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[Add] support for Level 2 data of CtpGateway

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vn.py 2019-10-31 11:47:23 +08:00
parent 75f11862bc
commit ccdde7ee22
1 changed files with 22 additions and 0 deletions
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22
vnpy/gateway/ctp/ctp_gateway.py
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@ -313,6 +313,28 @@ class CtpMdApi(MdApi):
ask_volume_1=data["AskVolume1"], ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name 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) self.gateway.on_tick(tick)
def connect(self, address: str, userid: str, password: str, brokerid: int): def connect(self, address: str, userid: str, password: str, brokerid: int):