comment vnpy
This commit is contained in:
msincenselee
parent
a69e8836d0
commit
bdd35fb9d5
2
.gitignore
vendored
2
.gitignore
vendored
@ -71,3 +71,5 @@ vn.strategy/strategydemo/strategy01.py
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vn.strategy/strategydemo/strategy02.py
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vn.trader/CTP_connect.json
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*.vt
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vn.trader/CTP_connect.json
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vn.trader/CTP_connect.json
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@ -1,7 +1,8 @@
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{
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"brokerID": "8070",
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"tdAddress": "tcp://180.168.214.246:41213",
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"password": "154815",
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"mdAddress": "tcp://180.168.214.246:41205",
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"userID": "887733"
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}
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"brokerID":"9999",
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"tdAddress":"tcp://180.168.146.187:10000",
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"password":"jiajia",
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"mdAddress":"tcp://180.168.146.187:10010",
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"userID":"033513"
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}
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Binary file not shown.
@ -17,7 +17,7 @@ from ctaStrategies import strategyClassDict
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class StopOrder(object):
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"""本地停止单"""
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING
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@ -34,7 +34,7 @@ class StopOrder(object):
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class CtaBarData(object):
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"""K线数据"""
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING # vt系统代码
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@ -58,7 +58,7 @@ class CtaBarData(object):
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class CtaTickData(object):
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"""Tick数据"""
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING # vt系统代码
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@ -107,9 +107,11 @@ class CtaTickData(object):
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########################################################################
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class CtaEngine(object):
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"""CTA策略引擎"""
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# 策略配置文件
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settingFileName = 'CTA_setting.json'
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def __init__(self, mainEngine, eventEngine, dataEngine):
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"""Constructor"""
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self.mainEngine = mainEngine
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@ -137,29 +139,31 @@ class CtaEngine(object):
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# key为stopOrderID，value为stopOrder对象
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self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
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self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
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# 注册事件监听
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self.registerEvent()
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发单"""
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# 1.查询合约对象
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contract = self.dataEngine.getContract(vtSymbol)
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# 2. 创建发单传入对象
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req = VtOrderReq()
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req.symbol = contract.symbol
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req.exchange = contract.exchange
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req.price = price
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req.volume = volume
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req.symbol = contract.symbol # 合约代码
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req.exchange = contract.exchange # 交易所
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req.price = price # 价格
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req.volume = volume # 数量
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# 设计为CTA引擎发出的委托只允许使用限价单
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req.priceType = PRICETYPE_LIMITPRICE
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req.priceType = PRICETYPE_LIMITPRICE # 价格类型
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# CTA委托类型映射
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if orderType == CTAORDER_BUY:
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req.direction = DIRECTION_LONG
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req.offset = OFFSET_OPEN
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req.direction = DIRECTION_LONG # 合约方向
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req.offset = OFFSET_OPEN # 开/平
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elif orderType == CTAORDER_SELL:
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req.direction = DIRECTION_SHORT
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req.offset = OFFSET_CLOSE
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@ -169,21 +173,24 @@ class CtaEngine(object):
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elif orderType == CTAORDER_COVER:
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req.direction = DIRECTION_LONG
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req.offset = OFFSET_CLOSE
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# 3.调用主引擎的发单接口进行发单，保存OrderID与策略映射关系
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vtOrderID = self.mainEngine.sendOrder(req) # 发单
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self.orderDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
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return vtOrderID
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def cancelOrder(self, vtOrderID):
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"""撤单"""
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# 查询报单对象
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# 1.调用主引擎接口，查询委托单对象
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order = self.dataEngine.getOrder(vtOrderID)
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# 如果查询成功
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if order:
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# 检查是否报单还有效，只有有效时才发出撤单指令
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orderFinished = (order.status==STATUS_ALLTRADED or order.status==STATUS_CANCELLED)
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# 2.检查是否报单（委托单）还有效，只有有效时才发出撤单指令
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orderFinished = (order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED)
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if not orderFinished:
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req = VtCancelOrderReq()
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req.symbol = order.symbol
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@ -191,74 +198,104 @@ class CtaEngine(object):
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req.frontID = order.frontID
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req.sessionID = order.sessionID
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req.orderID = order.orderID
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self.mainEngine.cancelOrder(req, order.gatewayName)
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#----------------------------------------------------------------------
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self.mainEngine.cancelOrder(req, order.gatewayName)
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else:
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if order.status == STATUS_ALLTRADED:
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self.writeCtaLog(u'委托单({0}已执行，无法撤销'.format(vtOrderID))
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if order.status == STATUS_CANCELLED:
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self.writeCtaLog(u'委托单({0}已撤销，无法再次撤销'.format(vtOrderID))
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# 查询不成功
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else:
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self.writeCtaLog(u'委托单({0}不存在'.format(vtOrderID))
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# ----------------------------------------------------------------------
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def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发停止单（本地实现）"""
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# 1.生成本地停止单ID
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self.stopOrderCount += 1
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stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
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# 2.创建停止单对象
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so = StopOrder()
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so.vtSymbol = vtSymbol
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so.orderType = orderType
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so.price = price
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so.volume = volume
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so.strategy = strategy
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so.stopOrderID = stopOrderID
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so.status = STOPORDER_WAITING
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# 保存stopOrder对象到字典中
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self.stopOrderDict[stopOrderID] = so
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self.workingStopOrderDict[stopOrderID] = so
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so.vtSymbol = vtSymbol # 代码
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so.orderType = orderType # 停止单类型
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so.price = price # 价格
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so.volume = volume # 数量
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so.strategy = strategy # 来源策略
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so.stopOrderID = stopOrderID # Id
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so.status = STOPORDER_WAITING # 状态
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# 3.保存stopOrder对象到字典中
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self.stopOrderDict[stopOrderID] = so # 字典中不会删除
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self.workingStopOrderDict[stopOrderID] = so # 字典中会删除
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self.writeCtaLog(u'发停止单成功，'
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u'Id:{0},Symbol:{1},Type:{2},Price:{3},Volume:{4}'
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u'.'.format(stopOrderID, vtSymbol, orderType, price, volume))
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return stopOrderID
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def cancelStopOrder(self, stopOrderID):
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"""撤销停止单"""
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# 检查停止单是否存在
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# 1.检查停止单是否存在
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if stopOrderID in self.workingStopOrderDict:
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so = self.workingStopOrderDict[stopOrderID]
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so.status = STOPORDER_CANCELLED
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del self.workingStopOrderDict[stopOrderID]
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so.status = STOPORDER_CANCELLED # STOPORDER_WAITING =》STOPORDER_CANCELLED
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del self.workingStopOrderDict[stopOrderID] # 删除
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self.writeCtaLog(u'撤销停止单:{0}成功.'.format(stopOrderID))
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else:
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self.writeCtaLog(u'撤销停止单:{0}失败，不存在Id.'.format(stopOrderID))
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def processStopOrder(self, tick):
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"""收到行情后处理本地停止单（检查是否要立即发出）"""
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vtSymbol = tick.vtSymbol
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# 首先检查是否有策略交易该合约
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# 1.首先检查是否有策略交易该合约
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if vtSymbol in self.tickStrategyDict:
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# 遍历等待中的停止单，检查是否会被触发
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# 2.遍历等待中的停止单，检查是否会被触发
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for so in self.workingStopOrderDict.values():
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if so.vtSymbol == vtSymbol:
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longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price # 多头停止单被触发
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shortTriggered = so.direction==DIRECTION_SHORT and tick.lasatPrice<=so.price # 空头停止单被触发
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# 3. 触发标识判断
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longTriggered = so.direction == DIRECTION_LONG and tick.lastPrice >= so.price # 多头停止单被触发
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shortTriggered = so.direction == DIRECTION_SHORT and tick.lasatPrice <= so.price # 空头停止单被触发
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# 4.触发处理
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if longTriggered or shortTriggered:
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# 买入和卖出分别以涨停跌停价发单（模拟市价单）
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if so.direction==DIRECTION_LONG:
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# 5.设定价格，买入和卖出分别以涨停跌停价发单（模拟市价单）
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if so.direction == DIRECTION_LONG:
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price = tick.upperLimit
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else:
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price = tick.lowerLimit
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# 6.更新停止单状态，触发
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so.status = STOPORDER_TRIGGERED
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# 7.发单
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self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
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# 8.删除停止单
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del self.workingStopOrderDict[so.stopOrderID]
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def procecssTickEvent(self, event):
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"""处理行情推送"""
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"""处理行情推送事件"""
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# 1. 获取事件的Tick数据
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tick = event.dict_['data']
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# 收到tick行情后，先处理本地停止单（检查是否要立即发出）
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# 2.收到tick行情后，优先处理本地停止单（检查是否要立即发出）
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self.processStopOrder(tick)
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# 推送tick到对应的策略对象进行处理
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# 3.推送tick到对应的策略对象进行处理
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if tick.vtSymbol in self.tickStrategyDict:
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# 将vtTickData数据转化为ctaTickData
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# 4.将vtTickData数据转化为ctaTickData
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ctaTick = CtaTickData()
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d = ctaTick.__dict__
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for key in d.keys():
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@ -266,52 +303,68 @@ class CtaEngine(object):
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if key != 'datetime':
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d[key] = tick.__getattribute__(key)
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# 添加datetime字段
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# 5.添加datetime字段
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ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
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# 逐个推送到策略对象中
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l = self.tickStrategyDict[tick.vtSymbol]
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for strategy in l:
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strategy.onTick(tick)
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def processOrderEvent(self, event):
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"""处理委托推送"""
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"""处理委托推送事件"""
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# 1.获取事件的Order数据
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order = event.dict_['data']
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# 2.判断order是否在映射字典中
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if order.vtOrderID in self.orderStrategyDict:
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strategy = self.orderStrategyDict[order.vtOrderID]
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# 3.提取对应的策略
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strategy = self.orderStrategyDict[order.vtOrderID]
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# 4.触发策略的委托推送事件方法
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strategy.onOrder(order)
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def processTradeEvent(self, event):
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"""处理成交推送"""
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trade = event.dict_['data']
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"""处理成交推送事件"""
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# 1.获取事件的Trade数据
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trade = event.dict_['data']
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# 2.判断Trade是否在映射字典中
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if trade.vtOrderID in self.orderStrategyDict:
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strategy = self.orderStrategyDict[order.vtOrderID]
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# 3.提取对应的策略
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strategy = self.orderStrategyDict[trade.vtOrderID]
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# 4.触发策略的成交推送事件。
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strategy.onTrade(trade)
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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# 注册行情数据推送（Tick数据到达）的响应事件
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self.eventEngine.register(EVENT_TICK, self.procecssTickEvent)
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# 注册订单推送的响应事件
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self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
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# 注册成交推送（交易）的响应时间
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self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def insertData(self, dbName, collectionName, data):
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"""插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
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self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def loadBar(self, dbName, collectionName, startDate):
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"""从数据库中读取Bar数据，startDate是datetime对象"""
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"""从数据库中读取Bar数据
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startDate是datetime对象"""
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d = {'datetime':{'$gte':startDate}}
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cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
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@ -323,7 +376,7 @@ class CtaEngine(object):
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return l
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def loadTick(self, dbName, collectionName, startDate):
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"""从数据库中读取Tick数据，startDate是datetime对象"""
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d = {'datetime':{'$gte':startDate}}
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@ -337,14 +390,14 @@ class CtaEngine(object):
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return l
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def getToday(self):
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"""获取代表今日的datetime对象"""
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today = datetime.today()
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today = today.replace(hour=0, minute=0, second=0, microsecond=0)
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return today
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""快速发出CTA模块日志事件"""
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log = VtLogData()
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@ -353,17 +406,17 @@ class CtaEngine(object):
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event.dict_['data'] = log
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self.eventEngine.put(event)
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#----------------------------------------------------------------------
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# ----------------------------------------------------------------------
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def initStrategy(self, name, strategyClass, paramDict=None):
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"""初始化策略"""
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# 防止策略重名
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if name not in self.strategyDict:
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# 创建策略对象
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# 1.创建策略对象
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strategy = strategyClass(self, name, paramDict)
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self.strategyDict[name] = strategy
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# 保存Tick映射关系
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# 2.保存Tick映射关系（symbol <==> Strategy[] )
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if strategy.vtSymbol in self.tickStrategyDict:
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l = self.tickStrategyDict[strategy.vtSymbol]
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else:
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@ -371,93 +424,136 @@ class CtaEngine(object):
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self.tickStrategyDict[strategy.vtSymbol] = l
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l.append(strategy)
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# 订阅合约
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# 3.订阅合约
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contract = self.dataEngine.getContract(strategy.vtSymbol)
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if contract:
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# 4.构造订阅请求包
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req = VtSubscribeReq()
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req.symbol = contract.symbol
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req.exchange = contract.exchange
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# 5.调用主引擎的订阅接口
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self.mainEngine.subscribe(req, contract.gatewayName)
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else:
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self.writeCtaLog(u'存在策略对象重名：' + name)
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#---------------------------------------------------------------------
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# ---------------------------------------------------------------------
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def startStrategy(self, name):
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"""启动策略"""
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# 1.判断策略名称是否存在字典中
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if name in self.strategyDict:
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# 2.提取策略
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strategy = self.strategyDict[name]
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# 3.判断策略是否运行
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if not strategy.trading:
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||||
# 4.设置运行状态
|
||||
strategy.trading = True
|
||||
# 5.启动策略
|
||||
strategy.start()
|
||||
else:
|
||||
self.writeCtaLog(u'策略对象不存在：' + name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def stopStrategy(self, name):
|
||||
"""停止策略"""
|
||||
"""停止策略运行"""
|
||||
|
||||
# 1.判断策略名称是否存在字典中
|
||||
if name in self.strategyDict:
|
||||
# 2.提取策略
|
||||
strategy = self.strategyDict[name]
|
||||
|
||||
|
||||
# 3.停止交易
|
||||
if strategy.trading:
|
||||
|
||||
# 4.设置交易状态为False
|
||||
strategy.trading = False
|
||||
|
||||
# 5.调用策略的停止方法
|
||||
strategy.stop()
|
||||
|
||||
# 对该策略发出的所有限价单进行撤单
|
||||
# 6.对该策略发出的所有限价单进行撤单
|
||||
for vtOrderID, s in self.orderStrategyDict.items():
|
||||
if s is strategy:
|
||||
self.cancelOrder(vtOrderID)
|
||||
|
||||
# 对该策略发出的所有本地停止单撤单
|
||||
# 7.对该策略发出的所有本地停止单撤单
|
||||
for stopOrderID, so in self.workingStopOrderDict.items():
|
||||
if so.strategy is strategy:
|
||||
self.cancelStopOrder(stopOrderID)
|
||||
else:
|
||||
self.writeCtaLog(u'策略对象不存在：' + name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def saveStrategySetting(self):
|
||||
"""保存引擎中的策略配置"""
|
||||
with open(self.settingFileName, 'w') as f:
|
||||
d = {}
|
||||
|
||||
|
||||
# 逐一循环：name，策略实例名称，strategy，策略
|
||||
for name, strategy in self.strategyDict.items():
|
||||
# 配置串
|
||||
setting = {}
|
||||
|
||||
# 策略的类名称
|
||||
setting['strategyClassName'] = strategy.strategyClassName
|
||||
|
||||
# 策略的参数
|
||||
for param in strategy.paramList:
|
||||
setting[param] = strategy.__getattribute__(param)
|
||||
|
||||
# 策略实例名，保存配置
|
||||
d[name] = setting
|
||||
|
||||
|
||||
# Json对象=》Json字符串
|
||||
jsonD = json.dumps(d, indent=4)
|
||||
|
||||
# 保存文件
|
||||
f.write(jsonD)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def loadStrategySetting(self):
|
||||
"""读取引擎中的策略配置"""
|
||||
with open(self.settingFileName) as f:
|
||||
# 读取文件内容串=》Json对象
|
||||
d = json.load(f)
|
||||
|
||||
|
||||
# 策略实例名称，配置内容
|
||||
for name, setting in d.items():
|
||||
|
||||
# 策略的类名称
|
||||
strategyClassName = setting['strategyClassName']
|
||||
|
||||
|
||||
if strategyClassName in strategyClassDict:
|
||||
# 透过策略类字典，反射获取策略
|
||||
strategyClass = strategyClassDict[strategyClassName]
|
||||
|
||||
# 初始化策略的设置
|
||||
self.initStrategy(name, strategyClass, setting)
|
||||
else:
|
||||
self.writeCtaLog(u'无法找到策略类：' + strategyClassName)
|
||||
break
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getStrategyVar(self, name):
|
||||
|
||||
"""获取策略当前的变量字典"""
|
||||
if name in self.strategyDict:
|
||||
# 获取策略实例
|
||||
strategy = self.strategyDict[name]
|
||||
|
||||
# 策略实例的所有属性
|
||||
d = strategy.__dict__
|
||||
|
||||
# 变量字典
|
||||
varDict = OrderedDict()
|
||||
|
||||
|
||||
# 策略中的变量名称列表
|
||||
for key in strategy.varList:
|
||||
|
||||
# 如果匹配就增加
|
||||
if key in d:
|
||||
varDict[key] = d[key]
|
||||
|
||||
@ -466,16 +562,23 @@ class CtaEngine(object):
|
||||
self.writeCtaLog(u'策略对象不存在：' + name)
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getStrategyParam(self, name):
|
||||
"""获取策略的参数字典"""
|
||||
if name in self.strategyDict:
|
||||
# 获取策略实例
|
||||
strategy = self.strategyDict[name]
|
||||
|
||||
# 策略实例的所有属性
|
||||
d = strategy.__dict__
|
||||
|
||||
# 参数字典
|
||||
paramDict = OrderedDict()
|
||||
|
||||
|
||||
# 策略内的参数名称列表
|
||||
for key in strategy.paramList:
|
||||
|
||||
# 匹配的就添加
|
||||
if key in d:
|
||||
paramDict[key] = d[key]
|
||||
|
||||
|
||||
@ -2,6 +2,7 @@
|
||||
|
||||
'''
|
||||
在本文件中引入所有希望在系统中使用的策略类
|
||||
当作配置文件，每次增加删除策略时，需要维护此字典
|
||||
'''
|
||||
|
||||
from ctaStrategyTemplate import TestStrategy
|
||||
|
||||
@ -18,7 +18,7 @@ class CtaStrategyTemplate(object):
|
||||
|
||||
varList = ['trading']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, name, setting=None):
|
||||
"""Constructor"""
|
||||
self.ctaEngine = ctaEngine
|
||||
@ -36,42 +36,42 @@ class CtaStrategyTemplate(object):
|
||||
if setting:
|
||||
self.setParam(setting)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def init(self):
|
||||
"""初始化策略（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def start(self):
|
||||
"""启动策略（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""停止策略（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""收到委托变化推送（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
"""收到成交推送（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onBar(self, bar):
|
||||
"""收到Bar推送（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def buy(self, price, volume, stop=False):
|
||||
"""买开"""
|
||||
# 如果stop为True，则意味着发本地停止单
|
||||
@ -84,7 +84,7 @@ class CtaStrategyTemplate(object):
|
||||
else:
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sell(self, price, volume, stop=False):
|
||||
"""卖平"""
|
||||
# 如果stop为True，则意味着发本地停止单
|
||||
@ -97,7 +97,7 @@ class CtaStrategyTemplate(object):
|
||||
else:
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def short(self, price, volume, stop=False):
|
||||
"""卖开"""
|
||||
# 如果stop为True，则意味着发本地停止单
|
||||
@ -110,7 +110,7 @@ class CtaStrategyTemplate(object):
|
||||
else:
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cover(self, price, volume, stop=False):
|
||||
"""买平"""
|
||||
if self.trading:
|
||||
@ -123,7 +123,7 @@ class CtaStrategyTemplate(object):
|
||||
else:
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, orderID):
|
||||
"""撤单"""
|
||||
if STOPORDERPREFIX in orderID:
|
||||
@ -131,27 +131,27 @@ class CtaStrategyTemplate(object):
|
||||
else:
|
||||
self.ctaEngine.cancelOrder(orderID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def insertTick(self, tick):
|
||||
"""向数据库中插入tick数据"""
|
||||
self.ctaEngine.insertData(self.tickDbName, self.vtSymbol, tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def insertBar(self, bar):
|
||||
"""向数据库中插入bar数据"""
|
||||
self.ctaEngine.insertData(self.barDbName, self.vtSymbol, bar)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def loadTick(self, startDate):
|
||||
"""读取tick数据"""
|
||||
return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, startDate)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def loadBar(self, startDate):
|
||||
"""读取bar数据"""
|
||||
return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, startDate)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setParam(self, setting):
|
||||
"""设置参数"""
|
||||
d = self.__dict__
|
||||
@ -160,13 +160,13 @@ class CtaStrategyTemplate(object):
|
||||
|
||||
d[key] = setting[key]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getToday(self):
|
||||
"""查询当前日期"""
|
||||
return self.ctaEngine.getToday()
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def writeCtaLog(self, content):
|
||||
"""记录CTA日志"""
|
||||
self.ctaEngine.writeCtaLog(content)
|
||||
@ -177,7 +177,7 @@ class CtaStrategyTemplate(object):
|
||||
class TestStrategy(CtaStrategyTemplate):
|
||||
"""测试策略"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, name, setting=None):
|
||||
"""Constructor"""
|
||||
super(TestStrategy, self).__init__(ctaEngine, name, setting)
|
||||
@ -195,38 +195,38 @@ class TestStrategy(CtaStrategyTemplate):
|
||||
self.varList.append('pos')
|
||||
self.varList.append('lastPrice')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def init(self):
|
||||
"""初始化策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'测试策略%s初始化' %self.name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def start(self):
|
||||
"""启动策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'测试策略%s启动' %self.name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""停止策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'测试策略%s停止' %self.name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'测试策略%s收到Tick' %self.name)
|
||||
self.lastPrice = tick.lastPrice
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""收到委托变化推送（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'onOrder不会被调用')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
"""收到成交推送（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'onTrade不会被调用')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onBar(self, bar):
|
||||
"""收到Bar推送（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'测试策略%s收到Bar' %self.name)
|
||||
|
||||
@ -2448,7 +2448,7 @@ typedefDict["TThostFtdcCloseStyleType"] = "string"
|
||||
#//////////////////////////////////////////////////////////////////////
|
||||
#TFtdcStatModeType是一个统计方式类型
|
||||
#//////////////////////////////////////////////////////////////////////
|
||||
#----
|
||||
# ----
|
||||
defineDict["THOST_FTDC_SM_Non"] = '0'
|
||||
#按合约统计
|
||||
defineDict["THOST_FTDC_SM_Instrument"] = '1'
|
||||
|
||||
@ -62,7 +62,7 @@ posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()}
|
||||
class CtpGateway(VtGateway):
|
||||
"""CTP接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, gatewayName='CTP'):
|
||||
"""Constructor"""
|
||||
super(CtpGateway, self).__init__(eventEngine, gatewayName)
|
||||
@ -75,7 +75,7 @@ class CtpGateway(VtGateway):
|
||||
|
||||
self.qryEnabled = False # 是否要启动循环查询
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
# 载入json文件
|
||||
@ -111,32 +111,32 @@ class CtpGateway(VtGateway):
|
||||
# 初始化并启动查询
|
||||
self.initQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
self.mdApi.subscribe(subscribeReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
return self.tdApi.sendOrder(orderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
self.tdApi.cancelOrder(cancelOrderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAccount(self):
|
||||
"""查询账户资金"""
|
||||
self.tdApi.getAccount()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getPosition(self):
|
||||
"""查询持仓"""
|
||||
self.tdApi.getPosition()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
if self.mdConnected:
|
||||
@ -144,7 +144,7 @@ class CtpGateway(VtGateway):
|
||||
if self.tdConnected:
|
||||
self.tdApi.close()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initQuery(self):
|
||||
"""初始化连续查询"""
|
||||
if self.qryEnabled:
|
||||
@ -157,7 +157,7 @@ class CtpGateway(VtGateway):
|
||||
|
||||
self.startQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def query(self, event):
|
||||
"""注册到事件处理引擎上的查询函数"""
|
||||
self.qryCount += 1
|
||||
@ -175,12 +175,12 @@ class CtpGateway(VtGateway):
|
||||
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
|
||||
@ -191,7 +191,7 @@ class CtpGateway(VtGateway):
|
||||
class CtpMdApi(MdApi):
|
||||
"""CTP行情API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(CtpMdApi, self).__init__()
|
||||
@ -211,7 +211,7 @@ class CtpMdApi(MdApi):
|
||||
self.brokerID = EMPTY_STRING # 经纪商代码
|
||||
self.address = EMPTY_STRING # 服务器地址
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontConnected(self):
|
||||
"""服务器连接"""
|
||||
self.connectionStatus = True
|
||||
@ -222,7 +222,7 @@ class CtpMdApi(MdApi):
|
||||
self.gateway.onLog(log)
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontDisconnected(self, n):
|
||||
"""服务器断开"""
|
||||
self.connectionStatus = False
|
||||
@ -234,13 +234,13 @@ class CtpMdApi(MdApi):
|
||||
log.logContent = u'行情服务器连接断开'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onHeartBeatWarning(self, n):
|
||||
"""心跳报警"""
|
||||
# 因为API的心跳报警比较常被触发，且与API工作关系不大，因此选择忽略
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspError(self, error, n, last):
|
||||
"""错误回报"""
|
||||
err = VtErrorData()
|
||||
@ -249,7 +249,7 @@ class CtpMdApi(MdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogin(self, data, error, n, last):
|
||||
"""登陆回报"""
|
||||
# 如果登录成功，推送日志信息
|
||||
@ -274,7 +274,7 @@ class CtpMdApi(MdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogout(self, data, error, n, last):
|
||||
"""登出回报"""
|
||||
# 如果登出成功，推送日志信息
|
||||
@ -295,19 +295,19 @@ class CtpMdApi(MdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspSubMarketData(self, data, error, n, last):
|
||||
"""订阅合约回报"""
|
||||
# 通常不在乎订阅错误，选择忽略
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUnSubMarketData(self, data, error, n, last):
|
||||
"""退订合约回报"""
|
||||
# 同上
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnDepthMarketData(self, data):
|
||||
"""行情推送"""
|
||||
tick = VtTickData()
|
||||
@ -339,22 +339,22 @@ class CtpMdApi(MdApi):
|
||||
|
||||
self.gateway.onTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspSubForQuoteRsp(self, data, error, n, last):
|
||||
"""订阅期权询价"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUnSubForQuoteRsp(self, data, error, n, last):
|
||||
"""退订期权询价"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnForQuoteRsp(self, data):
|
||||
"""期权询价推送"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self, userID, password, brokerID, address):
|
||||
"""初始化连接"""
|
||||
self.userID = userID # 账号
|
||||
@ -381,7 +381,7 @@ class CtpMdApi(MdApi):
|
||||
if not self.loginStatus:
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
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
|
||||
@ -391,7 +391,7 @@ class CtpMdApi(MdApi):
|
||||
|
||||
self.subscribedSymbols.add(subscribeReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def login(self):
|
||||
"""登录"""
|
||||
# 如果填入了用户名密码等，则登录
|
||||
@ -403,7 +403,7 @@ class CtpMdApi(MdApi):
|
||||
self.reqID += 1
|
||||
self.reqUserLogin(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.exit()
|
||||
@ -413,7 +413,7 @@ class CtpMdApi(MdApi):
|
||||
class CtpTdApi(TdApi):
|
||||
"""CTP交易API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""API对象的初始化函数"""
|
||||
super(CtpTdApi, self).__init__()
|
||||
@ -435,7 +435,7 @@ class CtpTdApi(TdApi):
|
||||
self.frontID = EMPTY_INT # 前置机编号
|
||||
self.sessionID = EMPTY_INT # 会话编号
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontConnected(self):
|
||||
"""服务器连接"""
|
||||
self.connectionStatus = True
|
||||
@ -447,7 +447,7 @@ class CtpTdApi(TdApi):
|
||||
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontDisconnected(self, n):
|
||||
"""服务器断开"""
|
||||
self.connectionStatus = False
|
||||
@ -459,17 +459,17 @@ class CtpTdApi(TdApi):
|
||||
log.logContent = u'交易服务器连接断开'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onHeartBeatWarning(self, n):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspAuthenticate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogin(self, data, error, n, last):
|
||||
"""登陆回报"""
|
||||
# 如果登录成功，推送日志信息
|
||||
@ -498,8 +498,9 @@ class CtpTdApi(TdApi):
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogout(self, data, error, n, last):
|
||||
"""登出回报"""
|
||||
# 如果登出成功，推送日志信息
|
||||
@ -520,17 +521,17 @@ class CtpTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserPasswordUpdate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspTradingAccountPasswordUpdate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspOrderInsert(self, data, error, n, last):
|
||||
"""发单错误（柜台）"""
|
||||
err = VtErrorData()
|
||||
@ -539,17 +540,17 @@ class CtpTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspParkedOrderInsert(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspParkedOrderAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspOrderAction(self, data, error, n, last):
|
||||
"""撤单错误（柜台）"""
|
||||
err = VtErrorData()
|
||||
@ -558,12 +559,12 @@ class CtpTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQueryMaxOrderVolume(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspSettlementInfoConfirm(self, data, error, n, last):
|
||||
"""确认结算信息回报"""
|
||||
log = VtLogData()
|
||||
@ -575,52 +576,52 @@ class CtpTdApi(TdApi):
|
||||
self.reqID += 1
|
||||
self.reqQryInstrument({}, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspRemoveParkedOrder(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspRemoveParkedOrderAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspExecOrderInsert(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspExecOrderAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspForQuoteInsert(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQuoteInsert(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQuoteAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryOrder(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryTrade(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInvestorPosition(self, data, error, n, last):
|
||||
"""持仓查询回报"""
|
||||
pos = VtPositionData()
|
||||
@ -650,7 +651,7 @@ class CtpTdApi(TdApi):
|
||||
# 推送
|
||||
self.gateway.onPosition(pos)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryTradingAccount(self, data, error, n, last):
|
||||
"""资金账户查询回报"""
|
||||
account = VtAccountData()
|
||||
@ -677,37 +678,37 @@ class CtpTdApi(TdApi):
|
||||
# 推送
|
||||
self.gateway.onAccount(account)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInvestor(self, data, error, n, last):
|
||||
"""投资者查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryTradingCode(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInstrumentMarginRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInstrumentCommissionRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryExchange(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryProduct(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInstrument(self, data, error, n, last):
|
||||
"""合约查询回报"""
|
||||
contract = VtContractData()
|
||||
@ -749,112 +750,114 @@ class CtpTdApi(TdApi):
|
||||
log.logContent = u'交易合约信息获取完成'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryDepthMarketData(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQrySettlementInfo(self, data, error, n, last):
|
||||
"""查询结算信息回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryTransferBank(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInvestorPositionDetail(self, data, error, n, last):
|
||||
""""""
|
||||
"""投资者持仓详细查询应答。
|
||||
当客户端发出投资者持仓查询指令后，后交易托管系统返回响应时，该方法会被调用
|
||||
"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryNotice(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQrySettlementInfoConfirm(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInvestorPositionCombineDetail(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryCFMMCTradingAccountKey(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryEWarrantOffset(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInvestorProductGroupMargin(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryExchangeMarginRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryExchangeMarginRateAdjust(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryExchangeRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQrySecAgentACIDMap(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryOptionInstrTradeCost(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryOptionInstrCommRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryExecOrder(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryForQuote(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryQuote(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryTransferSerial(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryAccountregister(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspError(self, error, n, last):
|
||||
"""错误回报"""
|
||||
err = VtErrorData()
|
||||
@ -863,7 +866,7 @@ class CtpTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnOrder(self, data):
|
||||
"""报单回报"""
|
||||
# 更新最大报单编号
|
||||
@ -927,7 +930,7 @@ class CtpTdApi(TdApi):
|
||||
# 推送
|
||||
self.gateway.onOrder(order)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnTrade(self, data):
|
||||
"""成交回报"""
|
||||
# 创建报单数据对象
|
||||
@ -959,7 +962,7 @@ class CtpTdApi(TdApi):
|
||||
# 推送
|
||||
self.gateway.onTrade(trade)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnOrderInsert(self, data, error):
|
||||
"""发单错误回报（交易所）"""
|
||||
err = VtErrorData()
|
||||
@ -968,7 +971,7 @@ class CtpTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnOrderAction(self, data, error):
|
||||
"""撤单错误回报（交易所）"""
|
||||
err = VtErrorData()
|
||||
@ -977,202 +980,202 @@ class CtpTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnInstrumentStatus(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnTradingNotice(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnErrorConditionalOrder(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnExecOrder(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnExecOrderInsert(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnExecOrderAction(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnForQuoteInsert(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnQuote(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnQuoteInsert(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnQuoteAction(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnForQuoteRsp(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryContractBank(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryParkedOrder(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryParkedOrderAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryTradingNotice(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryBrokerTradingParams(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryBrokerTradingAlgos(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnFromBankToFutureByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnFromFutureToBankByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnRepealFromBankToFutureByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnRepealFromFutureToBankByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnFromBankToFutureByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnFromFutureToBankByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnRepealFromBankToFutureByFutureManual(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnRepealFromFutureToBankByFutureManual(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnQueryBankBalanceByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnBankToFutureByFuture(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnFutureToBankByFuture(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnRepealBankToFutureByFutureManual(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnRepealFutureToBankByFutureManual(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnQueryBankBalanceByFuture(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnRepealFromBankToFutureByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnRepealFromFutureToBankByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspFromBankToFutureByFuture(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspFromFutureToBankByFuture(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQueryBankAccountMoneyByFuture(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnOpenAccountByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnCancelAccountByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnChangeAccountByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self, userID, password, brokerID, address):
|
||||
"""初始化连接"""
|
||||
self.userID = userID # 账号
|
||||
@ -1199,7 +1202,7 @@ class CtpTdApi(TdApi):
|
||||
if not self.loginStatus:
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def login(self):
|
||||
"""连接服务器"""
|
||||
# 如果填入了用户名密码等，则登录
|
||||
@ -1211,13 +1214,13 @@ class CtpTdApi(TdApi):
|
||||
self.reqID += 1
|
||||
self.reqUserLogin(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAccount(self):
|
||||
"""查询账户"""
|
||||
self.reqID += 1
|
||||
self.reqQryTradingAccount({}, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getPosition(self):
|
||||
"""查询持仓"""
|
||||
self.reqID += 1
|
||||
@ -1226,7 +1229,7 @@ class CtpTdApi(TdApi):
|
||||
req['InvestorID'] = self.userID
|
||||
self.reqQryInvestorPosition(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
self.reqID += 1
|
||||
@ -1265,7 +1268,7 @@ class CtpTdApi(TdApi):
|
||||
vtOrderID = '.'.join([self.gatewayName, str(self.orderRef)])
|
||||
return vtOrderID
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
self.reqID += 1
|
||||
@ -1284,13 +1287,13 @@ class CtpTdApi(TdApi):
|
||||
|
||||
self.reqOrderAction(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.exit()
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def test():
|
||||
"""测试"""
|
||||
from PyQt4 import QtCore
|
||||
|
||||
@ -49,7 +49,7 @@ class EventEngine:
|
||||
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""初始化事件引擎"""
|
||||
# 事件队列
|
||||
@ -69,7 +69,7 @@ class EventEngine:
|
||||
# 其中每个键对应的值是一个列表，列表中保存了对该事件进行监听的函数功能
|
||||
self.__handlers = {}
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __run(self):
|
||||
"""引擎运行"""
|
||||
while self.__active == True:
|
||||
@ -79,7 +79,7 @@ class EventEngine:
|
||||
except Empty:
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __process(self, event):
|
||||
"""处理事件"""
|
||||
# 检查是否存在对该事件进行监听的处理函数
|
||||
@ -91,7 +91,7 @@ class EventEngine:
|
||||
#for handler in self.__handlers[event.type_]:
|
||||
#handler(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __onTimer(self):
|
||||
"""向事件队列中存入计时器事件"""
|
||||
# 创建计时器事件
|
||||
@ -100,7 +100,7 @@ class EventEngine:
|
||||
# 向队列中存入计时器事件
|
||||
self.put(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def start(self):
|
||||
"""引擎启动"""
|
||||
# 将引擎设为启动
|
||||
@ -112,7 +112,7 @@ class EventEngine:
|
||||
# 启动计时器，计时器事件间隔默认设定为1秒
|
||||
self.__timer.start(1000)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""停止引擎"""
|
||||
# 将引擎设为停止
|
||||
@ -124,7 +124,7 @@ class EventEngine:
|
||||
# 等待事件处理线程退出
|
||||
self.__thread.join()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def register(self, type_, handler):
|
||||
"""注册事件处理函数监听"""
|
||||
# 尝试获取该事件类型对应的处理函数列表，若无则创建
|
||||
@ -138,7 +138,7 @@ class EventEngine:
|
||||
if handler not in handlerList:
|
||||
handlerList.append(handler)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def unregister(self, type_, handler):
|
||||
"""注销事件处理函数监听"""
|
||||
# 尝试获取该事件类型对应的处理函数列表，若无则忽略该次注销请求
|
||||
@ -155,7 +155,7 @@ class EventEngine:
|
||||
except KeyError:
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def put(self, event):
|
||||
"""向事件队列中存入事件"""
|
||||
self.__queue.put(event)
|
||||
@ -165,14 +165,14 @@ class EventEngine:
|
||||
class Event:
|
||||
"""事件对象"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, type_=None):
|
||||
"""Constructor"""
|
||||
self.type_ = type_ # 事件类型
|
||||
self.dict_ = {} # 字典用于保存具体的事件数据
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def test():
|
||||
"""测试函数"""
|
||||
import sys
|
||||
|
||||
@ -31,7 +31,7 @@ EVENT_CTA_LOG = 'eCtaLog' # CTA相关的日志事件
|
||||
EVENT_WIND_CONNECTREQ = 'eWindConnectReq' # Wind接口请求连接事件
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def test():
|
||||
"""检查是否存在内容重复的常量定义"""
|
||||
check_dict = {}
|
||||
|
||||
@ -105,7 +105,7 @@ accountKeyMap['MaintMarginReq'] = 'margin'
|
||||
class IbGateway(VtGateway):
|
||||
"""IB接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, gatewayName='IB'):
|
||||
"""Constructor"""
|
||||
super(IbGateway, self).__init__(eventEngine, gatewayName)
|
||||
@ -127,7 +127,7 @@ class IbGateway(VtGateway):
|
||||
self.wrapper = IbWrapper(self) # 回调接口
|
||||
self.connection = EClientSocket(self.wrapper) # 主动接口
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
# 载入json文件
|
||||
@ -163,7 +163,7 @@ class IbGateway(VtGateway):
|
||||
# 请求账户数据主推更新
|
||||
self.connection.reqAccountUpdates(True, '')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
# 订阅行情
|
||||
@ -188,7 +188,7 @@ class IbGateway(VtGateway):
|
||||
tick.gatewayName = self.gatewayName
|
||||
self.tickDict[self.tickerId] = tick
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
# 增加报单号1，最后再次进行查询
|
||||
@ -222,12 +222,12 @@ class IbGateway(VtGateway):
|
||||
# 查询下一个有效编号
|
||||
self.connection.reqIds(1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
self.connection.cancelOrder(cancelOrderReq.orderID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAccount(self):
|
||||
"""查询账户资金"""
|
||||
log = VtLogData()
|
||||
@ -235,7 +235,7 @@ class IbGateway(VtGateway):
|
||||
log.logContent = u'IB接口账户信息提供主推更新，无需查询'
|
||||
self.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getPosition(self):
|
||||
"""查询持仓"""
|
||||
log = VtLogData()
|
||||
@ -243,7 +243,7 @@ class IbGateway(VtGateway):
|
||||
log.logContent = u'IB接口持仓信息提供主推更新，无需查询'
|
||||
self.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.connection.eDisconnect()
|
||||
@ -253,7 +253,7 @@ class IbGateway(VtGateway):
|
||||
class IbWrapper(EWrapper):
|
||||
"""IB回调接口的实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(IbWrapper, self).__init__()
|
||||
@ -267,7 +267,7 @@ class IbWrapper(EWrapper):
|
||||
self.orderDict = gateway.orderDict # order字典
|
||||
self.accountDict = gateway.accountDict # account字典
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def tickPrice(self, tickerId, field, price, canAutoExecute):
|
||||
"""行情推送（价格相关）"""
|
||||
if field in tickFieldMap:
|
||||
@ -277,7 +277,7 @@ class IbWrapper(EWrapper):
|
||||
else:
|
||||
print field
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def tickSize(self, tickerId, field, size):
|
||||
"""行情推送（量相关）"""
|
||||
if field in tickFieldMap:
|
||||
@ -287,17 +287,17 @@ class IbWrapper(EWrapper):
|
||||
else:
|
||||
print field
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def tickOptionComputation(self, tickerId, field, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice):
|
||||
"""行情推送（期权数值）"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def tickGeneric(self, tickerId, tickType, value):
|
||||
"""行情推送（某些通用字段）"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def tickString(self, tickerId, tickType, value):
|
||||
"""行情推送，特殊字段相关"""
|
||||
if tickType == 45:
|
||||
@ -312,12 +312,12 @@ class IbWrapper(EWrapper):
|
||||
newtick = copy(tick)
|
||||
self.gateway.onTick(newtick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, impliedFuture, holdDays, futureExpiry, dividendImpact, dividendsToExpiry):
|
||||
"""行情推送（合约属性相关）"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def orderStatus(self, orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld):
|
||||
"""报单成交回报"""
|
||||
pass
|
||||
@ -338,7 +338,7 @@ class IbWrapper(EWrapper):
|
||||
newod = copy(od)
|
||||
self.gateway.onOrder(newod)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def openOrder(self, orderId, contract, order, orderState):
|
||||
"""报单信息推送"""
|
||||
orderId = str(orderId) # orderId是整数
|
||||
@ -362,12 +362,12 @@ class IbWrapper(EWrapper):
|
||||
newod = copy(od)
|
||||
self.gateway.onOrder(newod)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def openOrderEnd(self):
|
||||
""" generated source for method openOrderEnd """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateAccountValue(self, key, value, currency, accountName):
|
||||
"""更新账户数据"""
|
||||
# 仅逐个字段更新数据，这里对于没有currency的推送忽略
|
||||
@ -387,7 +387,7 @@ class IbWrapper(EWrapper):
|
||||
k = accountKeyMap[key]
|
||||
account.__setattr__(k, float(value))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName):
|
||||
"""持仓更新推送"""
|
||||
pos = VtPositionData()
|
||||
@ -403,7 +403,7 @@ class IbWrapper(EWrapper):
|
||||
|
||||
self.gateway.onPosition(pos)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateAccountTime(self, timeStamp):
|
||||
"""更新账户数据的时间"""
|
||||
# 推送数据
|
||||
@ -411,31 +411,31 @@ class IbWrapper(EWrapper):
|
||||
newaccount = copy(account)
|
||||
self.gateway.onAccount(newaccount)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def accountDownloadEnd(self, accountName):
|
||||
""" generated source for method accountDownloadEnd """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def nextValidId(self, orderId):
|
||||
"""下一个有效报单编号更新"""
|
||||
self.gateway.orderId = orderId
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def contractDetails(self, reqId, contractDetails):
|
||||
""" generated source for method contractDetails """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def bondContractDetails(self, reqId, contractDetails):
|
||||
""" generated source for method bondContractDetails """
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def contractDetailsEnd(self, reqId):
|
||||
""" generated source for method contractDetailsEnd """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def execDetails(self, reqId, contract, execution):
|
||||
"""成交推送"""
|
||||
trade = VtTradeData()
|
||||
@ -455,62 +455,62 @@ class IbWrapper(EWrapper):
|
||||
|
||||
self.gateway.onTrade(trade)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def execDetailsEnd(self, reqId):
|
||||
""" generated source for method execDetailsEnd """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateMktDepth(self, tickerId, position, operation, side, price, size):
|
||||
""" generated source for method updateMktDepth """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateMktDepthL2(self, tickerId, position, marketMaker, operation, side, price, size):
|
||||
""" generated source for method updateMktDepthL2 """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateNewsBulletin(self, msgId, msgType, message, origExchange):
|
||||
""" generated source for method updateNewsBulletin """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def managedAccounts(self, accountsList):
|
||||
""" generated source for method managedAccounts """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def receiveFA(self, faDataType, xml):
|
||||
""" generated source for method receiveFA """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def historicalData(self, reqId, date, open, high, low, close, volume, count, WAP, hasGaps):
|
||||
""" generated source for method historicalData """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def scannerParameters(self, xml):
|
||||
""" generated source for method scannerParameters """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def scannerData(self, reqId, rank, contractDetails, distance, benchmark, projection, legsStr):
|
||||
''' generated source for method scannerData '''
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def scannerDataEnd(self, reqId):
|
||||
""" generated source for method scannerDataEnd """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def realtimeBar(self, reqId, time, open, high, low, close, volume, wap, count):
|
||||
""" generated source for method realtimeBar """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def currentTime(self, time):
|
||||
""" generated source for method currentTime """
|
||||
t = strftime('%H:%M:%S', localtime(time))
|
||||
@ -523,52 +523,52 @@ class IbWrapper(EWrapper):
|
||||
log.logContent = (u'IB接口连接成功，当前服务器时间%s' %t)
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def fundamentalData(self, reqId, data):
|
||||
""" generated source for method fundamentalData """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def deltaNeutralValidation(self, reqId, underComp):
|
||||
""" generated source for method deltaNeutralValidation """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def tickSnapshotEnd(self, reqId):
|
||||
""" generated source for method tickSnapshotEnd """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def marketDataType(self, reqId, marketDataType):
|
||||
""" generated source for method marketDataType """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def commissionReport(self, commissionReport):
|
||||
""" generated source for method commissionReport """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def position(self, account, contract, pos, avgCost):
|
||||
""" generated source for method position """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def positionEnd(self):
|
||||
""" generated source for method positionEnd """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def accountSummary(self, reqId, account, tag, value, currency):
|
||||
""" generated source for method accountSummary """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def accountSummaryEnd(self, reqId):
|
||||
""" generated source for method accountSummaryEnd """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def error(self, id=None, errorCode=None, errorMsg=None):
|
||||
"""错误回报"""
|
||||
err = VtErrorData()
|
||||
@ -577,7 +577,7 @@ class IbWrapper(EWrapper):
|
||||
err.errorMsg = errorMsg
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def error_0(self, strval=None):
|
||||
"""错误回报（单一字符串）"""
|
||||
err = VtErrorData()
|
||||
@ -585,7 +585,7 @@ class IbWrapper(EWrapper):
|
||||
err.errorMsg = strval
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def error_1(self, id=None, errorCode=None, errorMsg=None):
|
||||
"""错误回报（字符串和代码）"""
|
||||
err = VtErrorData()
|
||||
@ -594,7 +594,7 @@ class IbWrapper(EWrapper):
|
||||
err.errorMsg = errorMsg
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connectionClosed(self):
|
||||
"""连接断开"""
|
||||
self.connectionStatus = False
|
||||
|
||||
@ -55,7 +55,7 @@ posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()}
|
||||
class LtsGateway(VtGateway):
|
||||
"""Lts接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, gatewayName='LTS'):
|
||||
"""Constructor"""
|
||||
super(LtsGateway, self).__init__(eventEngine, gatewayName)
|
||||
@ -70,7 +70,7 @@ class LtsGateway(VtGateway):
|
||||
|
||||
self.qryEnabled = False # 是否要启动循环查询
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
# 载入json 文件
|
||||
@ -112,32 +112,32 @@ class LtsGateway(VtGateway):
|
||||
self.initQuery()
|
||||
self.startQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
self.mdApi.subscribe(subscribeReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
return self.tdApi.sendOrder(orderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
self.tdApi.cancelOrder(cancelOrderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAccount(self):
|
||||
"""查询账户资金"""
|
||||
self.qryApi.getAccount()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getPosition(self):
|
||||
"""查询持仓"""
|
||||
self.qryApi.getPosition()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
if self.mdConnected:
|
||||
@ -147,7 +147,7 @@ class LtsGateway(VtGateway):
|
||||
if self.qryConnected:
|
||||
self.qryApi.close()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initQuery(self):
|
||||
"""初始化连续查询"""
|
||||
if self.qryEnabled:
|
||||
@ -160,7 +160,7 @@ class LtsGateway(VtGateway):
|
||||
|
||||
self.startQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def query(self, event):
|
||||
"""注册到事件处理引擎上的查询函数"""
|
||||
self.qryCount += 1
|
||||
@ -178,12 +178,12 @@ class LtsGateway(VtGateway):
|
||||
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
|
||||
@ -193,7 +193,7 @@ class LtsGateway(VtGateway):
|
||||
class LtsMdApi(MdApi):
|
||||
"""Lts行情API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(LtsMdApi, self).__init__()
|
||||
@ -213,7 +213,7 @@ class LtsMdApi(MdApi):
|
||||
self.brokerID = EMPTY_STRING # 经纪商代码
|
||||
self.address = EMPTY_STRING # 服务器地址
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontConnected(self):
|
||||
"""服务器连接"""
|
||||
self.connectionStatus = True
|
||||
@ -224,7 +224,7 @@ class LtsMdApi(MdApi):
|
||||
self.gateway.onLog(log)
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontDisconnected(self,n):
|
||||
"""服务器断开"""
|
||||
self.connectionStatus= False
|
||||
@ -236,12 +236,12 @@ class LtsMdApi(MdApi):
|
||||
log.logContent = u'行情服务器连接断开'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onHeartBeatWarning(self, n):
|
||||
"""心跳报警"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspError(self,error,n,last):
|
||||
"""错误回报"""
|
||||
err = VtErrorData()
|
||||
@ -250,7 +250,7 @@ class LtsMdApi(MdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogin(self, data, error, n, last):
|
||||
"""登陆回报"""
|
||||
# 如果登录成功，推送日志信息
|
||||
@ -275,7 +275,7 @@ class LtsMdApi(MdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogout(self, data, error, n, last):
|
||||
"""登出回报"""
|
||||
# 如果登出成功，推送日志信息
|
||||
@ -296,19 +296,19 @@ class LtsMdApi(MdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspSubMarketData(self, data, error, n, last):
|
||||
"""订阅合约回报"""
|
||||
# 通常不在乎订阅错误，选择忽略
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUnSubMarketData(self, data, error, n, last):
|
||||
"""退订合约回报"""
|
||||
# 同上
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnDepthMarketData(self, data):
|
||||
"""行情推送"""
|
||||
tick = VtTickData()
|
||||
@ -360,7 +360,7 @@ class LtsMdApi(MdApi):
|
||||
|
||||
self.gateway.onTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self, userID, password, brokerID, address):
|
||||
"""初始化连接"""
|
||||
self.userID = userID # 账号
|
||||
@ -387,7 +387,7 @@ class LtsMdApi(MdApi):
|
||||
if not self.loginStatus:
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅合约"""
|
||||
req = {}
|
||||
@ -403,7 +403,7 @@ class LtsMdApi(MdApi):
|
||||
|
||||
self.subscribedSymbols.add(subscribeReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def login(self):
|
||||
"""登录"""
|
||||
# 如果填入了用户名密码等，则登录
|
||||
@ -415,7 +415,7 @@ class LtsMdApi(MdApi):
|
||||
self.reqID += 1
|
||||
self.reqUserLogin(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.exit()
|
||||
@ -425,7 +425,7 @@ class LtsMdApi(MdApi):
|
||||
class LtsTdApi(TdApi):
|
||||
"""LTS交易API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""API对象的初始化函数"""
|
||||
super(LtsTdApi, self).__init__()
|
||||
@ -450,7 +450,7 @@ class LtsTdApi(TdApi):
|
||||
self.frontID = EMPTY_INT # 前置机编号
|
||||
self.sessionID = EMPTY_INT # 会话编号
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontConnected(self):
|
||||
"""服务器连接"""
|
||||
self.connectionStatus = True
|
||||
@ -464,7 +464,7 @@ class LtsTdApi(TdApi):
|
||||
self.reqID += 1
|
||||
self.reqFetchAuthRandCode({}, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontDisconnected(self, n):
|
||||
"""服务器断开"""
|
||||
self.connectionStatus = False
|
||||
@ -476,12 +476,12 @@ class LtsTdApi(TdApi):
|
||||
log.logContent = u'交易服务器连接断开'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onHeartBeatWarning(self, n):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogin(self, data, error, n, last):
|
||||
"""登陆回报"""
|
||||
# 如果登录成功，推送日志信息
|
||||
@ -504,7 +504,7 @@ class LtsTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogout(self, data, error, n, last):
|
||||
"""登出回报"""
|
||||
# 如果登出成功，推送日志信息
|
||||
@ -525,23 +525,23 @@ class LtsTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspFetchAuthRandCode(self, data, error, n, last):
|
||||
"""请求随机认证码"""
|
||||
self.randCode = data['RandCode']
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserPasswordUpdate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspTradingAccountPasswordUpdate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspOrderInsert(self, data, error, n, last):
|
||||
"""发单错误（柜台）"""
|
||||
err = VtErrorData()
|
||||
@ -550,7 +550,7 @@ class LtsTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspOrderAction(self, data, error, n, last):
|
||||
"""撤单错误（柜台）"""
|
||||
err = VtErrorData()
|
||||
@ -559,7 +559,7 @@ class LtsTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspError(self, error, n, last):
|
||||
"""错误回报"""
|
||||
err = VtErrorData()
|
||||
@ -568,7 +568,7 @@ class LtsTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnOrder(self, data):
|
||||
"""报单回报"""
|
||||
|
||||
@ -630,7 +630,7 @@ class LtsTdApi(TdApi):
|
||||
# 推送
|
||||
self.gateway.onOrder(order)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnTrade(self, data):
|
||||
"""成交回报"""
|
||||
# 创建报单数据对象
|
||||
@ -662,7 +662,7 @@ class LtsTdApi(TdApi):
|
||||
# 推送
|
||||
self.gateway.onTrade(trade)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnOrderInsert(self, data, error):
|
||||
"""发单错误回报（交易所）"""
|
||||
|
||||
@ -676,7 +676,7 @@ class LtsTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnOrderAction(self, data, error):
|
||||
"""撤单错误回报（交易所）"""
|
||||
err = VtErrorData()
|
||||
@ -685,42 +685,42 @@ class LtsTdApi(TdApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspFundOutByLiber(self, data, error, n, last):
|
||||
"""LTS发起出金应答"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnFundOutByLiber(self, data):
|
||||
"""LTS发起出金通知"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnFundOutByLiber(self, data, error):
|
||||
"""LTS发起出金错误回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnFundInByBank(self, data):
|
||||
"""银行发起入金通知"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspFundInterTransfer(self, data, error, n, last):
|
||||
"""资金内转应答"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRtnFundInterTransferSerial(self, data):
|
||||
"""资金内转流水通知"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onErrRtnFundInterTransfer(self, data, error):
|
||||
"""资金内转错误回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self, userID, password, brokerID, address, productInfo, authCode):
|
||||
"""初始化连接"""
|
||||
self.userID = userID # 账号
|
||||
@ -749,7 +749,7 @@ class LtsTdApi(TdApi):
|
||||
if not self.loginStatus:
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def login(self):
|
||||
"""连接服务器"""
|
||||
# 如果填入了用户名密码等，则登录
|
||||
@ -764,7 +764,7 @@ class LtsTdApi(TdApi):
|
||||
self.reqID += 1
|
||||
self.reqUserLogin(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
self.reqID += 1
|
||||
@ -806,7 +806,7 @@ class LtsTdApi(TdApi):
|
||||
vtOrderID = '.'.join([self.gatewayName, str(self.orderRef)])
|
||||
return vtOrderID
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
self.reqID += 1
|
||||
@ -825,7 +825,7 @@ class LtsTdApi(TdApi):
|
||||
|
||||
self.reqOrderAction(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.exit()
|
||||
@ -835,7 +835,7 @@ class LtsTdApi(TdApi):
|
||||
class LtsQryApi(QryApi):
|
||||
"""Lts账户查询实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""API对象的初始化函数"""
|
||||
super(LtsQryApi, self).__init__()
|
||||
@ -860,7 +860,7 @@ class LtsQryApi(QryApi):
|
||||
self.frontID = EMPTY_INT # 前置机编号
|
||||
self.sessionID = EMPTY_INT # 会话编号
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontConnected(self):
|
||||
"""服务器连接"""
|
||||
self.connectionStatus = True
|
||||
@ -874,7 +874,7 @@ class LtsQryApi(QryApi):
|
||||
self.reqID += 1
|
||||
self.reqFetchAuthRandCode({}, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onFrontDisconnected(self, n):
|
||||
"""服务器断开"""
|
||||
self.connectionStatus = False
|
||||
@ -886,12 +886,12 @@ class LtsQryApi(QryApi):
|
||||
log.logContent = u'查询服务器连接断开'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onHeartBeatWarning(self, n):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspError(self, error, n, last):
|
||||
"""错误回报"""
|
||||
err = VtErrorData()
|
||||
@ -900,7 +900,7 @@ class LtsQryApi(QryApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogin(self, data, error, n, last):
|
||||
"""登陆回报"""
|
||||
# 如果登录成功，推送日志信息
|
||||
@ -927,7 +927,7 @@ class LtsQryApi(QryApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspUserLogout(self, data, error, n, last):
|
||||
"""登出回报"""
|
||||
# 如果登出成功，推送日志信息
|
||||
@ -948,17 +948,17 @@ class LtsQryApi(QryApi):
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspFetchAuthRandCode(self, data, error, n, last):
|
||||
"""请求随机认证码"""
|
||||
self.randCode = data['RandCode']
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryExchange(self, data, error, n, last):
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInstrument(self, data, error, n, last):
|
||||
"""合约查询回报"""
|
||||
contract = VtContractData()
|
||||
@ -1004,17 +1004,17 @@ class LtsQryApi(QryApi):
|
||||
log.logContent = u'交易合约信息获取完成'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInvestor(self, data, error, n, last):
|
||||
"""投资者查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryTradingCode(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryTradingAccount(self, data, error, n, last):
|
||||
"""资金账户查询回报"""
|
||||
account = VtAccountData()
|
||||
@ -1038,102 +1038,102 @@ class LtsQryApi(QryApi):
|
||||
# 推送
|
||||
self.gateway.onAccount(account)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryBondInterest(self, data, error, n, last):
|
||||
"""债券利息查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryMarketRationInfo(self, data, error, n, last):
|
||||
"""市值配售查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInstrumentCommissionRate(self, data, error, n, last):
|
||||
"""合约手续费查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryETFInstrument(self, data, error, n, last):
|
||||
"""ETF基金查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryETFBasket(self, data, error, n, last):
|
||||
"""ETF股票篮查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryOFInstrument(self, data, error, n, last):
|
||||
"""OF合约查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQrySFInstrument(self, data, error, n, last):
|
||||
"""SF合约查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInstrumentUnitMargin(self, data, error, n, last):
|
||||
"""查询单手保证金"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryPreDelivInfo(self, data, error, n , last):
|
||||
"""查询预交割信息"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRsyQryCreditStockAssignInfo(self, data, error, n, last):
|
||||
"""查询可融券分配"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryCreditCashAssignInfo(self, data, error, n , last):
|
||||
"""查询可融资分配"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRsyQryConversionRate(self, data, error, n, last):
|
||||
"""查询证券这算率"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryHisCreditDebtInfo(self,data, error, n, last):
|
||||
"""查询历史信用负债"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryMarketDataStaticInfo(self, data, error, n, last):
|
||||
"""查询行情静态信息"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryExpireRepurchInfo(self, data, error, n, last):
|
||||
"""查询到期回购信息响应"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryBondPledgeRate(self, data, error, n, last):
|
||||
"""查询债券质押为标准券比例"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryPledgeBond(self, data, error, n, last):
|
||||
"""查询债券质押代码对照关系"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryOrder(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryTrade(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryInvestorPosition(self, data, error, n, last):
|
||||
"""持仓查询回报"""
|
||||
pos = VtPositionData()
|
||||
@ -1164,17 +1164,17 @@ class LtsQryApi(QryApi):
|
||||
# 推送
|
||||
self.gateway.onPosition(pos)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def OnRspQryFundTransferSerial(self, data, error, n, last):
|
||||
"""资金转账查询"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onRspQryFundInterTransferSerial(self, data, error,n, last):
|
||||
"""资金内转流水查询"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self, userID, password, brokerID, address, productInfo, authCode):
|
||||
"""初始化连接"""
|
||||
self.userID = userID # 账号
|
||||
@ -1203,7 +1203,7 @@ class LtsQryApi(QryApi):
|
||||
if not self.loginStatus:
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def login(self):
|
||||
"""连接服务器"""
|
||||
# 如果填入了用户名密码等，则登录
|
||||
@ -1220,7 +1220,7 @@ class LtsQryApi(QryApi):
|
||||
|
||||
self.reqUserLogin(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAccount(self):
|
||||
"""查询账户"""
|
||||
self.reqID += 1
|
||||
@ -1230,7 +1230,7 @@ class LtsQryApi(QryApi):
|
||||
req['InvestorID'] = self.userID
|
||||
self.reqQryTradingAccount(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getPosition(self):
|
||||
"""查询持仓"""
|
||||
self.reqID += 1
|
||||
@ -1239,7 +1239,7 @@ class LtsQryApi(QryApi):
|
||||
req['InvestorID'] = self.userID
|
||||
self.reqQryInvestorPosition(req, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.exit()
|
||||
|
||||
@ -16,7 +16,7 @@ BASIC_FONT = QtGui.QFont(u'微软雅黑', 12)
|
||||
class BasicCell(QtGui.QTableWidgetItem):
|
||||
"""基础的单元格"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, text=None):
|
||||
"""Constructor"""
|
||||
super(BasicCell, self).__init__()
|
||||
@ -24,7 +24,7 @@ class BasicCell(QtGui.QTableWidgetItem):
|
||||
if text:
|
||||
self.setContent(text)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setContent(self, text):
|
||||
"""设置内容"""
|
||||
|
||||
@ -38,7 +38,7 @@ class BasicCell(QtGui.QTableWidgetItem):
|
||||
class DirectionCell(QtGui.QTableWidgetItem):
|
||||
"""用来显示买卖方向的单元格"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, text=None):
|
||||
"""Constructor"""
|
||||
super(DirectionCell, self).__init__()
|
||||
@ -46,7 +46,7 @@ class DirectionCell(QtGui.QTableWidgetItem):
|
||||
if text:
|
||||
self.setContent(text)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setContent(self, text):
|
||||
"""设置内容"""
|
||||
if text == DIRECTION_LONG or text == DIRECTION_NET:
|
||||
@ -61,7 +61,7 @@ class NameCell(QtGui.QTableWidgetItem):
|
||||
"""用来显示合约中文的单元格"""
|
||||
dataEngine = None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, text=None, dataEngine=None):
|
||||
"""Constructor"""
|
||||
super(NameCell, self).__init__()
|
||||
@ -69,13 +69,13 @@ class NameCell(QtGui.QTableWidgetItem):
|
||||
if text:
|
||||
self.setContent(text)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def setDataEngine(self, dataEngine):
|
||||
"""设置读取合约用的数据引擎对象"""
|
||||
self.dataEngine = dataEngine
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setContent(self, text):
|
||||
"""设置内容"""
|
||||
if self.dataEngine:
|
||||
@ -97,7 +97,7 @@ class NameCell(QtGui.QTableWidgetItem):
|
||||
class BidCell(QtGui.QTableWidgetItem):
|
||||
"""买价单元格"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, text=None):
|
||||
"""Constructor"""
|
||||
super(BidCell, self).__init__()
|
||||
@ -108,7 +108,7 @@ class BidCell(QtGui.QTableWidgetItem):
|
||||
if text:
|
||||
self.setContent(text)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setContent(self, text):
|
||||
"""设置内容"""
|
||||
self.setText(text)
|
||||
@ -118,7 +118,7 @@ class BidCell(QtGui.QTableWidgetItem):
|
||||
class AskCell(QtGui.QTableWidgetItem):
|
||||
"""买价单元格"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, text=None):
|
||||
"""Constructor"""
|
||||
super(AskCell, self).__init__()
|
||||
@ -129,7 +129,7 @@ class AskCell(QtGui.QTableWidgetItem):
|
||||
if text:
|
||||
self.setContent(text)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setContent(self, text):
|
||||
"""设置内容"""
|
||||
self.setText(text)
|
||||
@ -146,7 +146,7 @@ class BasicMonitor(QtGui.QTableWidget):
|
||||
"""
|
||||
signal = QtCore.pyqtSignal(type(Event()))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine=None, parent=None):
|
||||
"""Constructor"""
|
||||
super(BasicMonitor, self).__init__(parent)
|
||||
@ -170,33 +170,33 @@ class BasicMonitor(QtGui.QTableWidget):
|
||||
# 保存数据对象到单元格
|
||||
self.saveData = False
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setHeaderDict(self, headerDict):
|
||||
"""设置表头有序字典"""
|
||||
self.headerDict = headerDict
|
||||
self.headerList = headerDict.keys()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setDataKey(self, dataKey):
|
||||
"""设置数据字典的键"""
|
||||
self.dataKey = dataKey
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setEventType(self, eventType):
|
||||
"""设置监控的事件类型"""
|
||||
self.eventType = eventType
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setFont(self, font):
|
||||
"""设置字体"""
|
||||
self.font = font
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def setSaveData(self, saveData):
|
||||
"""设置是否要保存数据到单元格"""
|
||||
self.saveData = saveData
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initTable(self):
|
||||
"""初始化表格"""
|
||||
# 设置表格的列数
|
||||
@ -216,19 +216,19 @@ class BasicMonitor(QtGui.QTableWidget):
|
||||
# 设为行交替颜色
|
||||
self.setAlternatingRowColors(True)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def registerEvent(self):
|
||||
"""注册GUI更新相关的事件监听"""
|
||||
self.signal.connect(self.updateEvent)
|
||||
self.eventEngine.register(self.eventType, self.signal.emit)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateEvent(self, event):
|
||||
"""收到事件更新"""
|
||||
data = event.dict_['data']
|
||||
self.updateData(data)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateData(self, data):
|
||||
"""将数据更新到表格中"""
|
||||
# 如果设置了dataKey，则采用存量更新模式
|
||||
@ -281,7 +281,7 @@ class BasicMonitor(QtGui.QTableWidget):
|
||||
# 调整列宽
|
||||
self.resizeColumns()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def resizeColumns(self):
|
||||
"""调整各列的大小"""
|
||||
self.horizontalHeader().resizeSections(QtGui.QHeaderView.ResizeToContents)
|
||||
@ -291,7 +291,7 @@ class BasicMonitor(QtGui.QTableWidget):
|
||||
class MarketMonitor(BasicMonitor):
|
||||
"""市场监控组件"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(MarketMonitor, self).__init__(eventEngine, parent)
|
||||
@ -334,7 +334,7 @@ class MarketMonitor(BasicMonitor):
|
||||
class LogMonitor(BasicMonitor):
|
||||
"""日志监控"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(LogMonitor, self).__init__(eventEngine, parent)
|
||||
@ -355,7 +355,7 @@ class LogMonitor(BasicMonitor):
|
||||
class ErrorMonitor(BasicMonitor):
|
||||
"""错误监控"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(ErrorMonitor, self).__init__(eventEngine, parent)
|
||||
@ -377,7 +377,7 @@ class ErrorMonitor(BasicMonitor):
|
||||
class TradeMonitor(BasicMonitor):
|
||||
"""成交监控"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(TradeMonitor, self).__init__(eventEngine, parent)
|
||||
@ -405,7 +405,7 @@ class TradeMonitor(BasicMonitor):
|
||||
class OrderMonitor(BasicMonitor):
|
||||
"""委托监控"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, mainEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(OrderMonitor, self).__init__(eventEngine, parent)
|
||||
@ -439,13 +439,13 @@ class OrderMonitor(BasicMonitor):
|
||||
|
||||
self.connectSignal()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connectSignal(self):
|
||||
"""连接信号"""
|
||||
# 双击单元格撤单
|
||||
self.itemDoubleClicked.connect(self.cancelOrder)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, cell):
|
||||
"""根据单元格的数据撤单"""
|
||||
order = cell.data
|
||||
@ -463,7 +463,7 @@ class OrderMonitor(BasicMonitor):
|
||||
class PositionMonitor(BasicMonitor):
|
||||
"""持仓监控"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(PositionMonitor, self).__init__(eventEngine, parent)
|
||||
@ -489,7 +489,7 @@ class PositionMonitor(BasicMonitor):
|
||||
class AccountMonitor(BasicMonitor):
|
||||
"""账户监控"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(AccountMonitor, self).__init__(eventEngine, parent)
|
||||
@ -552,7 +552,7 @@ class TradingWidget(QtGui.QFrame):
|
||||
|
||||
gatewayList = ['']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, mainEngine, eventEngine, dataEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(TradingWidget, self).__init__(parent)
|
||||
@ -568,7 +568,7 @@ class TradingWidget(QtGui.QFrame):
|
||||
self.initUi()
|
||||
self.connectSignal()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化界面"""
|
||||
self.setWindowTitle(u'交易')
|
||||
@ -756,7 +756,7 @@ class TradingWidget(QtGui.QFrame):
|
||||
buttonCancelAll.clicked.connect(self.cancelAll)
|
||||
self.lineSymbol.returnPressed.connect(self.updateSymbol)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateSymbol(self):
|
||||
"""合约变化"""
|
||||
|
||||
@ -874,7 +874,7 @@ class TradingWidget(QtGui.QFrame):
|
||||
# 更新组件当前交易的合约
|
||||
self.symbol = vtSymbol
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateTick(self, event):
|
||||
"""更新行情"""
|
||||
tick = event.dict_['data']
|
||||
@ -914,12 +914,12 @@ class TradingWidget(QtGui.QFrame):
|
||||
else:
|
||||
self.labelReturn.setText('')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connectSignal(self):
|
||||
"""连接Signal"""
|
||||
self.signal.connect(self.updateTick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sendOrder(self):
|
||||
"""发单"""
|
||||
|
||||
@ -954,7 +954,7 @@ class TradingWidget(QtGui.QFrame):
|
||||
|
||||
self.mainEngine.sendOrder(req, gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelAll(self):
|
||||
"""一键撤销所有委托"""
|
||||
l = self.dataEngine.getAllWorkingOrders()
|
||||
@ -972,7 +972,7 @@ class TradingWidget(QtGui.QFrame):
|
||||
class ContractMonitor(BasicMonitor):
|
||||
"""合约查询"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, dataEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(ContractMonitor, self).__init__(parent=parent)
|
||||
@ -994,7 +994,7 @@ class ContractMonitor(BasicMonitor):
|
||||
|
||||
self.initUi()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化界面"""
|
||||
self.setWindowTitle(u'合约查询')
|
||||
@ -1003,7 +1003,7 @@ class ContractMonitor(BasicMonitor):
|
||||
self.initTable()
|
||||
self.initMenu()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def showAllContracts(self):
|
||||
"""显示所有合约数据"""
|
||||
l = self.dataEngine.getAllContracts()
|
||||
@ -1029,7 +1029,7 @@ class ContractMonitor(BasicMonitor):
|
||||
|
||||
row = row + 1
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def refresh(self):
|
||||
"""刷新"""
|
||||
self.clearContents()
|
||||
@ -1037,7 +1037,7 @@ class ContractMonitor(BasicMonitor):
|
||||
self.showAllContracts()
|
||||
self.menu.close() # 关闭菜单
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initMenu(self):
|
||||
"""初始化右键菜单"""
|
||||
refreshAction = QtGui.QAction(u'刷新', self)
|
||||
@ -1046,12 +1046,12 @@ class ContractMonitor(BasicMonitor):
|
||||
self.menu = QtGui.QMenu(self)
|
||||
self.menu.addAction(refreshAction)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def contextMenuEvent(self, event):
|
||||
"""右键点击事件"""
|
||||
self.menu.popup(QtGui.QCursor.pos())
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def show(self):
|
||||
"""显示"""
|
||||
super(ContractMonitor, self).show()
|
||||
|
||||
@ -12,7 +12,7 @@ class ValueMonitor(QtGui.QTableWidget):
|
||||
"""数值监控"""
|
||||
signal = QtCore.pyqtSignal()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, parent=None):
|
||||
"""Constructor"""
|
||||
super(ValueMonitor , self).__init__(parent)
|
||||
@ -24,7 +24,7 @@ class ValueMonitor(QtGui.QTableWidget):
|
||||
self.initUi()
|
||||
self.signal.connect(self.updateTable)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化界面"""
|
||||
self.setColumnCount(2)
|
||||
@ -35,13 +35,13 @@ class ValueMonitor(QtGui.QTableWidget):
|
||||
self.setEditTriggers(self.NoEditTriggers)
|
||||
self.setAlternatingRowColors(True)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateData(self, data):
|
||||
"""更新数据"""
|
||||
self.data = data
|
||||
self.signal.emit()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateTable(self):
|
||||
"""更新表格"""
|
||||
for key, value in self.data.items():
|
||||
@ -63,9 +63,11 @@ class ValueMonitor(QtGui.QTableWidget):
|
||||
|
||||
########################################################################
|
||||
class CtaStrategyManager(QtGui.QGroupBox):
|
||||
"""策略管理组件"""
|
||||
"""策略管理组件
|
||||
即策略的UI，提供了启动、停止，查看参数，参看变量等显示信息
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, eventEngine, name, parent=None):
|
||||
"""Constructor"""
|
||||
super(CtaStrategyManager, self).__init__(parent)
|
||||
@ -78,7 +80,7 @@ class CtaStrategyManager(QtGui.QGroupBox):
|
||||
self.updateMonitor()
|
||||
self.registerEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化界面"""
|
||||
self.setTitle(self.name)
|
||||
@ -107,28 +109,32 @@ class CtaStrategyManager(QtGui.QGroupBox):
|
||||
vbox.addWidget(self.varMonitor)
|
||||
self.setLayout(vbox)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateMonitor(self, event=None):
|
||||
"""显示策略最新状态"""
|
||||
|
||||
# 调用CTA策略引擎,获取策略的所有参数的值（依赖策略的ParamList配置）
|
||||
paramDict = self.ctaEngine.getStrategyParam(self.name)
|
||||
if paramDict:
|
||||
self.paramMonitor.updateData(paramDict)
|
||||
|
||||
|
||||
# 调用CTA策略引擎,获取策略的所有变量的值（依赖策略的varList配置）
|
||||
varDict = self.ctaEngine.getStrategyVar(self.name)
|
||||
if varDict:
|
||||
self.varMonitor.updateData(varDict)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def registerEvent(self):
|
||||
"""注册事件监听"""
|
||||
# 注册定时器，定时更新策略最新状态
|
||||
self.eventEngine.register(EVENT_TIMER, self.updateMonitor)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def start(self):
|
||||
"""启动策略"""
|
||||
self.ctaEngine.startStrategy(self.name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""停止策略"""
|
||||
self.ctaEngine.stopStrategy(self.name)
|
||||
@ -138,9 +144,11 @@ class CtaStrategyManager(QtGui.QGroupBox):
|
||||
########################################################################
|
||||
class CtaEngineManager(QtGui.QWidget):
|
||||
"""CTA引擎管理组件"""
|
||||
|
||||
# 定义信号对象，为Event的类型
|
||||
signal = QtCore.pyqtSignal(type(Event()))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, eventEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(CtaEngineManager, self).__init__(parent)
|
||||
@ -156,7 +164,7 @@ class CtaEngineManager(QtGui.QWidget):
|
||||
# 记录日志
|
||||
self.ctaEngine.writeCtaLog(u'CTA引擎启动成功')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化界面"""
|
||||
self.setWindowTitle(u'CTA策略')
|
||||
@ -190,50 +198,66 @@ class CtaEngineManager(QtGui.QWidget):
|
||||
vbox.addWidget(self.ctaLogMonitor)
|
||||
self.setLayout(vbox)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initStrategyManager(self):
|
||||
"""初始化策略管理组件界面"""
|
||||
"""初始化策略管理组件界面"""
|
||||
# 构建组件w
|
||||
w = QtGui.QWidget()
|
||||
|
||||
# 构建Layout层
|
||||
hbox = QtGui.QHBoxLayout()
|
||||
|
||||
|
||||
# 将策略UI组件逐一添加Layout层
|
||||
for name in self.ctaEngine.strategyDict.keys():
|
||||
strategyManager = CtaStrategyManager(self.ctaEngine, self.eventEngine, name)
|
||||
hbox.addWidget(strategyManager)
|
||||
|
||||
|
||||
# w绑定Layout层
|
||||
w.setLayout(hbox)
|
||||
|
||||
# 滚动区域，设置为组件w
|
||||
self.scrollArea.setWidget(w)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def startAll(self):
|
||||
"""全部启动"""
|
||||
for name in self.ctaEngine.strategyDict.keys():
|
||||
self.ctaEngine.startStrategy(name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def stopAll(self):
|
||||
"""全部停止"""
|
||||
for name in self.ctaEngine.strategyDict.keys():
|
||||
self.ctaEngine.stopStrategy(name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def load(self):
|
||||
"""加载策略"""
|
||||
if not self.strategyLoaded:
|
||||
|
||||
# 调用策略引擎，加载所有策略设置
|
||||
self.ctaEngine.loadStrategySetting()
|
||||
|
||||
# 初始化所有策略的UI组件
|
||||
self.initStrategyManager()
|
||||
|
||||
self.strategyLoaded = True
|
||||
|
||||
self.ctaEngine.writeCtaLog(u'策略加载成功')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateCtaLog(self, event):
|
||||
"""更新CTA相关日志"""
|
||||
log = event.dict_['data']
|
||||
content = '\t'.join([log.logTime, log.logContent])
|
||||
self.ctaLogMonitor.append(content)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def registerEvent(self):
|
||||
"""注册事件监听"""
|
||||
# 定义信号绑定方法
|
||||
self.signal.connect(self.updateCtaLog)
|
||||
|
||||
# 注册EVENT_CAT_LOG类型的事件，触发方法为信号的焕发（emit）
|
||||
self.eventEngine.register(EVENT_CTA_LOG, self.signal.emit)
|
||||
|
||||
|
||||
@ -10,7 +10,7 @@ from uiCtaWidget import CtaEngineManager
|
||||
class MainWindow(QtGui.QMainWindow):
|
||||
"""主窗口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, mainEngine, eventEngine, dataEngine):
|
||||
"""Constructor"""
|
||||
super(MainWindow, self).__init__()
|
||||
@ -21,7 +21,7 @@ class MainWindow(QtGui.QMainWindow):
|
||||
|
||||
self.initUi()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化界面"""
|
||||
self.setWindowTitle('VnTrader')
|
||||
@ -29,7 +29,7 @@ class MainWindow(QtGui.QMainWindow):
|
||||
self.initMenu()
|
||||
self.initStatusBar()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initCentral(self):
|
||||
"""初始化中心区域"""
|
||||
marketM = MarketMonitor(self.eventEngine)
|
||||
@ -65,13 +65,23 @@ class MainWindow(QtGui.QMainWindow):
|
||||
central.setLayout(grid)
|
||||
self.setCentralWidget(central)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initMenu(self):
|
||||
"""初始化菜单"""
|
||||
|
||||
# 创建操作
|
||||
connectCtpAction = QtGui.QAction(u'连接CTP', self)
|
||||
connectCtpAction.triggered.connect(self.connectCtp)
|
||||
|
||||
connectCtpProdAction = QtGui.QAction(u'连接生产CTP', self)
|
||||
connectCtpProdAction.triggered.connect(self.connectCtpProd)
|
||||
|
||||
connectCtpPostAction = QtGui.QAction(u'连接盘后CTP', self)
|
||||
connectCtpPostAction.triggered.connect(self.connectCtpPost)
|
||||
|
||||
connectCtpTestAction = QtGui.QAction(u'连接测试CTP', self)
|
||||
connectCtpTestAction.triggered.connect(self.connectCtpTest)
|
||||
|
||||
#connectCtpAction = QtGui.QAction(u'连接CTP', self)
|
||||
#connectCtpAction.triggered.connect(self.connectCtp)
|
||||
|
||||
connectLtsAction = QtGui.QAction(u'连接LTS', self)
|
||||
connectLtsAction.triggered.connect(self.connectLts)
|
||||
|
||||
@ -104,7 +114,11 @@ class MainWindow(QtGui.QMainWindow):
|
||||
menubar = self.menuBar()
|
||||
|
||||
sysMenu = menubar.addMenu(u'系统')
|
||||
sysMenu.addAction(connectCtpAction)
|
||||
sysMenu.addAction(connectCtpProdAction)
|
||||
sysMenu.addAction(connectCtpPostAction)
|
||||
sysMenu.addAction(connectCtpTestAction)
|
||||
#sysMenu.addAction(connectCtpAction)
|
||||
|
||||
sysMenu.addAction(connectLtsAction)
|
||||
sysMenu.addAction(connectWindAction)
|
||||
|
||||
@ -121,7 +135,7 @@ class MainWindow(QtGui.QMainWindow):
|
||||
helpMenu = menubar.addMenu(u'帮助')
|
||||
helpMenu.addAction(aboutAction)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initStatusBar(self):
|
||||
"""初始化状态栏"""
|
||||
self.statusLabel = QtGui.QLabel()
|
||||
@ -134,7 +148,7 @@ class MainWindow(QtGui.QMainWindow):
|
||||
self.sbTrigger = 10 # 10秒刷新一次
|
||||
self.eventEngine.register(EVENT_TIMER, self.updateStatusBar)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateStatusBar(self, event):
|
||||
"""在状态栏更新CPU和内存信息"""
|
||||
self.sbCount += 1
|
||||
@ -143,35 +157,48 @@ class MainWindow(QtGui.QMainWindow):
|
||||
self.sbCount = 0
|
||||
self.statusLabel.setText(self.getCpuMemory())
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getCpuMemory(self):
|
||||
"""获取CPU和内存状态信息"""
|
||||
cpuPercent = psutil.cpu_percent()
|
||||
memoryPercent = psutil.virtual_memory().percent
|
||||
return u'CPU使用率：%d%% 内存使用率：%d%%' % (cpuPercent, memoryPercent)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connectCtpProd(self):
|
||||
"""连接生产环境CTP接口"""
|
||||
self.mainEngine.connect('CTP_Prod')
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def connectCtpPost(self):
|
||||
"""连接盘后CTP接口"""
|
||||
self.mainEngine.connect('CTP_Post')
|
||||
|
||||
def connectCtpTest(self):
|
||||
"""连接测试环境CTP接口"""
|
||||
self.mainEngine.connect('CTP_Test')
|
||||
|
||||
def connectCtp(self):
|
||||
"""连接CTP接口"""
|
||||
self.mainEngine.connect('CTP')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def connectLts(self):
|
||||
"""连接LTS接口"""
|
||||
self.mainEngine.connect('LTS')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connectWind(self):
|
||||
"""连接Wind接口"""
|
||||
self.mainEngine.connect('Wind')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
|
||||
def connectIb(self):
|
||||
"""连接Ib"""
|
||||
self.mainEngine.connect('IB')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def testSubscribe(self):
|
||||
"""测试订阅"""
|
||||
req = VtSubscribeReq()
|
||||
@ -193,7 +220,7 @@ class MainWindow(QtGui.QMainWindow):
|
||||
req.symbol = 'GE'
|
||||
self.mainEngine.subscribe(req, 'IB')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def openAbout(self):
|
||||
"""打开关于"""
|
||||
try:
|
||||
@ -202,7 +229,7 @@ class MainWindow(QtGui.QMainWindow):
|
||||
self.aboutW = AboutWidget(self)
|
||||
self.aboutW.show()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def openContract(self):
|
||||
"""打开合约查询"""
|
||||
try:
|
||||
@ -212,7 +239,7 @@ class MainWindow(QtGui.QMainWindow):
|
||||
self.contractM.show()
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def openCta(self):
|
||||
"""打开CTA组件"""
|
||||
try:
|
||||
@ -222,7 +249,7 @@ class MainWindow(QtGui.QMainWindow):
|
||||
self.ctaM.show()
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def closeEvent(self, event):
|
||||
"""关闭事件"""
|
||||
reply = QtGui.QMessageBox.question(self, u'退出',
|
||||
@ -240,14 +267,14 @@ class MainWindow(QtGui.QMainWindow):
|
||||
class AboutWidget(QtGui.QDialog):
|
||||
"""显示关于信息"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, parent=None):
|
||||
"""Constructor"""
|
||||
super(AboutWidget, self).__init__(parent)
|
||||
|
||||
self.initUi()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
""""""
|
||||
self.setWindowTitle(u'关于')
|
||||
|
||||
@ -20,7 +20,7 @@ from ctaEngine import CtaEngine
|
||||
class MainEngine(object):
|
||||
"""主引擎"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
# 创建事件引擎
|
||||
@ -37,6 +37,15 @@ class MainEngine(object):
|
||||
# 创建我们想要接入的接口对象
|
||||
self.addGateway(CtpGateway, 'CTP')
|
||||
self.gatewayDict['CTP'].setQryEnabled(True)
|
||||
|
||||
self.addGateway(CtpGateway, 'CTP_Prod')
|
||||
self.gatewayDict['CTP_Prod'].setQryEnabled(True)
|
||||
|
||||
self.addGateway(CtpGateway, 'CTP_Post')
|
||||
self.gatewayDict['CTP_Post'].setQryEnabled(True)
|
||||
|
||||
self.addGateway(CtpGateway, 'CTP_Test')
|
||||
self.gatewayDict['CTP_Test'].setQryEnabled(True)
|
||||
|
||||
self.addGateway(LtsGateway, 'LTS')
|
||||
self.gatewayDict['LTS'].setQryEnabled(True)
|
||||
@ -51,12 +60,12 @@ class MainEngine(object):
|
||||
# CTA引擎
|
||||
self.ctaEngine = CtaEngine(self, self.eventEngine, self.dataEngine)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def addGateway(self, gateway, gatewayName=None):
|
||||
"""创建接口"""
|
||||
self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self, gatewayName):
|
||||
"""连接特定名称的接口"""
|
||||
if gatewayName in self.gatewayDict:
|
||||
@ -65,7 +74,7 @@ class MainEngine(object):
|
||||
else:
|
||||
self.writeLog(u'接口不存在：%s' %gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq, gatewayName):
|
||||
"""订阅特定接口的行情"""
|
||||
if gatewayName in self.gatewayDict:
|
||||
@ -74,7 +83,7 @@ class MainEngine(object):
|
||||
else:
|
||||
self.writeLog(u'接口不存在：%s' %gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq, gatewayName):
|
||||
"""对特定接口发单"""
|
||||
if gatewayName in self.gatewayDict:
|
||||
@ -83,7 +92,7 @@ class MainEngine(object):
|
||||
else:
|
||||
self.writeLog(u'接口不存在：%s' %gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq, gatewayName):
|
||||
"""对特定接口撤单"""
|
||||
if gatewayName in self.gatewayDict:
|
||||
@ -92,7 +101,7 @@ class MainEngine(object):
|
||||
else:
|
||||
self.writeLog(u'接口不存在：%s' %gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAccont(self, gatewayName):
|
||||
"""查询特定接口的账户"""
|
||||
if gatewayName in self.gatewayDict:
|
||||
@ -101,7 +110,7 @@ class MainEngine(object):
|
||||
else:
|
||||
self.writeLog(u'接口不存在：%s' %gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getPosition(self, gatewayName):
|
||||
"""查询特定接口的持仓"""
|
||||
if gatewayName in self.gatewayDict:
|
||||
@ -110,7 +119,7 @@ class MainEngine(object):
|
||||
else:
|
||||
self.writeLog(u'接口不存在：%s' %gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def exit(self):
|
||||
"""退出程序前调用，保证正常退出"""
|
||||
# 安全关闭所有接口
|
||||
@ -123,7 +132,7 @@ class MainEngine(object):
|
||||
# 保存数据引擎里的合约数据到硬盘
|
||||
self.dataEngine.saveContracts()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def writeLog(self, content):
|
||||
"""快速发出日志事件"""
|
||||
log = VtLogData()
|
||||
@ -132,7 +141,7 @@ class MainEngine(object):
|
||||
event.dict_['data'] = log
|
||||
self.eventEngine.put(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def dbConnect(self):
|
||||
"""连接MongoDB数据库"""
|
||||
if not self.dbClient:
|
||||
@ -142,7 +151,7 @@ class MainEngine(object):
|
||||
except ConnectionFailure:
|
||||
self.writeLog(u'MongoDB连接失败')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def dbInsert(self, dbName, collectionName, d):
|
||||
"""向MongoDB中插入数据，d是具体数据"""
|
||||
if self.dbClient:
|
||||
@ -150,7 +159,7 @@ class MainEngine(object):
|
||||
collection = db[collectionName]
|
||||
collection.insert(d)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def dbQuery(self, dbName, collectionName, d):
|
||||
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针"""
|
||||
if self.dbClient:
|
||||
@ -167,7 +176,7 @@ class DataEngine(object):
|
||||
"""数据引擎"""
|
||||
contractFileName = 'ContractData.vt'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine):
|
||||
"""Constructor"""
|
||||
self.eventEngine = eventEngine
|
||||
@ -187,14 +196,14 @@ class DataEngine(object):
|
||||
# 注册事件监听
|
||||
self.registerEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateContract(self, event):
|
||||
"""更新合约数据"""
|
||||
contract = event.dict_['data']
|
||||
self.contractDict[contract.vtSymbol] = contract
|
||||
self.contractDict[contract.symbol] = contract # 使用常规代码（不包括交易所）可能导致重复
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getContract(self, vtSymbol):
|
||||
"""查询合约对象"""
|
||||
try:
|
||||
@ -202,19 +211,19 @@ class DataEngine(object):
|
||||
except KeyError:
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAllContracts(self):
|
||||
"""查询所有合约对象（返回列表）"""
|
||||
return self.contractDict.values()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def saveContracts(self):
|
||||
"""保存所有合约对象到硬盘"""
|
||||
f = shelve.open(self.contractFileName)
|
||||
f['data'] = self.contractDict
|
||||
f.close()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def loadContracts(self):
|
||||
"""从硬盘读取合约对象"""
|
||||
f = shelve.open(self.contractFileName)
|
||||
@ -224,7 +233,7 @@ class DataEngine(object):
|
||||
self.contractDict[key] = value
|
||||
f.close()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def updateOrder(self, event):
|
||||
"""更新委托数据"""
|
||||
order = event.dict_['data']
|
||||
@ -238,20 +247,20 @@ class DataEngine(object):
|
||||
else:
|
||||
self.workingOrderDict[order.vtOrderID] = order
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getOrder(self, vtOrderID):
|
||||
"""查询委托"""
|
||||
"""查询委托单（报单）"""
|
||||
try:
|
||||
return self.orderDict[vtOrderID]
|
||||
except KeyError:
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAllWorkingOrders(self):
|
||||
"""查询所有活动委托（返回列表）"""
|
||||
return self.workingOrderDict.values()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def registerEvent(self):
|
||||
"""注册事件监听"""
|
||||
self.eventEngine.register(EVENT_CONTRACT, self.updateContract)
|
||||
|
||||
@ -9,7 +9,7 @@ import decimal
|
||||
MAX_NUMBER = 1000000000
|
||||
MAX_DECIMAL = 4
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def safeUnicode(value):
|
||||
"""检查接口数据潜在的错误，保证转化为的字符串正确"""
|
||||
# 检查是数字接近0时会出现的浮点数上限
|
||||
|
||||
@ -11,13 +11,13 @@ from vtConstant import *
|
||||
class VtGateway(object):
|
||||
"""交易接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, gatewayName):
|
||||
"""Constructor"""
|
||||
self.eventEngine = eventEngine
|
||||
self.gatewayName = gatewayName
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""市场行情推送"""
|
||||
# 通用事件
|
||||
@ -30,7 +30,7 @@ class VtGateway(object):
|
||||
event2.dict_['data'] = tick
|
||||
self.eventEngine.put(event2)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
"""成交信息推送"""
|
||||
# 因为成交通常都是事后才会知道成交编号，因此只需要推送通用事件
|
||||
@ -38,7 +38,7 @@ class VtGateway(object):
|
||||
event1.dict_['data'] = trade
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""订单变化推送"""
|
||||
# 通用事件
|
||||
@ -51,7 +51,7 @@ class VtGateway(object):
|
||||
event2.dict_['data'] = order
|
||||
self.eventEngine.put(event2)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onPosition(self, position):
|
||||
"""持仓信息推送"""
|
||||
# 通用事件
|
||||
@ -64,7 +64,7 @@ class VtGateway(object):
|
||||
event2.dict_['data'] = position
|
||||
self.eventEngine.put(event2)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onAccount(self, account):
|
||||
"""账户信息推送"""
|
||||
# 通用事件
|
||||
@ -77,7 +77,7 @@ class VtGateway(object):
|
||||
event2.dict_['data'] = account
|
||||
self.eventEngine.put(event2)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onError(self, error):
|
||||
"""错误信息推送"""
|
||||
# 通用事件
|
||||
@ -85,7 +85,7 @@ class VtGateway(object):
|
||||
event1.dict_['data'] = error
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onLog(self, log):
|
||||
"""日志推送"""
|
||||
# 通用事件
|
||||
@ -93,7 +93,7 @@ class VtGateway(object):
|
||||
event1.dict_['data'] = log
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def onContract(self, contract):
|
||||
"""合约基础信息推送"""
|
||||
# 通用事件
|
||||
@ -101,37 +101,37 @@ class VtGateway(object):
|
||||
event1.dict_['data'] = contract
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAccount(self):
|
||||
"""查询账户资金"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getPosition(self):
|
||||
"""查询持仓"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
pass
|
||||
@ -141,7 +141,7 @@ class VtGateway(object):
|
||||
class VtBaseData(object):
|
||||
"""回调函数推送数据的基础类，其他数据类继承于此"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
self.gatewayName = EMPTY_STRING # Gateway名称
|
||||
@ -152,7 +152,7 @@ class VtBaseData(object):
|
||||
class VtTickData(VtBaseData):
|
||||
"""Tick行情数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtTickData, self).__init__()
|
||||
@ -209,7 +209,7 @@ class VtTickData(VtBaseData):
|
||||
class VtTradeData(VtBaseData):
|
||||
"""成交数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtTradeData, self).__init__()
|
||||
@ -237,7 +237,7 @@ class VtTradeData(VtBaseData):
|
||||
class VtOrderData(VtBaseData):
|
||||
"""订单数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtOrderData, self).__init__()
|
||||
@ -270,7 +270,7 @@ class VtOrderData(VtBaseData):
|
||||
class VtPositionData(VtBaseData):
|
||||
"""持仓数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtPositionData, self).__init__()
|
||||
@ -292,7 +292,7 @@ class VtPositionData(VtBaseData):
|
||||
class VtAccountData(VtBaseData):
|
||||
"""账户数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtAccountData, self).__init__()
|
||||
@ -315,7 +315,7 @@ class VtAccountData(VtBaseData):
|
||||
class VtErrorData(VtBaseData):
|
||||
"""错误数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtErrorData, self).__init__()
|
||||
@ -329,7 +329,7 @@ class VtErrorData(VtBaseData):
|
||||
class VtLogData(VtBaseData):
|
||||
"""日志数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtLogData, self).__init__()
|
||||
@ -342,7 +342,7 @@ class VtLogData(VtBaseData):
|
||||
class VtContractData(VtBaseData):
|
||||
"""合约详细信息类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtBaseData, self).__init__()
|
||||
@ -366,7 +366,7 @@ class VtContractData(VtBaseData):
|
||||
class VtSubscribeReq:
|
||||
"""订阅行情时传入的对象类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
self.symbol = EMPTY_STRING # 代码
|
||||
@ -384,7 +384,7 @@ class VtSubscribeReq:
|
||||
class VtOrderReq:
|
||||
"""发单时传入的对象类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
self.symbol = EMPTY_STRING # 代码
|
||||
@ -408,7 +408,7 @@ class VtOrderReq:
|
||||
class VtCancelOrderReq:
|
||||
"""撤单时传入的对象类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
self.symbol = EMPTY_STRING # 代码
|
||||
|
||||
@ -6,7 +6,7 @@ import ctypes
|
||||
from vtEngine import MainEngine
|
||||
from uiMainWindow import *
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def main():
|
||||
"""主程序入口"""
|
||||
# 设置底部任务栏图标，win7以下请注释掉
|
||||
|
||||
@ -67,7 +67,7 @@ class WindGateway(VtGateway):
|
||||
|
||||
wsqParam = ','.join(wsqParamMap.keys())
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, gatewayName='Wind'):
|
||||
"""Constructor"""
|
||||
super(WindGateway, self).__init__(eventEngine, gatewayName)
|
||||
@ -81,7 +81,7 @@ class WindGateway(VtGateway):
|
||||
|
||||
self.registerEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
# 由于w.start方法会阻塞较长时间
|
||||
@ -90,13 +90,13 @@ class WindGateway(VtGateway):
|
||||
event = Event(type_=EVENT_WIND_CONNECTREQ)
|
||||
self.eventEngine.put(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
windSymbol = '.'.join([subscribeReq.symbol, exchangeMap[subscribeReq.exchange]])
|
||||
data = self.w.wsq(windSymbol, self.wsqParam, func=self.wsqCallBack)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
log = VtLogData()
|
||||
@ -104,7 +104,7 @@ class WindGateway(VtGateway):
|
||||
log.logContent = u'Wind接口未实现发单功能'
|
||||
self.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
log = VtLogData()
|
||||
@ -112,7 +112,7 @@ class WindGateway(VtGateway):
|
||||
log.logContent = u'Wind接口未实现撤单功能'
|
||||
self.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getAccount(self):
|
||||
"""查询账户资金"""
|
||||
log = VtLogData()
|
||||
@ -120,7 +120,7 @@ class WindGateway(VtGateway):
|
||||
log.logContent = u'Wind接口未实现查询账户功能'
|
||||
self.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def getPosition(self):
|
||||
"""查询持仓"""
|
||||
log = VtLogData()
|
||||
@ -128,16 +128,16 @@ class WindGateway(VtGateway):
|
||||
log.logContent = u'Wind接口未实现查询持仓功能'
|
||||
self.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def close(self):
|
||||
self.w.stop()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def registerEvent(self):
|
||||
"""注册事件监听"""
|
||||
self.eventEngine.register(EVENT_WIND_CONNECTREQ, self.wConnect)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def wsqCallBack(self, data):
|
||||
"""收到wsq推送"""
|
||||
windSymbol = data.Codes[0]
|
||||
@ -168,7 +168,7 @@ class WindGateway(VtGateway):
|
||||
|
||||
self.onTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# ----------------------------------------------------------------------
|
||||
def wConnect(self, event):
|
||||
"""利用事件处理线程去异步连接Wind接口"""
|
||||
result = self.w.start()
|
||||
|
||||
Loading…
Reference in New Issue
Block a user