IB 增加期货支持

vn.trader/ibGateway/ibGateway.py

@@ -13,7 +13,8 @@ ibpy的gateway接入
 
 import os
 import json
-from datetime import datetime
+import calendar
+from datetime import datetime, timedelta
 from copy import copy
 
 from PyQt4 import QtGui, QtCore
@@ -45,6 +46,7 @@ directionMapReverse['SLD'] = DIRECTION_SHORT
 # 交易所类型映射
 exchangeMap = {}
 exchangeMap[EXCHANGE_SMART] = 'SMART'
+exchangeMap[EXCHANGE_NYMEX] = 'NYMEX'
 exchangeMap[EXCHANGE_GLOBEX] = 'GLOBEX'
 exchangeMap[EXCHANGE_IDEALPRO] = 'IDEALPRO'
 exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
@@ -182,6 +184,13 @@ class IbGateway(VtGateway):
         contract.m_strike = subscribeReq.strikePrice
         contract.m_right = optionTypeMap.get(subscribeReq.optionType, '')
         
+        if contract.m_secType == 'FUT' and not subscribeReq.expiry:
+            # 期货 如果没有设置过期时间, 默认设置为下个月
+            dt_obj = datetime.now()
+            days = calendar.monthrange(dt_obj.year, dt_obj.month)[1]
+            nextMonth = dt_obj + timedelta(days=days)
+            contract.m_expiry = nextMonth.strftime('%Y%m')
+
         self.connection.reqMktData(self.tickerId, contract, '', False)
         
         # 获取合约详细信息

vn.trader/uiBasicWidget.py

@@ -641,6 +641,7 @@ class TradingWidget(QtGui.QFrame):
                     EXCHANGE_SGE,
                     EXCHANGE_HKEX,
                     EXCHANGE_SMART,
+                    EXCHANGE_NYMEX,
                     EXCHANGE_GLOBEX,
                     EXCHANGE_IDEALPRO]
     

vn.trader/vtConstant.py

@@ -64,6 +64,7 @@ EXCHANGE_NONE = ''          # 空交易所
 EXCHANGE_HKEX = 'HKEX'      # 港交所
 
 EXCHANGE_SMART = 'SMART'       # IB智能路由（股票、期权）
+EXCHANGE_NYMEX = 'NYMEX'       # IB 期货
 EXCHANGE_GLOBEX = 'GLOBEX'     # CME电子交易平台
 EXCHANGE_IDEALPRO = 'IDEALPRO' # IB外汇ECN