int nErrorCode):
cdef char* sErrMsg = self.lpConnect.GetErrorMsg(nErrorCode)
return sErrMsg.decode('GBK')
def GetConnectError(self):
return self.lpConnect.GetConnectError()
def GetRealAddress(self):
cdef char* sAddress = self.lpConnect.GetRealAddress()
return sAddress
def GetSelfAddress(self):
cdef char* sAddress = self.lpConnect.GetSelfAddress()
return sAddress
def GetSelfMac(self):
cdef char* sMac = self.lpConnect.GetSelfMac()
return sMac
def NewSubscriber(self,pySubCallBack lppCallback,str SubScribeName,int iTimeOut):
sName = bytes(SubScribeName,encoding='utf-8')
cdef c_CSubscribeInterface* lpSub = self.lpConnect.NewSubscriber(lppCallback.lpSubCallBack,sName,iTimeOut)
pSub = pySubscribeInterface()
pSub.lpSubcribe = lpSub
if lpSub == NULL:
return -1,pSub
else:
return 0,pSub
def GetMCLastError(self):
cdef char* lpMcErr = self.lpConnect.GetMCLastError()
return lpMcErr
def Create2BizMsg(self,pyCallbackInterface lppCallback):
return self.lpConnect.Create2BizMsg(lppCallback.lpCallBack)
def SendBizMsg(self,pyIBizMessage lpMsg,int nAsy=0):
return self.lpConnect.SendBizMsg(lpMsg.lpBizMessage,nAsy)
def RecvBizMsg(self,int hSend, int uiTimeout=1000, int uiFlag=0):
lpMsg = pyIBizMessage()
ret = self.lpConnect.RecvBizMsg(hSend,lpMsg.lpBizMessage,uiTimeout,uiFlag)
return ret,lpMsg
def GetLastAnsError(self,int bAsyError=0):
return self.lpConnect.GetLastAnsError(bAsyError)

22
vnpy/api/t2sdk/py_t2sdk/setup.py Normal file
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@ -0,0 +1,22 @@
from distutils.core import setup
from distutils.extension import Extension
from Cython.Distutils import build_ext # noqa
from Cython.Build import cythonize
setup(
name="py_t2sdk",
version="1.0.0",
author="rdc@hundsun",
author_email="",
url="",
ext_modules=cythonize(Extension(
"py_t2sdk",
sources=["py_t2sdk.pyx", "ufx_interface.cpp"],
language="c++",
include_dirs=[],
library_dirs=[],
libraries=["t2sdk"],
extra_compile_args=[],
extra_link_args=[]
))
)

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vnpy/api/t2sdk/py_t2sdk/t2sdk.lib Normal file
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vnpy/api/t2sdk/py_t2sdk/t2sdk_interface.h Normal file
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vnpy/api/t2sdk/py_t2sdk/ufx_interface.cpp Normal file
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388
vnpy/api/t2sdk/py_t2sdk/ufx_interface.h Normal file
View File

@ -0,0 +1,388 @@
#ifndef _UFX_INTERFACE_H_
#define _UFX_INTERFACE_H_
#include "t2sdk_interface.h"
#include "python.h"
#include <thread>
#include <Windows.h>
#include <queue>
#include <process.h>
class c_IF2Packer;
class c_IF2UnPacker;
struct CCallBackParam{
int hSend;
int iResult;
int iCallFuncType; //»Øµ÷·½·¨
IF2UnPacker* lpUnPacker;
IBizMessage* lpBizMsg;
char* sValue;
CCallBackParam()
{
memset(this , 0, sizeof(CCallBackParam));
}
~CCallBackParam()
{
if (lpUnPacker)
{
lpUnPacker->Release();
lpUnPacker = NULL;
}
if (lpBizMsg)
{
lpBizMsg->Release();
lpBizMsg = NULL;
}
if (sValue)
{
free(sValue);
sValue = NULL;
}
}
};
struct CSubCalBackPara
{
char szTopicName[256];
IBizMessage* lpBizMsg;
CSubCalBackPara()
{
memset(this, 0, sizeof(CSubCalBackPara));
}
~CSubCalBackPara()
{
if (lpBizMsg)
{
lpBizMsg->Release();
lpBizMsg = NULL;
}
}
};
class c_IF2Packer
{
private:
IF2Packer* lpPacker;
public:
c_IF2Packer();
~c_IF2Packer();
void SetBuffer(char* pBuf,int iBufSize,int iDataLen);
void BeginPack();
int NewDataset(char *szDatasetName, int iReturnCode );
int AddField(char *szFieldName,char cFieldType='S',int iFieldWidth=255,int iFieldScale=4);
int AddStr(char *szValue);
int AddInt(int iValue);
int AddDouble(double fValue);
int AddChar(char* cValue);
int AddRaw(char* lpBuff,int iLen);
void EndPack();
int* GetPackBuf();
int GetPackLen();
int GetPackBufSize();
int GetVersion();
void SetReturnCode(long dwRetCode);
c_IF2UnPacker* UnPack();
void FreeMem();
void ClearValue();
void BeginPackEx(char* szName = NULL);
void ClearDataSet();
IF2Packer* GetInstance();
void Release();
};
class c_IF2UnPacker
{
private:
IF2UnPacker* lpUnPacker;
void * lpBuf;
bool bRelease;
public:
c_IF2UnPacker(char* lpBuffer,int iLen);
c_IF2UnPacker(IF2UnPacker* lpUnPack);
~c_IF2UnPacker();
int GetVersion(void);
int Open(char* lpBuffer,int iLen);
int GetDatasetCount();
int SetCurrentDatasetByIndex(int nIndex);
int SetCurrentDataset(char *szDatasetName);
char* GetPackBuf();
int GetPackLen();
int GetRowCount();
void First();
void Last();
void Go(int nRow);
char* GetDatasetName();
int OpenAndCopy(char* lpBuffer,int iLen);
char* GetColTypeByName(char * columnName);
int GetColScaleByName(char * columnName);
int GetColWidthByName(char * columnName);
IF2UnPacker* GetInstance();
int GetColCount();
char* GetColName(int column);
char* GetColType(int column);
int GetColScale(int column);
int GetColWidth(int column);
int FindColIndex(char * columnName);
char* GetStrByIndex(int column);
char* GetStr(char * columnName);
char* GetCharByIndex(int column);
char* GetChar(char * columnName);
double GetDoubleByIndex( int column);
double GetDouble(char * columnName);
int GetIntByIndex(int column);
int GetInt(char * columnName);
char* GetRawByIndex(int column,int * lpRawLen);
char* GetRaw(char * columnName,int * lpRawLen);
int WasNull();
void Next();
int IsEOF();
int IsEmpty();
void Destroy();
void Release();
};
class C_CConfigInterface
{
private:
CConfigInterface* lpConfig;
public:
C_CConfigInterface();
~C_CConfigInterface();
int Load( char *szFileName);
int Save( char *szFileName);
char * GetString( char *szSection, char *szEntry, char *szDefault);
int GetInt( char *szSection, char *szEntry, int iDefault);
int SetString( char *szSection, char *szEntry, char *szValue);
int SetInt( char *szSection, char *szEntry, int iValue);
CConfigInterface* GetInstance();
void Release();
};
class c_IBizMessage
{
private:
IBizMessage* lpBizMessage;
public:
c_IBizMessage();
~c_IBizMessage();
void SetFunction(int nFUnctionNo);
int GetFunction();
void SetPacketType(int nPacketType);
int GetPacketType();
void SetBranchNo(int nBranchNo);
int GetBranchNo();
void SetSystemNo(int nSystemNo);
int GetSystemNo();
void SetSubSystemNo(int nSubSystemNo);
int GetSubSystemNo();
void SetSenderId(int nSenderId);
int GetSenderId();
void SetPacketId(int nPacketId);
int GetPacketId();
void SetErrorNo(int nErrorNo);
int GetErrorNo();
void SetErrorInfo(char* strErrorInfo);
char* GetErrorInfo();
void SetReturnCode(int nReturnCode);
int GetReturnCode();
void SetContent(char* lpContent,int iLen);
char* GetContent(int& iLen);
void SetIssueType(int nIssueType);
int GetIssueType();
void SetSequeceNo(int nSequeceNo);
int GetSequeceNo();
void SetKeyInfo(char* lpKeyData,int iLen);
char* GetKeyInfo(int& iLen);
void SetAppData(char* lpAppdata,int nAppLen);
char* GetAppData(int& nAppLen);
int ChangeReq2AnsMessage();
char* GetBuff(int& nBuffLen);
int SetBuff(char* lpBuff,int nBuffLen);
void ReSet();
IBizMessage* GetInstance();
void Release();
};
class c_CSubscribeParamInterface
{
private:
CSubscribeParamInterface* lpSubParam;
public:
c_CSubscribeParamInterface();
~c_CSubscribeParamInterface();
void SetTopicName(char* szName);
void SetAppData(char* lpData,int iLen);
void SetFilter(char* filterName,char* filterValue);
void SetReturnFiled(char* filedName);
void SetFromNow(int bFromNow);
void SetReplace(int bReplace);
void SetSendInterval(int nSendInterval);
char* GetTopicName();
char* GetAppData(int *iLen);
char* GetFilterNameByIndex(int index);
char* GetFilterValueByIndex(int index);
char* GetFilterValue(char* fileName);
int GetFilterCount();
char* GetReturnFiled();
int GetFromNow();
int GetReplace();
int GetSendInterval();
CSubscribeParamInterface* GetInstance();
void Release();
};
class c_SubCallBack: public CSubCallbackInterface
{
private:
PyObject* pModule;
PyObject* pDict;
PyObject* pClass;
PyObject* pObject;
PyObject* pOnReceiveFunc;
char lpCallMould[50];
char lpCallClass[50];
PyGILState_STATE state;
HANDLE EventHandle[2];
std::thread* Thread;
std::queue<CSubCalBackPara*>* DealMsgQueue;
CRITICAL_SECTION* gMsgQueueSection;
bool IsRun;
void operator()() {
run();
}
void run();
public:
c_SubCallBack(char *lpMould,char *lpClass);
c_SubCallBack();
~c_SubCallBack();
int initInstance();
unsigned long FUNCTION_CALL_MODE QueryInterface(const char *iid, IKnown **ppv)
{
return 0;
}
unsigned long FUNCTION_CALL_MODE AddRef()
{
return 0;
}
unsigned long FUNCTION_CALL_MODE Release()
{
return 0;
}
void FUNCTION_CALL_MODE OnReceived(CSubscribeInterface *lpSub,int subscribeIndex, const void *lpData, int nLength,LPSUBSCRIBE_RECVDATA lpRecvData);
void FUNCTION_CALL_MODE OnRecvTickMsg(CSubscribeInterface *lpSub,int subscribeIndex,const char* TickMsgInfo);
};
class c_CSubscribeInterface
{
private:
CSubscribeInterface* lpSubscribe;
public:
c_CSubscribeInterface(CSubscribeInterface* lpSub);
~c_CSubscribeInterface();
int SubscribeTopic(c_CSubscribeParamInterface* lpSubscribeParamInter ,unsigned int uiTimeout,c_IF2UnPacker** lppBizUnPack=NULL,c_IF2Packer* lpBizPack=NULL);
int CancelSubscribeTopic(int subscribeIndex);
int CancelSubscribeTopicEx(char* topicName,CFilterInterface* lpFilterInterface);
void GetSubcribeTopic(c_IF2Packer* lpPack);
void Release();
};
class c_CCallbackInterface: public CCallbackInterface
{
private:
PyObject* pModuleT2;
PyObject* pT2Class;
PyObject* pModule;
PyObject* pDict;
PyObject* pClass;
PyObject* pObject;
//PyObject* pConnectFunc;
//PyObject* pSafeConnectFunc;
PyObject* pRegisterFunc;
PyObject* pCloseFunc;
//PyObject* pSendFunc;
//PyObject* pReceivedBizFunc;
//PyObject* pReceivedBizExFunc;
PyObject* pReceivedBizMsgFunc;
PyGILState_STATE state;
char sMouldName[50];
char sClassName[50];
HANDLE EventHandle[2];
std::thread* Thread;
std::queue<CCallBackParam*>* DealMsgQueue;
CRITICAL_SECTION* gMsgQueueSection;
bool IsRun;
void operator()() {
run();
}
void run();
public:
c_CCallbackInterface(char* sMould,char* sClass);
c_CCallbackInterface();
~c_CCallbackInterface();
int InitInstance();
unsigned long FUNCTION_CALL_MODE QueryInterface(const char *iid, IKnown **ppv)
{
return 0;
}
unsigned long FUNCTION_CALL_MODE AddRef()
{
return 0;
}
unsigned long FUNCTION_CALL_MODE Release()
{
return 0;
}
void FUNCTION_CALL_MODE OnConnect(CConnectionInterface *lpConnection);
void FUNCTION_CALL_MODE OnSafeConnect(CConnectionInterface *lpConnection);
void FUNCTION_CALL_MODE OnRegister(CConnectionInterface *lpConnection);
void FUNCTION_CALL_MODE OnClose(CConnectionInterface *lpConnection);
void FUNCTION_CALL_MODE OnSent(CConnectionInterface *lpConnection, int hSend, void *reserved1, void *reserved2, int nQueuingData);
void FUNCTION_CALL_MODE Reserved1(void *a, void *b, void *c, void *d);
void FUNCTION_CALL_MODE Reserved2(void *a, void *b, void *c, void *d);
int FUNCTION_CALL_MODE Reserved3();
void FUNCTION_CALL_MODE Reserved4();
void FUNCTION_CALL_MODE Reserved5();
void FUNCTION_CALL_MODE Reserved6();
void FUNCTION_CALL_MODE Reserved7();
void FUNCTION_CALL_MODE OnReceivedBiz(CConnectionInterface *lpConnection, int hSend, const void *lpUnPackerOrStr, int nResult);
void FUNCTION_CALL_MODE OnReceivedBizEx(CConnectionInterface *lpConnection, int hSend, LPRET_DATA lpRetData, const void *lpUnpackerOrStr, int nResult);
void FUNCTION_CALL_MODE OnReceivedBizMsg(CConnectionInterface *lpConnection, int hSend, IBizMessage* lpMsg);
};
class c_CConnectionInterface
{
private:
CConnectionInterface* lpConnect;
public:
c_CConnectionInterface(C_CConfigInterface* lpConfig);
~c_CConnectionInterface();
int Connect(unsigned int uiTimeout);
int Close();
char * GetServerAddress(int *lpPort);
int GetStatus();
int GetServerLoad();
char * GetErrorMsg(int nErrorCode);
int GetConnectError();
char* GetRealAddress();
char* GetSelfAddress();
char* GetSelfMac();
c_CSubscribeInterface* NewSubscriber(c_SubCallBack *lpCallback,char* SubScribeName,int iTimeOut,
int iInitRecvQLen=INIT_RECVQ_LEN,int iStepRecvQLen=STEP_RECVQ_LEN);
c_IF2UnPacker* GetTopic(int byForce,int iTimeOut);
char* GetMCLastError();
int Create2BizMsg(c_CCallbackInterface *lpCallback);
int SendBizMsg(c_IBizMessage* lpMsg,int nAsy = 0);
int RecvBizMsg(int hSend, c_IBizMessage* lpMsg, unsigned uiTimeout = 1000, unsigned uiFlag = 0);
char * GetLastAnsError(int bAsyError = 0);
void Release();
};
#endif

12
vnpy/app/cta_stock/template.py
View File

@ -8,7 +8,7 @@ import traceback
import zlib
import json
from abc import ABC
from copy import copy
from copy import copy,deepcopy
from typing import Any, Callable, List, Dict
from logging import INFO, ERROR
from datetime import datetime
@ -385,7 +385,6 @@ class StockPolicy(CtaPolicy):
last_signal_time = None
self.signals.update({k: {'last_signal': last_signal, 'last_signal_time': last_signal_time}})
def to_json(self):
"""转换至json文件"""
j = super().to_json()
@ -394,12 +393,13 @@ class StockPolicy(CtaPolicy):
d = {}
for kline_name, signal in self.signals.items():
last_signal_time = signal.get('last_signal_time', None)
d.update({kline_name:
{'last_signal': signal.get('last_signal', ''),
c_signal = {}
c_signal.update(signal)
c_signal.update({'last_signal': signal.get('last_signal', ''),
'last_signal_time': last_signal_time.strftime(
'%Y-%m-%d %H:%M:%S') if last_signal_time is not None else ""
}
})
})
d.update({kline_name: c_signal})
j['signals'] = d
return j

6
vnpy/app/cta_strategy_pro/engine.py
View File

@ -1211,7 +1211,8 @@ class CtaEngine(BaseEngine):
if module_name:
new_class_name = module_name + '.' + class_name
self.write_log(u'转换策略为全路径:{}'.format(new_class_name))
old_strategy_class = self.classes[class_name]
self.write_log(f'旧策略ID:{id(old_strategy_class)}')
strategy_class = import_module_by_str(new_class_name)
if strategy_class is None:
err_msg = u'加载策略模块失败:{}'.format(new_class_name)
@ -1219,7 +1220,10 @@ class CtaEngine(BaseEngine):
return False, err_msg
self.write_log(f'重新加载模块成功，使用新模块:{new_class_name}')
self.write_log(f'新策略ID:{id(strategy_class)}')
self.classes[class_name] = strategy_class
else:
self.write_log(f'没有{class_name}的module_name,无法重新加载模块')
# 停止当前策略实例的运行，撤单
self.stop_strategy(strategy_name)

33
vnpy/app/cta_strategy_pro/template_spread.py
View File

@ -1,4 +1,4 @@
# 套利模板
# 套利模板
# 华富资产 @ 李来佳
import os
@ -43,6 +43,8 @@ class CtaSpreadTemplate(CtaTemplate):
cancel_seconds = 120
allow_trading_open = True # 允许开仓
force_trading_close = False # 强制平仓
history_orders = {}
# 逻辑过程日志
dist_fieldnames = ['datetime', 'symbol', 'volume', 'price',
@ -386,6 +388,7 @@ class CtaSpreadTemplate(CtaTemplate):
def on_stop(self):
"""停止策略（必须由用户继承实现）"""
self.active_orders.clear()
self.history_orders.clear()
self.pos = 0
self.entrust = 0
@ -399,8 +402,12 @@ class CtaSpreadTemplate(CtaTemplate):
trade.__dict__))
# 找到委托单记录
order_info = self.active_orders.get(trade.vt_orderid)
if order_info:
order_info = None
if trade.vt_orderid in self.active_orders.keys():
order_info = self.active_orders.get(trade.vt_orderid)
if trade.vt_orderid in self.history_orders.keys():
order_info = self.history_orders.get(trade.vt_orderid)
if order_info is not None:
# 委托单记录 =》 找到 Grid
grid = order_info.get('grid')
if grid:
@ -648,7 +655,7 @@ class CtaSpreadTemplate(CtaTemplate):
self.write_log(f'剩余委托单号:{grid.order_ids}')
# 在策略得活动订单中，移除
self.active_orders.pop(order.vt_orderid, None)
self.history_orders[order.vt_orderid] = self.active_orders.pop(order.vt_orderid, None)
self.gt.save()
if len(self.active_orders) < 1:
self.entrust = 0
@ -690,7 +697,7 @@ class CtaSpreadTemplate(CtaTemplate):
self.write_error(msg)
self.write_log(u'移除:{}'.format(order.vt_orderid))
self.active_orders.pop(order.vt_orderid, None)
self.history_orders[order.vt_orderid] = self.active_orders.pop(order.vt_orderid, None)
return
order_price = old_order['price']
@ -720,7 +727,7 @@ class CtaSpreadTemplate(CtaTemplate):
self.write_log(u'网格信息更新:{}'.format(grid.__dict__))
self.write_log(u'移除:{}'.format(order.vt_orderid))
self.active_orders.pop(order.vt_orderid, None)
self.history_orders[order.vt_orderid] = self.active_orders.pop(order.vt_orderid, None)
return
order_retry += 1
@ -767,7 +774,7 @@ class CtaSpreadTemplate(CtaTemplate):
self.gt.save()
# 删除旧的委托记录
self.write_log(u'移除旧的委托记录:{}'.format(order.vt_orderid))
self.active_orders.pop(order.vt_orderid, None)
self.history_orders[order.vt_orderid] = self.active_orders.pop(order.vt_orderid, None)
elif old_order['direction'] == Direction.SHORT and order_type == OrderType.FAK:
@ -810,7 +817,7 @@ class CtaSpreadTemplate(CtaTemplate):
self.gt.save()
# 删除旧的委托记录
self.write_log(u'移除旧的委托记录:{}'.format(order.vt_orderid))
self.active_orders.pop(order.vt_orderid, None)
self.history_orders[order.vt_orderid] = self.active_orders.pop(order.vt_orderid, None)
else:
pre_status = old_order.get('status', Status.NOTTRADED)
old_order.update({'status': Status.CANCELLED})
@ -855,7 +862,7 @@ class CtaSpreadTemplate(CtaTemplate):
self.write_error(msg)
self.send_wechat(msg)
self.write_log(u'活动订单移除:{}'.format(order.vt_orderid))
self.active_orders.pop(order.vt_orderid, None)
self.history_orders[order.vt_orderid] = self.active_orders.pop(order.vt_orderid, None)
return
order_price = old_order['price']
@ -877,7 +884,7 @@ class CtaSpreadTemplate(CtaTemplate):
self.write_log(u'更新网格=>{}'.format(grid.__dict__))
self.write_log(u'移除活动订单:{}'.format(order.vt_orderid))
self.active_orders.pop(order.vt_orderid, None)
self.history_orders[order.vt_orderid] = self.active_orders.pop(order.vt_orderid, None)
return
order_retry += 1
@ -917,7 +924,7 @@ class CtaSpreadTemplate(CtaTemplate):
grid.order_ids.remove(order.vt_orderid)
self.gt.save()
self.write_log(u'移除活动订单:{}'.format(order.vt_orderid))
self.active_orders.pop(order.vt_orderid, None)
self.history_orders[order.vt_orderid] = self.active_orders.pop(order.vt_orderid, None)
elif old_order['direction'] == Direction.SHORT and order_type == OrderType.FAK:
self.write_log(u'FAK模式，需要重新发送sell委托.grid:{}'.format(grid.__dict__))
@ -956,7 +963,7 @@ class CtaSpreadTemplate(CtaTemplate):
self.gt.save()
self.write_log(u'移除活动订单:{}'.format(order.vt_orderid))
self.active_orders.pop(order.vt_orderid, None)
self.history_orders[order.vt_orderid] = self.active_orders.pop(order.vt_orderid, None)
else:
pre_status = old_order.get('status', Status.NOTTRADED)
@ -1110,7 +1117,7 @@ class CtaSpreadTemplate(CtaTemplate):
# 删除撤单的订单
for vt_orderid in canceled_ids:
self.write_log(u'删除orderID:{0}'.format(vt_orderid))
self.active_orders.pop(vt_orderid, None)
self.history_orders[vt_orderid] = self.active_orders.pop(vt_orderid, None)
if len(self.active_orders) == 0:
self.entrust = 0

2
vnpy/app/option_master/base.py
View File

@ -50,7 +50,7 @@ CHAIN_UNDERLYING_MAP = {
class InstrumentData:
""""""
"""期权合约数据"""
def __init__(self, contract: ContractData):
""""""

2
vnpy/app/option_master/engine.py
View File

@ -58,7 +58,7 @@ class OptionEngine(BaseEngine):
super().__init__(main_engine, event_engine, APP_NAME)
self.portfolios: Dict[str, PortfolioData] = {}
self.instruments: Dict[str, InstrumentData] = {}
self.instruments: Dict[str, InstrumentData] = {} # vt_symbol: 合约
self.active_portfolios: Dict[str, PortfolioData] = {}
self.timer_count: int = 0

4
vnpy/gateway/ctp/ctp_gateway.py
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@ -1007,8 +1007,8 @@ class CtpTdApi(TdApi):
pricetick=data["PriceTick"],
gateway_name=self.gateway_name
)
# 保证金费率
contract.margin_rate = max(data.get('LongMarginRatio', 0), data.get('ShortMarginRatio', 0))
# 保证金费率(期权合约的保证金比例数值可能不对，所以设置个0.2的最大值)
contract.margin_rate = min(0.2,max(data.get('LongMarginRatio', 0), data.get('ShortMarginRatio', 0)))
if contract.margin_rate == 0:
contract.margin_rate = 0.1

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vnpy/gateway/hsoption/(20130403)ZXZQ-TESTsfjrt-ALL-0001_3rd.dat Normal file
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1
vnpy/gateway/hsoption/__init__.py Normal file
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@ -0,0 +1 @@
from .hsoption_gateway import HsoptionGateway

27
vnpy/gateway/hsoption/citic.ini Normal file
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@ -0,0 +1,27 @@
[t2sdk]
license_file=(20130403)ZXZQ-TESTsfjrt-ALL-0001_3rd.dat
;servers=118.192.134.94:29112
;电信请使用这个地址：
servers=124.207.9.94:29112
login_name=syn_send
lang=2052
;lang=2052
;send_queue_size=100
license_pwd=999999
init_recv_buf_size=5120
init_send_buf_size=5120
send_queue_size=1000
errormsg=errormsg.ini
writedata=1
[proxy]
proxy_type=
ip=127.0.0.1
port=
user_name=guest
password=888888
[safe]
safe_level=ssl
client_id=
comm_pwd=
cert_file=s2013.pfx
cert_pwd=999999

1139
vnpy/gateway/hsoption/hsoption_gateway.py Normal file
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17
vnpy/gateway/sopt/sopt_gateway.py
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@ -282,12 +282,12 @@ class SoptGateway(BaseGateway):
self.td_api.close()
self.md_api.close()
def write_error(self, msg: str, error: dict):
""""""
error_id = error["ErrorID"]
error_msg = error["ErrorMsg"]
msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
self.write_log(msg)
#def write_error(self, msg: str, error: dict):
# """"""
# error_id = error["ErrorID"]
# error_msg = error["ErrorMsg"]
# msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
# self.write_log(msg)
def process_timer_event(self, event):
""""""
@ -597,7 +597,7 @@ class SoptTdApi(TdApi):
)
self.gateway.on_order(order)
self.gateway.write_error("交易委托失败", error)
self.gateway.write_error(f"交易委托失败:{symbol} {order.direction.value} {order.offset.value} {order.price}, {order.volume}", error)
def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
@ -630,6 +630,7 @@ class SoptTdApi(TdApi):
position = PositionData(
accountid=self.userid,
symbol=data["InstrumentID"],
name=symbol_name_map[data["InstrumentID"]],
exchange=symbol_exchange_map[data["InstrumentID"]],
direction=DIRECTION_SOPT2VT[data["PosiDirection"]],
gateway_name=self.gateway_name
@ -805,7 +806,7 @@ class SoptTdApi(TdApi):
timestamp = f"{data['InsertDate']} {data['InsertTime']}"
dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S")
dt = CHINA_TZ.localize(dt)
#dt = CHINA_TZ.localize(dt)
order = OrderData(
accountid=self.userid,

1
vnpy/trader/constant.py
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@ -57,6 +57,7 @@ class Product(Enum):
FOREX = "外汇"
SPOT = "现货"
ETF = "ETF"
LOF = "LOF"
BOND = "债券"
WARRANT = "权证"
SPREAD = "价差"

16
vnpy/trader/utility.py
View File

@ -413,14 +413,14 @@ def import_module_by_str(import_module_name):
mod = import_module(loaded_modules)
comp = modules[-1]
if not hasattr(mod, comp):
loaded_modules = '.'.join([loaded_modules, comp])
print('realod {}'.format(loaded_modules))
mod = reload(loaded_modules)
else:
print('from {} import {}'.format(loaded_modules, comp))
mod = getattr(mod, comp)
return mod
#if not hasattr(mod, comp):
# loaded_modules = '.'.join([loaded_modules, comp])
print('realod {}'.format(loaded_modules))
mod = reload(mod)
#else:
# print('from {} import {}'.format(loaded_modules, comp))
comp = getattr(mod, comp)
return comp
except Exception as ex:
print('import {} fail,{},{}'.format(import_module_name, str(ex), traceback.format_exc()))