[Mod]add module_locale in femas pybind11 wrap

tests/trader/run.py

@@ -7,7 +7,7 @@ from vnpy.trader.ui import MainWindow, create_qapp
 from vnpy.gateway.bitmex import BitmexGateway
 from vnpy.gateway.futu import FutuGateway
 from vnpy.gateway.ib import IbGateway
-from vnpy.gateway.ctp import CtpGateway
+#from vnpy.gateway.ctp import CtpGateway
 from vnpy.gateway.femas import FemasGateway
 from vnpy.gateway.tiger import TigerGateway
 from vnpy.gateway.oes import OesGateway
@@ -30,7 +30,7 @@ def main():
     event_engine = EventEngine()
 
     main_engine = MainEngine(event_engine)
-    main_engine.add_gateway(CtpGateway)
+    # main_engine.add_gateway(CtpGateway)
     main_engine.add_gateway(FemasGateway)
     main_engine.add_gateway(IbGateway)
     main_engine.add_gateway(FutuGateway)

vnpy/api/femas/test/mdtest.py

@@ -1,173 +0,0 @@
-# encoding: UTF-8
-# flake8: noqa
-
-from __future__ import print_function
-import sys
-from time import sleep
-
-from PyQt4 import QtGui
-
-from vnfemasmd import *
-
-
-#----------------------------------------------------------------------
-def print_dict(d):
-    """按照键值打印一个字典"""
-    for key,value in d.items():
-        print(key + ':' + str(value))
-        
-        
-#----------------------------------------------------------------------
-def simple_log(func):
-    """简单装饰器用于输出函数名"""
-    def wrapper(*args, **kw):
-        print("")
-        print(str(func.__name__))
-        return func(*args, **kw)
-    return wrapper
-
-
-########################################################################
-class TestMdApi(MdApi):
-    """测试用实例"""
-
-    #----------------------------------------------------------------------
-    def __init__(self):
-        """Constructor"""
-        super(TestMdApi, self).__init__()
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onFrontConnected(self):
-        """服务器连接"""
-        pass
-    
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onFrontDisconnected(self, n):
-        """服务器断开"""
-        print(n)
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onHeartBeatWarning(self, n):
-        """心跳报警"""
-        print(n)
-    
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onRspError(self, error, n, last):
-        """错误"""
-        print_dict(error)
-    
-    @simple_log 
-    #----------------------------------------------------------------------
-    def onRspUserLogin(self, data, error, n, last):
-        """登陆回报"""
-        print_dict(data)
-        print_dict(error)
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onRspUserLogout(self, data, error, n, last):
-        """登出回报"""
-        print_dict(data)
-        print_dict(error)
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onRspSubMarketData(self, data, error, n, last):
-        """订阅合约回报"""
-        print_dict(data)
-        print_dict(error)
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onRspUnSubMarketData(self, data, error, n, last):
-        """退订合约回报"""
-        print_dict(data)
-        print_dict(error)    
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onRtnDepthMarketData(self, data):
-        """行情推送"""
-        print_dict(data)
-    
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onRspQryTopic(self, data, error, n, last):
-        """订阅合约回报"""
-        print_dict(data)
-        print_dict(error)
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onRspSubscribeTopic(self, data, error, n, last):
-        """退订合约回报"""
-        print_dict(data)
-        print_dict(error)   
-
-
-#----------------------------------------------------------------------
-def main():
-    """主测试函数，出现堵塞时可以考虑使用sleep"""
-    reqid = 0
-    
-    # 创建Qt应用对象，用于事件循环
-    app = QtGui.QApplication(sys.argv)
-
-    # 创建API对象
-    api = TestMdApi()
-    
-    # 在C++环境中创建MdApi对象，传入参数是希望用来保存.con文件的地址
-    api.createFtdcMdApi('')
-    
-    # 注册前置机地址
-    api.registerFront("tcp://118.126.16.229:17101")
-    
-    # 初始化api，连接前置机
-    api.init()
-    sleep(0.5)
-    
-    # 登陆
-    loginReq = {}                           # 创建一个空字典
-    loginReq['UserID'] = ''                 # 参数作为字典键值的方式传入
-    loginReq['Password'] = ''               # 键名和C++中的结构体成员名对应
-    loginReq['BrokerID'] = ''    
-    reqid = reqid + 1                       # 请求数必须保持唯一性
-    i = api.reqUserLogin(loginReq, 1)
-    sleep(0.5)
-    
-    ## 登出，测试出错（无此功能）
-    #reqid = reqid + 1
-    #i = api.reqUserLogout({}, 1)
-    #sleep(0.5)
-    
-    ## 安全退出，测试通过
-    #i = api.exit()
-    
-    ## 获取交易日，目前输出为空
-    #day = api.getTradingDay()
-    #print 'Trading Day is:' + str(day)
-    #sleep(0.5)
-    
-    ## 订阅合约，测试通过
-    #i = api.subscribeMarketData('IF1505')
-    
-    ## 退订合约，测试通过
-    #i = api.unSubscribeMarketData('IF1505')
-    
-    # 订阅询价，测试通过
-    #i = api.subscribeForQuoteRsp('IO1504-C-3900')
-    
-    # 退订询价，测试通过
-    #i = api.unSubscribeForQuoteRsp('IO1504-C-3900')
-    
-    # 连续运行，用于输出行情
-    app.exec_()
-    
-    
-    
-if __name__ == '__main__':
-    main()

vnpy/api/femas/test/tdtest.py

@@ -1,166 +0,0 @@
-# encoding: UTF-8
-# flake8: noqa
-
-from __future__ import print_function
-import sys
-from time import sleep
-
-from PyQt4 import QtGui
-
-from vnfemastd import *
-
-#----------------------------------------------------------------------
-def print_dict(d):
-    """按照键值打印一个字典"""
-    for key,value in d.items():
-        print(key + ':' + str(value))
-        
-        
-#----------------------------------------------------------------------
-def simple_log(func):
-    """简单装饰器用于输出函数名"""
-    def wrapper(*args, **kw):
-        print("")
-        print(str(func.__name__))
-        return func(*args, **kw)
-    return wrapper
-
-
-########################################################################
-class TestTdApi(TdApi):
-    """测试用实例"""
-
-    #----------------------------------------------------------------------
-    def __init__(self):
-        """Constructor"""
-        super(TestTdApi, self).__init__()
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onFrontConnected(self):
-        """服务器连接"""
-        pass
-    
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onFrontDisconnected(self, n):
-        """服务器断开"""
-        print(n)
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onHeartBeatWarning(self, n):
-        """心跳报警"""
-        print(n)
-    
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onRspError(self, error, n, last):
-        """错误"""
-        print_dict(error)
-    
-    #----------------------------------------------------------------------
-    @simple_log  
-    def onRspUserLogin(self, data, error, n, last):
-        """登陆回报"""
-        print_dict(data)
-        print_dict(error)
-        self.brokerID = data['BrokerID']
-        self.userID = data['UserID']
-        self.frontID = data['FrontID']
-        self.sessionID = data['SessionID']
-        
-    #----------------------------------------------------------------------
-    @simple_log    
-    def onRspUserLogout(self, data, error, n, last):
-        """登出回报"""
-        print_dict(data)
-        print_dict(error)
-        
-    #----------------------------------------------------------------------
-    @simple_log
-    def onRspQrySettlementInfo(self, data, error, n, last):
-        """查询结算信息回报"""
-        print_dict(data)
-        print_dict(error)
-
-    #----------------------------------------------------------------------
-    @simple_log
-    def onRspSettlementInfoConfirm(self, data, error, n, last):
-        """确认结算信息回报"""
-        print_dict(data)
-        print_dict(error)
-        
-    #----------------------------------------------------------------------
-    @simple_log
-    def onRspQryInstrument(self, data, error, n, last):
-        """查询合约回报"""
-        print_dict(data)
-        print_dict(error)
-        print(n)
-        print(last)
-        
-        
-#----------------------------------------------------------------------
-def main():
-    """主测试函数，出现堵塞时可以考虑使用sleep"""
-    reqid = 0
-    
-    # 创建Qt应用对象，用于事件循环
-    app = QtGui.QApplication(sys.argv)
-
-    # 创建API对象，测试通过
-    api = TestTdApi()
-    
-    # 在C++环境中创建MdApi对象，传入参数是希望用来保存.con文件的地址，测试通过
-    api.createFtdcTraderApi('')
-    
-    # 设置数据流重传方式，测试通过
-    api.subscribePrivateTopic(1)
-    api.subscribePublicTopic(1)
-    api.subscribeUserTopic(1)
-    
-    # 注册前置机地址，测试通过
-    api.registerFront("tcp://118.126.16.229:17111")
-    
-    # 初始化api，连接前置机，测试通过
-    api.init()
-    sleep(2)
-    
-    # 登陆，测试通过
-    loginReq = {}                           # 创建一个空字典
-    loginReq['UserID'] = ''                 # 参数作为字典键值的方式传入
-    loginReq['Password'] = ''               # 键名和C++中的结构体成员名对应
-    loginReq['BrokerID'] = ''    
-    reqid = reqid + 1                       # 请求数必须保持唯一性
-    i = api.reqUserLogin(loginReq, reqid)
-    sleep(0.5)
-    
-    ## 查询合约, 测试通过
-    #reqid = reqid + 1
-    #i = api.reqQryInstrument({}, reqid)
-    
-    ## 查询结算, 测试通过
-    #req = {}
-    #req['BrokerID'] = api.brokerID
-    #req['InvestorID'] = api.userID
-    #reqid = reqid + 1
-    #i = api.reqQrySettlementInfo(req, reqid)
-    #sleep(0.5)
-    
-    ## 确认结算, 测试通过
-    #req = {}
-    #req['BrokerID'] = api.brokerID
-    #req['InvestorID'] = api.userID    
-    #reqid = reqid + 1
-    #i = api.reqSettlementInfoConfirm(req, reqid)
-    #sleep(0.5)
-    
-    
-    # 连续运行
-    app.exec_()
-    
-    
-    
-if __name__ == '__main__':
-    main()

vnpy/api/femas/vnfemas/vnfemasmd/vnfemasmd.cpp

@@ -717,7 +717,7 @@ public:
 
 PYBIND11_MODULE(vnfemasmd, m)
 {
-	class_<MdApi, PyMdApi> mdapi(m, "MdApi");
+	class_<MdApi, PyMdApi> mdapi(m, "MdApi", module_local());
 	mdapi
 		.def(init<>())
 		.def("createFtdcMdApi", &MdApi::createFtdcMdApi)

vnpy/api/femas/vnfemas/vnfemasmd/vnfemasmd.vcxproj

@@ -23,7 +23,7 @@
     <ProjectGuid>{F00054FF-282F-4826-848E-D58BFB9E9D9F}</ProjectGuid>
     <Keyword>Win32Proj</Keyword>
     <RootNamespace>vnfemasmd</RootNamespace>
-    <WindowsTargetPlatformVersion>10.0.17763.0</WindowsTargetPlatformVersion>
+    <WindowsTargetPlatformVersion>10.0.17134.0</WindowsTargetPlatformVersion>
     <ProjectName>vnfemasmd</ProjectName>
   </PropertyGroup>
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.Default.props" />
@@ -95,10 +95,10 @@
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|x64'">
     <LinkIncremental>false</LinkIncremental>
-    <IncludePath>C:\Python37\include;$(SolutionDir);$(SolutionDir)..\include;$(SolutionDir)..\include\femas;$(IncludePath)</IncludePath>
+    <IncludePath>C:\Miniconda3\include;$(SolutionDir);$(SolutionDir)..\include;$(SolutionDir)..\include\femas;$(IncludePath)</IncludePath>
     <ReferencePath>$(ReferencePath)</ReferencePath>
     <TargetExt>.pyd</TargetExt>
-    <LibraryPath>C:\Python37\libs;$(SolutionDir)..\libs;$(LibraryPath)</LibraryPath>
+    <LibraryPath>C:\Miniconda3\include\libs;$(SolutionDir)..\libs;$(LibraryPath)</LibraryPath>
     <OutDir>$(SolutionDir)..\</OutDir>
   </PropertyGroup>
   <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">
@@ -181,7 +181,7 @@
       <EnableCOMDATFolding>true</EnableCOMDATFolding>
       <OptimizeReferences>true</OptimizeReferences>
       <GenerateDebugInformation>true</GenerateDebugInformation>
-      <AdditionalLibraryDirectories>C:\ProgramData\VNConda\libs;C:\Users\Administrator\Documents\GitHub\vnpy\vnpy\api\femasctp\libs;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
+      <AdditionalLibraryDirectories>C:\Miniconda3\libs;$(SolutionDir)..\libs;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
       <AdditionalDependencies>USTPmduserapiAF.lib;USTPtraderapiAF.lib;%(AdditionalDependencies)</AdditionalDependencies>
     </Link>
   </ItemDefinitionGroup>

vnpy/api/femas/vnfemas/vnfemastd/vnfemastd.cpp

@@ -2451,14 +2451,11 @@ void TdApi::processRspQryInvestorAccount(Task *task)
 		data["Margin"] = task_data->Margin;
 		data["Premium"] = task_data->Premium;
 		data["Risk"] = task_data->Risk;
-		print("processRspQryInvestorAccount");
-		print(data["AccountID"]);
 		delete task->task_data;
 	}
 	dict error;
 	if (task->task_error)
 	{
-		print("task->task_error");
 		CUstpFtdcRspInfoField *task_error = (CUstpFtdcRspInfoField*)task->task_error;
 		error["ErrorID"] = task_error->ErrorID;
 		error["ErrorMsg"] = toUtf(task_error->ErrorMsg);
@@ -4237,7 +4234,7 @@ public:
 
 PYBIND11_MODULE(vnfemastd, m)
 {
-	class_<TdApi, PyTdApi> TdApi(m, "TdApi");
+	class_<TdApi, PyTdApi> TdApi(m, "TdApi", module_local());
 	TdApi
 		.def(init<>())
 		.def("createFtdcTraderApi", &TdApi::createFtdcTraderApi)

vnpy/api/femas/vnfemas/vnfemastd/vnfemastd.vcxproj

@@ -23,7 +23,7 @@
     <ProjectGuid>{016732E6-5789-4F7C-9A1C-C46A249080CF}</ProjectGuid>
     <Keyword>Win32Proj</Keyword>
     <RootNamespace>vnfemastd</RootNamespace>
-    <WindowsTargetPlatformVersion>10.0.17763.0</WindowsTargetPlatformVersion>
+    <WindowsTargetPlatformVersion>10.0.17134.0</WindowsTargetPlatformVersion>
     <ProjectName>vnfemastd</ProjectName>
   </PropertyGroup>
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.Default.props" />
@@ -95,8 +95,8 @@
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|x64'">
     <LinkIncremental>false</LinkIncremental>
     <TargetExt>.pyd</TargetExt>
-    <IncludePath>C:\Python37\include;$(SolutionDir);$(SolutionDir)..\include;$(SolutionDir)..\include\femas;$(IncludePath)</IncludePath>
+    <IncludePath>C:\Miniconda3\include;$(SolutionDir);$(SolutionDir)..\include;$(SolutionDir)..\include\femas;$(IncludePath)</IncludePath>
-    <LibraryPath>C:\Python37\libs;$(SolutionDir)..\libs;$(LibraryPath)</LibraryPath>
+    <LibraryPath>C:\Miniconda3\include\libs;$(SolutionDir)..\libs;$(LibraryPath)</LibraryPath>
     <OutDir>$(SolutionDir)..\</OutDir>
   </PropertyGroup>
   <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">
@@ -178,7 +178,7 @@
       <EnableCOMDATFolding>true</EnableCOMDATFolding>
       <OptimizeReferences>true</OptimizeReferences>
       <GenerateDebugInformation>true</GenerateDebugInformation>
-      <AdditionalLibraryDirectories>C:\ProgramData\VNConda\libs;C:\Users\Administrator\Documents\GitHub\vnpy\vnpy\api\femasctp\libs;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
+      <AdditionalLibraryDirectories>C:\Miniconda3\libs;$(SolutionDir)..\libs;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
       <AdditionalDependencies>USTPmduserapiAF.lib;USTPtraderapiAF.lib;%(AdditionalDependencies)</AdditionalDependencies>
     </Link>
   </ItemDefinitionGroup>

vnpy/gateway/femas/femas_gateway.py

@@ -30,7 +30,7 @@ from vnpy.api.femas import (
     USTP_FTDC_TC_GFD,
     USTP_FTDC_TC_IOC,
     USTP_FTDC_VC_AV,
-    USTP_FTDC_VC_CV,
+    USTP_FTDC_VC_CV
 )
 from vnpy.trader.constant import (
     Direction,
@@ -39,6 +39,7 @@ from vnpy.trader.constant import (
     OptionType,
     OrderType,
     Status,
+    Product
 )
 from vnpy.trader.event import EVENT_TIMER
 from vnpy.trader.gateway import BaseGateway
@@ -86,6 +87,12 @@ OFFSET_VT2FEMAS = {
 }
 OFFSET_FEMAS2VT = {v: k for k, v in OFFSET_VT2FEMAS.items()}
 
+# PRODUCT_CTP2VT = {
+#     THOST_FTDC_PC_Futures: Product.FUTURES,
+#     THOST_FTDC_PC_Options: Product.OPTION,
+#     THOST_FTDC_PC_Combination: Product.SPREAD
+# }
+
 DIRECTION_FEMAS2VT = {v: k for k, v in DIRECTION_VT2FEMAS.items()}
 DIRECTION_FEMAS2VT[USTP_FTDC_PD_Long] = Direction.LONG
 DIRECTION_FEMAS2VT[USTP_FTDC_PD_Short] = Direction.SHORT
@@ -237,16 +244,15 @@ class FemasMdApi(MdApi):
         """
         self.connect_status = False
         self.login_status = False
-        self.gateway.write_log(f"行情连接断开，原因{reason}")
+        self.gateway.write_log(f"行情服务器连接断开，原因{reason}")
 
     def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
         """
         Callback when user is logged in.
         """
-        if self.gateway.if_error_write_error("行情登录失败", error):
+        if self.gateway.if_error_write_error("行情服务器登录失败", error):
             return
         self.login_status = True
-        self.gateway.write_log("onRspUserLogin行情服务器登录成功")
         self.gateway.write_log("行情服务器登录成功")
 
         for symbol in self.subscribed:
@@ -373,7 +379,7 @@ class FemasTdApi(TdApi):
     def onFrontConnected(self):
         """"""
         self.connect_status = True
-        self.gateway.write_log("onFrontConnected交易连接成功")
+        self.gateway.write_log("交易服务器连接成功")
 
         self.login()
 
@@ -381,7 +387,7 @@ class FemasTdApi(TdApi):
         """"""
         self.connect_status = False
         self.login_status = False
-        self.gateway.write_log(f"交易连接断开，原因{reason}")
+        self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
 
     def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
@@ -391,13 +397,13 @@ class FemasTdApi(TdApi):
                     self.localID, int(data["MaxOrderLocalID"])
                 )  # 目前最大本地报单号
             self.login_status = True
-            self.gateway.write_log("onRspUserLogin交易登录成功")
+            self.gateway.write_log("交易服务器登录成功")
             self.reqid += 1
             self.reqQryInstrument({}, self.reqid)
         else:
             self.login_failed = True
 
-            self.gateway.if_error_write_error("交易登录失败", error)
+            self.gateway.if_error_write_error("交易服务器登录失败", error)
 
     def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
@@ -486,28 +492,41 @@ class FemasTdApi(TdApi):
             balance=data["PreBalance"],
             gateway_name=self.gateway_name,
         )
-        # todo: check for error
+
         self.gateway.on_account(account)
 
     def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
         """
         Callback of instrument query.
         """
+        # Femas gateway provides no ProductClass data, so need to determine
+        # product type using other logic.
+        option_type = OPTIONTYPE_FEMAS2VT.get(data["OptionsType"], None)
+        if option_type:
+            product = Product.OPTION
+        elif data["InstrumentID_2"]:
+            product = Product.SPREAD
+        else:
+            product = Product.FUTURES
 
         contract = ContractData(
-            product=data["ProductID"],
             symbol=data["InstrumentID"],
             exchange=EXCHANGE_FEMAS2VT[data["ExchangeID"]],
             name=data["InstrumentName"],
             size=data["VolumeMultiple"],
             pricetick=data["PriceTick"],
-            option_underlying=data["UnderlyingInstrID"],
+            product=product,
-            option_type=OPTIONTYPE_FEMAS2VT.get(data["OptionsType"], None),
+            gateway_name=self.gateway_name
-            option_strike=data["StrikePrice"],
-            option_expiry=datetime.strptime(data["ExpireDate"], "%Y%m%d"),
-            gateway_name=self.gateway_name,
         )
 
+        if product == Product.OPTION:
+            contract.option_underlying = data["UnderlyingInstrID"]
+            contract.option_type = OPTIONTYPE_FEMAS2VT.get(
+                data["OptionsType"], None)
+            contract.option_strike = data["StrikePrice"]
+            contract.option_expiry = datetime.strptime(
+                data["ExpireDate"], "%Y%m%d")
+
         self.gateway.on_contract(contract)
 
         symbol_exchange_map[contract.symbol] = contract.exchange
@@ -522,7 +541,8 @@ class FemasTdApi(TdApi):
         Callback of order status update.
         """
         # 更新最大报单编号
-        self.localID = max(self.localID, int(data["UserOrderLocalID"]))  # 检查并增加本地报单编号
+        self.localID = max(self.localID, int(
+            data["UserOrderLocalID"]))  # 检查并增加本地报单编号
 
         symbol = data["InstrumentID"]
         exchange = symbol_exchange_map.get(symbol, "")