diff --git a/vn.trader/ctpGateway/ctpGateway.py b/vn.trader/ctpGateway/ctpGateway.py index 007e7b29..bbab5c13 100644 --- a/vn.trader/ctpGateway/ctpGateway.py +++ b/vn.trader/ctpGateway/ctpGateway.py @@ -56,6 +56,14 @@ posiDirectionMap[DIRECTION_LONG] = defineDict["THOST_FTDC_PD_Long"] posiDirectionMap[DIRECTION_SHORT] = defineDict["THOST_FTDC_PD_Short"] posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()} +# 产品类型映射 +productClassMap = {} +productClassMap[PRODUCT_FUTURES] = defineDict["THOST_FTDC_PC_Futures"] +productClassMap[PRODUCT_OPTION] = defineDict["THOST_FTDC_PC_Options"] +productClassMap[PRODUCT_COMBINATION] = defineDict["THOST_FTDC_PC_Combination"] +productClassMapReverse = {v:k for k,v in productClassMap.items()} + + ######################################################################## class CtpGateway(VtGateway): @@ -443,36 +451,36 @@ class CtpTdApi(TdApi): def onFrontConnected(self): """服务器连接""" self.connectionStatus = True - + log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易服务器连接成功' self.gateway.onLog(log) - - self.login() + self.login() + #---------------------------------------------------------------------- def onFrontDisconnected(self, n): """服务器断开""" self.connectionStatus = False self.loginStatus = False self.gateway.tdConnected = False - + log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易服务器连接断开' - self.gateway.onLog(log) - + self.gateway.onLog(log) + #---------------------------------------------------------------------- def onHeartBeatWarning(self, n): """""" pass - + #---------------------------------------------------------------------- def onRspAuthenticate(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspUserLogin(self, data, error, n, last): """登陆回报""" @@ -502,7 +510,7 @@ class CtpTdApi(TdApi): err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) - + #---------------------------------------------------------------------- def onRspUserLogout(self, data, error, n, last): """登出回报""" @@ -523,17 +531,17 @@ class CtpTdApi(TdApi): err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) - + #---------------------------------------------------------------------- def onRspUserPasswordUpdate(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspTradingAccountPasswordUpdate(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspOrderInsert(self, data, error, n, last): """发单错误（柜台）""" @@ -542,17 +550,17 @@ class CtpTdApi(TdApi): err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) - + #---------------------------------------------------------------------- def onRspParkedOrderInsert(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspParkedOrderAction(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspOrderAction(self, data, error, n, last): """撤单错误（柜台）""" @@ -561,12 +569,12 @@ class CtpTdApi(TdApi): err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) - + #---------------------------------------------------------------------- def onRspQueryMaxOrderVolume(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspSettlementInfoConfirm(self, data, error, n, last): """确认结算信息回报""" @@ -574,7 +582,7 @@ class CtpTdApi(TdApi): log.gatewayName = self.gatewayName log.logContent = u'结算信息确认完成' self.gateway.onLog(log) - + # 查询合约代码 self.reqID += 1 self.reqQryInstrument({}, self.reqID) @@ -583,47 +591,57 @@ class CtpTdApi(TdApi): def onRspRemoveParkedOrder(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspRemoveParkedOrderAction(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspExecOrderInsert(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspExecOrderAction(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspForQuoteInsert(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQuoteInsert(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQuoteAction(self, data, error, n, last): """""" pass - + + #---------------------------------------------------------------------- + def onRspLockInsert(self, data, error, n, last): + """""" + pass + + #---------------------------------------------------------------------- + def onRspCombActionInsert(self, data, error, n, last): + """""" + pass + #---------------------------------------------------------------------- def onRspQryOrder(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryTrade(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryInvestorPosition(self, data, error, n, last): """持仓查询回报""" @@ -644,17 +662,17 @@ class CtpTdApi(TdApi): else: pos = posBuffer.updateBuffer(data, size) self.gateway.onPosition(pos) - + #---------------------------------------------------------------------- def onRspQryTradingAccount(self, data, error, n, last): """资金账户查询回报""" account = VtAccountData() account.gatewayName = self.gatewayName - + # 账户代码 account.accountID = data['AccountID'] account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) - + # 数值相关 account.preBalance = data['PreBalance'] account.available = data['Available'] @@ -662,46 +680,46 @@ class CtpTdApi(TdApi): account.margin = data['CurrMargin'] account.closeProfit = data['CloseProfit'] account.positionProfit = data['PositionProfit'] - + # 这里的balance和快期中的账户不确定是否一样，需要测试 account.balance = (data['PreBalance'] - data['PreCredit'] - data['PreMortgage'] + data['Mortgage'] - data['Withdraw'] + data['Deposit'] + data['CloseProfit'] + data['PositionProfit'] + data['CashIn'] - data['Commission']) - + # 推送 self.gateway.onAccount(account) - + #---------------------------------------------------------------------- def onRspQryInvestor(self, data, error, n, last): - """投资者查询回报""" + """""" pass - + #---------------------------------------------------------------------- def onRspQryTradingCode(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryInstrumentMarginRate(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryInstrumentCommissionRate(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryExchange(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryProduct(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryInstrument(self, data, error, n, last): """合约查询回报""" @@ -712,147 +730,179 @@ class CtpTdApi(TdApi): contract.exchange = exchangeMapReverse[data['ExchangeID']] contract.vtSymbol = contract.symbol #'.'.join([contract.symbol, contract.exchange]) contract.name = data['InstrumentName'].decode('GBK') - + # 合约数值 contract.size = data['VolumeMultiple'] contract.priceTick = data['PriceTick'] contract.strikePrice = data['StrikePrice'] contract.underlyingSymbol = data['UnderlyingInstrID'] - - # 合约类型 - if data['ProductClass'] == '1': - contract.productClass = PRODUCT_FUTURES - elif data['ProductClass'] == '2': - contract.productClass = PRODUCT_OPTION - elif data['ProductClass'] == '3': - contract.productClass = PRODUCT_COMBINATION - else: - contract.productClass = PRODUCT_UNKNOWN - + + contract.productClass = productClassMapReverse.get(data['ProductClass'], PRODUCT_UNKNOWN) + # 期权类型 if data['OptionsType'] == '1': contract.optionType = OPTION_CALL elif data['OptionsType'] == '2': contract.optionType = OPTION_PUT - + # 缓存代码和交易所的印射关系 self.symbolExchangeDict[contract.symbol] = contract.exchange self.symbolSizeDict[contract.symbol] = contract.size - + # 推送 self.gateway.onContract(contract) - + if last: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易合约信息获取完成' self.gateway.onLog(log) - + #---------------------------------------------------------------------- def onRspQryDepthMarketData(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQrySettlementInfo(self, data, error, n, last): - """查询结算信息回报""" + """""" pass - + #---------------------------------------------------------------------- def onRspQryTransferBank(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryInvestorPositionDetail(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryNotice(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQrySettlementInfoConfirm(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryInvestorPositionCombineDetail(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryCFMMCTradingAccountKey(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryEWarrantOffset(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryInvestorProductGroupMargin(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryExchangeMarginRate(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryExchangeMarginRateAdjust(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryExchangeRate(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQrySecAgentACIDMap(self, data, error, n, last): """""" pass - + + #---------------------------------------------------------------------- + def onRspQryProductExchRate(self, data, error, n, last): + """""" + pass + + #---------------------------------------------------------------------- + def onRspQryProductGroup(self, data, error, n, last): + """""" + pass + #---------------------------------------------------------------------- def onRspQryOptionInstrTradeCost(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryOptionInstrCommRate(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryExecOrder(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryForQuote(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryQuote(self, data, error, n, last): """""" pass - + + #---------------------------------------------------------------------- + def onRspQryLock(self, data, error, n, last): + """""" + pass + + #---------------------------------------------------------------------- + def onRspQryLockPosition(self, data, error, n, last): + """""" + pass + + #---------------------------------------------------------------------- + def onRspQryInvestorLevel(self, data, error, n, last): + """""" + pass + + #---------------------------------------------------------------------- + def onRspQryExecFreeze(self, data, error, n, last): + """""" + pass + + #---------------------------------------------------------------------- + def onRspQryCombInstrumentGuard(self, data, error, n, last): + """""" + pass + + #---------------------------------------------------------------------- + def onRspQryCombAction(self, data, error, n, last): + """""" + pass + #---------------------------------------------------------------------- def onRspQryTransferSerial(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryAccountregister(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspError(self, error, n, last): """错误回报""" @@ -861,7 +911,7 @@ class CtpTdApi(TdApi): err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) - + #---------------------------------------------------------------------- def onRtnOrder(self, data): """报单回报""" @@ -925,7 +975,7 @@ class CtpTdApi(TdApi): # 推送 self.gateway.onOrder(order) - + #---------------------------------------------------------------------- def onRtnTrade(self, data): """成交回报""" @@ -957,7 +1007,7 @@ class CtpTdApi(TdApi): # 推送 self.gateway.onTrade(trade) - + #---------------------------------------------------------------------- def onErrRtnOrderInsert(self, data, error): """发单错误回报（交易所）""" @@ -966,7 +1016,7 @@ class CtpTdApi(TdApi): err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) - + #---------------------------------------------------------------------- def onErrRtnOrderAction(self, data, error): """撤单错误回报（交易所）""" @@ -975,227 +1025,233 @@ class CtpTdApi(TdApi): err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) - + #---------------------------------------------------------------------- def onRtnInstrumentStatus(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnTradingNotice(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnErrorConditionalOrder(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnExecOrder(self, data): """""" pass - + #---------------------------------------------------------------------- def onErrRtnExecOrderInsert(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onErrRtnExecOrderAction(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onErrRtnForQuoteInsert(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onRtnQuote(self, data): """""" pass - + #---------------------------------------------------------------------- def onErrRtnQuoteInsert(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onErrRtnQuoteAction(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onRtnForQuoteRsp(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnCFMMCTradingAccountToken(self, data): """""" - pass - + pass + #---------------------------------------------------------------------- def onRtnLock(self, data): """""" - pass - + pass + #---------------------------------------------------------------------- def onErrRtnLockInsert(self, data, error): """""" - pass - + pass + #---------------------------------------------------------------------- def onRtnCombAction(self, data): """""" - pass - + pass + #---------------------------------------------------------------------- - def onErrRtnCombActionInsert(self, data, error): + def onErrRtnCombActionInsert(self, data, error): """""" - pass - + pass + #---------------------------------------------------------------------- def onRspQryContractBank(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryParkedOrder(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryParkedOrderAction(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryTradingNotice(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryBrokerTradingParams(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQryBrokerTradingAlgos(self, data, error, n, last): """""" pass - + + #---------------------------------------------------------------------- + def onRspQueryCFMMCTradingAccountToken(self, data, error, n, last): + """""" + pass + #---------------------------------------------------------------------- def onRtnFromBankToFutureByBank(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnFromFutureToBankByBank(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnRepealFromBankToFutureByBank(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnRepealFromFutureToBankByBank(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnFromBankToFutureByFuture(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnFromFutureToBankByFuture(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnRepealFromBankToFutureByFutureManual(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnRepealFromFutureToBankByFutureManual(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnQueryBankBalanceByFuture(self, data): """""" pass - + #---------------------------------------------------------------------- def onErrRtnBankToFutureByFuture(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onErrRtnFutureToBankByFuture(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onErrRtnRepealBankToFutureByFutureManual(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onErrRtnRepealFutureToBankByFutureManual(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onErrRtnQueryBankBalanceByFuture(self, data, error): """""" pass - + #---------------------------------------------------------------------- def onRtnRepealFromBankToFutureByFuture(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnRepealFromFutureToBankByFuture(self, data): """""" pass - + #---------------------------------------------------------------------- def onRspFromBankToFutureByFuture(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspFromFutureToBankByFuture(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRspQueryBankAccountMoneyByFuture(self, data, error, n, last): """""" pass - + #---------------------------------------------------------------------- def onRtnOpenAccountByBank(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnCancelAccountByBank(self, data): """""" pass - + #---------------------------------------------------------------------- def onRtnChangeAccountByBank(self, data): """""" pass - + + #---------------------------------------------------------------------- def connect(self, userID, password, brokerID, address): """初始化连接"""