senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[Add] support for Level 2 data of CtpGateway

Browse Source
This commit is contained in:
vn.py 2019-10-31 11:47:23 +08:00
parent 75f11862bc
commit ccdde7ee22
1 changed files with 22 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

22
vnpy/gateway/ctp/ctp_gateway.py
View File

@ -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):