初步完成了vn.trader，包含CTP、LTS、WIND的接口，以及CTA策略模块，策略模块的测试尚未全部完成

.gitignore

@@ -37,3 +37,6 @@ Release/
 # 其他文件
 *.dump
 *.vssettings
+
+# 不想同步的
+*.local

vn.datayes/api.py

@@ -39,8 +39,7 @@ class Config(object):
 	toke_ = '44ebc0f058981f85382595f9f15f967' + \
 			'0c7eaf2695de30dd752e8f33e9022baa0'
 
-	token = '7c2e59e212dbff90ffd6b382c7afb57' + \
-			'bc987a99307d382b058af6748f591d723'
+	token = '575593eb7696aec7339224c0fac2313780d8645f68b77369dcb35f8bcb419a0b'
 
 	body = {
 		'ssl': False,

vn.datayes/tests.py

@@ -101,7 +101,7 @@ def test_mktbar_M1_get_interM():
 
 if __name__ == '__main__':
 	#test_config()
-	#test_mktbar_D1()
+	test_mktbar_D1()
 	#test_bond_D1()
 	#test_fut_D1()
 	#test_fund_D1()
@@ -116,4 +116,4 @@ if __name__ == '__main__':
 	#test_mongod_get_all()
 	#test_mktbar_M1_get_drudgery()
 	#test_mktbar_M1_get_all()
-	test_mktbar_M1_get_interM()
+	#test_mktbar_M1_get_interM()

vn.lts/vnltstd/vnltstd/vnltstd.cpp

@@ -1414,7 +1414,7 @@ int TdApi::reqOrderInsert(dict req, int nRequestID)
 	CSecurityFtdcInputOrderField myreq = CSecurityFtdcInputOrderField();
 	memset(&myreq, 0, sizeof(myreq));
 	getChar(req, "ContingentCondition", &myreq.ContingentCondition);
-	getChar(req, "CombOffsetFlag", myreq.CombOffsetFlag);
+	//getChar(req, "CombOffsetFlag", myreq.CombOffsetFlag);
 	getChar(req, "UserID", myreq.UserID);
 	getChar(req, "LimitPrice", myreq.LimitPrice);
 	getInt(req, "UserForceClose", &myreq.UserForceClose);
@@ -1436,6 +1436,19 @@ int TdApi::reqOrderInsert(dict req, int nRequestID)
 	getInt(req, "RequestID", &myreq.RequestID);
 	getChar(req, "Direction", &myreq.Direction);
 
+	//´¦ÀíCombOffsetFlag
+	if (req.has_key("CombOffsetFlag"))
+	{
+		object o2 = req["CombOffsetFlag"];
+		extract<string> x2(o2);
+		if (x2.check())
+		{
+			string s2 = x2();
+			const char *buffer2 = s2.c_str();
+			myreq.CombOffsetFlag[0] = *buffer2;
+		}
+	}
+
 	int i = this->api->ReqOrderInsert(&myreq, nRequestID);
 	return i;
 };

vn.trader/CTA_setting.json

@@ -0,0 +1,14 @@
+{
+    "Test1": {
+        "strategyClassName": "TestStrategy", 
+        "vtSymbol": "IF1511"
+    }, 
+    "Test3": {
+        "strategyClassName": "TestStrategy", 
+        "vtSymbol": "IF1512"
+    }, 
+    "Test2": {
+        "strategyClassName": "TestStrategy", 
+        "vtSymbol": "IH1511"
+    }
+}

vn.trader/CTP_connect.json

@@ -1,7 +1,7 @@
 {
-    "brokerID": "8070", 
-    "tdAddress": "tcp://27.115.57.147:41205", 
-    "password": "123456", 
-    "mdAddress": "tcp://27.115.57.147:41213", 
-    "userID": "750000"
+    "brokerID": "9999", 
+    "tdAddress": "tcp://180.168.146.187:10000", 
+    "password": "simnow申请", 
+    "mdAddress": "tcp://180.168.212.228:41213", 
+    "userID": "simnow申请"
 }

vn.trader/LTS_connect.json

@@ -0,0 +1,11 @@
+{
+    "brokerID": "2011", 
+    "tdAddress": "tcp://211.144.195.163:54505",
+    "qryAddress": "tcp://211.144.195.163:54506",  
+    "mdAddress": "tcp://211.144.195.163:54513",
+    "productInfo": "LTS-Test", 
+    "authCode": "N3EHKP4CYHZGM9VJ", 
+    "tdPassword": "华宝证券申请", 
+    "mdPassword": "华宝证券申请", 
+    "userID": "华宝证券申请"
+}

vn.trader/ctaConstant.py

@@ -0,0 +1,15 @@
+# encoding: UTF-8
+
+# CTA引擎中涉及到的交易方向类型
+CTAORDER_BUY = u'买开'
+CTAORDER_SELL = u'卖平'
+CTAORDER_SHORT = u'卖开'
+CTAORDER_COVER = u'买平'
+
+# 本地停止单状态
+STOPORDER_WAITING = u'等待中'
+STOPORDER_CANCELLED = u'已撤销'
+STOPORDER_TRIGGERED = u'已触发'
+
+# 本地停止单前缀
+STOPORDERPREFIX = 'CtaStopOrder.'

vn.trader/ctaEngine.py

@@ -0,0 +1,472 @@
+# encoding: UTF-8
+
+from datetime import datetime
+import json
+from collections import OrderedDict
+
+from eventEngine import *
+from vtConstant import *
+from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
+
+from ctaConstant import *
+from ctaStrategies import strategyClassDict
+
+
+########################################################################
+class StopOrder(object):
+    """本地停止单"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.vtSymbol = EMPTY_STRING
+        self.orderType = EMPTY_UNICODE
+        self.price = EMPTY_FLOAT
+        self.volume = EMPTY_INT
+        
+        self.strategy = None             # 下停止单的策略对象
+        self.stopOrderID = EMPTY_STRING  # 停止单的本地编号 
+        self.status = EMPTY_STRING       # 停止单状态
+
+
+########################################################################
+class CtaBarData(object):
+    """K线数据"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.vtSymbol = EMPTY_STRING        # vt系统代码
+        self.symbol = EMPTY_STRING          # 代码
+        self.exchange = EMPTY_STRING        # 交易所
+    
+        self.open = EMPTY_FLOAT             # OHLC
+        self.high = EMPTY_FLOAT
+        self.low = EMPTY_FLOAT
+        self.close = EMPTY_FLOAT
+        
+        self.date = EMPTY_STRING            # bar开始的时间，日期
+        self.time = EMPTY_STRING            # 时间
+        self.datetime = None                # python的datetime时间对象
+        
+        self.volume = EMPTY_INT             # 成交量
+        self.openInterest = EMPTY_INT       # 持仓量
+
+
+########################################################################
+class CtaTickData(object):
+    """Tick数据"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""       
+        self.vtSymbol = EMPTY_STRING            # vt系统代码
+        self.symbol = EMPTY_STRING              # 合约代码
+        self.exchange = EMPTY_STRING            # 交易所代码
+
+        # 成交数据
+        self.lastPrice = EMPTY_FLOAT            # 最新成交价
+        self.volume = EMPTY_INT                 # 最新成交量
+        self.openInterest = EMPTY_INT           # 持仓量
+        
+        self.upperLimit = EMPTY_FLOAT           # 涨停价
+        self.lowerLimit = EMPTY_FLOAT           # 跌停价
+        
+        # tick的时间
+        self.date = EMPTY_STRING            # 日期
+        self.time = EMPTY_STRING            # 时间
+        self.datetime = None                # python的datetime时间对象
+        
+        # 五档行情
+        self.bidPrice1 = EMPTY_FLOAT
+        self.bidPrice2 = EMPTY_FLOAT
+        self.bidPrice3 = EMPTY_FLOAT
+        self.bidPrice4 = EMPTY_FLOAT
+        self.bidPrice5 = EMPTY_FLOAT
+        
+        self.askPrice1 = EMPTY_FLOAT
+        self.askPrice2 = EMPTY_FLOAT
+        self.askPrice3 = EMPTY_FLOAT
+        self.askPrice4 = EMPTY_FLOAT
+        self.askPrice5 = EMPTY_FLOAT        
+        
+        self.bidVolume1 = EMPTY_INT
+        self.bidVolume2 = EMPTY_INT
+        self.bidVolume3 = EMPTY_INT
+        self.bidVolume4 = EMPTY_INT
+        self.bidVolume5 = EMPTY_INT
+        
+        self.askVolume1 = EMPTY_INT
+        self.askVolume2 = EMPTY_INT
+        self.askVolume3 = EMPTY_INT
+        self.askVolume4 = EMPTY_INT
+        self.askVolume5 = EMPTY_INT    
+
+
+########################################################################
+class CtaEngine(object):
+    """CTA策略引擎"""
+    settingFileName = 'CTA_setting.json'
+
+    #----------------------------------------------------------------------
+    def __init__(self, mainEngine, eventEngine, dataEngine):
+        """Constructor"""
+        self.mainEngine = mainEngine
+        self.eventEngine = eventEngine
+        self.dataEngine = dataEngine
+        
+        # 保存策略对象的字典
+        # key为策略名称，value为策略对象，注意策略名称不允许重复
+        self.strategyDict = {}
+        
+        # 保存vtSymbol和策略对象映射的字典（用于推送tick数据）
+        # 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol
+        # value为包含所有相关strategy对象的list
+        self.tickStrategyDict = {}
+        
+        # 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据）
+        # key为vtOrderID，value为strategy对象
+        self.orderStrategyDict = {}     
+        
+        # 本地停止单编号计数
+        self.stopOrderCount = 0
+        # stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
+        
+        # 本地停止单字典
+        # key为stopOrderID，value为stopOrder对象
+        self.stopOrderDict = {}             # 停止单撤销后不会从本字典中删除
+        self.workingStopOrderDict = {}      # 停止单撤销后会从本字典中删除
+        
+        # 注册事件监听
+        self.registerEvent()
+        
+    #----------------------------------------------------------------------
+    def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
+        """发单"""
+        contract = self.dataEngine.getContract(vtSymbol)
+        
+        req = VtOrderReq()
+        req.symbol = contract.symbol
+        req.exchange = contract.exchange
+        req.price = price
+        req.volume = volume
+        
+        # 设计为CTA引擎发出的委托只允许使用限价单
+        req.priceType = PRICETYPE_LIMITPRICE    
+        
+        # CTA委托类型映射
+        if orderType == CTAORDER_BUY:
+            req.direction = DIRECTION_LONG
+            req.offset = OFFSET_OPEN
+        elif orderType == CTAORDER_SELL:
+            req.direction = DIRECTION_SHORT
+            req.offset = OFFSET_CLOSE
+        elif orderType == CTAORDER_SHORT:
+            req.direction = DIRECTION_SHORT
+            req.offset = OFFSET_OPEN
+        elif orderType == CTAORDER_COVER:
+            req.direction = DIRECTION_LONG
+            req.offset = OFFSET_CLOSE
+        
+        vtOrderID = self.mainEngine.sendOrder(req)  # 发单
+        self.orderDict[vtOrderID] = strategy        # 保存vtOrderID和策略的映射关系
+        return vtOrderID
+    
+    #----------------------------------------------------------------------
+    def cancelOrder(self, vtOrderID):
+        """撤单"""
+        # 查询报单对象
+        order = self.dataEngine.getOrder(vtOrderID)
+        
+        # 如果查询成功
+        if order:
+            # 检查是否报单还有效，只有有效时才发出撤单指令
+            orderFinished = (order.status==STATUS_ALLTRADED or order.status==STATUS_CANCELLED)
+            if not orderFinished:
+                req = VtCancelOrderReq()
+                req.symbol = order.symbol
+                req.exchange = order.exchange
+                req.frontID = order.frontID
+                req.sessionID = order.sessionID
+                req.orderID = order.orderID
+                self.mainEngine.cancelOrder(req, order.gatewayName)    
+        
+    #----------------------------------------------------------------------
+    def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
+        """发停止单（本地实现）"""
+        self.stopOrderCount += 1
+        stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
+        
+        so = StopOrder()
+        so.vtSymbol = vtSymbol
+        so.orderType = orderType
+        so.price = price
+        so.volume = volume
+        so.strategy = strategy
+        so.stopOrderID = stopOrderID
+        so.status = STOPORDER_WAITING
+        
+        # 保存stopOrder对象到字典中
+        self.stopOrderDict[stopOrderID] = so
+        self.workingStopOrderDict[stopOrderID] = so
+        
+        return stopOrderID
+    
+    #----------------------------------------------------------------------
+    def cancelStopOrder(self, stopOrderID):
+        """撤销停止单"""
+        # 检查停止单是否存在
+        if stopOrderID in self.workingStopOrderDict:
+            so = self.workingStopOrderDict[stopOrderID]
+            so.status = STOPORDER_CANCELLED
+            del self.workingStopOrderDict[stopOrderID]
+            
+    #----------------------------------------------------------------------
+    def processStopOrder(self, tick):
+        """收到行情后处理本地停止单（检查是否要立即发出）"""
+        vtSymbol = tick.vtSymbol
+        
+        # 首先检查是否有策略交易该合约
+        if vtSymbol in self.tickStrategyDict:
+            # 遍历等待中的停止单，检查是否会被触发
+            for so in self.workingStopOrderDict.values():
+                if so.vtSymbol == vtSymbol:
+                    longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price        # 多头停止单被触发
+                    shortTriggered = so.direction==DIRECTION_SHORT and tick.lasatPrice<=so.price     # 空头停止单被触发
+                    
+                    if longTriggered or shortTriggered:
+                        # 买入和卖出分别以涨停跌停价发单（模拟市价单）
+                        if so.direction==DIRECTION_LONG:
+                            price = tick.upperLimit
+                        else:
+                            price = tick.lowerLimit
+                        
+                        so.status = STOPORDER_TRIGGERED
+                        self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
+                        del self.workingStopOrderDict[so.stopOrderID]
+        
+    #----------------------------------------------------------------------
+    def procecssTickEvent(self, event):
+        """处理行情推送"""
+        tick = event.dict_['data']
+        # 收到tick行情后，先处理本地停止单（检查是否要立即发出）
+        self.processStopOrder(tick)
+        
+        # 推送tick到对应的策略对象进行处理
+        if tick.vtSymbol in self.tickStrategyDict:
+            # 将vtTickData数据转化为ctaTickData
+            ctaTick = CtaTickData()
+            d = ctaTick.__dict__
+            for key in d.keys():
+                if key != 'datetime':
+                    d[key] = tick.__getattribute__(key)
+            # 添加datetime字段
+            ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
+            
+            # 逐个推送到策略对象中
+            l = self.tickStrategyDict[tick.vtSymbol]
+            for strategy in l:
+                strategy.onTick(tick)
+    
+    #----------------------------------------------------------------------
+    def processOrderEvent(self, event):
+        """处理委托推送"""
+        order = event.dict_['data']
+        
+        if order.vtOrderID in self.orderStrategyDict:
+            strategy = self.orderStrategyDict[order.vtOrderID]            
+            strategy.onOrder(order)
+    
+    #----------------------------------------------------------------------
+    def processTradeEvent(self, event):
+        """处理成交推送"""
+        trade = event.dict_['data']
+        
+        if trade.vtOrderID in self.orderStrategyDict:
+            strategy = self.orderStrategyDict[order.vtOrderID]
+            strategy.onTrade(trade)
+    
+    #----------------------------------------------------------------------
+    def registerEvent(self):
+        """注册事件监听"""
+        self.eventEngine.register(EVENT_TICK, self.procecssTickEvent)
+        self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
+        self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
+        
+    #----------------------------------------------------------------------
+    def insertData(self, dbName, collectionName, data):
+        """插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
+        self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
+    
+    #----------------------------------------------------------------------
+    def loadBar(self, dbName, collectionName, startDate):
+        """从数据库中读取Bar数据，startDate是datetime对象"""
+        d = {'datetime':{'$gte':startDate}}
+        cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
+        
+        l = []
+        for d in cursor:
+            bar = CtaBarData()
+            bar.__dict__ = d
+            l.append(bar)
+            
+        return l
+    
+    #----------------------------------------------------------------------
+    def loadTick(self, dbName, collectionName, startDate):
+        """从数据库中读取Tick数据，startDate是datetime对象"""
+        d = {'datetime':{'$gte':startDate}}
+        cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
+        
+        l = []
+        for d in cursor:
+            tick = CtaTickData()
+            tick.__dict__ = d
+            l.append(tick)
+        
+        return l    
+    
+    #----------------------------------------------------------------------
+    def getToday(self):
+        """获取代表今日的datetime对象"""
+        today = datetime.today()
+        today = today.replace(hour=0, minute=0, second=0, microsecond=0)
+        return today
+    
+    #----------------------------------------------------------------------
+    def writeCtaLog(self, content):
+        """快速发出CTA模块日志事件"""
+        log = VtLogData()
+        log.logContent = content
+        event = Event(type_=EVENT_CTA_LOG)
+        event.dict_['data'] = log
+        self.eventEngine.put(event)   
+    
+    #----------------------------------------------------------------------
+    def initStrategy(self, name, strategyClass, paramDict=None):
+        """初始化策略"""
+        # 防止策略重名
+        if name not in self.strategyDict:
+            # 创建策略对象
+            strategy = strategyClass(self, name, paramDict)  
+            self.strategyDict[name] = strategy
+            
+            # 保存Tick映射关系
+            if strategy.vtSymbol in self.tickStrategyDict:
+                l = self.tickStrategyDict[strategy.vtSymbol]
+            else:
+                l = []
+                self.tickStrategyDict[strategy.vtSymbol] = l
+            l.append(strategy)
+            
+            # 订阅合约
+            contract = self.dataEngine.getContract(strategy.vtSymbol)
+            if contract:
+                req = VtSubscribeReq()
+                req.symbol = contract.symbol
+                req.exchange = contract.exchange
+                self.mainEngine.subscribe(req, contract.gatewayName)
+        else:
+            self.writeCtaLog(u'存在策略对象重名：' + name)
+
+    #---------------------------------------------------------------------
+    def startStrategy(self, name):
+        """启动策略"""
+        if name in self.strategyDict:
+            strategy = self.strategyDict[name]
+            
+            if not strategy.trading:
+                strategy.trading = True
+                strategy.start()
+        else:
+            self.writeCtaLog(u'策略对象不存在：' + name)
+    
+    #----------------------------------------------------------------------
+    def stopStrategy(self, name):
+        """停止策略"""
+        if name in self.strategyDict:
+            strategy = self.strategyDict[name]
+            
+            if strategy.trading:
+                strategy.trading = False
+                strategy.stop()
+                
+                # 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
+                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 = {}
+            
+            for name, strategy in self.strategyDict.items():
+                setting = {}
+                setting['strategyClassName'] = strategy.strategyClassName
+                for param in strategy.paramList:
+                    setting[param] = strategy.__getattribute__(param)
+                d[name] = setting
+            
+            jsonD = json.dumps(d, indent=4)
+            f.write(jsonD)
+    
+    #----------------------------------------------------------------------
+    def loadStrategySetting(self):
+        """读取引擎中的策略配置"""
+        with open(self.settingFileName) as f:
+            d = json.load(f)
+            
+            for name, setting in d.items():
+                strategyClassName = setting['strategyClassName']
+                
+                if strategyClassName in strategyClassDict:
+                    strategyClass = strategyClassDict[strategyClassName]
+                    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:
+            strategy = self.strategyDict[name]
+            d = strategy.__dict__
+            varDict = OrderedDict()
+            
+            for key in strategy.varList:
+                if key in d:
+                    varDict[key] = d[key]
+            
+            return varDict
+        else:
+            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:
+            strategy = self.strategyDict[name]
+            d = strategy.__dict__
+            paramDict = OrderedDict()
+            
+            for key in strategy.paramList:
+                if key in d:
+                    paramDict[key] = d[key]
+            
+            return paramDict
+        else:
+            self.writeCtaLog(u'策略对象不存在：' + name)    
+            return None        
+
+

vn.trader/ctaStrategies.py

@@ -0,0 +1,10 @@
+# encoding: UTF-8
+
+'''
+在本文件中引入所有希望在系统中使用的策略类
+'''
+
+from ctaStrategyTemplate import TestStrategy
+
+strategyClassDict = {}
+strategyClassDict[u'TestStrategy'] = TestStrategy

vn.trader/ctaStrategyTemplate.py

@@ -0,0 +1,233 @@
+# encoding: UTF-8
+
+from vtConstant import *
+from ctaConstant import *
+
+
+########################################################################
+class CtaStrategyTemplate(object):
+    """CTA策略模板"""
+    # 策略类的名称
+    strategyClassName = 'Template'
+    
+    # 参数列表，保存了参数的名称
+    paramList = ['vtSymbol']
+    
+    # 变量列表，保存了变量的名称
+    varList = ['trading']
+
+    #----------------------------------------------------------------------
+    def __init__(self, ctaEngine, name, setting=None):
+        """Constructor"""
+        self.ctaEngine = ctaEngine
+        self.name = name
+        
+        self.vtSymbol = EMPTY_STRING        # 交易的合约vt系统代码
+        
+        self.tickDbName = EMPTY_STRING      # tick数据库名称
+        self.barDbName = EMPTY_STRING       # bar数据库名称
+        
+        self.trading = False                # 控制是否启动交易
+        
+        self.init()                         # 初始化策略
+        
+        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
+        if self.trading:
+            if stop:
+                orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self)
+            else:
+                orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self)
+            return orderID
+        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
+        if self.trading:
+            if stop:
+                orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self)
+            else:
+                orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self)  
+            return orderID
+        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
+        if self.trading:
+            if stop:
+                orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self)
+            else:
+                orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self)   
+            return orderID
+        else:
+            return None            
+ 
+    #----------------------------------------------------------------------
+    def cover(self, price, volume, stop=False):
+        """买平"""
+        if self.trading:
+            # 如果stop为True，则意味着发本地停止单
+            if stop:
+                orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self)
+            else:
+                orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self) 
+            return orderID
+        else:
+            return None        
+        
+    #----------------------------------------------------------------------
+    def cancelOrder(self, orderID):
+        """撤单"""
+        if STOPORDERPREFIX in orderID:
+            self.ctaEngine.cancelStopOrder(orderID)
+        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__
+        for key in self.paramList:
+            if key in setting:
+                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)
+    
+
+
+########################################################################
+class TestStrategy(CtaStrategyTemplate):
+    """测试策略"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, ctaEngine, name, setting=None):
+        """Constructor"""
+        super(TestStrategy, self).__init__(ctaEngine, name, setting)
+        
+        self.strategyClassName = 'TestStrategy'
+        
+        self.author = u'用Python的交易员'    # 作者
+        
+        self.pos = EMPTY_INT            # 持仓
+        self.lastPrice = EMPTY_FLOAT    # 最新价
+        
+        # 参数和变量列表设置
+        self.paramList.append(u'author')
+        
+        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)    
+        
+        
+    
+    
+    

vn.trader/ctpGateway.py

@@ -1,5 +1,13 @@
 # encoding: UTF-8
 
+'''
+vn.ctp的gateway接入
+
+考虑到现阶段大部分CTP中的ExchangeID字段返回的都是空值
+vtSymbol直接使用symbol
+'''
+
+
 import os
 import json
 
@@ -8,6 +16,47 @@ from vnctptd import TdApi
 from ctpDataType import *
 from vtGateway import *
 
+# 以下为一些VT类型和CTP类型的映射字典
+# 价格类型映射
+priceTypeMap = {}
+priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["THOST_FTDC_OPT_LimitPrice"]
+priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["THOST_FTDC_OPT_AnyPrice"]
+priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} 
+
+# 方向类型映射
+directionMap = {}
+directionMap[DIRECTION_LONG] = defineDict['THOST_FTDC_D_Buy']
+directionMap[DIRECTION_SHORT] = defineDict['THOST_FTDC_D_Sell']
+directionMapReverse = {v: k for k, v in directionMap.items()}
+
+# 开平类型映射
+offsetMap = {}
+offsetMap[OFFSET_OPEN] = defineDict['THOST_FTDC_OF_Open']
+offsetMap[OFFSET_CLOSE] = defineDict['THOST_FTDC_OF_Close']
+offsetMap[OFFSET_CLOSETODAY] = defineDict['THOST_FTDC_OF_CloseToday']
+offsetMap[OFFSET_CLOSESYESTERDAY] = defineDict['THOST_FTDC_OF_CloseYesterday']
+offsetMapReverse = {v:k for k,v in offsetMap.items()}
+
+# 交易所类型映射
+exchangeMap = {}
+#exchangeMap[EXCHANGE_CFFEX] = defineDict['THOST_FTDC_EIDT_CFFEX']
+#exchangeMap[EXCHANGE_SHFE] = defineDict['THOST_FTDC_EIDT_SHFE']
+#exchangeMap[EXCHANGE_CZCE] = defineDict['THOST_FTDC_EIDT_CZCE']
+#exchangeMap[EXCHANGE_DCE] = defineDict['THOST_FTDC_EIDT_DCE']
+exchangeMap[EXCHANGE_CFFEX] = 'CFFEX'
+exchangeMap[EXCHANGE_SHFE] = 'SHFE'
+exchangeMap[EXCHANGE_CZCE] = 'CZCE'
+exchangeMap[EXCHANGE_DCE] = 'DCE'
+exchangeMap[EXCHANGE_UNKNOWN] = ''
+exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
+
+# 持仓类型映射
+posiDirectionMap = {}
+posiDirectionMap[DIRECTION_NET] = defineDict["THOST_FTDC_PD_Net"]
+posiDirectionMap[DIRECTION_LONG] = defineDict["THOST_FTDC_PD_Long"]
+posiDirectionMap[DIRECTION_SHORT] = defineDict["THOST_FTDC_PD_Short"]
+posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()}
+
 
 ########################################################################
 class CtpGateway(VtGateway):
@@ -24,6 +73,8 @@ class CtpGateway(VtGateway):
         self.mdConnected = False        # 行情API连接状态，登录完成后为True
         self.tdConnected = False        # 交易API连接状态
         
+        self.qryEnabled = False         # 是否要启动循环查询
+        
     #----------------------------------------------------------------------
     def connect(self):
         """连接"""
@@ -57,10 +108,13 @@ class CtpGateway(VtGateway):
         self.mdApi.connect(userID, password, brokerID, mdAddress)
         self.tdApi.connect(userID, password, brokerID, tdAddress)
         
+        # 初始化并启动查询
+        self.initQuery()
+    
     #----------------------------------------------------------------------
     def subscribe(self, subscribeReq):
         """订阅行情"""
-        self.mdApi(subscribeReq)
+        self.mdApi.subscribe(subscribeReq)
         
     #----------------------------------------------------------------------
     def sendOrder(self, orderReq):
@@ -85,9 +139,53 @@ class CtpGateway(VtGateway):
     #----------------------------------------------------------------------
     def close(self):
         """关闭"""
+        if self.mdConnected:
             self.mdApi.close()
+        if self.tdConnected:
             self.tdApi.close()
         
+    #----------------------------------------------------------------------
+    def initQuery(self):
+        """初始化连续查询"""
+        if self.qryEnabled:
+            # 需要循环的查询函数列表
+            self.qryFunctionList = [self.getAccount, self.getPosition]
+            
+            self.qryCount = 0           # 查询触发倒计时
+            self.qryTrigger = 2         # 查询触发点
+            self.qryNextFunction = 0    # 上次运行的查询函数索引
+            
+            self.startQuery()
+    
+    #----------------------------------------------------------------------
+    def query(self, event):
+        """注册到事件处理引擎上的查询函数"""
+        self.qryCount += 1
+        
+        if self.qryCount > self.qryTrigger:
+            # 清空倒计时
+            self.qryCount = 0
+            
+            # 执行查询函数
+            function = self.qryFunctionList[self.qryNextFunction]
+            function()
+            
+            # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
+            self.qryNextFunction += 1
+            if self.qryNextFunction == len(self.qryFunctionList):
+                self.qryNextFunction = 0
+    
+    #----------------------------------------------------------------------
+    def startQuery(self):
+        """启动连续查询"""
+        self.eventEngine.register(EVENT_TIMER, self.query)
+    
+    #----------------------------------------------------------------------
+    def setQryEnabled(self, qryEnabled):
+        """设置是否要启动循环查询"""
+        self.qryEnabled = qryEnabled
+    
+
 
 ########################################################################
 class CtpMdApi(MdApi):
@@ -106,7 +204,6 @@ class CtpMdApi(MdApi):
         self.connectionStatus = False       # 连接状态
         self.loginStatus = False            # 登录状态
         
-        
         self.subscribedSymbols = set()      # 已订阅合约代码        
         
         self.userID = EMPTY_STRING          # 账号
@@ -123,7 +220,6 @@ class CtpMdApi(MdApi):
         log.gatewayName = self.gatewayName
         log.logContent = u'行情服务器连接成功'
         self.gateway.onLog(log)
-        
         self.login()
     
     #----------------------------------------------------------------------  
@@ -162,6 +258,7 @@ class CtpMdApi(MdApi):
             self.gateway.mdConnected = True
             
             log = VtLogData()
+            log.gatewayName = self.gatewayName
             log.logContent = u'行情服务器登录完成'
             self.gateway.onLog(log)
             
@@ -214,18 +311,25 @@ class CtpMdApi(MdApi):
     def onRtnDepthMarketData(self, data):
         """行情推送"""
         tick = VtTickData()
+        tick.gatewayName = self.gatewayName
         
         tick.symbol = data['InstrumentID']
-        tick.vtSymbol = '.'.join([self.gatewayName, tick.symbol])
+        tick.exchange = exchangeMapReverse.get(data['ExchangeID'], u'未知')
+        tick.vtSymbol = tick.symbol #'.'.join([tick.symbol, EXCHANGE_UNKNOWN])
         
         tick.lastPrice = data['LastPrice']
         tick.volume = data['Volume']
         tick.openInterest = data['OpenInterest']
-        tick.tickTime = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
+        tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
+        tick.date = data['TradingDay']
         
         tick.openPrice = data['OpenPrice']
         tick.highPrice = data['HighestPrice']
         tick.lowPrice = data['LowestPrice']
+        tick.preClosePrice = data['PreClosePrice']
+        
+        tick.upperLimit = data['UpperLimitPrice']
+        tick.lowerLimit = data['LowerLimitPrice']
         
         # CTP只有一档行情
         tick.bidPrice1 = data['BidPrice1']
@@ -280,7 +384,10 @@ class CtpMdApi(MdApi):
     #----------------------------------------------------------------------
     def subscribe(self, subscribeReq):
         """订阅合约"""
-        self.subscribeMarketData(subscribeReq.symbol)
+        # 这里的设计是，如果尚未登录就调用了订阅方法
+        # 则先保存订阅请求，登录完成后会自动订阅
+        if self.loginStatus:
+            self.subscribeMarketData(str(subscribeReq.symbol))
         self.subscribedSymbols.add(subscribeReq)   
         
     #----------------------------------------------------------------------
@@ -305,27 +412,6 @@ class CtpMdApi(MdApi):
 class CtpTdApi(TdApi):
     """CTP交易API实现"""
     
-    # 以下为一些VT类型和CTP类型的映射字典
-    # 价格类型映射
-    priceTypeMap = {}
-    priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["THOST_FTDC_OPT_LimitPrice"]
-    priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["THOST_FTDC_OPT_AnyPrice"]
-    priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} 
-    
-    # 方向类型映射
-    directionMap = {}
-    directionMap[DIRECTION_LONG] = defineDict['THOST_FTDC_D_Buy']
-    directionMap[DIRECTION_SHORT] = defineDict['THOST_FTDC_D_Sell']
-    directionMapReverse = {v: k for k, v in directionMap.items()}
-    
-    # 开平类型映射
-    offsetMap = {}
-    offsetMap[OFFSET_OPEN] = defineDict['THOST_FTDC_OF_Open']
-    offsetMap[OFFSET_CLOSE] = defineDict['THOST_FTDC_OF_Close']
-    offsetMap[OFFSET_CLOSETODAY] = defineDict['THOST_FTDC_OF_CloseToday']
-    offsetMap[OFFSET_CLOSESYESTERDAY] = defineDict['THOST_FTDC_OF_CloseYesterday']
-    offsetMapReverse = {v:k for k,v in offsetMap.items()}
-
     #----------------------------------------------------------------------
     def __init__(self, gateway):
         """API对象的初始化函数"""
@@ -345,6 +431,9 @@ class CtpTdApi(TdApi):
         self.brokerID = EMPTY_STRING        # 经纪商代码
         self.address = EMPTY_STRING         # 服务器地址
         
+        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"""
@@ -384,6 +473,8 @@ class CtpTdApi(TdApi):
         """登陆回报"""
         # 如果登录成功，推送日志信息
         if error['ErrorID'] == 0:
+            self.frontID = str(data['FrontID'])
+            self.sessionID = str(data['SessionID'])
             self.loginStatus = True
             self.gateway.mdConnected = True
             
@@ -536,17 +627,13 @@ class CtpTdApi(TdApi):
         
         # 保存代码
         pos.symbol = data['InstrumentID']
-        pos.vtSymbol = '.'.join([self.gatewayName, pos.symbol])   
+        pos.vtSymbol = pos.symbol       # 这里因为data中没有ExchangeID这个字段
         
         # 方向和持仓冻结数量
-        if data['PosiDirection'] == '1':
-            pos.direction = DIRECTION_NET
+        pos.direction = posiDirectionMapReverse.get(data['PosiDirection'], '')
+        if pos.direction == DIRECTION_NET or pos.direction == DIRECTION_LONG:
             pos.frozen = data['LongFrozen']
-        if data['PosiDirection'] == '2':
-            pos.direction = DIRECTION_LONG
-            pos.frozen = data['LongFrozen']
-        elif data['PosiDirection'] == '3':
-            pos.direction = DIRECTION_SHORT      
+        elif pos.direction == DIRECTION_SHORT:   
             pos.frozen = data['ShortFrozen']
         
         # 持仓量
@@ -583,7 +670,7 @@ class CtpTdApi(TdApi):
         # 这里的balance和快期中的账户不确定是否一样，需要测试
         account.balance = (data['PreBalance'] - data['PreCredit'] - data['PreMortgage'] +
                            data['Mortgage'] - data['Withdraw'] + data['Deposit'] +
-                           data['ClostProfit'] + data['PositionProfit'] + data['CashIn'] -
+                           data['CloseProfit'] + data['PositionProfit'] + data['CashIn'] -
                            data['Commission'])
         
         # 推送
@@ -626,8 +713,9 @@ class CtpTdApi(TdApi):
         contract.gatewayName = self.gatewayName
 
         contract.symbol = data['InstrumentID']
-        contract.vtSymbol = '.'.join([self.gatewayName, contract.symbol])
-        contract.name = data['InstrumentName']
+        contract.exchange = exchangeMapReverse[data['ExchangeID']]
+        contract.vtSymbol = contract.symbol #'.'.join([contract.symbol, contract.exchange])
+        contract.name = data['InstrumentName'].decode('GBK')
         
         # 合约数值
         contract.size = data['VolumeMultiple']
@@ -637,21 +725,29 @@ class CtpTdApi(TdApi):
         
         # 合约类型
         if data['ProductClass'] == '1':
-            contract.productClass == PRODUCT_FUTURES
+            contract.productClass = PRODUCT_FUTURES
         elif data['ProductClass'] == '2':
             contract.productClass = PRODUCT_OPTION
         elif data['ProductClass'] == '3':
             contract.productClass = PRODUCT_COMBINATION
+        else:
+            contract.productClass = PRODUCT_UNKNOWN
         
         # 期权类型
-        if data['OptionType'] == '1':
+        if data['OptionsType'] == '1':
             contract.optionType = OPTION_CALL
-        elif data['OptionType'] == '2':
+        elif data['OptionsType'] == '2':
             contract.optionType = OPTION_PUT
         
         # 推送
         self.gateway.onContract(contract)
         
+        if last:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'交易合约信息获取完成'
+            self.gateway.onLog(log)
+    
     #----------------------------------------------------------------------
     def onRspQryDepthMarketData(self, data, error, n, last):
         """"""
@@ -779,10 +875,10 @@ class CtpTdApi(TdApi):
         
         # 保存代码和报单号
         order.symbol = data['InstrumentID']
-        order.vtSymbol = '.'.join([self.gatewayName, order.symbol])
+        order.exchange = exchangeMapReverse[data['ExchangeID']]
+        order.vtSymbol = order.symbol #'.'.join([order.symbol, order.exchange])
         
         order.orderID = data['OrderRef']
-        order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
         
         # 方向
         if data['Direction'] == '0':
@@ -821,6 +917,12 @@ class CtpTdApi(TdApi):
         order.frontID = data['FrontID']
         order.sessionID = data['SessionID']
         
+        # CTP的报单号一致性维护需要基于frontID, sessionID, orderID三个字段
+        # 但在本接口设计中，已经考虑了CTP的OrderRef的自增性，避免重复
+        # 唯一可能出现OrderRef重复的情况是多处登录并在非常接近的时间内（几乎同时发单）
+        # 考虑到VtTrader的应用场景，认为以上情况不会构成问题
+        order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
+        
         # 推送
         self.gateway.onOrder(order)
     
@@ -829,11 +931,12 @@ class CtpTdApi(TdApi):
         """成交回报"""
         # 创建报单数据对象
         trade = VtTradeData()
-        order.gatewayName = self.gatewayName
+        trade.gatewayName = self.gatewayName
         
         # 保存代码和报单号
         trade.symbol = data['InstrumentID']
-        trade.vtSymbol = '.'.join([self.gatewayName, trade.symbol])
+        trade.exchange = exchangeMapReverse[data['ExchangeID']]
+        trade.vtSymbol = trade.symbol #'.'.join([trade.symbol, trade.exchange])
         
         trade.tradeID = data['TradeID']
         trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
@@ -842,20 +945,10 @@ class CtpTdApi(TdApi):
         trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
         
         # 方向
-        if data['Direction'] == '0':
-            trade.direction = DIRECTION_LONG
-        elif data['Direction'] == '1':
-            trade.direction = DIRECTION_SHORT
-        else:
-            trade.direction = DIRECTION_UNKNOWN
+        trade.direction = directionMapReverse.get(data['Direction'], '')
             
         # 开平
-        if data['OffsetFlag'] == '0':
-            trade.offset = OFFSET_OPEN
-        elif data['OffsetFlag'] == '1':
-            trade.offset = OFFSET_CLOSE
-        else:
-            trade.offset = OFFSET_UNKNOW
+        trade.offset = offsetMapReverse.get(data['OffsetFlag'], '')
             
         # 价格、报单量等数值
         trade.price = data['Price']
@@ -1146,9 +1239,9 @@ class CtpTdApi(TdApi):
         
         # 下面如果由于传入的类型本接口不支持，则会返回空字符串
         try:
-            req['OrderPriceType'] = self.priceTypeMap[orderReq.priceType]
-            req['Direction'] = self.directionMap[orderReq.priceType]
-            req['CombOffsetFlag'] = self.offsetMap[orderReq.offset]
+            req['OrderPriceType'] = priceTypeMap[orderReq.priceType]
+            req['Direction'] = directionMap[orderReq.direction]
+            req['CombOffsetFlag'] = offsetMap[orderReq.offset]
         except KeyError:
             return ''
             
@@ -1168,7 +1261,8 @@ class CtpTdApi(TdApi):
         self.reqOrderInsert(req, self.reqID)
         
         # 返回订单号（字符串），便于某些算法进行动态管理
-        return str(self.orderRef)
+        vtOrderID = '.'.join([self.gatewayName, str(self.orderRef)])
+        return vtOrderID
     
     #----------------------------------------------------------------------
     def cancelOrder(self, cancelOrderReq):
@@ -1179,7 +1273,7 @@ class CtpTdApi(TdApi):
         
         req['InstrumentID'] = cancelOrderReq.symbol
         req['ExchangeID'] = cancelOrderReq.exchange
-        req['OrderRef'] = cancelOrderReq.orderRef
+        req['OrderRef'] = cancelOrderReq.orderID
         req['FrontID'] = cancelOrderReq.frontID
         req['SessionID'] = cancelOrderReq.sessionID
         
@@ -1193,3 +1287,29 @@ class CtpTdApi(TdApi):
     def close(self):
         """关闭"""
         self.exit()
+
+
+#----------------------------------------------------------------------
+def test():
+    """测试"""
+    from PyQt4 import QtCore
+    import sys
+    
+    def print_log(event):
+        log = event.dict_['data']
+        print ':'.join([log.logTime, log.logContent])
+    
+    app = QtCore.QCoreApplication(sys.argv)    
+
+    eventEngine = EventEngine()
+    eventEngine.register(EVENT_LOG, print_log)
+    eventEngine.start()
+    
+    gateway = CtpGateway(eventEngine)
+    gateway.connect()
+    
+    sys.exit(app.exec_())
+
+
+if __name__ == '__main__':
+    test()

vn.trader/eventEngine.py

@@ -143,7 +143,7 @@ class EventEngine:
         """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
         try:
-            handlerList = self.handlers[type_]
+            handlerList = self.__handlers[type_]
             
             # 如果该函数存在于列表中，则移除
             if handler in handlerList:
@@ -151,7 +151,7 @@ class EventEngine:
 
             # 如果函数列表为空，则从引擎中移除该事件类型
             if not handlerList:
-                del self.handlers[type_]
+                del self.__handlers[type_]
         except KeyError:
             pass     
         

vn.trader/eventType.py

@@ -24,6 +24,12 @@ EVENT_ACCOUNT = 'eAccount.'             # 账户回报事件
 EVENT_CONTRACT = 'eContract.'           # 合约基础信息回报事件
 EVENT_ERROR = 'eError.'                 # 错误回报事件
 
+# CTA模块相关
+EVENT_CTA_LOG = 'eCtaLog'               # CTA相关的日志事件
+
+# Wind接口相关
+EVENT_WIND_CONNECTREQ = 'eWindConnectReq'   # Wind接口请求连接事件
+
 
 #----------------------------------------------------------------------
 def test():

vn.trader/uiBasicWidget.py

@@ -5,22 +5,152 @@ from collections import OrderedDict
 from PyQt4 import QtGui, QtCore
 
 from eventEngine import *
+from vtFunction import *
+from vtGateway import *
+
+
+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__()
+        self.data = None
+        if text:
+            self.setContent(text)
+    
+    #----------------------------------------------------------------------
+    def setContent(self, text):
+        """设置内容"""
+        self.setText(text)
+
+
+########################################################################
+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__()
+        self.data = None
+        if text:
+            self.setContent(text)
+        
+    #----------------------------------------------------------------------
+    def setContent(self, text):
+        """设置内容"""
+        if text == DIRECTION_LONG or text == DIRECTION_NET:
+            self.setForeground(QtGui.QColor('red'))
+        elif text == DIRECTION_SHORT:
+            self.setForeground(QtGui.QColor('green'))
+        self.setText(text)
+
+
+########################################################################
+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__()
+        self.data = None
+        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:
+            # 首先尝试正常获取合约对象
+            contract = self.dataEngine.getContract(text)
+
+            # 如果交易所代码为UNKNOWN，则删除交易所代码部分后再试
+            if EXCHANGE_UNKNOWN in text:
+                i = text.index('.')
+                symbol = text[:i]
+                contract = self.dataEngine.getContract(symbol)
+            
+            # 如果能读取合约信息
+            if contract:
+                self.setText(contract.name)
+
+
+########################################################################
+class BidCell(QtGui.QTableWidgetItem):
+    """买价单元格"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, text=None):
+        """Constructor"""
+        super(BidCell, self).__init__()
+        self.data = None
+
+        self.setBackground(QtGui.QColor(255,174,201))
+        
+        if text:
+            self.setContent(text)
+    
+    #----------------------------------------------------------------------
+    def setContent(self, text):
+        """设置内容"""
+        self.setText(text)
+
+
+########################################################################
+class AskCell(QtGui.QTableWidgetItem):
+    """买价单元格"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, text=None):
+        """Constructor"""
+        super(AskCell, self).__init__()
+        self.data = None
+
+        self.setBackground(QtGui.QColor(160,255,160))
+        
+        if text:
+            self.setContent(text)
+    
+    #----------------------------------------------------------------------
+    def setContent(self, text):
+        """设置内容"""
+        self.setText(text)
 
 
 ########################################################################
 class BasicMonitor(QtGui.QTableWidget):
-    """基础监控"""
+    """
+    基础监控
+    
+    headerDict中的值对应的字典格式如下
+    {'chinese': u'中文名', 'cellType': BasicCell}
+    
+    """
     signal = QtCore.pyqtSignal(type(Event()))
 
     #----------------------------------------------------------------------
-    def __init__(self, eventEngine, parent=None):
+    def __init__(self, eventEngine=None, parent=None):
         """Constructor"""
         super(BasicMonitor, self).__init__(parent)
         
         self.eventEngine = eventEngine
         
         # 保存表头标签用
-        self.headerDict = OrderedDict()  # 有序字典，key是英文名，value是对应的中文名
+        self.headerDict = OrderedDict()  # 有序字典，key是英文名，value是对应的配置字典
         self.headerList = []             # 对应self.headerDict.keys()
         
         # 保存相关数据用
@@ -33,6 +163,9 @@ class BasicMonitor(QtGui.QTableWidget):
         # 字体
         self.font = None
         
+        # 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"""
@@ -54,15 +187,21 @@ class BasicMonitor(QtGui.QTableWidget):
         """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
-        col = len(self.labelDict)
+        col = len(self.headerDict)
         self.setColumnCount(col)
         
         # 设置列表头
-        self.setHorizontalHeaderLabels(self.labelDict.values())
+        labels = [d['chinese'] for d in self.headerDict.values()]
+        self.setHorizontalHeaderLabels(labels)
         
         # 关闭左边的垂直表头
         self.verticalHeader().setVisible(False)
@@ -70,29 +209,42 @@ class BasicMonitor(QtGui.QTableWidget):
         # 设为不可编辑
         self.setEditTriggers(self.NoEditTriggers)
         
+        # 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.updateData)
+        self.signal.connect(self.updateEvent)
         self.eventEngine.register(self.eventType, self.signal.emit)
         
     #----------------------------------------------------------------------
-    def updateData(self, event):
-        """更新数据"""
+    def updateEvent(self, event):
+        """收到事件更新"""
         data = event.dict_['data']
-        key = data.__getattribute__(self.dataKey)
+        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
         if self.dataKey:
+            key = data.__getattribute__(self.dataKey)
             # 如果键在数据字典中不存在，则先插入新的一行，并创建对应单元格
             if key not in self.dataDict:
                 self.insertRow(0)     
                 d = {}
                 for n, header in enumerate(self.headerList):
-                    content = unicode(data.__getattribute__(header))
-                    cell = QtGui.QTableWidgetItem(content)
+                    content = safeUnicode(data.__getattribute__(header))
+                    cellType = self.headerDict[header]['cellType']
+                    cell = cellType(content)
+                    
                     if self.font:
-                        cell.setFont(font)  # 如果设置了特殊字体，则进行单元格设置
+                        cell.setFont(self.font)  # 如果设置了特殊字体，则进行单元格设置
+                    
+                    if self.saveData:            # 如果设置了保存数据对象，则进行对象保存
+                        cell.data = data
+                        
                     self.setItem(0, n, cell)
                     d[header] = cell
                 self.dataDict[key] = d
@@ -100,17 +252,26 @@ class BasicMonitor(QtGui.QTableWidget):
             else:
                 d = self.dataDict[key]
                 for header in self.headerList:
-                    content = unicode(data.__getattribute__(header))
+                    content = safeUnicode(data.__getattribute__(header))
                     cell = d[header]
-                    cell.setText(content)
+                    cell.setContent(content)
+                    
+                    if self.saveData:            # 如果设置了保存数据对象，则进行对象保存
+                        cell.data = data                    
         # 否则采用增量更新模式
         else:
             self.insertRow(0)  
             for n, header in enumerate(self.headerList):
-                content = unicode(data.__getattribute__(header))
-                cell = QtGui.QTableWidgetItem(content)
+                content = safeUnicode(data.__getattribute__(header))
+                cellType = self.headerDict[header]['cellType']
+                cell = cellType(content)
+                
                 if self.font:
-                    cell.setFont(font)
+                    cell.setFont(self.font)
+
+                if self.saveData:            
+                    cell.data = data                
+
                 self.setItem(0, n, cell)            
                 
         # 调整列宽
@@ -133,19 +294,20 @@ class MarketMonitor(BasicMonitor):
         
         # 设置表头有序字典
         d = OrderedDict()
-        d['symbol'] = u'合约代码'
-        d['vtSymbol'] = u'系统代码'
-        d['lastPrice'] = u'最新价'
-        d['volume'] = u'成交量'
-        d['openInterest'] = u'持仓量'
-        d['openPrice'] = u'开盘价'
-        d['highPrice'] = u'最高价'
-        d['lowPrice'] = u'最低价'
-        d['bidPrice1'] = u'买一价'
-        d['bidVolume1'] = u'买一量'
-        d['askPrice1'] = u'卖一价'
-        d['askVolume1'] = u'卖一量'
-        d['tickTime'] = u'时间'
+        d['symbol'] = {'chinese':u'合约代码', 'cellType':BasicCell}
+        d['vtSymbol'] = {'chinese':u'名称', 'cellType':NameCell}
+        d['lastPrice'] = {'chinese':u'最新价', 'cellType':BasicCell}
+        d['volume'] = {'chinese':u'成交量', 'cellType':BasicCell}
+        d['openInterest'] = {'chinese':u'持仓量', 'cellType':BasicCell}
+        d['openPrice'] = {'chinese':u'开盘价', 'cellType':BasicCell}
+        d['highPrice'] = {'chinese':u'最高价', 'cellType':BasicCell}
+        d['lowPrice'] = {'chinese':u'最低价', 'cellType':BasicCell}
+        d['bidPrice1'] = {'chinese':u'买一价', 'cellType':BidCell}
+        d['bidVolume1'] = {'chinese':u'买一量', 'cellType':BidCell}
+        d['askPrice1'] = {'chinese':u'卖一价', 'cellType':AskCell}
+        d['askVolume1'] = {'chinese':u'卖一量', 'cellType':AskCell}
+        d['time'] = {'chinese':u'时间', 'cellType':BasicCell}
+        d['gatewayName'] = {'chinese':u'接口', 'cellType':BasicCell}
         self.setHeaderDict(d)
         
         # 设置数据键
@@ -154,6 +316,9 @@ class MarketMonitor(BasicMonitor):
         # 设置监控事件类型
         self.setEventType(EVENT_TICK)
         
+        # 设置字体
+        self.setFont(BASIC_FONT)
+        
         # 初始化表格
         self.initTable()
         
@@ -171,12 +336,13 @@ class LogMonitor(BasicMonitor):
         super(LogMonitor, self).__init__(eventEngine, parent)
         
         d = OrderedDict()        
-        d['gatewayName'] = u'接口'
-        d['logTime'] = u'时间'
-        d['logContent'] = u'内容'
+        d['logTime'] = {'chinese':u'时间', 'cellType':BasicCell}
+        d['logContent'] = {'chinese':u'内容', 'cellType':BasicCell}
+        d['gatewayName'] = {'chinese':u'接口', 'cellType':BasicCell}
         self.setHeaderDict(d)
         
         self.setEventType(EVENT_LOG)
+        self.setFont(BASIC_FONT)        
         self.initTable()
         self.registerEvent()
 
@@ -191,12 +357,14 @@ class ErrorMonitor(BasicMonitor):
         super(ErrorMonitor, self).__init__(eventEngine, parent)
         
         d = OrderedDict()        
-        d['gatewayName'] = u'接口'
-        d['errorID'] = u'错误代码'
-        d['errorMsg'] = u'错误信息'
+        d['errorID'] = {'chinese':u'错误代码', 'cellType':BasicCell}
+        d['errorMsg'] = {'chinese':u'错误信息', 'cellType':BasicCell}
+        d['additionalInfo'] = {'chinese':u'补充信息', 'cellType':BasicCell}
+        d['gatewayName'] = {'chinese':u'接口', 'cellType':BasicCell}
         self.setHeaderDict(d)
         
         self.setEventType(EVENT_ERROR)
+        self.setFont(BASIC_FONT)
         self.initTable()
         self.registerEvent()
 
@@ -211,18 +379,20 @@ class TradeMonitor(BasicMonitor):
         super(TradeMonitor, self).__init__(eventEngine, parent)
         
         d = OrderedDict()
-        d['gatewayName'] = u'接口'
-        d['tradeID'] = u'成交编号'
-        d['orderID'] = u'委托编号'
-        d['symbol'] = u'合约代码'
-        d['direction'] = u'方向'
-        d['offset'] = u'开平'
-        d['price'] = u'价格'
-        d['volume'] = u'数量'
-        d['tradeTime'] = u'成交时间'
+        d['tradeID'] = {'chinese':u'成交编号', 'cellType':BasicCell}
+        d['orderID'] = {'chinese':u'委托编号', 'cellType':BasicCell}
+        d['symbol'] = {'chinese':u'合约代码', 'cellType':BasicCell}
+        d['vtSymbol'] = {'chinese':u'名称', 'cellType':NameCell}
+        d['direction'] = {'chinese':u'方向', 'cellType':DirectionCell}
+        d['offset'] = {'chinese':u'开平', 'cellType':BasicCell}
+        d['price'] = {'chinese':u'价格', 'cellType':BasicCell}
+        d['volume'] = {'chinese':u'数量', 'cellType':BasicCell}
+        d['tradeTime'] = {'chinese':u'成交时间', 'cellType':BasicCell}
+        d['gatewayName'] = {'chinese':u'接口', 'cellType':BasicCell}
         self.setHeaderDict(d)
         
         self.setEventType(EVENT_TRADE)
+        self.setFont(BASIC_FONT)
         self.initTable()
         self.registerEvent()
 
@@ -232,31 +402,58 @@ class OrderMonitor(BasicMonitor):
     """委托监控"""
 
     #----------------------------------------------------------------------
-    def __init__(self, eventEngine, parent=None):
+    def __init__(self, eventEngine, mainEngine, parent=None):
         """Constructor"""
         super(OrderMonitor, self).__init__(eventEngine, parent)
 
+        self.mainEngine = mainEngine
+        
         d = OrderedDict()
-        d['gatewayName'] = u'接口'
-        d['orderID'] = u'委托编号'
-        d['symbol'] = u'合约代码'
-        d['direction'] = u'方向'
-        d['offset'] = u'开平'
-        d['price'] = u'价格'
-        d['totalVolume'] = u'委托数量'
-        d['tradedVolume'] = u'成交数量'
-        d['status'] = u'状态'
-        d['orderTime'] = u'委托时间'
-        d['tradeTime'] = u'撤销时间'
-        d['frontID'] = u'前置编号'
-        d['sessionID'] = u'会话编号'
+        d['orderID'] = {'chinese':u'委托编号', 'cellType':BasicCell}
+        d['symbol'] = {'chinese':u'合约代码', 'cellType':BasicCell}
+        d['vtSymbol'] = {'chinese':u'名称', 'cellType':NameCell}
+        d['direction'] = {'chinese':u'方向', 'cellType':DirectionCell}
+        d['offset'] = {'chinese':u'开平', 'cellType':BasicCell}
+        d['price'] = {'chinese':u'价格', 'cellType':BasicCell}
+        d['totalVolume'] = {'chinese':u'委托数量', 'cellType':BasicCell}
+        d['tradedVolume'] = {'chinese':u'成交数量', 'cellType':BasicCell}
+        d['status'] = {'chinese':u'状态', 'cellType':BasicCell}
+        d['orderTime'] = {'chinese':u'委托时间', 'cellType':BasicCell}
+        d['cancelTime'] = {'chinese':u'撤销时间', 'cellType':BasicCell}
+        d['frontID'] = {'chinese':u'前置编号', 'cellType':BasicCell}
+        d['sessionID'] = {'chinese':u'会话编号', 'cellType':BasicCell}
+        d['gatewayName'] = {'chinese':u'接口', 'cellType':BasicCell}
         self.setHeaderDict(d)
         
         self.setDataKey('vtOrderID')
         self.setEventType(EVENT_ORDER)
+        self.setFont(BASIC_FONT)
+        self.setSaveData(True)
+        
         self.initTable()
         self.registerEvent()
         
+        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
+        
+        req = VtCancelOrderReq()
+        req.symbol = order.symbol
+        req.exchange = order.exchange
+        req.frontID = order.frontID
+        req.sessionID = order.sessionID
+        req.orderID = order.orderID
+        self.mainEngine.cancelOrder(req, order.gatewayName)
+
 
 ########################################################################
 class PositionMonitor(BasicMonitor):
@@ -268,16 +465,18 @@ class PositionMonitor(BasicMonitor):
         super(PositionMonitor, self).__init__(eventEngine, parent)
         
         d = OrderedDict()
-        d['gatewayName'] = u'接口'
-        d['symbol'] = u'合约代码'
-        d['direction'] = u'方向'
-        d['position'] = u'持仓量'
-        d['frozen'] = u'冻结量'
-        d['price'] = u'价格'
+        d['symbol'] = {'chinese':u'合约代码', 'cellType':BasicCell}
+        d['vtSymbol'] = {'chinese':u'名称', 'cellType':NameCell}
+        d['direction'] = {'chinese':u'方向', 'cellType':DirectionCell}
+        d['position'] = {'chinese':u'持仓量', 'cellType':BasicCell}
+        d['frozen'] = {'chinese':u'冻结量', 'cellType':BasicCell}
+        d['price'] = {'chinese':u'价格', 'cellType':BasicCell}
+        d['gatewayName'] = {'chinese':u'接口', 'cellType':BasicCell}
         self.setHeaderDict(d)
         
         self.setDataKey('vtPositionName')
         self.setEventType(EVENT_POSITION)
+        self.setFont(BASIC_FONT)
         self.initTable()
         self.registerEvent()
 
@@ -292,20 +491,451 @@ class AccountMonitor(BasicMonitor):
         super(AccountMonitor, self).__init__(eventEngine, parent)
         
         d = OrderedDict()
-        d['gatewayName'] = u'接口'
-        d['accountID'] = u'账户'
-        d['preBalance'] = u'昨结'
-        d['balance'] = u'净值'
-        d['available'] = u'可用'
-        d['commission'] = u'手续费'
-        d['margin'] = u'保证金'
-        d['closeProfit'] = u'平仓盈亏'
-        d['positionProfit'] = u'持仓盈亏'
+        d['accountID'] = {'chinese':u'账户', 'cellType':BasicCell}
+        d['preBalance'] = {'chinese':u'昨结', 'cellType':BasicCell}
+        d['balance'] = {'chinese':u'净值', 'cellType':BasicCell}
+        d['available'] = {'chinese':u'可用', 'cellType':BasicCell}
+        d['commission'] = {'chinese':u'手续费', 'cellType':BasicCell}
+        d['margin'] = {'chinese':u'保证金', 'cellType':BasicCell}
+        d['closeProfit'] = {'chinese':u'平仓盈亏', 'cellType':BasicCell}
+        d['positionProfit'] = {'chinese':u'持仓盈亏', 'cellType':BasicCell}
+        d['gatewayName'] = {'chinese':u'接口', 'cellType':BasicCell}
         self.setHeaderDict(d)
         
         self.setDataKey('vtAccountID')
         self.setEventType(EVENT_ACCOUNT)
+        self.setFont(BASIC_FONT)
         self.initTable()
         self.registerEvent()
 
 
+########################################################################
+class TradingWidget(QtGui.QFrame):
+    """简单交易组件"""
+    signal = QtCore.pyqtSignal(type(Event()))
+    
+    directionList = [DIRECTION_LONG,
+                     DIRECTION_SHORT]
+
+    offsetList = [OFFSET_OPEN,
+                  OFFSET_CLOSE,
+                  OFFSET_CLOSESYESTERDAY,
+                  OFFSET_CLOSETODAY]
+    
+    priceTypeList = [PRICETYPE_LIMITPRICE,
+                     PRICETYPE_MARKETPRICE,
+                     PRICETYPE_FAK,
+                     PRICETYPE_FOK]
+    
+    exchangeList = [EXCHANGE_NONE,
+                    EXCHANGE_CFFEX,
+                    EXCHANGE_SHFE,
+                    EXCHANGE_DCE,
+                    EXCHANGE_CZCE,
+                    EXCHANGE_SSE,
+                    EXCHANGE_SZSE]
+
+    #----------------------------------------------------------------------
+    def __init__(self, mainEngine, eventEngine, dataEngine, parent=None):
+        """Constructor"""
+        super(TradingWidget, self).__init__(parent)
+        self.mainEngine = mainEngine
+        self.eventEngine = eventEngine
+        self.dataEngine = dataEngine
+        
+        self.symbol = ''
+
+        self.initUi()
+        self.connectSignal()
+
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setWindowTitle(u'交易')
+        self.setMaximumWidth(400)
+        self.setFrameShape(self.Box)    # 设置边框
+        self.setLineWidth(1)           
+
+        # 左边部分
+        labelSymbol = QtGui.QLabel(u'代码')
+        labelName =  QtGui.QLabel(u'名称')
+        labelDirection = QtGui.QLabel(u'方向类型')
+        labelOffset = QtGui.QLabel(u'开平')
+        labelPrice = QtGui.QLabel(u'价格')
+        labelVolume = QtGui.QLabel(u'数量')
+        labelPriceType = QtGui.QLabel(u'价格类型')
+        labelExchange = QtGui.QLabel(u'交易所') 
+
+        self.lineSymbol = QtGui.QLineEdit()
+        self.lineName = QtGui.QLineEdit()
+
+        self.comboDirection = QtGui.QComboBox()
+        self.comboDirection.addItems(self.directionList)
+
+        self.comboOffset = QtGui.QComboBox()
+        self.comboOffset.addItems(self.offsetList)
+
+        self.spinPrice = QtGui.QDoubleSpinBox()
+        self.spinPrice.setDecimals(4)
+        self.spinPrice.setMinimum(0)
+        self.spinPrice.setMaximum(100000)
+
+        self.spinVolume = QtGui.QSpinBox()
+        self.spinVolume.setMinimum(0)
+        self.spinVolume.setMaximum(1000000)
+
+        self.comboPriceType = QtGui.QComboBox()
+        self.comboPriceType.addItems(self.priceTypeList)
+        
+        self.comboExchange = QtGui.QComboBox()
+        self.comboExchange.addItems(self.exchangeList)        
+
+        gridleft = QtGui.QGridLayout()
+        gridleft.addWidget(labelSymbol, 0, 0)
+        gridleft.addWidget(labelName, 1, 0)
+        gridleft.addWidget(labelDirection, 2, 0)
+        gridleft.addWidget(labelOffset, 3, 0)
+        gridleft.addWidget(labelPrice, 4, 0)
+        gridleft.addWidget(labelVolume, 5, 0)
+        gridleft.addWidget(labelPriceType, 6, 0)
+        gridleft.addWidget(labelExchange, 7, 0)
+        gridleft.addWidget(self.lineSymbol, 0, 1)
+        gridleft.addWidget(self.lineName, 1, 1)
+        gridleft.addWidget(self.comboDirection, 2, 1)
+        gridleft.addWidget(self.comboOffset, 3, 1)
+        gridleft.addWidget(self.spinPrice, 4, 1)
+        gridleft.addWidget(self.spinVolume, 5, 1)
+        gridleft.addWidget(self.comboPriceType, 6, 1)	
+        gridleft.addWidget(self.comboExchange, 7, 1)
+
+        # 右边部分
+        labelBid1 = QtGui.QLabel(u'买一')
+        labelBid2 = QtGui.QLabel(u'买二')
+        labelBid3 = QtGui.QLabel(u'买三')
+        labelBid4 = QtGui.QLabel(u'买四')
+        labelBid5 = QtGui.QLabel(u'买五')
+
+        labelAsk1 = QtGui.QLabel(u'卖一')
+        labelAsk2 = QtGui.QLabel(u'卖二')
+        labelAsk3 = QtGui.QLabel(u'卖三')
+        labelAsk4 = QtGui.QLabel(u'卖四')
+        labelAsk5 = QtGui.QLabel(u'卖五')
+
+        self.labelBidPrice1 = QtGui.QLabel()
+        self.labelBidPrice2 = QtGui.QLabel()
+        self.labelBidPrice3 = QtGui.QLabel()
+        self.labelBidPrice4 = QtGui.QLabel()
+        self.labelBidPrice5 = QtGui.QLabel()
+        self.labelBidVolume1 = QtGui.QLabel()
+        self.labelBidVolume2 = QtGui.QLabel()
+        self.labelBidVolume3 = QtGui.QLabel()
+        self.labelBidVolume4 = QtGui.QLabel()
+        self.labelBidVolume5 = QtGui.QLabel()	
+
+        self.labelAskPrice1 = QtGui.QLabel()
+        self.labelAskPrice2 = QtGui.QLabel()
+        self.labelAskPrice3 = QtGui.QLabel()
+        self.labelAskPrice4 = QtGui.QLabel()
+        self.labelAskPrice5 = QtGui.QLabel()
+        self.labelAskVolume1 = QtGui.QLabel()
+        self.labelAskVolume2 = QtGui.QLabel()
+        self.labelAskVolume3 = QtGui.QLabel()
+        self.labelAskVolume4 = QtGui.QLabel()
+        self.labelAskVolume5 = QtGui.QLabel()	
+
+        labelLast = QtGui.QLabel(u'最新')
+        self.labelLastPrice = QtGui.QLabel()
+        self.labelReturn = QtGui.QLabel()
+
+        self.labelLastPrice.setMinimumWidth(60)
+        self.labelReturn.setMinimumWidth(60)
+
+        gridRight = QtGui.QGridLayout()
+        gridRight.addWidget(labelAsk5, 0, 0)
+        gridRight.addWidget(labelAsk4, 1, 0)
+        gridRight.addWidget(labelAsk3, 2, 0)
+        gridRight.addWidget(labelAsk2, 3, 0)
+        gridRight.addWidget(labelAsk1, 4, 0)
+        gridRight.addWidget(labelLast, 5, 0)
+        gridRight.addWidget(labelBid1, 6, 0)
+        gridRight.addWidget(labelBid2, 7, 0)
+        gridRight.addWidget(labelBid3, 8, 0)
+        gridRight.addWidget(labelBid4, 9, 0)
+        gridRight.addWidget(labelBid5, 10, 0)
+
+        gridRight.addWidget(self.labelAskPrice5, 0, 1)
+        gridRight.addWidget(self.labelAskPrice4, 1, 1)
+        gridRight.addWidget(self.labelAskPrice3, 2, 1)
+        gridRight.addWidget(self.labelAskPrice2, 3, 1)
+        gridRight.addWidget(self.labelAskPrice1, 4, 1)
+        gridRight.addWidget(self.labelLastPrice, 5, 1)
+        gridRight.addWidget(self.labelBidPrice1, 6, 1)
+        gridRight.addWidget(self.labelBidPrice2, 7, 1)
+        gridRight.addWidget(self.labelBidPrice3, 8, 1)
+        gridRight.addWidget(self.labelBidPrice4, 9, 1)
+        gridRight.addWidget(self.labelBidPrice5, 10, 1)	
+
+        gridRight.addWidget(self.labelAskVolume5, 0, 2)
+        gridRight.addWidget(self.labelAskVolume4, 1, 2)
+        gridRight.addWidget(self.labelAskVolume3, 2, 2)
+        gridRight.addWidget(self.labelAskVolume2, 3, 2)
+        gridRight.addWidget(self.labelAskVolume1, 4, 2)
+        gridRight.addWidget(self.labelReturn, 5, 2)
+        gridRight.addWidget(self.labelBidVolume1, 6, 2)
+        gridRight.addWidget(self.labelBidVolume2, 7, 2)
+        gridRight.addWidget(self.labelBidVolume3, 8, 2)
+        gridRight.addWidget(self.labelBidVolume4, 9, 2)
+        gridRight.addWidget(self.labelBidVolume5, 10, 2)
+
+        # 发单按钮
+        buttonSendOrder = QtGui.QPushButton(u'发单')
+        buttonCancelAll = QtGui.QPushButton(u'全撤')
+        
+        size = buttonSendOrder.sizeHint()
+        buttonSendOrder.setMinimumHeight(size.height()*2)   # 把按钮高度设为默认两倍
+        buttonCancelAll.setMinimumHeight(size.height()*2)
+
+        # 整合布局
+        hbox = QtGui.QHBoxLayout()
+        hbox.addLayout(gridleft)
+        hbox.addLayout(gridRight)
+
+        vbox = QtGui.QVBoxLayout()
+        vbox.addLayout(hbox)
+        vbox.addWidget(buttonSendOrder)
+        vbox.addWidget(buttonCancelAll)
+        vbox.addStretch()
+
+        self.setLayout(vbox)
+
+        # 关联更新
+        buttonSendOrder.clicked.connect(self.sendOrder)
+        buttonCancelAll.clicked.connect(self.cancelAll)
+        self.lineSymbol.returnPressed.connect(self.updateSymbol)
+
+    #----------------------------------------------------------------------
+    def updateSymbol(self):
+        """合约变化"""
+        symbol = unicode(self.lineSymbol.text())
+        exchange = unicode(self.comboExchange.currentText())
+        
+        if exchange:
+            vtSymbol = '.'.join([symbol, exchange])
+            contract = self.dataEngine.getContract(vtSymbol)
+        else:
+            contract = self.dataEngine.getContract(symbol)
+        
+        if contract:
+            exchange = contract.exchange    # 保证有交易所代码
+            
+            self.lineName.setText(contract.name)#.decode('GBK'))
+
+            # 清空价格数量
+            self.spinPrice.setValue(0)
+            self.spinVolume.setValue(0)
+
+            # 清空行情显示
+            self.labelBidPrice1.setText('')
+            self.labelBidPrice2.setText('')
+            self.labelBidPrice3.setText('')
+            self.labelBidPrice4.setText('')
+            self.labelBidPrice5.setText('')
+            self.labelBidVolume1.setText('')
+            self.labelBidVolume2.setText('')
+            self.labelBidVolume3.setText('')
+            self.labelBidVolume4.setText('')
+            self.labelBidVolume5.setText('')	
+            self.labelAskPrice1.setText('')
+            self.labelAskPrice2.setText('')
+            self.labelAskPrice3.setText('')
+            self.labelAskPrice4.setText('')
+            self.labelAskPrice5.setText('')
+            self.labelAskVolume1.setText('')
+            self.labelAskVolume2.setText('')
+            self.labelAskVolume3.setText('')
+            self.labelAskVolume4.setText('')
+            self.labelAskVolume5.setText('')
+            self.labelLastPrice.setText('')
+            self.labelReturn.setText('')
+
+            # 重新注册事件监听
+            self.eventEngine.unregister(EVENT_TICK + self.symbol, self.signal.emit)
+            self.eventEngine.register(EVENT_TICK + contract.vtSymbol, self.signal.emit)
+
+            # 订阅合约
+            req = VtSubscribeReq()
+            req.symbol = symbol
+            req.exchange = exchange
+            self.mainEngine.subscribe(req, contract.gatewayName)
+
+            # 更新组件当前交易的合约
+            self.symbol = contract.vtSymbol
+
+    #----------------------------------------------------------------------
+    def updateTick(self, event):
+        """更新行情"""
+        tick = event.dict_['data']
+
+        if tick.vtSymbol == self.symbol:
+            self.labelBidPrice1.setText(str(tick.bidPrice1))
+            self.labelAskPrice1.setText(str(tick.askPrice1))
+            self.labelBidVolume1.setText(str(tick.bidVolume1))
+            self.labelAskVolume1.setText(str(tick.askVolume1))
+            
+            if tick.bidPrice2:
+                self.labelBidPrice2.setText(str(tick.bidPrice2))
+                self.labelBidPrice3.setText(str(tick.bidPrice3))
+                self.labelBidPrice4.setText(str(tick.bidPrice4))
+                self.labelBidPrice5.setText(str(tick.bidPrice5))
+    
+                self.labelAskPrice2.setText(str(tick.askPrice2))
+                self.labelAskPrice3.setText(str(tick.askPrice3))
+                self.labelAskPrice4.setText(str(tick.askPrice4))
+                self.labelAskPrice5.setText(str(tick.askPrice5))
+    
+                self.labelBidVolume2.setText(str(tick.bidVolume2))
+                self.labelBidVolume3.setText(str(tick.bidVolume3))
+                self.labelBidVolume4.setText(str(tick.bidVolume4))
+                self.labelBidVolume5.setText(str(tick.bidVolume5))
+                
+                self.labelAskVolume2.setText(str(tick.askVolume2))
+                self.labelAskVolume3.setText(str(tick.askVolume3))
+                self.labelAskVolume4.setText(str(tick.askVolume4))
+                self.labelAskVolume5.setText(str(tick.askVolume5))	
+
+            self.labelLastPrice.setText(str(tick.lastPrice))
+            rt = (tick.lastPrice/tick.preClosePrice)-1
+            self.labelReturn.setText(('%.2f' %(rt*100))+'%')
+
+    #----------------------------------------------------------------------
+    def connectSignal(self):
+        """连接Signal"""
+        self.signal.connect(self.updateTick)
+
+    #----------------------------------------------------------------------
+    def sendOrder(self):
+        """发单"""
+        symbol = str(self.lineSymbol.text())
+        exchange = str(self.comboExchange.currentText())
+
+        if exchange:
+            vtSymbol = '.'.join([symbol, exchange])
+            contract = self.dataEngine.getContract(vtSymbol)
+        else:
+            contract = self.dataEngine.getContract(symbol)
+            
+        if contract:
+            req = VtOrderReq()
+            req.symbol = symbol
+            req.exchange = contract.exchange
+            req.price = self.spinPrice.value()
+            req.volume = self.spinVolume.value()
+            req.direction = unicode(self.comboDirection.currentText())
+            req.priceType = unicode(self.comboPriceType.currentText())
+            req.offset = unicode(self.comboOffset.currentText())
+            self.mainEngine.sendOrder(req, contract.gatewayName)
+            
+    #----------------------------------------------------------------------
+    def cancelAll(self):
+        """一键撤销所有委托"""
+        l = self.dataEngine.getAllWorkingOrders()
+        for order in l:
+            req = VtCancelOrderReq()
+            req.symbol = order.symbol
+            req.exchange = order.exchange
+            req.frontID = order.frontID
+            req.sessionID = order.sessionID
+            req.orderID = order.orderID
+            self.mainEngine.cancelOrder(req, order.gatewayName)
+
+
+########################################################################
+class ContractMonitor(BasicMonitor):
+    """合约查询"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, dataEngine, parent=None):
+        """Constructor"""
+        super(ContractMonitor, self).__init__(parent=parent)
+        
+        self.dataEngine = dataEngine
+        
+        d = OrderedDict()
+        d['symbol'] = {'chinese':u'合约代码', 'cellType':BasicCell}
+        d['exchange'] = {'chinese':u'交易所', 'cellType':BasicCell}
+        d['vtSymbol'] = {'chinese':u'vt系统代码', 'cellType':BasicCell}
+        d['name'] = {'chinese':u'名称', 'cellType':BasicCell}
+        d['productClass'] = {'chinese':u'合约类型', 'cellType':BasicCell}
+        d['size'] = {'chinese':u'大小', 'cellType':BasicCell}
+        d['priceTick'] = {'chinese':u'最小价格变动', 'cellType':BasicCell}
+        #d['strikePrice'] = {'chinese':u'期权行权价', 'cellType':BasicCell}
+        #d['underlyingSymbol'] = {'chinese':u'期权标的物', 'cellType':BasicCell}
+        #d['optionType'] = {'chinese':u'期权类型', 'cellType':BasicCell}     
+        self.setHeaderDict(d)
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setWindowTitle(u'合约查询')
+        self.setMinimumSize(800, 800)
+        self.setFont(BASIC_FONT)
+        self.initTable()
+        self.initMenu()
+    
+    #----------------------------------------------------------------------
+    def showAllContracts(self):
+        """显示所有合约数据"""
+        l = self.dataEngine.getAllContracts()
+        d = {'.'.join([contract.exchange, contract.symbol]):contract for contract in l}
+        l2 = d.keys()
+        l2.sort(reverse=True)
+
+        self.setRowCount(len(l2))
+        row = 0
+        
+        for key in l2:
+            contract = d[key]
+            
+            for n, header in enumerate(self.headerList):
+                content = safeUnicode(contract.__getattribute__(header))
+                cellType = self.headerDict[header]['cellType']
+                cell = cellType(content)
+                
+                if self.font:
+                    cell.setFont(self.font)  # 如果设置了特殊字体，则进行单元格设置
+                    
+                self.setItem(row, n, cell)
+            
+            row = row + 1
+    
+    #----------------------------------------------------------------------
+    def refresh(self):
+        """刷新"""
+        self.clearContents()
+        self.setRowCount(0)
+        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)
+        refreshAction.triggered.connect(self.refresh)
+    
+        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()
+        self.refresh()
+    
+    

vn.trader/uiCtaWidget.py

@@ -0,0 +1,248 @@
+# encoding: UTF-8
+
+'''CTA模块相关的GUI控制组件'''
+
+from uiBasicWidget import QtGui, QtCore, BasicCell
+from eventEngine import *
+
+
+########################################################################
+class ValueMonitor(QtGui.QTableWidget):
+    """数值监控"""
+    signal = QtCore.pyqtSignal()
+
+    #----------------------------------------------------------------------
+    def __init__(self, parent=None):
+        """Constructor"""
+        super(ValueMonitor , self).__init__(parent)
+        
+        self.keyCellDict = {}
+        self.row = 0
+        self.data = None
+        
+        self.initUi()
+        self.signal.connect(self.updateTable)
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setColumnCount(2)
+        
+        self.verticalHeader().setVisible(False)        
+        self.horizontalHeader().setVisible(False)
+        
+        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():
+            if key in self.keyCellDict:
+                cell = self.keyCellDict[key]
+                cell.setText(unicode(value))
+            else:
+                # 创建并保存单元格
+                keyCell = BasicCell(unicode(key))
+                cell = BasicCell(unicode(value))
+                self.keyCellDict[key] = cell
+                
+                # 移动到下一行
+                self.insertRow(self.row)
+                self.setItem(self.row, 0, keyCell)
+                self.setItem(self.row, 1, cell)
+                self.row += 1
+
+
+########################################################################
+class CtaStrategyManager(QtGui.QGroupBox):
+    """策略管理组件"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, ctaEngine, eventEngine, name, parent=None):
+        """Constructor"""
+        super(CtaStrategyManager, self).__init__(parent)
+        
+        self.ctaEngine = ctaEngine
+        self.eventEngine = eventEngine
+        self.name = name
+        
+        self.initUi()
+        self.updateMonitor()
+        self.registerEvent()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setTitle(self.name)
+        
+        paramLabel = QtGui.QLabel(u'参数')
+        varLabel = QtGui.QLabel(u'变量')
+        
+        self.paramMonitor = ValueMonitor(self)
+        self.varMonitor = ValueMonitor(self)
+        
+        buttonStart = QtGui.QPushButton(u'启动')
+        buttonStop = QtGui.QPushButton(u'停止')
+        buttonStart.clicked.connect(self.start)
+        buttonStop.clicked.connect(self.stop)
+        
+        hbox = QtGui.QHBoxLayout()        
+        hbox.addWidget(buttonStart)
+        hbox.addWidget(buttonStop)
+        hbox.addStretch()
+        
+        vbox = QtGui.QVBoxLayout()
+        vbox.addLayout(hbox)
+        vbox.addWidget(paramLabel)
+        vbox.addWidget(self.paramMonitor)
+        vbox.addWidget(varLabel)
+        vbox.addWidget(self.varMonitor)
+        self.setLayout(vbox)
+        
+    #----------------------------------------------------------------------
+    def updateMonitor(self, event=None):
+        """显示策略最新状态"""
+        paramDict = self.ctaEngine.getStrategyParam(self.name)
+        if paramDict:
+            self.paramMonitor.updateData(paramDict)
+            
+        varDict = self.ctaEngine.getStrategyVar(self.name)
+        if varDict:
+            self.varMonitor.updateData(varDict)        
+            
+    #----------------------------------------------------------------------
+    def registerEvent(self):
+        """注册事件监听"""
+        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)
+
+
+
+########################################################################
+class CtaEngineManager(QtGui.QWidget):
+    """CTA引擎管理组件"""
+    signal = QtCore.pyqtSignal(type(Event()))
+
+    #----------------------------------------------------------------------
+    def __init__(self, ctaEngine, eventEngine, parent=None):
+        """Constructor"""
+        super(CtaEngineManager, self).__init__(parent)
+        
+        self.ctaEngine = ctaEngine
+        self.eventEngine = eventEngine
+        
+        self.strategyLoaded = False
+        
+        self.initUi()
+        self.registerEvent()
+        
+        # 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')
+        
+        # 按钮
+        loadButton = QtGui.QPushButton(u'加载策略')
+        startAllButton = QtGui.QPushButton(u'全部启动')
+        stopAllButton = QtGui.QPushButton(u'全部停止')
+        
+        loadButton.clicked.connect(self.load)
+        startAllButton.clicked.connect(self.startAll)
+        stopAllButton.clicked.connect(self.stopAll)
+        
+        # 滚动区域，放置所有的CtaStrategyManager
+        self.scrollArea = QtGui.QScrollArea()
+        
+        # CTA组件的日志监控
+        self.ctaLogMonitor = QtGui.QTextEdit()
+        self.ctaLogMonitor.setReadOnly(True)
+        
+        # 设置布局
+        hbox2 = QtGui.QHBoxLayout()
+        hbox2.addWidget(loadButton)
+        hbox2.addWidget(startAllButton)
+        hbox2.addWidget(stopAllButton)
+        hbox2.addStretch()
+        
+        vbox = QtGui.QVBoxLayout()
+        vbox.addLayout(hbox2)
+        vbox.addWidget(self.scrollArea)
+        vbox.addWidget(self.ctaLogMonitor)
+        self.setLayout(vbox)
+        
+    #----------------------------------------------------------------------
+    def initStrategyManager(self):
+        """初始化策略管理组件界面"""        
+        w = QtGui.QWidget()
+        hbox = QtGui.QHBoxLayout()
+        
+        for name in self.ctaEngine.strategyDict.keys():
+            strategyManager = CtaStrategyManager(self.ctaEngine, self.eventEngine, name)
+            hbox.addWidget(strategyManager)
+        
+        w.setLayout(hbox)
+        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:
+            self.ctaEngine.loadStrategySetting()
+            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"""
+        self.signal.connect(self.updateCtaLog)
+        self.eventEngine.register(EVENT_CTA_LOG, self.signal.emit)
+        
+        
+    
+    
+    
+    
+
+
+
+    
+    

vn.trader/uiMainWindow.py

@@ -0,0 +1,289 @@
+# encoding: UTF-8
+
+import psutil
+
+from uiBasicWidget import *
+from uiCtaWidget import CtaEngineManager
+
+########################################################################
+class MainWindow(QtGui.QMainWindow):
+    """主窗口"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, mainEngine, eventEngine, dataEngine):
+        """Constructor"""
+        super(MainWindow, self).__init__()
+        
+        self.mainEngine = mainEngine
+        self.eventEngine = eventEngine
+        self.dataEngine = dataEngine
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setWindowTitle('VnTrader')
+        self.initCentral()
+        self.initMenu()
+        self.initStatusBar()
+        
+    #----------------------------------------------------------------------
+    def initCentral(self):
+        """初始化中心区域"""
+        marketM = MarketMonitor(self.eventEngine)
+        logM = LogMonitor(self.eventEngine)
+        errorM = ErrorMonitor(self.eventEngine)
+        tradeM = TradeMonitor(self.eventEngine)
+        orderM = OrderMonitor(self.eventEngine, self.mainEngine)
+        positionM = PositionMonitor(self.eventEngine)
+        accountM = AccountMonitor(self.eventEngine)
+        
+        tradingW = TradingWidget(self.mainEngine, self.mainEngine.eventEngine, self.mainEngine.dataEngine)
+        
+        leftTab = QtGui.QTabWidget()
+        leftTab.addTab(logM, u'日志')
+        leftTab.addTab(errorM, u'错误')
+        leftTab.addTab(accountM, u'账户')
+        
+        rightTab = QtGui.QTabWidget()
+        rightTab.addTab(tradeM, u'成交')
+        rightTab.addTab(orderM, u'委托')
+        rightTab.addTab(positionM, u'持仓')
+    
+        hbox = QtGui.QHBoxLayout()
+        hbox.addWidget(tradingW)
+        hbox.addWidget(marketM)
+        
+        grid = QtGui.QGridLayout()
+        grid.addLayout(hbox, 0, 0, 1, 2)
+        grid.addWidget(leftTab, 1, 0)
+        grid.addWidget(rightTab, 1, 1)
+        
+        central = QtGui.QWidget()
+        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)
+        
+        connectLtsAction = QtGui.QAction(u'连接LTS', self)
+        connectLtsAction.triggered.connect(self.connectLts)
+        
+        connectWindAction = QtGui.QAction(u'连接Wind', self)
+        connectWindAction.triggered.connect(self.connectWind)
+        
+        testAction = QtGui.QAction(u'测试', self)
+        testAction.triggered.connect(self.testSubscribe)
+        
+        exitAction = QtGui.QAction(u'退出', self)
+        exitAction.triggered.connect(self.close)
+        
+        aboutAction = QtGui.QAction(u'关于', self)
+        aboutAction.triggered.connect(self.openAbout)
+        
+        contractAction = QtGui.QAction(u'查询合约', self)
+        contractAction.triggered.connect(self.openContract)
+        
+        ctaAction = QtGui.QAction(u'CTA策略', self)
+        ctaAction.triggered.connect(self.openCta)
+        
+        # 创建菜单
+        menubar = self.menuBar()
+        
+        sysMenu = menubar.addMenu(u'系统')
+        sysMenu.addAction(connectCtpAction)
+        sysMenu.addAction(connectLtsAction)
+        sysMenu.addAction(connectWindAction)
+        sysMenu.addAction(testAction)
+        sysMenu.addAction(exitAction)
+        
+        functionMenu = menubar.addMenu(u'功能')
+        functionMenu.addAction(contractAction)
+        functionMenu.addAction(ctaAction)
+        
+        helpMenu = menubar.addMenu(u'帮助')
+        helpMenu.addAction(aboutAction)
+    
+    #----------------------------------------------------------------------
+    def initStatusBar(self):
+        """初始化状态栏"""
+        self.statusLabel = QtGui.QLabel()
+        self.statusLabel.setAlignment(QtCore.Qt.AlignLeft)
+        
+        self.statusBar().addPermanentWidget(self.statusLabel)
+        self.statusLabel.setText(self.getCpuMemory())
+        
+        self.sbCount = 0
+        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
+        
+        if self.sbCount == self.sbTrigger:
+            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 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 testSubscribe(self):
+        """测试订阅"""
+        req = VtSubscribeReq()
+        req.symbol = '600000'
+        req.exchange = EXCHANGE_SSE
+        self.mainEngine.subscribe(req, 'Wind')
+        
+        req = VtSubscribeReq()
+        req.symbol = '000062'
+        req.exchange = EXCHANGE_SZSE
+        self.mainEngine.subscribe(req, 'Wind')        
+        
+        req = VtSubscribeReq()
+        req.symbol = 'IF1511'
+        req.exchange = EXCHANGE_CFFEX
+        self.mainEngine.subscribe(req, 'Wind')
+        
+        req = VtSubscribeReq()
+        req.symbol = 'CU1601'
+        req.exchange = EXCHANGE_SHFE
+        self.mainEngine.subscribe(req, 'Wind')
+        
+        req = VtSubscribeReq()
+        req.symbol = 'C1601'
+        req.exchange = EXCHANGE_DCE
+        self.mainEngine.subscribe(req, 'Wind')       
+        
+        req = VtSubscribeReq()
+        req.symbol = 'SR1601'
+        req.exchange = EXCHANGE_CZCE
+        self.mainEngine.subscribe(req, 'Wind')             
+        
+    #----------------------------------------------------------------------
+    def openAbout(self):
+        """打开关于"""
+        try:
+            self.aboutW.show()
+        except AttributeError:
+            self.aboutW = AboutWidget(self)
+            self.aboutW.show()
+    
+    #----------------------------------------------------------------------
+    def openContract(self):
+        """打开合约查询"""
+        try:
+            self.contractM.show()
+        except AttributeError:
+            self.contractM = ContractMonitor(self.mainEngine.dataEngine)
+            self.contractM.show()
+            
+    #----------------------------------------------------------------------
+    def openCta(self):
+        """打开CTA组件"""
+        try:
+            self.ctaM.show()
+        except AttributeError:
+            self.ctaM = CtaEngineManager(self.mainEngine.ctaEngine, self.eventEngine)
+            self.ctaM.show()
+    
+    #----------------------------------------------------------------------
+    def closeEvent(self, event):
+        """关闭事件"""
+        reply = QtGui.QMessageBox.question(self, u'退出',
+                                           u'确认退出?', QtGui.QMessageBox.Yes | 
+                                           QtGui.QMessageBox.No, QtGui.QMessageBox.No)
+
+        if reply == QtGui.QMessageBox.Yes:        
+            self.mainEngine.exit()
+            event.accept()
+        else:
+            event.ignore()
+
+
+########################################################################
+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')
+
+        text = u"""
+            VnTrader
+
+            更新日期：2015/9/29
+
+            作者：用Python的交易员
+
+            License：MIT
+
+            主页：vnpy.org
+
+            Github：github.com/vnpy/vnpy
+
+            QQ交流群：262656087
+
+
+
+
+            开发环境
+
+            操作系统：Windows 7 专业版 64位
+
+            Python发行版：Python 2.7.6 (Anaconda 1.9.2 Win-32)
+
+            CTP：vn.ctp  2015/6/1版
+
+            图形库：PyQt4 4.11.3 Py2.7-x32
+
+            事件驱动引擎：vn.event
+
+            开发环境：WingIDE 5.0.6
+            
+            
+            """
+
+        label = QtGui.QLabel()
+        label.setText(text)
+        label.setMinimumWidth(500)
+
+        vbox = QtGui.QVBoxLayout()
+        vbox.addWidget(label)
+
+        self.setLayout(vbox)
+    

vn.trader/vtConstant.py

@@ -0,0 +1,57 @@
+# encoding: UTF-8
+
+# 默认空值
+EMPTY_STRING = ''
+EMPTY_UNICODE = u''
+EMPTY_INT = 0
+EMPTY_FLOAT = 0.0
+
+# 方向常量
+DIRECTION_NONE = u'无方向'
+DIRECTION_LONG = u'多'
+DIRECTION_SHORT = u'空'
+DIRECTION_UNKNOWN = u'未知'
+DIRECTION_NET = u'净'
+
+# 开平常量
+OFFSET_NONE = u'无开平'
+OFFSET_OPEN = u'开仓'
+OFFSET_CLOSE = u'平仓'
+OFFSET_CLOSETODAY = u'平今'
+OFFSET_CLOSESYESTERDAY = u'平昨'
+OFFSET_UNKNOWN = u'未知'
+
+# 状态常量
+STATUS_NOTTRADED = u'未成交'
+STATUS_PARTTRADED = u'部分成交'
+STATUS_ALLTRADED = u'全部成交'
+STATUS_CANCELLED = u'已撤销'
+STATUS_UNKNOWN = u'未知'
+
+# 合约类型常量
+PRODUCT_EQUITY = u'股票'
+PRODUCT_FUTURES = u'期货'
+PRODUCT_OPTION = u'期权'
+PRODUCT_INDEX = u'指数'
+PRODUCT_COMBINATION = u'组合'
+PRODUCT_UNKNOWN = u'未知'
+
+# 价格类型常量
+PRICETYPE_LIMITPRICE = u'限价'
+PRICETYPE_MARKETPRICE = u'市价'
+PRICETYPE_FAK = u'FAK'
+PRICETYPE_FOK = u'FOK'
+
+# 期权类型
+OPTION_CALL = u'看涨期权'
+OPTION_PUT = u'看跌期权'
+
+# 交易所类型
+EXCHANGE_SSE = u'SSE'       # 上交所
+EXCHANGE_SZSE = u'SZSE'     # 深交所
+EXCHANGE_CFFEX = u'CFFEX'   # 中金所
+EXCHANGE_SHFE = u'SHFE'     # 上期所
+EXCHANGE_CZCE = u'CZCE'     # 郑商所
+EXCHANGE_DCE = u'DCE'       # 大商所
+EXCHANGE_UNKNOWN = 'UNKNOWN'# 未知交易所
+EXCHANGE_NONE = ''          # 空交易所

vn.trader/vtEngine.py

@@ -1,8 +1,17 @@
 # encoding: UTF-8
 
+import shelve
+
+from pymongo import MongoClient
+from pymongo.errors import ConnectionFailure
 
 from eventEngine import *
 from ctpGateway import CtpGateway
+from ltsGateway import LtsGateway
+from windGateway import WindGateway
+from vtGateway import *
+import uiBasicWidget
+from ctaEngine import CtaEngine
 
 
 ########################################################################
@@ -16,11 +25,27 @@ class MainEngine(object):
         self.eventEngine = EventEngine()
         self.eventEngine.start()
         
+        # 创建数据引擎
+        self.dataEngine = DataEngine(self.eventEngine)
+        uiBasicWidget.NameCell.setDataEngine(uiBasicWidget.NameCell, self.dataEngine)   # 将数据引擎对象传给NameCell
+        
         # 用来保存接口对象的字典
         self.gatewayDict = {}
         
         # 创建我们想要接入的接口对象
         self.addGateway(CtpGateway, 'CTP')
+        self.gatewayDict['CTP'].setQryEnabled(True)
+        
+        self.addGateway(LtsGateway, 'LTS')
+        self.gatewayDict['LTS'].setQryEnabled(True)
+        
+        self.addGateway(WindGateway, 'Wind')    # 没有Wind的请注释掉这一行
+        
+        # MongoDB数据库相关
+        self.dbClient = None    # MongoDB客户端对象
+        
+        # CTA引擎
+        self.ctaEngine = CtaEngine(self, self.eventEngine, self.dataEngine)
 
     #----------------------------------------------------------------------
     def addGateway(self, gateway, gatewayName=None):
@@ -30,45 +55,203 @@ class MainEngine(object):
     #----------------------------------------------------------------------
     def connect(self, gatewayName):
         """连接特定名称的接口"""
+        if gatewayName in self.gatewayDict:
             gateway = self.gatewayDict[gatewayName]
             gateway.connect()
+        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:
             gateway = self.gatewayDict[gatewayName]
             gateway.subscribe(subscribeReq)
+        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:
             gateway = self.gatewayDict[gatewayName]
             return gateway.sendOrder(orderReq)
+        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:
             gateway = self.gatewayDict[gatewayName]
             gateway.cancelOrder(cancelOrderReq)
+        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:
             gateway = self.gatewayDict[gatewayName]
             gateway.getAccount()
+        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:
             gateway = self.gatewayDict[gatewayName]
             gateway.getPosition()
+        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"""        
-        # 停止事件引擎
-        self.eventEngine.stop()
-        
         # 安全关闭所有接口
         for gateway in self.gatewayDict.values():        
             gateway.close()
+        
+        # 停止事件引擎
+        self.eventEngine.stop()      
+        
+        # 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()
+        log.logContent = content
+        event = Event(type_=EVENT_LOG)
+        event.dict_['data'] = log
+        self.eventEngine.put(event)        
+    
+    #----------------------------------------------------------------------
+    def dbConnect(self):
+        """连接MongoDB数据库"""
+        if not self.dbClient:
+            try:
+                self.dbClient = MongoClient()
+                self.writeLog(u'MongoDB连接成功')
+            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:
+            db = self.dbClient[dbName]
+            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:
+            db = self.dbClient[dbName]
+            collection = db[collectionName]
+            cursor = collection.find(d)
+            return cursor
+        else:
+            return None
+
+
+########################################################################
+class DataEngine(object):
+    """数据引擎"""
+    contractFileName = 'ContractData.vt'
+
+    #----------------------------------------------------------------------
+    def __init__(self, eventEngine):
+        """Constructor"""
+        self.eventEngine = eventEngine
+        
+        # 保存合约详细信息的字典
+        self.contractDict = {}
+        
+        # 保存委托数据的字典
+        self.orderDict = {}
+        
+        # 保存活动委托数据的字典（即可撤销）
+        self.workingOrderDict = {}
+        
+        # 读取保存在硬盘的合约数据
+        self.loadContracts()
+        
+        # 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:
+            return self.contractDict[vtSymbol]
+        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)
+        if 'data' in f:
+            d = f['data']
+            for key, value in d.items():
+                self.contractDict[key] = value
+        f.close()
+        
+    #----------------------------------------------------------------------
+    def updateOrder(self, event):
+        """更新委托数据"""
+        order = event.dict_['data']        
+        self.orderDict[order.vtOrderID] = order
+        
+        # 如果订单的状态是全部成交或者撤销，则需要从workingOrderDict中移除
+        if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED:
+            if order.vtOrderID in self.workingOrderDict:
+                del self.workingOrderDict[order.vtOrderID]
+        # 否则则更新字典中的数据        
+        else:
+            self.workingOrderDict[order.vtOrderID] = order
+        
+    #----------------------------------------------------------------------
+    def getOrder(self, vtOrderID):
+        """查询委托"""
+        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)
+        self.eventEngine.register(EVENT_ORDER, self.updateOrder)
+        
+    
+    

vn.trader/vtFunction.py

@@ -0,0 +1,26 @@
+# encoding: UTF-8
+
+"""
+包含一些开放中常用的函数
+"""
+
+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
+    if type(value) is int or type(value) is float:
+        if value > MAX_NUMBER:
+            value = 0
+    
+    # 检查防止小数点位过多
+    if type(value) is float:
+        d = decimal.Decimal(str(value))
+        if abs(d.as_tuple().exponent) > MAX_DECIMAL:
+            value = round(value, ndigits=MAX_DECIMAL)
+    
+    return unicode(value)

vn.trader/vtGateway.py

@@ -4,48 +4,7 @@ import time
 
 from eventEngine import *
 
-# 默认空值
-EMPTY_STRING = ''
-EMPTY_UNICODE = u''
-EMPTY_INT = 0
-EMPTY_FLOAT = 0.0
-
-# 方向常量
-DIRECTION_NONE = u'无方向'
-DIRECTION_LONG = u'多'
-DIRECTION_SHORT = u'空'
-DIRECTION_UNKNOWN = u'未知'
-DIRECTION_NET = u'净'
-
-# 开平常量
-OFFSET_NONE = u'无开平'
-OFFSET_OPEN = u'开仓'
-OFFSET_CLOSE = u'平仓'
-OFFSET_CLOSETODAY = u'平今'
-OFFSET_CLOSESYESTERDAY = u'平昨'
-OFFSET_UNKNOWN = u'未知'
-
-# 状态常量
-STATUS_NOTTRADED = u'未成交'
-STATUS_PARTTRADED = u'部分成交'
-STATUS_ALLTRADED = u'全部成交'
-STATUS_CANCELLED = u'已撤销'
-STATUS_UNKNOWN = u'未知'
-
-# 合约类型常量
-PRODUCT_EQUITY = u'股票'
-PRODUCT_FUTURES = u'期货'
-PRODUCT_OPTION = u'期权'
-PRODUCT_INDEX = u'指数'
-PRODUCT_COMBINATION = u'组合'
-
-# 价格类型常量
-PRICETYPE_LIMITPRICE = u'限价'
-PRICETYPE_MARKETPRICE = u'市价'
-
-# 期权类型
-OPTION_CALL = u'看涨期权'
-OPTION_PUT = u'看跌期权'
+from vtConstant import *
 
 
 ########################################################################
@@ -200,18 +159,24 @@ class VtTickData(VtBaseData):
         
         # 代码相关
         self.symbol = EMPTY_STRING              # 合约代码
-        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
+        self.exchange = EMPTY_STRING            # 交易所代码
+        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
         
         # 成交数据
         self.lastPrice = EMPTY_FLOAT            # 最新成交价
         self.volume = EMPTY_INT                 # 最新成交量
         self.openInterest = EMPTY_INT           # 持仓量
-        self.tickTime = EMPTY_STRING            # 更新时间
+        self.time = EMPTY_STRING                # 时间 11:20:56.5
+        self.date = EMPTY_STRING                # 日期 20151009
         
         # 常规行情
         self.openPrice = EMPTY_FLOAT            # 今日开盘价
         self.highPrice = EMPTY_FLOAT            # 今日最高价
         self.lowPrice = EMPTY_FLOAT             # 今日最低价
+        self.preClosePrice = EMPTY_FLOAT
+        
+        self.upperLimit = EMPTY_FLOAT           # 涨停价
+        self.lowerLimit = EMPTY_FLOAT           # 跌停价
         
         # 五档行情
         self.bidPrice1 = EMPTY_FLOAT
@@ -250,7 +215,8 @@ class VtTradeData(VtBaseData):
         
         # 代码编号相关
         self.symbol = EMPTY_STRING              # 合约代码
-        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
+        self.exchange = EMPTY_STRING            # 交易所代码
+        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
         
         self.tradeID = EMPTY_STRING             # 成交编号
         self.vtTradeID = EMPTY_STRING           # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
@@ -277,7 +243,8 @@ class VtOrderData(VtBaseData):
         
         # 代码编号相关
         self.symbol = EMPTY_STRING              # 合约代码
-        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
+        self.exchange = EMPTY_STRING            # 交易所代码
+        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
         
         self.orderID = EMPTY_STRING             # 订单编号
         self.vtOrderID = EMPTY_STRING           # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
@@ -309,7 +276,8 @@ class VtPositionData(VtBaseData):
         
         # 代码编号相关
         self.symbol = EMPTY_STRING              # 合约代码
-        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码     
+        self.exchange = EMPTY_STRING            # 交易所代码
+        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，合约代码.交易所代码  
         
         # 持仓相关
         self.direction = EMPTY_STRING           # 持仓方向
@@ -353,6 +321,7 @@ class VtErrorData(VtBaseData):
         
         self.errorID = EMPTY_STRING             # 错误代码
         self.errorMsg = EMPTY_UNICODE           # 错误信息
+        self.additionalInfo = EMPTY_UNICODE     # 补充信息
 
 
 ########################################################################
@@ -378,7 +347,8 @@ class VtContractData(VtBaseData):
         super(VtBaseData, self).__init__()
         
         self.symbol = EMPTY_STRING              # 代码
-        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码 
+        self.exchange = EMPTY_STRING            # 交易所代码
+        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
         self.name = EMPTY_UNICODE               # 合约中文名
         
         self.productClass = EMPTY_UNICODE       # 合约类型
@@ -409,13 +379,14 @@ class VtOrderReq:
     #----------------------------------------------------------------------
     def __init__(self):
         """Constructor"""
-        self.symbol = EMPTY_STRING
-        self.price = EMPTY_FLOAT
-        self.volume = EMPTY_INT
+        self.symbol = EMPTY_STRING              # 代码
+        self.exchange = EMPTY_STRING            # 交易所
+        self.price = EMPTY_FLOAT                # 价格
+        self.volume = EMPTY_INT                 # 数量
     
-        self.priceType = EMPTY_STRING
-        self.direction = EMPTY_STRING
-        self.offset = EMPTY_STRING
+        self.priceType = EMPTY_STRING           # 价格类型
+        self.direction = EMPTY_STRING           # 买卖
+        self.offset = EMPTY_STRING              # 开平
         
 
 ########################################################################
@@ -425,13 +396,13 @@ class VtCancelOrderReq:
     #----------------------------------------------------------------------
     def __init__(self):
         """Constructor"""
-        self.symbol = EMPTY_STRING
-        self.exchange = EMPTY_STRING
+        self.symbol = EMPTY_STRING              # 代码
+        self.exchange = EMPTY_STRING            # 交易所
         
         # 以下字段主要和CTP、LTS类接口相关
-        self.orderRef = EMPTY_STRING
-        self.frontID = EMPTY_STRING
-        self.sessionID = EMPTY_STRING
+        self.orderID = EMPTY_STRING             # 报单号
+        self.frontID = EMPTY_STRING             # 前置机号
+        self.sessionID = EMPTY_STRING           # 会话号
         
         
         

vn.trader/vtMain.py

@@ -0,0 +1,26 @@
+# encoding: UTF-8
+
+import sys
+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
+    ctypes.windll.shell32.SetCurrentProcessExplicitAppUserModelID('vn.py demo')  
+    
+    app = QtGui.QApplication(sys.argv)
+    app.setWindowIcon(QtGui.QIcon('vnpy.ico'))
+    app.setFont(BASIC_FONT)
+    
+    mainEngine = MainEngine()
+    mainWindow = MainWindow(mainEngine, mainEngine.eventEngine, mainEngine.dataEngine)
+    mainWindow.showMaximized()
+    
+    sys.exit(app.exec_())
+    
+if __name__ == '__main__':
+    main()

vn.trader/windGateway.py

@@ -0,0 +1,183 @@
+# encoding: UTF-8
+
+'''
+Wind Python API的gateway接入
+'''
+from threading import Thread
+
+try:
+    from WindPy import w
+except ImportError:
+    print u'请先安装WindPy接口'
+
+from vtGateway import *
+
+# 交易所类型映射
+exchangeMap = {}
+exchangeMap[EXCHANGE_SSE] = 'SH'
+exchangeMap[EXCHANGE_SZSE] = 'SZ'
+exchangeMap[EXCHANGE_CFFEX] = 'CFE'
+exchangeMap[EXCHANGE_SHFE] = 'SHF'
+exchangeMap[EXCHANGE_DCE] = 'DCE'
+exchangeMap[EXCHANGE_CZCE] = 'CZC'
+exchangeMap[EXCHANGE_UNKNOWN] = ''
+exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
+
+
+########################################################################
+class WindGateway(VtGateway):
+    """Wind接口"""
+    # 订阅wsq时传入的字段列表
+    wsqParamMap = {}
+    wsqParamMap['rt_last'] = 'lastPrice'
+    wsqParamMap['rt_last_vol'] = 'volume'
+    wsqParamMap['rt_oi'] = 'openInterest'
+
+    wsqParamMap['rt_open'] = 'openPrice'
+    wsqParamMap['rt_high'] = 'highPrice'
+    wsqParamMap['rt_low'] = 'lowPrice'
+    wsqParamMap['rt_pre_close'] = 'preClosePrice'
+                    
+    wsqParamMap['rt_high_limit'] = 'upperLimit'
+    wsqParamMap['rt_low_limit'] = 'lowerLimit'
+
+    wsqParamMap['rt_bid1'] = 'bidPrice1'
+    wsqParamMap['rt_bid2'] = 'bidPrice2'
+    wsqParamMap['rt_bid3'] = 'bidPrice3'
+    wsqParamMap['rt_bid4'] = 'bidPrice4'
+    wsqParamMap['rt_bid5'] = 'bidPrice5'
+                    
+    wsqParamMap['rt_ask1'] = 'askPrice1'
+    wsqParamMap['rt_ask2'] = 'askPrice2'
+    wsqParamMap['rt_ask3'] = 'askPrice3'
+    wsqParamMap['rt_ask4'] = 'askPrice4'
+    wsqParamMap['rt_ask5'] = 'askPrice5'     
+                    
+    wsqParamMap['rt_bsize1'] = 'bidVolume1'
+    wsqParamMap['rt_bsize2'] = 'bidVolume2'
+    wsqParamMap['rt_bsize3'] = 'bidVolume3'
+    wsqParamMap['rt_bsize4'] = 'bidVolume4'
+    wsqParamMap['rt_bsize5'] = 'bidVolume5'
+                    
+    wsqParamMap['rt_asize1'] = 'askVolume1'
+    wsqParamMap['rt_asize2'] = 'askVolume2'
+    wsqParamMap['rt_asize3'] = 'askVolume3'
+    wsqParamMap['rt_asize4'] = 'askVolume4'
+    wsqParamMap['rt_asize5'] = 'askVolume5'
+    
+    wsqParam = ','.join(wsqParamMap.keys())
+
+    #----------------------------------------------------------------------
+    def __init__(self, eventEngine, gatewayName='Wind'):
+        """Constructor"""
+        super(WindGateway, self).__init__(eventEngine, gatewayName)
+        
+        self.w = w                  # Wind API对象
+        self.connected = False      # 连接状态
+        
+        # Wind的wsq更新采用的是增量更新模式，每次推送只会更新发生变化的字段
+        # 而vt中的tick是完整更新，因此需要本地维护一个所有字段的快照
+        self.tickDict = {}
+        
+        self.registerEvent()
+        
+    #----------------------------------------------------------------------
+    def connect(self):
+        """连接"""
+        # 由于w.start方法会阻塞较长时间
+        # 因此设计为异步模式，交给事件处理线程去处理
+        # 另外w.start和WingIDE的debug模块有冲突，会导致异常退出
+        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()
+        log.gatewayName = self.gatewayName        
+        log.logContent = u'Wind接口未实现发单功能'
+        self.onLog(log) 
+    
+    #----------------------------------------------------------------------
+    def cancelOrder(self, cancelOrderReq):
+        """撤单"""
+        log = VtLogData()
+        log.gatewayName = self.gatewayName        
+        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()
+        log.gatewayName = self.gatewayName        
+        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()
+        log.gatewayName = self.gatewayName        
+        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]
+        if windSymbol in self.tickDict:
+            tick = self.tickDict[windSymbol]
+        else:
+            tick = VtTickData()
+            tick.gatewayName = self.gatewayName
+            symbolSplit = windSymbol.split('.')
+            tick.symbol = symbolSplit[0]
+            tick.exchange = exchangeMapReverse[symbolSplit[1]]  
+            tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
+            self.tickDict[windSymbol] = tick
+
+        dt = data.Times[0]
+        tick.time = dt.strftime('%H:%M:%S')
+        tick.date = dt.strftime('%Y%m%d')
+        
+        # 采用遍历的形式读取数值
+        fields = data.Fields
+        values = data.Data
+        d = tick.__dict__
+        for n, field in enumerate(fields):
+            field = field.lower()
+            key = self.wsqParamMap[field]
+            value = values[n][0]
+            d[key] = value
+        
+        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()
+        
+        log = VtLogData()
+        log.gatewayName = self.gatewayName        
+        
+        if not result.ErrorCode:
+            log.logContent = u'Wind接口连接成功'
+        else:
+            log.logContent = u'Wind接口连接失败，错误代码%d' %result.ErrorCode
+        self.onLog(log)