[update] 指数行情修正为CTP合成

vnpy/app/cta_crypto/engine.py

@@ -86,7 +86,6 @@ STOP_STATUS_MAP = {
     Status.REJECTED: StopOrderStatus.CANCELLED
 }
 
-
 class CtaEngine(BaseEngine):
     """
     策略引擎【数字货币版】
@@ -216,6 +215,8 @@ class CtaEngine(BaseEngine):
 
         if self.last_minute != dt.minute:
             self.last_minute = dt.minute
+            # 检查未订阅得合约
+            self.check_unsubscribed_symbols()
 
             if all_trading:
                 # 主动获取所有策略得持仓信息
@@ -960,6 +961,7 @@ class CtaEngine(BaseEngine):
         Add a new strategy.
         """
         try:
+            self.write_log(f'{strategy_name} => 开始添加实例:{setting}')
             if strategy_name in self.strategies:
                 msg = f"{strategy_name} => 创建策略失败，存在重名"
                 self.write_log(msg=msg,
@@ -1006,15 +1008,31 @@ class CtaEngine(BaseEngine):
             self.write_error(traceback.format_exc())
             return False, msg
 
+
+
     def init_strategy(self, strategy_name: str, auto_start: bool = False):
         """
         Init a strategy.
         """
         self.write_log(f'创建独立线程执行{strategy_name} on_init()')
         task = self.thread_executor.submit(self._init_strategy, strategy_name, auto_start)
+        # 添加执行完毕得回调函数
+        task.add_done_callback(self.thread_pool_callback)
         self.thread_tasks.append(task)
         return True
 
+    def thread_pool_callback(self, worker):
+        """线程异常捕捉"""
+        worker_exception = worker.exception()
+        if worker_exception:
+            account_id = self.engine_config.get('accountid','cta_crypto')
+            msg = f'{account_id}worker_exception :{str(worker_exception)}'
+            self.write_error(msg)
+            self.send_wechat(msg)
+
+        else:
+            self.write_log(f'crypto engine thread worker completed')
+
     def _init_strategy(self, strategy_name: str, auto_start: bool = False):
         """
         Init strategies in queue.
@@ -1147,9 +1165,14 @@ class CtaEngine(BaseEngine):
 
             strategy = self.strategies[strategy_name]
             if strategy.trading:
-                err_msg = f"策略{strategy.strategy_name}移除失败，请先停止"
-                self.write_error(err_msg)
-                return False, err_msg
+                # err_msg = f"策略{strategy.strategy_name}正在运行，先停止"
+                # self.write_error(err_msg)
+                # return False, err_msg
+                ret, msg = self.stop_strategy(strategy_name)
+                if not ret:
+                    return False, msg
+                else:
+                    self.write_log(msg)
 
             # Remove setting
             self.remove_strategy_setting(strategy_name)
@@ -1648,11 +1671,13 @@ class CtaEngine(BaseEngine):
         # 账号的持仓处理 => compare_pos
         compare_pos = dict()  # vt_symbol: {'账号多单': xx, '账号空单':xxx, '策略空单':[], '策略多单':[]}
 
-        for position in list(self.positions.values()):
+        self.write_log(f'扫描帐号持仓')
+        positions = self.main_engine.get_all_positions()
+        for position in positions:  # list(self.positions.values()):
             # gateway_name.symbol.exchange => symbol.exchange
             vt_symbol = position.vt_symbol
             vt_symbols.add(vt_symbol)
-
+            self.write_log(f'帐号:{position.vt_symbol}:{position.volume}')
             compare_pos[vt_symbol] = OrderedDict(
                 {
                     "账号净仓": position.volume,
@@ -1664,6 +1689,7 @@ class CtaEngine(BaseEngine):
             )
 
         # 逐一根据策略仓位，与Account_pos进行处理比对
+        self.write_log(f'扫描策略持仓')
         for strategy_pos in strategy_pos_list:
             for pos in strategy_pos.get('pos', []):
                 vt_symbol = pos.get('vt_symbol')
@@ -1694,20 +1720,22 @@ class CtaEngine(BaseEngine):
                         u'{}({})'.format(strategy_pos['strategy_name'], abs(pos.get('volume', 0))))
                     self.write_log(u'更新{}策略持多仓=>{}'.format(vt_symbol, symbol_pos.get('策略多单', 0)))
 
+                compare_pos.update({vt_symbol: symbol_pos})
+
         pos_compare_result = ''
         # 精简输出
         compare_info = ''
 
         for vt_symbol in sorted(vt_symbols):
             # 发送不一致得结果
-            symbol_pos = compare_pos.pop(vt_symbol, None)
-            if not symbol_pos:
-                self.write_error(f'持仓对比中，找不到{vt_symbol}')
-                continue
-            net_symbol_pos = round(round(symbol_pos['策略多单'], 7) - round(symbol_pos['策略空单'], 7), 7)
+            symbol_pos = compare_pos.pop(vt_symbol, {})
+            # if not symbol_pos:
+            #     self.write_error(f'持仓对比中，找不到{vt_symbol}')
+            #     continue
+            net_symbol_pos = round(round(symbol_pos.get('策略多单',0), 7) - round(symbol_pos.get('策略空单',0), 7), 7)
 
             # 多空都一致
-            if round(symbol_pos['账号净仓'], 7) == net_symbol_pos:
+            if round(symbol_pos.get('账号净仓',0), 7) == net_symbol_pos:
                 msg = u'{}多空都一致.{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))
                 self.write_log(msg)
                 compare_info += msg
@@ -1716,7 +1744,7 @@ class CtaEngine(BaseEngine):
                 self.write_error(u'{}不一致:{}'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False)))
                 compare_info += u'{}不一致:{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))
 
-                diff_volume = round(symbol_pos['账号净仓'], 7) - net_symbol_pos
+                diff_volume = round(symbol_pos.get('账号净仓',0), 7) - net_symbol_pos
                 # 账号仓位> 策略仓位, sell
                 if diff_volume > 0 and auto_balance:
                     contract = self.main_engine.get_contract(vt_symbol)

vnpy/app/cta_stock/engine.py

@@ -1127,9 +1127,14 @@ class CtaEngine(BaseEngine):
         """
         strategy = self.strategies[strategy_name]
         if strategy.trading:
-            err_msg = f"策略{strategy.strategy_name}移除失败，请先停止"
-            self.write_error(err_msg)
-            return False, err_msg
+            # err_msg = f"策略{strategy.strategy_name}正在运行，先停止"
+            #self.write_error(err_msg)
+            #return False, err_msg
+            ret , msg = self.stop_strategy(strategy_name)
+            if not ret:
+                return False, msg
+            else:
+                self.write_log(msg)
 
         # Remove setting
         self.remove_strategy_setting(strategy_name)

vnpy/app/index_tick_publisher/__init__.py

@@ -3,7 +3,7 @@
 import os
 from pathlib import Path
 from vnpy.trader.app import BaseApp
-from .engine import IndexTickPublisher, APP_NAME
+from .engine import IndexTickPublisher,IndexTickPublisherV2, APP_NAME
 
 
 class IndexTickPublisherApp(BaseApp):
@@ -12,4 +12,4 @@ class IndexTickPublisherApp(BaseApp):
     app_module = __module__
     app_path = Path(__file__).parent
     display_name = u'期货指数全行情推送'
-    engine_class = IndexTickPublisher
+    engine_class = IndexTickPublisherV2

vnpy/app/index_tick_publisher/engine.py

@@ -11,24 +11,278 @@ from datetime import datetime, timedelta
 from time import sleep
 from logging import ERROR
 from pytdx.exhq import TdxExHq_API
+from copy import deepcopy
 
 from vnpy.event import EventEngine
 from vnpy.trader.constant import Exchange
 from vnpy.trader.engine import BaseEngine, MainEngine
 from vnpy.trader.event import EVENT_TIMER
-from vnpy.trader.object import TickData
-from vnpy.trader.utility import get_trading_date
-from vnpy.data.tdx.tdx_common import TDX_FUTURE_HOSTS
+from vnpy.trader.object import TickData, SubscribeRequest
+from vnpy.trader.utility import get_trading_date, get_underlying_symbol, load_json, get_real_symbol_by_exchange
+from vnpy.data.tdx.tdx_common import TDX_FUTURE_HOSTS, get_future_contracts
 from vnpy.component.base import (
     NIGHT_MARKET_23,
     NIGHT_MARKET_SQ2,
     MARKET_DAY_ONLY)
 
 from vnpy.amqp.producer import publisher
+from vnpy.gateway.ctp.ctp_gateway import CtpMdApi, symbol_exchange_map
 
 APP_NAME = 'Idx_Publisher'
 
 
+class IndexTickPublisherV2(BaseEngine):
+    """
+    指数tick发布服务
+    透过ctp 行情接口，获取所有合约，并根据合约的仓指，生成指数tick，发布至rabbitMQ
+    """
+
+    # ----------------------------------------------------------------------
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
+        """"""
+        super(IndexTickPublisherV2, self).__init__(
+            main_engine, event_engine, APP_NAME)
+
+        self.main_engine = main_engine
+        self.event_engine = event_engine
+        self.create_logger(logger_name=APP_NAME)
+        self.gateway_name = 'CTP'
+        self.last_minute = None
+
+        self.registerEvent()
+
+        self.connection_status = False  # 连接状态
+
+        #  ctp md api
+        self.subscribed_symbols = set()  # 已订阅合约代码
+
+        self.md_api = None  # API 的连接会话对象
+        self.last_tick_dt = {}  # 记录该会话对象的最后一个tick时间
+
+        self.instrument_count = 50000
+
+        self.has_qry_instrument = False
+
+        # vt_setting.json内rabbitmq配置项
+        self.conf = {}
+        self.pub = None
+
+        self.status = {}
+        self.subscribed_symbols = set()  # 已订阅合约代码
+        self.ticks = {}
+
+        # 本地/vnpy/data/tdx/future_contracts.json
+        self.all_contracts = get_future_contracts()
+        # 需要订阅的短合约
+        self.selected_underly_symbols = load_json('subscribe_symbols.json', auto_save=False)
+
+        # 短合约 <=> 所有真实合约 的数量
+        self.underly_symbols_num_dict = {}
+
+    def write_error(self, content: str):
+        self.write_log(msg=content, level=ERROR)
+
+    def create_publisher(self, conf):
+        """创建rabbitmq 消息发布器"""
+        if self.pub:
+            return
+        try:
+            self.write_log(f'创建发布器:{conf}')
+            # 消息发布
+            self.pub = publisher(host=conf.get('host', 'localhost'),
+                                 port=conf.get('port', 5672),
+                                 user=conf.get('user', 'admin'),
+                                 password=conf.get('password', 'admin'),
+                                 channel_number=conf.get('channel_number', 1),
+                                 queue_name=conf.get('queue_name', ''),
+                                 routing_key=conf.get('routing_key', 'default'),
+                                 exchange=conf.get('exchange', 'x_fanout_idx_tick'))
+            self.write_log(f'创建发布器成功')
+        except Exception as ex:
+            self.write_log(u'创建tick发布器异常:{}'.format(str(ex)))
+
+    # ----------------------------------------------------------------------
+    def registerEvent(self):
+        """注册事件监听"""
+        self.event_engine.register(EVENT_TIMER, self.process_timer_event)
+
+    def process_timer_event(self, event):
+        """定时执行"""
+        dt = datetime.now()
+
+        if self.last_minute and dt.minute == self.last_minute:
+            return
+
+        self.last_minute = dt.minute
+
+        self.check_status()
+
+    def check_status(self):
+        """定期检查状态"""
+        if not self.md_api:
+            self.status.update({'con': False})
+            self.write_log(f'行情接口未连接')
+            return
+        dt_now = datetime.now()
+
+        # 扫描合约配置文件
+        for underly_symbol, info in self.all_contracts.items():
+            # 如果本地subscribe_symbols内有合约的指定订阅清单，进行排除 ['RB','IF']
+            if len(self.selected_underly_symbols) > 0 and underly_symbol not in self.selected_underly_symbols:
+                continue
+
+            # 日盘数据，夜盘期间不订阅
+            if dt_now.hour < 4 or dt_now.hour > 20:
+                if underly_symbol in MARKET_DAY_ONLY:
+                    continue
+
+            # 获取当前所有的合约列表
+            symbols = info.get('symbols', {})
+            # 获取交易所
+            exchange = info.get('exchange', 'LOCAL')
+            # 获取本地记录的tick dict
+            tick_dict = self.ticks.get(underly_symbol, {})
+
+            for symbol in symbols.keys():
+                # 全路径合约 => 标准合约 ,如 ZC2109 => ZC109, RB2110 => rb2110
+                vn_symbol = get_real_symbol_by_exchange(symbol, Exchange(exchange))
+
+                if symbol.replace(underly_symbol, '') < dt_now.strftime('%Y%m%d'):
+                    self.write_log(f'移除早于当月的合约{symbol}')
+                    symbols.pop(symbol, None)
+                    continue
+                # 生成带交易所信息的合约
+                vt_symbol = f'{vn_symbol}.{exchange}'
+                # symbol_exchange_map是全局变量，ctp md api会使用到，所以需要更新其 合约与交易所的关系
+                if vn_symbol not in symbol_exchange_map:
+                    symbol_exchange_map.update({vn_symbol: Exchange(exchange)})
+
+                # 该合约没有在行情中，重新发出订阅
+                if vt_symbol not in tick_dict:
+                    req = SubscribeRequest(
+                        symbol=vn_symbol,
+                        exchange=Exchange(exchange)
+                    )
+                    self.subscribe(req)
+
+            # 等级短合约 <=> 真实合约数量
+            self.underly_symbols_num_dict.update({underly_symbol: len(symbols.keys())})
+
+    def connect(self, *args, **kwargs):
+        """
+        连接ctp行情，和rabbitmq推送
+        :param args:
+        :param kwargs:
+        :return:
+        """
+        self.write_log(f'connect({kwargs}')
+
+        # 连接ctp行情服务器
+        md_address = kwargs.get('md_address')
+        userid = kwargs.get('userid')
+        password = kwargs.get('password')
+        brokerid = kwargs.get('brokerid')
+        if not self.md_api:
+            self.write_log(f'创建ctp行情服务器{md_address}')
+            self.md_api = CtpMdApi(gateway=self)
+        self.md_api.connect(address=md_address,
+                            userid=userid,
+                            password=password,
+                            brokerid=brokerid)
+
+        # 连接rabbit MQ
+        rabbit_config = kwargs.get('rabbit_config', {})
+        self.write_log(f'创建rabbitMQ 消息推送桩,{rabbit_config}')
+        self.conf.update(rabbit_config)
+        self.create_publisher(self.conf)
+
+    def subscribe(self, req: SubscribeRequest):
+        """订阅合约"""
+        self.write_log(f'engine:订阅合约: {req.vt_symbol}')
+
+        if req.vt_symbol not in self.subscribed_symbols:
+            self.subscribed_symbols.add(req.vt_symbol)
+
+        if self.md_api:
+            self.md_api.subscribe(req)
+
+    def on_tick(self, tick):
+        """ tick到达事件"""
+        short_symbol = get_underlying_symbol(tick.symbol).upper()
+        # 更新tick
+        tick_dict = self.ticks.get(short_symbol, None)
+        if tick_dict is None:
+            tick_dict = {tick.symbol: tick}
+            self.ticks.update({short_symbol: tick_dict})
+            return
+
+        # 与最后
+        last_dt = self.last_tick_dt.get(short_symbol, tick.datetime)
+
+        # 进行指数合成
+        if last_dt and tick.datetime.second != last_dt.second:
+            all_amount = 0
+            all_interest = 0
+            all_volume = 0
+            all_ask1 = 0
+            all_bid1 = 0
+            last_price = 0
+            ask_price_1 = 0
+            bid_price_1 = 0
+            mi_tick = None
+
+            # 已经积累的行情tick数量，不足总数减1，不处理
+            n = self.underly_symbols_num_dict.get(short_symbol, 1)
+            if len(tick_dict) < min(n*0.8, 3) :
+                self.write_log(f'{short_symbol}合约数据{len(tick_dict)}不足{n} 0.8,暂不合成指数')
+                return
+
+            # 计算所有合约的累加持仓量、资金、成交量、找出最大持仓量的主力合约
+            for t in tick_dict.values():
+                all_interest += t.open_interest
+                all_amount += t.last_price * t.open_interest
+                all_volume += t.volume
+                all_ask1 += t.ask_price_1 * t.open_interest
+                all_bid1 += t.bid_price_1 * t.open_interest
+                if mi_tick is None or mi_tick.open_interest < t.open_interest:
+                    mi_tick = t
+
+            # 总量 > 0
+            if all_interest > 0 and all_amount > 0:
+                last_price = round(float(all_amount / all_interest), 4)
+            # 卖1价
+            if all_ask1 > 0 and all_interest > 0:
+                ask_price_1 = round(float(all_ask1 / all_interest), 4)
+            # 买1价
+            if all_bid1 > 0 and all_interest > 0:
+                bid_price_1 = round(float(all_bid1 / all_interest), 4)
+
+            if mi_tick and last_price > 0:
+                if self.pub:
+                    d = copy.copy(mi_tick.__dict__)
+                    # 时间 =》 字符串
+                    if isinstance(mi_tick.datetime, datetime):
+                        d.update({'datetime': mi_tick.datetime.strftime('%Y-%m-%d %H:%M:%S.%f')})
+                    # 变量 => 字符串
+                    d.update({'exchange': mi_tick.exchange.value})
+                    d.update({'symbol': f'{short_symbol}99', 'vt_symbol': f'{short_symbol}99.{mi_tick.exchange.value}'})
+                    # 更新未指数的持仓量、交易量，最后价格，ask1，bid1
+                    d.update({'open_interest': all_interest, 'volume': all_volume,
+                              'last_price': last_price, 'ask_price_1': ask_price_1, 'bid_price_1': bid_price_1})
+                    print('{} {}:{}'.format(d.get('datetime'), d.get("vt_symbol"), d.get('last_price')))
+                    d = json.dumps(d)
+                    self.pub.pub(d)
+
+        # 更新时间
+        self.last_tick_dt.update({short_symbol: tick.datetime})
+
+        tick_dict.update({tick.symbol: tick})
+        self.ticks.update({short_symbol: tick_dict})
+
+    def on_custom_tick(self, tick):
+        pass
+
+
 class IndexTickPublisher(BaseEngine):
     # 指数tick发布服务
     # 通过通达信接口，获取指数行情tick，发布至rabbitMQ
@@ -276,7 +530,14 @@ class IndexTickPublisher(BaseEngine):
             self.pub.exit()
 
     def check_status(self):
-        # self.write_log(u'检查tdx接口状态')
+        self.write_log(u'检查tdx接口状态')
+        if len(self.symbol_tick_dict) > 0:
+            k = self.symbol_tick_dict.keys()[0]
+            tick = self.symbol_tick_dict.get(k, None)
+            if tick:
+                self.write_log(f'{tick.vt_symbol}: {tick.datetime}, price:{tick.last_price}')
+        else:
+            self.write_log(f'目前没有收到tick')
 
         # 若还没有启动连接，就启动连接
         over_time = self.last_tick_dt is None or (datetime.now() - self.last_tick_dt).total_seconds() > 60
@@ -285,8 +546,8 @@ class IndexTickPublisher(BaseEngine):
             self.close()
             self.api = None
             self.reconnect()
-
-        # self.write_log(u'tdx接口状态正常')
+        else:
+            self.write_log(u'tdx接口状态正常')
 
     def qry_instrument(self):
         """

vnpy/data/tdx/tdx_common.py

@@ -65,27 +65,25 @@ PERIOD_MAPPING['1week'] = 5
 PERIOD_MAPPING['1month'] = 6
 
 # 期货行情服务器清单
-TDX_FUTURE_HOSTS = [
-    #{"ip": "120.24.0.77", "port": 443, "name": "通达信接入主站"},
-    {"ip": "112.74.214.43", "port": 7727, "name": "扩展市场深圳双线1"},
-    #{"ip": "120.24.0.77", "port": 7727, "name": "扩展市场深圳双线2"},
-    {"ip": "47.107.75.159", "port": 7727, "name": "扩展市场深圳双线3"},
-
-    {"ip": "113.105.142.136", "port": 443, "name": "扩展市场东莞主站"},
-    {"ip": "113.105.142.133", "port": 443, "name": "港股期货东莞电信"},
-
-    {"ip": "119.97.185.5", "port": 7727, "name": "扩展市场武汉主站1"},
-    {"ip": "119.97.185.7", "port": 7727, "name": "港股期货武汉主站1"},
-    {"ip": "119.97.185.9", "port": 7727, "name": "港股期货武汉主站2"},
-    {"ip": "59.175.238.38", "port": 7727, "name": "扩展市场武汉主站3"},
-
-    {"ip": "202.103.36.71", "port": 443, "name": "扩展市场武汉主站2"},
-
-    {"ip": "47.92.127.181", "port": 7727, "name": "扩展市场北京主站"},
-    {"ip": "106.14.95.149", "port": 7727, "name": "扩展市场上海双线"},
-    {"ip": '218.80.248.229', 'port': 7721, "name": "备用服务器1"},
-    {"ip": '124.74.236.94', 'port': 7721, "name": "备用服务器2"},
-    {'ip': '58.246.109.27', 'port': 7721, "name": "备用服务器3"}]
+TDX_FUTURE_HOSTS =[
+     #{'ip': '42.193.151.197', 'port': 7727, 'name': '广州期货双线1', 'speed': 6.622},
+     #{'ip': '119.29.63.178', 'port': 7727, 'name': '广州期货双线3', 'speed': 7.716},
+     #{'ip': '81.71.76.101', 'port': 7727, 'name': '广州期货双线2', 'speed': 14.914},
+     #{'ip': '47.107.75.159', 'port': 7727, 'name': '扩展市场深圳双线3', 'speed': 34.542},
+     #{'ip': '112.74.214.43', 'port': 7727, 'name': '扩展市场深圳双线1', 'speed': 37.881},
+     #{'ip': '59.175.238.38', 'port': 7727, 'name': '扩展市场武汉主站3', 'speed': 49.63},
+     #{'ip': '119.97.185.5', 'port': 7727, 'name': '扩展市场武汉主站1', 'speed': 70.563},
+     {'ip': '218.80.248.229', 'port': 7721, 'name': '备用服务器1', 'speed': 86.91300000000001},
+     #{'ip': '119.97.185.7', 'port': 7727, 'name': '港股期货武汉主站1', 'speed': 101.06099999999999},
+     #{'ip': '106.14.95.149', 'port': 7727, 'name': '扩展市场上海双线', 'speed': 105.294},
+     {'ip': '113.105.142.136', 'port': 443, 'name': '扩展市场东莞主站', 'speed': 10000.0},
+     {'ip': '113.105.142.133', 'port': 443, 'name': '港股期货东莞电信', 'speed': 10000.0},
+     #{'ip': '119.97.185.9', 'port': 7727, 'name': '港股期货武汉主站2', 'speed': 10000.0},
+     {'ip': '202.103.36.71', 'port': 443, 'name': '扩展市场武汉主站2', 'speed': 10000.0},
+     #{'ip': '47.92.127.181', 'port': 7727, 'name': '扩展市场北京主站', 'speed': 10000.0},
+     {'ip': '124.74.236.94', 'port': 7721, 'name': '备用服务器2', 'speed': 10000.0},
+     {'ip': '58.246.109.27', 'port': 7721, 'name': '备用服务器3', 'speed': 10000.0}
+]
 
 
 def get_future_contracts():

vnpy/gateway/ctp/ctp_gateway.py

@@ -55,7 +55,7 @@ from vnpy.trader.constant import (
     OptionType,
     Interval
 )
-from vnpy.trader.gateway import BaseGateway, TickCombiner
+from vnpy.trader.gateway import BaseGateway, TickCombiner, IndexGenerator
 from vnpy.trader.object import (
     TickData,
     BarData,
@@ -264,8 +264,18 @@ class CtpGateway(BaseGateway):
         self.combiners = {}
         self.tick_combiner_map = {}
 
+        # 本地指数行情合成器{ 'rb2110':x, 'rb2201':x',,}
+        self.index_generators = {}
+        # 已经创建得指数合成器symbol列表 ['RB99','J99',,,]
+        self.subscribed_index_symbols = []
+
     def connect(self, setting: dict):
-        """"""
+        """
+        连接交易服务器、行情服务器
+        行情服务器包括：ctp普通行情、ctp5档行情（上海、能源所）、tdx指数行情、rabbitMQ指数行情、天勤指数行情
+        :param setting:
+        :return:
+        """
         userid = setting["用户名"]
         password = setting["密码"]
         brokerid = setting["经纪商代码"]
@@ -277,6 +287,7 @@ class CtpGateway(BaseGateway):
         product_info = setting["产品信息"]
         rabbit_dict = setting.get('rabbit', None)
         tq_dict = setting.get('tq', None)
+        tdx_dict = setting.get('tdx', None)
         if (
                 (not td_address.startswith("tcp://"))
                 and (not td_address.startswith("ssl://"))
@@ -331,7 +342,7 @@ class CtpGateway(BaseGateway):
             self.write_log(f'激活天勤行情接口')
             self.tq_api = TqMdApi(gateway=self)
             self.tq_api.connect(tq_dict)
-        else:
+        elif tdx_dict is not None:
             self.write_log(f'激活通达信行情接口')
             self.tdx_api = TdxMdApi(gateway=self)
             self.tdx_api.connect()
@@ -394,7 +405,14 @@ class CtpGateway(BaseGateway):
         return True
 
     def subscribe(self, req: SubscribeRequest):
-        """"""
+        """
+        订阅合约行情
+        普通合约 => ctp行情、5档行情
+        指数合约 => 通达信、rabbitMQ，天勤
+        套利合约 => 合约合并器
+        :param req:
+        :return:
+        """
         try:
             if self.md_api:
                 # 如果是自定义的套利合约符号
@@ -447,6 +465,7 @@ class CtpGateway(BaseGateway):
                     return
                 elif req.exchange == Exchange.SPD:
                     self.write_error(u'自定义合约{}不在CTP设置中'.format(req.symbol))
+                    return
 
                 # 指数合约，从tdx行情订阅
                 if req.symbol[-2:] in ['99']:
@@ -460,6 +479,11 @@ class CtpGateway(BaseGateway):
                     elif self.tq_api:
                         self.write_log(f'使用天勤接口订阅{req.symbol}')
                         self.tq_api.subscribe(req)
+                    else:
+                        if req.symbol not in self.subscribed_index_symbols:
+                            self.write_log(f'使用本地指数生成器进行订阅')
+                            self.subscribe_local_index(req)
+
                 else:
                     # 上期所、上能源支持五档行情，使用天勤接口
                     if self.tq_api and req.exchange in [Exchange.SHFE, Exchange.INE]:
@@ -468,6 +492,7 @@ class CtpGateway(BaseGateway):
                     if self.l2_md_api and req.exchange in [Exchange.SHFE, Exchange.INE]:
                         self.write_log(f'使用五档行情接口订阅:{req.symbol}')
                         self.l2_md_api.subscribe(req)
+
                     else:
                         self.write_log(f'使用CTP接口订阅{req.symbol}')
                         self.md_api.subscribe(req)
@@ -492,6 +517,26 @@ class CtpGateway(BaseGateway):
         bg = BarGenerator(on_bar=self.on_bar)
         self.klines.update({vt_symbol: bg})
 
+    def subscribe_local_index(self, req):
+        """
+        订阅本地合约
+        :param req:
+        :return:
+        """
+        underlying_symbol = get_underlying_symbol(req.symbol)
+        symbol_info = future_contracts.get(underlying_symbol,None)
+        if symbol_info:
+            generator = IndexGenerator(gateway=self, setting=symbol_info)
+
+            # 登记订阅真实合约 <=>合成器 关系
+            for vn_symbol in generator.symbols:
+                self.index_generators[vn_symbol] = generator
+
+            # 登记指数合约到本地已订阅信息
+            self.subscribed_index_symbols.append(req.symbol)
+        else:
+            self.write_error(f'{underlying_symbol}信息没有在vnpy/data/tdx/future_contracts.json文件中,不能创建指数订阅')
+
     def send_order(self, req: OrderRequest):
         """"""
         return self.td_api.send_order(req)
@@ -574,11 +619,15 @@ class CtpGateway(BaseGateway):
     def on_custom_tick(self, tick):
         """推送自定义合约行情"""
         # 自定义合约行情
-
         for combiner in self.tick_combiner_map.get(tick.symbol, []):
             tick = copy(tick)
             combiner.on_tick(tick)
 
+        # 推送至指数生成器
+        if tick.symbol in self.index_generators:
+            tick = copy(tick)
+            # 推送on_tick()方法
+            self.index_generators[tick.symbol].on_tick(tick)
 
 class CtpMdApi(MdApi):
     """"""
@@ -688,7 +737,7 @@ class CtpMdApi(MdApi):
             date=s_date,
             time=dt.strftime('%H:%M:%S.%f'),
             trading_day=trading_day,
-            name=symbol_name_map[symbol],
+            name=symbol_name_map.get(symbol,symbol),
             volume=today_volume,
             last_volume=volume_changed,
             open_interest=data["OpenInterest"],
@@ -759,6 +808,7 @@ class CtpMdApi(MdApi):
         """
         Login onto server.
         """
+        self.gateway.write_log(f'{self.name}向行情服务器发出登录请求')
         req = {
             "UserID": self.userid,
             "Password": self.password,
@@ -772,8 +822,8 @@ class CtpMdApi(MdApi):
         """
         Subscribe to tick data update.
         """
+        self.gateway.write_log(f'{self.name}订阅:{req.exchange} {req.symbol}')
         if self.login_status:
-            self.gateway.write_log(f'{self.name}订阅:{req.exchange} {req.symbol}')
             self.subscribeMarketData(req.symbol)
         self.subscribed.add(req.symbol)
 
@@ -835,7 +885,6 @@ class CtpTdApi(TdApi):
             self.gateway.write_log("向交易服务器进行帐号登录")
             self.login()
 
-
     def onFrontDisconnected(self, reason: int):
         """"""
         self.login_status = False
@@ -1864,7 +1913,7 @@ class SubMdApi():
 
     def check_status(self):
         """接口状态的健康检查"""
-
+        self.gateway.write_log("检查sub接口的状态")
         # 订阅的合约
         d = {'sub_symbols': sorted(self.symbol_tick_dict.keys())}
 
@@ -1899,7 +1948,7 @@ class SubMdApi():
         self.gateway.status.update(d)
 
     def on_message(self, chan, method_frame, _header_frame, body, userdata=None):
-        # print(" [x] %r" % body)
+        #print(" [x] %r" % body)
         try:
             str_tick = body.decode('utf-8')
             d = json.loads(str_tick)
@@ -1908,6 +1957,8 @@ class SubMdApi():
             d = self.conver_update(d)
 
             symbol = d.pop('symbol', None)
+            if symbol == 'ZC99':
+                a = 1
             str_datetime = d.pop('datetime', None)
             if symbol not in self.registed_symbol_set or str_datetime is None:
                 return

vnpy/gateway/pb/pb_gateway.py

@@ -1100,6 +1100,45 @@ class PbTdApi(object):
         return results
 
     def query_account(self):
+
+        if self.gateway.file_type == 'dbf':
+            self.query_account_dbf()
+        else:
+            self.query_account_csv()
+
+    def query_account_dbf(self):
+        """获取资金账号信息"""
+        # dbf 文件名
+        account_dbf = os.path.abspath(os.path.join(self.account_folder,
+                                                        '{}{}.dbf'.format(
+                                                            PB_FILE_NAMES.get('accounts'),
+                                                            self.trading_date)))
+        try:
+            # dbf => 资金帐号信息
+            self.gateway.write_log(f'扫描资金帐号信息:{account_dbf}')
+            table = dbf.Table(account_dbf, codepage='cp936')
+            table.open(dbf.READ_ONLY)
+            for data in table:
+                # ["资金账户"]
+                if str(data.zjzh).strip() != self.userid:
+                    continue
+                account = AccountData(
+                    gateway_name=self.gateway_name,
+                    accountid=self.userid,
+                    balance=float(data.dyjz), # ["单元净值"]
+                    frozen=float(data.dyjz) - float(data.kyye), # data["可用余额"]
+                    currency="人民币",
+                    trading_day=self.trading_day
+                )
+                self.gateway.on_account(account)
+
+            table.close()
+
+        except Exception as ex:
+            self.gateway.write_error(f'dbf扫描资金帐号异常:{str(ex)}')
+            self.gateway.write_error(traceback.format_exc())
+
+    def query_account_csv(self):
         """获取资金账号信息"""
         if self.gateway.pb_version == '2018':
             # 账号的文件
@@ -1134,6 +1173,67 @@ class PbTdApi(object):
 
     def query_position(self):
         """获取持仓信息"""
+        if self.gateway.file_type == 'dbf':
+            self.query_position_dbf()
+        else:
+            self.query_position_csv()
+
+    def query_position_dbf(self):
+        """从dbf文件获取持仓信息"""
+        # fields:['zqgs', 'zjzh', 'zhlx', 'zqdm', 'zqmc', 'zqlb', 'zxjg', 'cbjg', 'cpbh', 'cpmc', 'dybh', 'dymc', 'ccsl', 'dqcb', 'kysl', 'jjsz', 'qjsz', 'zqlx'
+        # , 'jysc', 'jybz', 'dryk', 'ljyk', 'fdyk', 'fyl', 'ykl', 'tzlx', 'gddm', 'mrsl', 'mcsl', 'mrje', 'mcje', 'zdf', 'bbj', 'qjcb', 'gtcb', 'gtyk', 'zgb']
+        # dbf 文件名
+        position_dbf = os.path.abspath(os.path.join(self.account_folder,
+                                                   '{}{}.dbf'.format(
+                                                       PB_FILE_NAMES.get('positions'),
+                                                       self.trading_date)))
+        try:
+            # dbf => 股票持仓信息
+            self.gateway.write_log(f'扫描股票持仓信息:{position_dbf}')
+            table = dbf.Table(position_dbf, codepage='cp936')
+            table.open(dbf.READ_ONLY)
+            for data in table:
+                if str(data.zjzh).strip() != self.userid:
+                    continue
+                symbol = str(data.zqdm).strip()  #["证券代码"]
+
+                # symbol => Exchange
+                exchange = symbol_exchange_map.get(symbol, None)
+                if not exchange:
+                    exchange_str = get_stock_exchange(code=symbol)
+                    if len(exchange_str) > 0:
+                        exchange = Exchange(exchange_str)
+                        symbol_exchange_map.update({symbol: exchange})
+
+                name = symbol_name_map.get(symbol, None)
+                if not name:
+                    name = data.zqmc # ["证券名称"]
+                    symbol_name_map.update({symbol: name})
+
+                position = PositionData(
+                    gateway_name=self.gateway_name,
+                    accountid=self.userid,
+                    symbol=symbol,  #["证券代码"],
+                    exchange=exchange,
+                    direction=Direction.NET,
+                    name=name,
+                    volume=int(data.ccsl), # ["持仓数量"]
+                    yd_volume=int(data.kysl),# ["可用数量"]
+                    price=float(data.cbjg), # ["成本价"]
+                    cur_price=float(data.zxjg), # ["最新价"]
+                    pnl=float(data.fdyk), # ["浮动盈亏"]
+                    holder_id=str(data.gddm).strip()  #["股东"]
+                )
+                self.gateway.on_position(position)
+
+            table.close()
+
+        except Exception as ex:
+            self.gateway.write_error(f'dbf扫描股票持仓异常:{str(ex)}')
+            self.gateway.write_error(traceback.format_exc())
+
+    def query_position_csv(self):
+        """从csv获取持仓信息"""
         if self.gateway.pb_version == '2018':
             # 持仓的文件
             positions_csv = os.path.abspath(os.path.join(self.account_folder,
@@ -1187,6 +1287,98 @@ class PbTdApi(object):
             self.gateway.on_position(position)
 
     def query_orders(self):
+        if self.gateway.file_type == 'dbf':
+            self.query_orders_dbf()
+        else:
+            self.query_orders_csv()
+
+    def query_orders_dbf(self):
+        """dbf文件获取所有委托"""
+        # fields:['zqgs', 'zjzh', 'zhlx', 'cpbh', 'cpmc', 'dybh', 'dymc', 'wtph', 'wtxh', 'zqdm', 'zqmc', 'wtfx', 'jglx', 'wtjg', 'wtsl', 'wtzt', 'cjsl', 'wtje'
+        # , 'cjjj', 'cdsl', 'jysc', 'fdyy', 'wtly', 'wtrq', 'wtsj', 'jybz']
+        orders_dbf = os.path.abspath(os.path.join(self.account_folder,
+                                                    '{}{}.dbf'.format(
+                                                        PB_FILE_NAMES.get('orders'),
+                                                        self.trading_date)))
+        try:
+            # dbf => 股票委托信息
+            self.gateway.write_log(f'扫描股票委托信息:{orders_dbf}')
+            table = dbf.Table(orders_dbf, codepage='cp936')
+            table.open(dbf.READ_ONLY)
+            for data in table:
+                if str(data.zjzh).strip() != self.userid: # ["资金账户"]
+                    continue
+
+                sys_orderid = str(data.wtxh).strip()  # ["委托序号"]
+
+                # 检查是否存在本地order_manager缓存中
+                order = self.gateway.order_manager.get_order_with_sys_orderid(sys_orderid)
+                order_date = str(data.wtrq).strip() #["委托日期"]
+                order_time = str(data.wtsj).strip() #["委托时间"]
+                order_status = STATUS_NAME2VT.get(str(data.wtzt).strip())  # ["委托状态"]
+
+                # 检查是否存在本地orders缓存中（系统级别的委托单）
+                sys_order = self.orders.get(sys_orderid, None)
+
+                if order is not None:
+                    continue
+                # 委托单不存在本地映射库，说明是其他地方下的单子，不是通过本接口下单
+                if sys_order is None:
+
+                    # 不处理以下状态
+                    if order_status in [Status.SUBMITTING, Status.REJECTED, Status.CANCELLED, Status.CANCELLING]:
+                        continue
+
+                    order_dt = datetime.strptime(f'{order_date} {order_time}', "%Y%m%d %H%M%S")
+                    direction = DIRECTION_STOCK_NAME2VT.get(str(data.wtfx).strip())  # ["委托方向"]
+                    offset = Offset.NONE
+                    if direction is None:
+                        direction = Direction.NET
+                    elif direction == Direction.LONG:
+                        offset = Offset.OPEN
+                    elif direction == Direction.SHORT:
+                        offset = Offset.CLOSE
+                    sys_order = OrderData(
+                        gateway_name=self.gateway_name,
+                        symbol=str(data.zqdm).strip(),  # ["证券代码"]
+                        exchange=EXCHANGE_NAME2VT.get(str(data.jysc).strip()), # ["交易市场"]
+                        orderid=sys_orderid,
+                        sys_orderid=sys_orderid,
+                        accountid=self.userid,
+                        type=ORDERTYPE_NAME2VT.get(str(data.jglx).strip(), OrderType.LIMIT),  # ["价格类型"]
+                        direction=direction,
+                        offset=offset,
+                        price=float(data.wtjg),  # ["委托价格"]
+                        volume=float(data.wtsl),  # ["委托数量"]
+                        traded=float(data.cjsl),  # ["成交数量"]
+                        status=order_status,
+                        datetime=order_dt,
+                        time=order_dt.strftime('%H:%M:%S')
+                    )
+                    # 直接发出订单更新事件
+                    self.gateway.write_log(f'账号订单查询，新增:{sys_order.__dict__}')
+                    self.orders.update({sys_order.sys_orderid: sys_order})
+                    self.gateway.on_order(sys_order)
+                    continue
+
+                # 存在账号缓存，判断状态是否更新
+                else:
+                    # 暂不处理，交给XHPT_WTCX模块处理
+                    if sys_order.status != order_status or sys_order.traded != float(data.cjsl): # ["成交数量"]
+                        sys_order.traded = float(data.cjsl) # ["成交数量"]
+                        sys_order.status = order_status
+                        self.orders.update({sys_order.sys_orderid: sys_order})
+                        self.gateway.write_log(f'账号订单查询，更新:{sys_order.__dict__}')
+                        self.gateway.on_order(sys_order)
+                        continue
+
+            table.close()
+
+        except Exception as ex:
+            self.gateway.write_error(f'dbf扫描股票委托异常:{str(ex)}')
+            self.gateway.write_error(traceback.format_exc())
+
+    def query_orders_csv(self):
         """获取所有委托"""
         # 所有委托的文件
         if self.gateway.pb_version == '2018':
@@ -1435,6 +1627,76 @@ class PbTdApi(object):
                 continue
 
     def query_trades(self):
+        if self.gateway.file_type == 'dbf':
+            self.query_trades_dbf()
+        else:
+            self.query_trades_csv()
+
+    def query_trades_dbf(self):
+        """dbf文件获取所有成交"""
+        # fields:['zqgs', 'zjzh', 'zhlx', 'cpbh', 'cpmc', 'dybh', 'dymc', 'cjxh', 'wtph', 'wtxh', 'zqdm', 'zqmc', 'wtfx', 'zqlb', 'ywfl', 'cjrq', 'cjsj', 'cjsl'
+        # , 'cjjg', 'zfy', 'cjje', 'jysc', 'jybz', 'wtly', 'rybh', 'rymc']
+        trades_dbf = os.path.abspath(os.path.join(self.account_folder,
+                                                  '{}{}.dbf'.format(
+                                                      PB_FILE_NAMES.get('trades'),
+                                                      self.trading_date)))
+        try:
+            # dbf => 股票成交信息
+            self.gateway.write_log(f'扫描股票成交信息:{trades_dbf}')
+            table = dbf.Table(trades_dbf, codepage='cp936')
+            table.open(dbf.READ_ONLY)
+            for data in table:
+                if str(data.zjzh).strip()!= self.userid: # ["资金账户"]
+                    continue
+
+                sys_orderid = str(data.wtxh) # ["委托序号"]
+                sys_tradeid = str(data.cjxh) # ["成交序号"]
+
+                # 检查是否存在本地trades缓存中
+                trade = self.trades.get(sys_tradeid, None)
+                order = self.gateway.order_manager.get_order_with_sys_orderid(sys_orderid)
+
+                # 如果交易不再本地映射关系
+                if trade is None and order is None:
+                    trade_date = str(data.cjrq).strip() #["成交日期"]
+                    trade_time = str(data.cjsj).strip() #["成交时间"]
+                    trade_dt = datetime.strptime(f'{trade_date} {trade_time}', "%Y%m%d %H%M%S")
+                    direction = DIRECTION_STOCK_NAME2VT.get(str(data.wtfx).strip()) # ["委托方向"]
+                    offset = Offset.NONE
+                    if direction is None:
+                        direction = Direction.NET
+                    elif direction == Direction.LONG:
+                        offset = Offset.OPEN
+                    elif direction == Direction.SHORT:
+                        offset = Offset.CLOSE
+                    trade = TradeData(
+                        gateway_name=self.gateway_name,
+                        symbol=str(data.zqdm).strip(), # ["证券代码"]
+                        exchange=EXCHANGE_NAME2VT.get(str(data.jysc).strip()), # ["交易市场"]
+                        orderid=sys_tradeid,
+                        tradeid=sys_tradeid,
+                        sys_orderid=sys_orderid,
+                        accountid=self.userid,
+                        direction=direction,
+                        offset=offset,
+                        price=float(data.cjjg),  # ["成交价格"]
+                        volume=float(data.cjsl), # ["成交数量"]
+                        datetime=trade_dt,
+                        time=trade_dt.strftime('%H:%M:%S'),
+                        trade_amount=float(data.cjje), # ["成交金额"]
+                        commission=float(data.zfy) # ["总费用"]
+                    )
+                    self.trades[sys_tradeid] = trade
+                    self.gateway.on_trade(copy.copy(trade))
+                    continue
+            table.close()
+
+        except Exception as ex:
+            self.gateway.write_error(f'dbf扫描股票成交异常:{str(ex)}')
+            self.gateway.write_error(traceback.format_exc())
+
+
+    def query_trades_csv(self):
         """获取所有成交"""
         # 所有成交的文件
         if self.gateway.pb_version == '2018':

vnpy/trader/gateway.py

@@ -4,8 +4,9 @@
 import sys
 from abc import ABC, abstractmethod
 from typing import Any, Sequence, Dict, List, Optional, Callable
-from copy import copy
+from copy import copy,deepcopy
 from logging import INFO, DEBUG, ERROR
+from datetime import datetime
 
 from vnpy.event import Event, EventEngine
 from .event import (
@@ -34,7 +35,7 @@ from .object import (
     Exchange
 )
 
-from vnpy.trader.utility import get_folder_path, round_to
+from vnpy.trader.utility import get_folder_path, round_to, get_underlying_symbol, get_real_symbol_by_exchange
 from vnpy.trader.util_logger import setup_logger
 
 
@@ -561,6 +562,113 @@ class TickCombiner(object):
 
             self.gateway.on_tick(ratio_tick)
 
+class IndexGenerator:
+    """
+    指数生成器
+    """
+
+    def __init__(self, gateway, setting):
+        self.gateway = gateway
+        self.gateway_name = self.gateway.gateway_name
+        self.gateway.write_log(u'创建指数合成类:{}'.format(setting))
+
+        self.ticks = {}  # 所有真实合约, symbol: tick
+        self.last_dt = None  # 最后tick得时间
+        self.underlying_symbol = setting.get('underlying_symbol')
+        self.exchange = setting.get('exchange', None)
+        self.price_tick = setting.get('price_tick')
+        self.symbols = setting.get('symbols', {})
+        # 订阅行情
+        self.subscribe()
+
+        self.n = len(self.symbols)
+
+    def subscribe(self):
+        """订阅行情"""
+        dt_now = datetime.now()
+        for symbol in list(self.symbols.keys()):
+            pre_open_interest = self.symbols.get(symbol,0)
+            # 全路径合约 => 标准合约 ,如 ZC2109 => ZC109, RB2110 => rb2110
+            vn_symbol = get_real_symbol_by_exchange(symbol, Exchange(self.exchange))
+            # 先移除
+            self.symbols.pop(symbol, None)
+            if symbol.replace(self.underlying_symbol, '') < dt_now.strftime('%Y%m%d'):
+                self.gateway.write_log(f'移除早于当月的合约{symbol}')
+                continue
+
+            # 重新登记合约
+            self.symbols[vn_symbol] = pre_open_interest
+
+            # 发出订阅
+            req = SubscribeRequest(
+                symbol=vn_symbol,
+                exchange=Exchange(self.exchange)
+            )
+            self.gateway.subscribe(req)
+
+    def on_tick(self, tick):
+        """tick到达事件"""
+        # 更新tick
+        if self.ticks is {}:
+            self.ticks.update({tick.symbol: tick})
+            return
+
+        # 进行指数合成
+        if self.last_dt and tick.datetime.second != self.last_dt.second:
+            all_amount = 0
+            all_interest = 0
+            all_volume = 0
+            all_ask1 = 0
+            all_bid1 = 0
+            last_price = 0
+            ask_price_1 = 0
+            bid_price_1 = 0
+            mi_tick = None
+
+            # 已经积累的行情tick数量，不足总数减1，不处理
+
+            if len(self.ticks) < min(self.n * 0.8, 3):
+                self.gateway.write_log(f'{self.underlying_symbol}合约数据{len(self.ticks)}不足{self.n} 0.8,暂不合成指数')
+                return
+
+            # 计算所有合约的累加持仓量、资金、成交量、找出最大持仓量的主力合约
+            for t in self.ticks.values():
+                all_interest += t.open_interest
+                all_amount += t.last_price * t.open_interest
+                all_volume += t.volume
+                all_ask1 += t.ask_price_1 * t.open_interest
+                all_bid1 += t.bid_price_1 * t.open_interest
+                if mi_tick is None or mi_tick.open_interest < t.open_interest:
+                    mi_tick = t
+
+            # 总量 > 0
+            if all_interest > 0 and all_amount > 0:
+                last_price = round(float(all_amount / all_interest), 4)
+            # 卖1价
+            if all_ask1 > 0 and all_interest > 0:
+                ask_price_1 = round(float(all_ask1 / all_interest), 4)
+            # 买1价
+            if all_bid1 > 0 and all_interest > 0:
+                bid_price_1 = round(float(all_bid1 / all_interest), 4)
+
+            if mi_tick and last_price > 0:
+                idx_tick = deepcopy(mi_tick)
+                idx_tick.symbol = f'{self.underlying_symbol}99'
+                idx_tick.vt_symbol = f'{idx_tick.symbol}.{self.exchange}'
+                idx_tick.open_interest = all_interest
+                idx_tick.volume = all_volume
+                idx_tick.last_price = last_price
+                idx_tick.ask_price_1 = ask_price_1
+                idx_tick.bid_price_1 = bid_price_1
+
+                self.gateway.on_tick(idx_tick)
+
+        # 更新时间
+        self.last_dt = tick.datetime
+        # 更新tick
+        self.ticks.update({tick.symbol: tick})
+
+
 class LocalOrderManager:
     """
     Management tool to support use local order id for trading.