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[Mod]Add support for spread product class, close #1479

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This commit is contained in:
vn.py 2019-03-14 09:22:03 +08:00
parent 7711825486
commit da53a5fc0b
3 changed files with 32 additions and 31 deletions
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16
tests/trader/run.py
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@ -4,10 +4,10 @@ from vnpy.event import EventEngine
from vnpy.trader.engine import MainEngine
from vnpy.trader.ui import MainWindow, create_qapp
#from vnpy.gateway.bitmex import BitmexGateway
#from vnpy.gateway.futu import FutuGateway
#from vnpy.gateway.ib import IbGateway
#from vnpy.gateway.ctp import CtpGateway
from vnpy.gateway.bitmex import BitmexGateway
from vnpy.gateway.futu import FutuGateway
from vnpy.gateway.ib import IbGateway
from vnpy.gateway.ctp import CtpGateway
from vnpy.gateway.tiger import TigerGateway
from vnpy.app.cta_strategy import CtaStrategyApp
@ -20,10 +20,10 @@ def main():
event_engine = EventEngine()
main_engine = MainEngine(event_engine)
#main_engine.add_gateway(CtpGateway)
#main_engine.add_gateway(IbGateway)
#main_engine.add_gateway(FutuGateway)
#main_engine.add_gateway(BitmexGateway)
main_engine.add_gateway(CtpGateway)
main_engine.add_gateway(IbGateway)
main_engine.add_gateway(FutuGateway)
main_engine.add_gateway(BitmexGateway)
main_engine.add_gateway(TigerGateway)
main_engine.add_app(CtaStrategyApp)

46
vnpy/gateway/ctp/ctp_gateway.py
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@ -25,6 +25,7 @@ from vnpy.api.ctp import (
THOST_FTDC_OFEN_CloseToday,
THOST_FTDC_PC_Futures,
THOST_FTDC_PC_Options,
THOST_FTDC_PC_Combination,
THOST_FTDC_CP_CallOptions,
THOST_FTDC_CP_PutOptions,
THOST_FTDC_HF_Speculation,
@ -102,7 +103,8 @@ EXCHANGE_CTP2VT = {
PRODUCT_CTP2VT = {
THOST_FTDC_PC_Futures: Product.FUTURES,
THOST_FTDC_PC_Options: Product.OPTION
THOST_FTDC_PC_Options: Product.OPTION,
THOST_FTDC_PC_Combination: Product.SPREAD
}
OPTIONTYPE_CTP2VT = {
@ -533,28 +535,26 @@ class CtpTdApi(TdApi):
Callback of instrument query.
"""
product = PRODUCT_CTP2VT.get(data["ProductClass"], None)
if not product:
return
contract = ContractData(
symbol=data["InstrumentID"],
exchange=EXCHANGE_CTP2VT[data["ExchangeID"]],
name=data["InstrumentName"],
product=product,
size=data["VolumeMultiple"],
pricetick=data["PriceTick"],
option_underlying=data["UnderlyingInstrID"],
option_type=OPTIONTYPE_CTP2VT.get(data["OptionsType"], None),
option_strike=data["StrikePrice"],
option_expiry=datetime.strptime(data["ExpireDate"], "%Y%m%d"),
gateway_name=self.gateway_name
)
self.gateway.on_contract(contract)
symbol_exchange_map[contract.symbol] = contract.exchange
symbol_name_map[contract.symbol] = contract.name
symbol_size_map[contract.symbol] = contract.size
if product:
contract = ContractData(
symbol=data["InstrumentID"],
exchange=EXCHANGE_CTP2VT[data["ExchangeID"]],
name=data["InstrumentName"],
product=product,
size=data["VolumeMultiple"],
pricetick=data["PriceTick"],
option_underlying=data["UnderlyingInstrID"],
option_type=OPTIONTYPE_CTP2VT.get(data["OptionsType"], None),
option_strike=data["StrikePrice"],
option_expiry=datetime.strptime(data["ExpireDate"], "%Y%m%d"),
gateway_name=self.gateway_name
)
self.gateway.on_contract(contract)
symbol_exchange_map[contract.symbol] = contract.exchange
symbol_name_map[contract.symbol] = contract.name
symbol_size_map[contract.symbol] = contract.size
if last:
self.gateway.write_log("合约信息查询成功")

1
vnpy/trader/constant.py
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@ -50,6 +50,7 @@ class Product(Enum):
ETF = "ETF"
BOND = "债券"
WARRANT = "权证"
SPREAD = "价差"
class PriceType(Enum):