From ccdde7ee229ad58e78320b660a04469e486f85d7 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Thu, 31 Oct 2019 11:47:23 +0800 Subject: [PATCH] [Add] support for Level 2 data of CtpGateway --- vnpy/gateway/ctp/ctp_gateway.py | 22 ++++++++++++++++++++++ 1 file changed, 22 insertions(+) diff --git a/vnpy/gateway/ctp/ctp_gateway.py b/vnpy/gateway/ctp/ctp_gateway.py index b3a55b15..16e07c5f 100644 --- a/vnpy/gateway/ctp/ctp_gateway.py +++ b/vnpy/gateway/ctp/ctp_gateway.py @@ -313,6 +313,28 @@ class CtpMdApi(MdApi): ask_volume_1=data["AskVolume1"], gateway_name=self.gateway_name ) + + if data["BidPrice2"]: + tick.bid_price_2 = data["BidPrice2"] + tick.bid_price_3 = data["BidPrice3"] + tick.bid_price_4 = data["BidPrice4"] + tick.bid_price_5 = data["BidPrice5"] + + tick.ask_price_2 = data["AskPrice2"] + tick.ask_price_3 = data["AskPrice3"] + tick.ask_price_4 = data["AskPrice4"] + tick.ask_price_5 = data["AskPrice5"] + + tick.bid_volume_2 = data["BidVolume2"] + tick.bid_volume_3 = data["BidVolume3"] + tick.bid_volume_4 = data["BidVolume4"] + tick.bid_volume_5 = data["BidVolume5"] + + tick.ask_volume_2 = data["AskVolume2"] + tick.ask_volume_3 = data["AskVolume3"] + tick.ask_volume_4 = data["AskVolume4"] + tick.ask_volume_5 = data["AskVolume5"] + self.gateway.on_tick(tick) def connect(self, address: str, userid: str, password: str, brokerid: int):