From da53a5fc0b615fc3e9437ba96b40ecd68bde9cf7 Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Thu, 14 Mar 2019 09:22:03 +0800
Subject: [PATCH] [Mod]Add support for spread product class, close #1479

---
 tests/trader/run.py             | 16 ++++++------
 vnpy/gateway/ctp/ctp_gateway.py | 46 ++++++++++++++++-----------------
 vnpy/trader/constant.py         |  1 +
 3 files changed, 32 insertions(+), 31 deletions(-)

diff --git a/tests/trader/run.py b/tests/trader/run.py
index 98a4b1e8..b319b213 100644
--- a/tests/trader/run.py
+++ b/tests/trader/run.py
@@ -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)
diff --git a/vnpy/gateway/ctp/ctp_gateway.py b/vnpy/gateway/ctp/ctp_gateway.py
index 38b62650..793e179a 100644
--- a/vnpy/gateway/ctp/ctp_gateway.py
+++ b/vnpy/gateway/ctp/ctp_gateway.py
@@ -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")
diff --git a/vnpy/trader/constant.py b/vnpy/trader/constant.py
index 289607c2..77d5e4e4 100644
--- a/vnpy/trader/constant.py
+++ b/vnpy/trader/constant.py
@@ -50,6 +50,7 @@ class Product(Enum):
     ETF = "ETF"
     BOND = "债券"
     WARRANT = "权证"
+    SPREAD = "价差"
 
 
 class PriceType(Enum):