新增VnTrader的xtpGateway接入

vnpy/api/xtp/__init__.py

@@ -0,0 +1,5 @@
+# encoding: UTF-8
+
+from vnxtpquote import QuoteApi
+from vnxtptrader import TraderApi
+from xtp_data_type import *

vnpy/api/xtp/xtp_data_type.py

@@ -0,0 +1,119 @@
+# encoding: UTF-8
+
+typedefDict = {}
+
+#########################################################################
+###@author 中泰证券股份有限公司
+###@file xtp_api_data_type.h
+###@brief 定义兼容数据基本类型
+#########################################################################
+### 存放版本号的字符串长度
+XTP_VERSION_LEN = 16
+### 版本号类型
+typedefDict["XTPVersionType"] = "string"
+### 可交易日字符串长度
+XTP_TRADING_DAY_LEN = 9
+### 存放证券代码的字符串长度
+XTP_TICKER_LEN = 16
+### 存放证券名称的字符串长度
+XTP_TICKER_NAME_LEN = 64
+### 本地报单编号的字符串长度
+XTP_LOCAL_ORDER_LEN = 11
+### 交易所单号的字符串长度
+XTP_ORDER_EXCH_LEN = 17
+### 成交执行编号的字符串长度
+XTP_EXEC_ID_LEN = 18
+### 交易所交易员代码字符串长度
+XTP_BRANCH_PBU_LEN = 7
+### 用户资金账户的字符串长度
+XTP_ACCOUNT_NAME_LEN = 16
+#########################################################################
+###@enum XTP_LOG_LEVEL 是日志输出级别类型
+#########################################################################
+typedefDict["XTP_LOG_LEVEL"] = "enum"
+#########################################################################
+###@enum XTP_PROTOCOL_TYPE 是通讯传输协议方式
+#########################################################################
+typedefDict["XTP_PROTOCOL_TYPE"] = "enum"
+#########################################################################
+###@enum XTP_EXCHANGE_TYPE 是交易所类型
+#########################################################################
+typedefDict["XTP_EXCHANGE_TYPE"] = "enum"
+##########################################################################
+###@enum XTP_MARKET_TYPE 市场类型
+##########################################################################
+typedefDict["XTP_MARKET_TYPE"] = "enum"
+#########################################################################
+###@enum XTP_PRICE_TYPE 是价格类型
+#########################################################################
+typedefDict["XTP_PRICE_TYPE"] = "enum"
+#########################################################################
+###@enum XTP_SIDE_TYPE 是买卖方向类型
+#########################################################################
+typedefDict["XTP_SIDE_TYPE"] = "enum"
+#########################################################################
+###@enum XTP_ORDER_ACTION_STATUS_TYPE 是报单操作状态类型
+#########################################################################
+typedefDict["XTP_ORDER_ACTION_STATUS_TYPE"] = "enum"
+#########################################################################
+###@enum XTP_ORDER_STATUS_TYPE 是报单状态类型
+#########################################################################
+typedefDict["XTP_ORDER_STATUS_TYPE"] = "enum"
+#########################################################################
+###@enum XTP_ORDER_SUBMIT_STATUS_TYPE 是报单提交状态类型
+#########################################################################
+typedefDict["XTP_ORDER_SUBMIT_STATUS_TYPE"] = "enum"
+#########################################################################
+###@enum XTP_TE_RESUME_TYPE 是公有流（订单响应、成交回报）重传方式
+#########################################################################
+typedefDict["XTP_TE_RESUME_TYPE"] = "enum"
+##########################################################################
+###@enum XTP_TICKER_TYPE 证券类型
+##########################################################################
+typedefDict["XTP_TICKER_TYPE"] = "enum"
+##########################################################################
+###@enum XTP_BUSINESS_TYPE 证券业务类型
+##########################################################################
+typedefDict["XTP_BUSINESS_TYPE"] = "enum"
+#########################################################################
+###@enum XTP_FUND_TRANSFER_TYPE 是资金流转方向类型
+#########################################################################
+typedefDict["XTP_FUND_TRANSFER_TYPE"] = "enum"
+#########################################################################
+###@enum XTP_FUND_OPER_STATUS 柜台资金操作结果
+#########################################################################
+typedefDict["XTP_FUND_OPER_STATUS"] = "enum"
+#########################################################################
+###TXTPTradeTypeType是成交类型类型
+#########################################################################
+typedefDict["TXTPTradeTypeType"] = "char"
+###普通成交
+XTP_TRDT_Common = '0'
+###期权执行
+XTP_TRDT_OptionsExecution = '1'
+###OTC成交
+XTP_TRDT_OTC = '2'
+###期转现衍生成交
+XTP_TRDT_EFPDerived = '3'
+###组合衍生成交
+XTP_TRDT_CombinationDerived = '4'
+###ETF申购
+XTP_TRDT_EFTPurchase = '5'
+###ETF赎回
+XTP_TRDT_EFTRedem = '6'
+#########################################################################
+###TXTPOrderTypeType是报单类型类型
+#########################################################################
+typedefDict["TXTPOrderTypeType"] = "char"
+###正常
+XTP_ORDT_Normal = '0'
+###报价衍生
+XTP_ORDT_DeriveFromQuote = '1'
+###组合衍生
+XTP_ORDT_DeriveFromCombination = '2'
+###组合报单
+XTP_ORDT_Combination = '3'
+###条件单
+XTP_ORDT_ConditionalOrder = '4'
+###互换单
+XTP_ORDT_Swap = '5'

vnpy/trader/gateway/xtpGateway/XTP_connect.json

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+{
+    "userID": "请联系中泰证券申请",
+    "password": "请联系中泰证券申请",
+    "clientID": 1,
+    "softwareKey": "请联系中泰证券申请",
+    "tdAddress": "120.27.164.69", 
+    "tdPort": 6001,
+    "mdAddress": "120.27.164.138", 
+    "mdPort": 6002
+}

vnpy/trader/gateway/xtpGateway/__init__.py

@@ -0,0 +1,10 @@
+# encoding: UTF-8
+
+from vnpy.trader import vtConstant
+from xtpGateway import XtpGateway
+
+gatewayClass = XtpGateway
+gatewayName = 'XTP'
+gatewayDisplayName = 'XTP'
+gatewayType = vtConstant.GATEWAYTYPE_EQUITY
+gatewayQryEnabled = True

vnpy/trader/gateway/xtpGateway/xtpGateway.py

@@ -0,0 +1,733 @@
+# encoding: UTF-8
+
+'''
+vn.xtp的gateway接入
+'''
+
+
+import os
+import json
+
+from vnpy.api.xtp import *
+from vnpy.trader.vtGateway import *
+from vnpy.trader.vtFunction import getJsonPath, getTempPath
+
+
+# 以下为一些VT类型和XTP类型的映射字典
+# 价格类型映射
+priceTypeMap = {}
+priceTypeMap[PRICETYPE_LIMITPRICE] = 1
+priceTypeMap[PRICETYPE_MARKETPRICE] = 2
+priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} 
+
+# 方向类型映射
+sideMap = {}
+sideMap[(DIRECTION_LONG, OFFSET_NONE)] = 1
+sideMap[(DIRECTION_SHORT, OFFSET_NONE)] = 2
+sideMap[(DIRECTION_LONG, OFFSET_OPEN)] = 3
+sideMap[(DIRECTION_SHORT, OFFSET_OPEN)] = 4
+sideMap[(DIRECTION_LONG, OFFSET_CLOSE)] = 5
+sideMap[(DIRECTION_SHORT, OFFSET_CLOSE)] = 6
+sideMapReverse = {v: k for k, v in sideMap.items()}
+
+# 交易所类型映射
+exchangeMap = {}
+exchangeMap[EXCHANGE_SSE] = 1
+exchangeMap[EXCHANGE_SZSE] = 2
+exchangeMap[EXCHANGE_UNKNOWN] = 3
+exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
+
+# 市场类型映射
+marketMap = {}
+marketMap[EXCHANGE_UNKNOWN] = 0
+marketMap[EXCHANGE_SZSE] = 1
+marketMap[EXCHANGE_SSE] = 2
+marketMapReverse = {v:k for k,v in marketMap.items()}
+
+# 持仓类型映射
+#posiDirectionMap = {}
+#posiDirectionMap[DIRECTION_NET] = defineDict["THOST_FTDC_PD_Net"]
+#posiDirectionMap[DIRECTION_LONG] = defineDict["THOST_FTDC_PD_Long"]
+#posiDirectionMap[DIRECTION_SHORT] = defineDict["THOST_FTDC_PD_Short"]
+#posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()}
+
+# 产品类型映射
+productClassMapReverse = {}
+productClassMapReverse[0] = PRODUCT_EQUITY
+productClassMapReverse[1] = PRODUCT_INDEX
+productClassMapReverse[2] = PRODUCT_EQUITY
+productClassMapReverse[3] = PRODUCT_EQUITY
+productClassMapReverse[4] = PRODUCT_UNKNOWN
+
+
+# 委托状态映射
+statusMapReverse = {}
+statusMapReverse[0] = STATUS_UNKNOWN
+statusMapReverse[1] = STATUS_ALLTRADED
+statusMapReverse[2] = STATUS_PARTTRADED
+statusMapReverse[3] = STATUS_CANCELLED
+statusMapReverse[4] = STATUS_NOTTRADED
+statusMapReverse[5] = STATUS_CANCELLED
+statusMapReverse[6] = STATUS_REJECTED
+statusMapReverse[7] = STATUS_UNKNOWN
+
+# 业务类型映射
+#businessMap = {}
+#businessMap[BUSINESS_CASH] = 0
+#businessMap[BUSINESS_IPO] = 1
+#businessMap[BUSINESS_REPO] = 2
+#businessMap[BUSINESS_ETF] = 3
+#businessMap[BUSINESS_MARGIN] = 4
+#businessMap[BUSINESS_DESIGNATION] = 5
+#businessMap[BUSINESS_ALLOTMENT] = 6
+#businessMap[BUSINESS_STRUCTURED_FUND_PURCHASE_REDEMPTION] = 7
+#businessMap[BUSINESS_STRUCTURED_FUND_SPLIT_MERGE] = 8
+#businessMap[BUSINESS_MONEY_FUND] = 9
+#businessMap[BUSINESS_UNKNOWN] = 10
+#businessMapReverse = {v:k for k,v in businessMap.items()}
+
+
+########################################################################
+class XtpGateway(VtGateway):
+    """XTP接口"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, eventEngine, gatewayName='XTP'):
+        """Constructor"""
+        super(XtpGateway, self).__init__(eventEngine, gatewayName)
+        
+        self.mdApi = XtpMdApi(self)     # 行情API
+        self.tdApi = XtpTdApi(self)     # 交易API
+        
+        self.mdConnected = False        # 行情API连接状态，登录完成后为True
+        self.tdConnected = False        # 交易API连接状态
+        
+        self.qryEnabled = False         # 是否要启动循环查询
+        
+        self.fileName = self.gatewayName + '_connect.json'
+        self.filePath = getJsonPath(self.fileName, __file__) 
+        
+    #----------------------------------------------------------------------
+    def connect(self):
+        """连接"""
+        try:
+            f = file(self.filePath)
+        except IOError:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'读取连接配置出错，请检查'
+            self.onLog(log)
+            return
+        
+        # 解析json文件
+        setting = json.load(f)  
+        try:
+            userID = str(setting['userID'])
+            password = str(setting['password'])
+            clientID = int(setting['clientID'])
+            softwareKey = str(setting['softwareKey'])
+            tdAddress = str(setting['tdAddress'])
+            tdPort = int(setting['tdPort'])
+            mdAddress = str(setting['mdAddress'])
+            mdPort = int(setting['mdPort'])
+        except KeyError:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'连接配置缺少字段，请检查'
+            self.onLog(log)
+            return            
+        
+        # 创建行情和交易接口对象        
+        self.mdApi.connect(userID, password, clientID, mdAddress, mdPort)
+        self.tdApi.connect(userID, password, clientID, softwareKey, tdAddress, tdPort)
+        
+        # 初始化并启动查询
+        self.initQuery()
+    
+    #----------------------------------------------------------------------
+    def subscribe(self, subscribeReq):
+        """订阅行情"""
+        self.mdApi.subscribe(subscribeReq)
+        
+    #----------------------------------------------------------------------
+    def unSubscribe(self, subscribeReq):
+        """"""
+        self.mdApi.unSubscribe(subscribeReq)
+        
+    #----------------------------------------------------------------------
+    def sendOrder(self, orderReq):
+        """发单"""
+        return self.tdApi.sendOrder(orderReq)
+        
+    #----------------------------------------------------------------------
+    def cancelOrder(self, cancelOrderReq):
+        """撤单"""
+        self.tdApi.sendCancel(cancelOrderReq)
+        
+    #----------------------------------------------------------------------
+    def qryAccount(self):
+        """查询账户资金"""
+        if self.tdConnected:
+            self.tdApi.qryAccount()
+        
+    #----------------------------------------------------------------------
+    def qryPosition(self):
+        """查询持仓"""
+        if self.tdConnected:    
+            self.tdApi.qryPosition()
+        
+    #----------------------------------------------------------------------
+    def close(self):
+        """关闭"""
+        if self.mdConnected:
+            self.mdApi.close()
+        if self.tdConnected:
+            self.tdApi.close()
+        
+    #----------------------------------------------------------------------
+    def initQuery(self):
+        """初始化连续查询"""
+        if self.qryEnabled:
+            # 需要循环的查询函数列表
+            self.qryFunctionList = [self.qryAccount, self.qryPosition]
+            
+            self.qryCount = 0           # 查询触发倒计时
+            self.qryTrigger = 2         # 查询触发点
+            self.qryNextFunction = 0    # 上次运行的查询函数索引
+            
+            self.startQuery()
+    
+    #----------------------------------------------------------------------
+    def query(self, event):
+        """注册到事件处理引擎上的查询函数"""
+        self.qryCount += 1
+        
+        if self.qryCount > self.qryTrigger:
+            # 清空倒计时
+            self.qryCount = 0
+            
+            # 执行查询函数
+            function = self.qryFunctionList[self.qryNextFunction]
+            function()
+            
+            # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
+            self.qryNextFunction += 1
+            if self.qryNextFunction == len(self.qryFunctionList):
+                self.qryNextFunction = 0
+    
+    #----------------------------------------------------------------------
+    def startQuery(self):
+        """启动连续查询"""
+        self.eventEngine.register(EVENT_TIMER, self.query)
+    
+    #----------------------------------------------------------------------
+    def setQryEnabled(self, qryEnabled):
+        """设置是否要启动循环查询"""
+        self.qryEnabled = qryEnabled
+    
+
+
+########################################################################
+class XtpMdApi(QuoteApi):
+    """XTP行情API实现"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, gateway):
+        """Constructor"""
+        super(XtpMdApi, self).__init__()
+        
+        self.gateway = gateway                  # gateway对象
+        self.gatewayName = gateway.gatewayName  # gateway对象名称
+        
+        self.reqID = EMPTY_INT              # 操作请求编号
+        
+        self.connectionStatus = False       # 连接状态
+        self.loginStatus = False            # 登录状态
+        
+        self.subscribedSymbols = set()      # 已订阅合约代码        
+        
+        self.userID = EMPTY_STRING          # 账号
+        self.password = EMPTY_STRING        # 密码
+        self.address = EMPTY_STRING         # 服务器地址
+        self.port = EMPTY_INT               # 服务器端口
+    
+    #----------------------------------------------------------------------
+    def onDisconnected(self, reason):
+        """连接断开"""
+        self.connectionStatus = False
+        self.loginStatus = False
+        self.gateway.mdConnected = False
+    
+        content = (u'行情服务器连接断开，原因：%s' %reason)
+        self.writeLog(content)
+        
+    #----------------------------------------------------------------------
+    def onError(self, error):
+        """错误回报"""
+        err = VtErrorData()
+        err.gatewayName = self.gatewayName
+        err.errorID = error['error_id']
+        err.errorMsg = error['error_msg'].decode('gbk')
+        self.gateway.onError(err)        
+        
+    #----------------------------------------------------------------------
+    def onSubMarketData(self, data, error, last):
+        """订阅行情回报"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onUnSubMarketData(self, data, error, last):
+        """退订行情回报"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onMarketData(self, data):
+        """行情推送"""
+        tick = VtTickData()
+        tick.gatewayName = self.gatewayName
+    
+        tick.symbol = data['ticker']
+        tick.exchange = exchangeMapReverse.get(data['exchange_id'], EXCHANGE_UNKNOWN)
+        tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
+    
+        tick.lastPrice = data['last_price']
+        tick.volume = data['qty']
+        tick.openInterest = data['open_interest']
+
+        timestamp = str(data['data_time'])
+        tick.date = timestamp[:8]
+        #tick.time = '%s:%s:%s.%s' %(timestamp[8:10], timestamp[10:12], timestamp[12:14], timestamp[14:])
+        tick.time = '%s:%s:%s.%s' %(timestamp[8:10], timestamp[10:12], timestamp[12:14], timestamp[14])
+        
+        tick.openPrice = data['open_price']
+        tick.highPrice = data['high_price']
+        tick.lowPrice = data['low_price']
+        tick.preClosePrice = data['pre_close_price']
+    
+        tick.upperLimit = data['upper_limit_price']
+        tick.lowerLimit = data['lower_limit_price']
+        
+        tick.bidPrice1, tick.bidPrice2, tick.bidPrice3, tick.bidPrice4, tick.bidPrice5 = data['bid'][0:5]
+        tick.askPrice1, tick.askPrice2, tick.askPrice3, tick.askPrice4, tick.askPrice5 = data['ask'][0:5]
+        tick.bidVolume1, tick.bidVolume2, tick.bidVolume3, tick.bidVolume4, tick.bidVolume5 = data['bid_qty'][0:5]
+        tick.askVolume1, tick.askVolume2, tick.askVolume3, tick.askVolume4, tick.askVolume5 = data['ask_qty'][0:5]  
+    
+        self.gateway.onTick(tick)        
+        
+    #----------------------------------------------------------------------
+    def onQueryAllTickers(self, data, error, last):
+        """合约信息推送"""
+        if error and error['error_id']:
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['error_id']
+            err.errorMsg = error['error_msg'].decode('gbk')
+            self.gateway.onError(err)
+            return
+        
+        contract = VtContractData()
+        contract.gatewayName = self.gatewayName
+        
+        contract.symbol = data['ticker']
+        contract.exchange = exchangeMapReverse.get(data['exchange_id'], EXCHANGE_UNKNOWN)
+        contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
+        
+        contract.name = data['ticker_name'].decode('UTF-8')
+        contract.size = 1
+        contract.priceTick = data['price_tick']
+        contract.productClass = productClassMapReverse.get(data['ticker_type'], PRODUCT_UNKNOWN)
+        
+        self.gateway.onContract(contract)
+
+    #----------------------------------------------------------------------
+    def connect(self, userID, password, clientID, address, port):
+        """初始化连接"""
+        self.userID = userID                # 账号
+        self.password = password            # 密码
+        self.address = address              # 服务器地址
+        self.port = port                    # 端口号
+        
+        # 如果尚未建立服务器连接，则进行连接
+        if not self.connectionStatus:
+            path = os.getcwd() + '/temp/' + self.gatewayName + '/'
+            if not os.path.exists(path):
+                os.makedirs(path)
+            self.createQuoteApi(clientID, path)
+            
+            n = self.login(address, port, userID, password, 1)
+            if not n:
+                self.connectionStatus = True
+                self.loginStatus = True
+                self.gateway.mdConnected = True
+                self.writeLog(u'行情服务器登录成功')
+                
+                self.writeLog(u'查询合约信息')
+                self.queryAllTickers(1)         # 上交所
+                self.queryAllTickers(2)         # 深交所
+            else:
+                self.writeLog(u'行情服务器登录失败，原因:%s' %n)
+        
+    #----------------------------------------------------------------------
+    def subscribe(self, subscribeReq):
+        """订阅合约"""
+        # 这里的设计是，如果尚未登录就调用了订阅方法
+        # 则先保存订阅请求，登录完成后会自动订阅
+        if self.loginStatus:
+            self.subscribeMarketData(str(subscribeReq.symbol), 
+                                     exchangeMap[subscribeReq.exchange])
+        
+        self.subscribedSymbols.add(subscribeReq)   
+        
+    #----------------------------------------------------------------------
+    def unSubscribe(self, subscribeReq):
+        """"""
+        if self.loginStatus:
+            self.unSubscribeMarketData(str(subscribeReq.symbol), 
+                                       exchangeMap[subscribeReq.exchange])
+    
+    #----------------------------------------------------------------------
+    def close(self):
+        """关闭"""
+        self.exit()
+        
+    #----------------------------------------------------------------------
+    def writeLog(self, content):
+        """记录日志"""
+        log = VtLogData()
+        log.gatewayName = self.gatewayName
+        log.logContent = content
+        self.gateway.onLog(log)         
+
+
+########################################################################
+class XtpTdApi(TraderApi):
+    """XTP交易API实现"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, gateway):
+        """API对象的初始化函数"""
+        super(XtpTdApi, self).__init__()
+        
+        self.gateway = gateway                  # gateway对象
+        self.gatewayName = gateway.gatewayName  # gateway对象名称
+        
+        self.reqID = EMPTY_INT              # 操作请求编号
+        
+        self.connectionStatus = False       # 连接状态
+        self.loginStatus = False            # 登录状态
+        
+        self.userID = EMPTY_STRING          # 账号
+        self.password = EMPTY_STRING        # 密码
+        self.address = EMPTY_STRING         # 服务器地址
+        self.port = EMPTY_INT               # 服务器端口
+        self.clientID = EMPTY_INT           # 客户编号
+        
+        self.sessionID = EMPTY_INT          # 会话编号
+        
+        self.orderDict = {}                 # 委托缓存字典
+
+    #----------------------------------------------------------------------
+    def onDisconnected(self, session, reason):
+        """连接断开"""
+        self.connectionStatus = False
+        self.loginStatus = False
+        self.gateway.tdConnected = False
+    
+        content = (u'交易服务器连接断开，原因：%s' %reason)
+        self.writeLog(content)
+        
+    #----------------------------------------------------------------------
+    def onError(self, data):
+        """错误回报"""
+        err = VtErrorData()
+        err.gatewayName = self.gatewayName
+        err.errorID = error['error_id']
+        err.errorMsg = error['error_msg'].decode('gbk')
+        self.gateway.onError(err)    
+        
+    #----------------------------------------------------------------------
+    def onOrderEvent(self, data, error):
+        """委托数据回报"""
+        orderID = str(data['order_xtp_id'])
+        
+        if orderID not in self.orderDict:
+            # 创建报单数据对象
+            order = VtOrderData()
+            order.gatewayName = self.gatewayName
+            
+            # 保存代码和报单号
+            order.symbol = data['ticker']
+            order.exchange = marketMapReverse.get(data['market'], EXCHANGE_UNKNOWN)
+            order.vtSymbol = '.'.join([order.symbol, order.exchange])
+            
+            order.orderID = orderID
+            order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
+    
+            order.sessionID = self.sessionID
+            order.frontID = self.getClientIDByXTPID(data['order_xtp_id'])
+    
+            # 开平和方向
+            order.direction, order.offset = sideMapReverse.get(data['side'], 
+                                                               (DIRECTION_UNKNOWN, OFFSET_UNKNOWN))
+            
+            # 不变的字段
+            order.price = data['price']
+            order.totalVolume = data['quantity']    
+            order.priceType = priceTypeMapReverse.get(data['price_type'], '')
+            order.businessType = businessMapReverse.get(data['business_type'], BUSINESS_UNKNOWN)
+            
+            self.orderDict[orderID] = order
+        else:
+            order = self.orderDict[orderID]
+            
+        # 变化字段
+        order.status = statusMapReverse.get(data['order_status'], STATUS_UNKNOWN)
+        order.tradedVolume = data['qty_traded']
+        order.tradedAmount = data['trade_amount']
+        
+        if order.status == STATUS_CANCELLED or order.status == STATUS_PARTCANCELLED:
+            order.cancelVolume = order.totalVolume - order.tradedVolume
+
+        if data['insert_time']:
+            timestamp = str(data['insert_time'])
+            order.orderTime = '%s:%s:%s' %(timestamp[8:10], timestamp[10:12], timestamp[12:14])
+
+        if data['cancel_time']:
+            timestamp = str(data['cancel_time'])
+            order.cancelTime = '%s:%s:%s' %(timestamp[8:10], timestamp[10:12], timestamp[12:14])
+            
+        # 推送
+        self.gateway.onOrder(order)        
+        
+        # 错误信息
+        if error['error_id']:
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['error_id']
+            err.errorMsg = u'委托号' + str(order.orderID) + ':' + error['error_msg'].decode('gbk')
+            err.errorTime = order.orderTime
+            self.gateway.onError(err)           
+        
+    #----------------------------------------------------------------------
+    def onTradeEvent(self, data):
+        """成交推送"""
+        # 创建报单数据对象
+        trade = VtTradeData()
+        trade.gatewayName = self.gatewayName
+        
+        # 保存代码和报单号
+        trade.symbol = data['ticker']
+        trade.exchange = marketMapReverse.get(data['market'], EXCHANGE_UNKNOWN)
+        trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
+        
+        trade.tradeID = str(data['exec_id'])
+        trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
+        
+        orderID = str(data['order_xtp_id'])
+        trade.orderID = orderID
+        trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
+        
+        # 开平和方向
+        trade.direction, trade.offset = sideMapReverse.get(data['side'], 
+                                                           (DIRECTION_UNKNOWN, OFFSET_UNKNOWN))
+            
+        # 价格、报单量等数值
+        trade.price = data['price']
+        trade.volume = data['quantity']
+        trade.amount = data['trade_amount']
+        
+        trade.businessType = businessMapReverse.get(data['business_type'], BUSINESS_UNKNOWN)
+
+        if data['trade_time']:
+            timestamp = str(data['trade_time'])
+            trade.tradeTime = '%s:%s:%s' %(timestamp[8:10], timestamp[10:12], timestamp[12:14])
+        
+        # 推送
+        self.gateway.onTrade(trade)
+        
+        # 更新委托数据
+        order = self.orderDict.get(orderID, None)
+        if (not order or 
+            order.status is STATUS_ALLTRADED or
+            order.status is STATUS_CANCELLED or
+            order.status is STATUS_PARTCANCELLED):
+            return
+            
+        order.tradedVolume += trade.volume
+        order.tradedAmount += trade.amount
+        
+        if order.status is STATUS_NOTTRADED:
+            order.status = STATUS_PARTTRADED
+            
+        self.gateway.onOrder(order)
+        
+    #----------------------------------------------------------------------
+    def onCancelOrderError(self, data, error):
+        """撤单错误回报"""
+        if error['error_id']:
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['error_id']
+            err.errorMsg = u'委托号' + str(data['order_xtp_id']) + ':' + error['error_msg'].decode('gbk')
+            self.gateway.onError(err)   
+        
+    #----------------------------------------------------------------------
+    def onQueryOrder(self, data, error, reqid, last):
+        """委托查询回报"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onQueryTrade(self, data, error, reqid, last):
+        """成交查询回报"""
+        pass       
+        
+    #----------------------------------------------------------------------
+    def onQueryPosition(self, data, error, reqid, last):
+        """查询持仓回报"""
+        pos = VtPositionData()
+        pos.gatewayName = self.gatewayName
+        
+        # 保存代码
+        pos.symbol = data['ticker']
+        pos.exchange = marketMapReverse.get(data['market'], EXCHANGE_UNKNOWN)
+        pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
+        pos.name = data['ticker_name'].decode('UTF-8')
+        
+        # 方向和持仓冻结数量
+        pos.direction = DIRECTION_LONG
+        pos.position = data['total_qty']
+        pos.frozen = data['total_qty'] - data['sellable_qty']
+        pos.price = data['avg_price']
+        
+        # VT系统持仓名
+        pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
+        
+        # 推送
+        self.gateway.onPosition(pos)     
+        
+    #----------------------------------------------------------------------
+    def onQueryAsset(self, data, error, reqid, last):
+        """账户查询回报"""
+        account = VtAccountData()
+        account.gatewayName = self.gatewayName
+    
+        # 账户代码
+        account.accountID = self.userID
+        account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
+    
+        # 数值相关
+        account.balance = float(data['total_asset'])
+        account.available = float(data['buying_power'])
+        account.commission = float(data['fund_buy_fee']) + float(data['fund_sell_fee'])
+    
+        # 推送
+        self.gateway.onAccount(account)
+        
+    #----------------------------------------------------------------------
+    def connect(self, userID, password, clientID, softwareKey, address, port):
+        """初始化连接"""
+        self.userID = userID                # 账号
+        self.password = password            # 密码
+        self.address = address              # 服务器地址
+        self.port = port                    # 端口号
+        self.clientID = clientID
+        
+        # 如果尚未建立服务器连接，则进行连接
+        if not self.connectionStatus:
+            path = os.getcwd() + '/temp/' + self.gatewayName + '/'
+            if not os.path.exists(path):
+                os.makedirs(path)
+            self.createTraderApi(clientID, path)
+            
+            # 设置软件编码，认证用
+            self.setSoftwareKey(softwareKey)
+            
+            # 设置订单和成交回报重传模式
+            self.subscribePublicTopic(0)
+            
+            # 发起登录
+            n = self.login(address, port, userID, password, 1)
+            
+            if n:
+                self.sessionID = n
+                self.connectionStatus = True
+                self.loginStatus = True
+                self.gateway.tdConnected = True
+                self.writeLog(u'交易服务器登录成功，会话编号：%s' %n)
+            else:
+                self.writeLog(u'交易服务器登录失败')             
+        
+    #----------------------------------------------------------------------
+    def qryAccount(self):
+        """查询账户"""
+        if self.sessionID:
+            self.reqID += 1
+            self.queryAsset(self.sessionID, self.reqID)
+        
+    #----------------------------------------------------------------------
+    def qryPosition(self):
+        """查询持仓"""
+        if self.sessionID:
+            self.reqID += 1
+            self.queryPosition('', self.sessionID, self.reqID)
+        
+    #----------------------------------------------------------------------
+    def sendOrder(self, orderReq):
+        """发单"""
+        req = {}
+        req['ticker'] = orderReq.symbol
+        req['price'] = orderReq.price
+        req['quantity'] = orderReq.volume
+        req['price_type'] = priceTypeMap.get(orderReq.priceType, 0)
+        req['market'] = marketMap.get(orderReq.exchange, 0)
+        req['business_type'] = businessMap.get(orderReq.businessType, 0)
+
+        # 目前尚未支持衍生品交易，因此不适用
+        #req['side'] = sideMap.get((orderReq.direction, OFFSET_NONE), 0)
+        if orderReq.direction == DIRECTION_LONG:
+            req['side'] = 1
+        else:
+            req['side'] = 2
+
+        # 发出委托
+        orderID = str(self.insertOrder(req, self.sessionID))        
+        vtOrderID = '.'.join([self.gatewayName, orderID])
+        
+        # 推送委托初始化信息
+        order = VtOrderData()
+        order.symbol = orderReq.symbol
+        order.exchange = orderReq.exchange
+        order.vtSymbol = '.'.join([order.symbol, order.exchange])
+        order.orderID = orderID
+        order.vtOrderID = vtOrderID
+        order.price = orderReq.price
+        order.totalVolume = orderReq.volume
+        order.direction = orderReq.direction
+        order.offset = orderReq.offset
+        order.priceType = orderReq.priceType
+        order.businessType = orderReq.businessType
+        order.gatewayName = self.gatewayName
+        order.status = STATUS_INITED
+        
+        self.gateway.onOrder(order)
+        
+        # 返回订单号（字符串），便于某些算法进行动态管理
+        return vtOrderID
+    
+    #----------------------------------------------------------------------
+    def sendCancel(self, cancelOrderReq):
+        """撤单，因为cancelOrder的命名已经被原生接口使用了，所以改为sendCancel"""
+        self.cancelOrder(int(cancelOrderReq.orderID), self.sessionID)
+        
+    #----------------------------------------------------------------------
+    def close(self):
+        """关闭"""
+        self.exit()
+
+    #----------------------------------------------------------------------
+    def writeLog(self, content):
+        """记录日志"""
+        log = VtLogData()
+        log.gatewayName = self.gatewayName
+        log.logContent = content
+        self.gateway.onLog(log)