# encoding: UTF-8 ''' vn.ctp的gateway接入 考虑到现阶段大部分CTP中的ExchangeID字段返回的都是空值 vtSymbol直接使用symbol ''' import os import sys import json from copy import copy from datetime import datetime import logging from vnctpmd import MdApi from vnctptd import TdApi from trader.vtGateway import * from ctpDataType import * from language import text # 以下为一些VT类型和CTP类型的映射字典 # 价格类型映射 priceTypeMap = {} priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["THOST_FTDC_OPT_LimitPrice"] priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["THOST_FTDC_OPT_AnyPrice"] priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = defineDict['THOST_FTDC_D_Buy'] directionMap[DIRECTION_SHORT] = defineDict['THOST_FTDC_D_Sell'] directionMapReverse = {v: k for k, v in directionMap.items()} # 开平类型映射 offsetMap = {} offsetMap[OFFSET_OPEN] = defineDict['THOST_FTDC_OF_Open'] offsetMap[OFFSET_CLOSE] = defineDict['THOST_FTDC_OF_Close'] offsetMap[OFFSET_CLOSETODAY] = defineDict['THOST_FTDC_OF_CloseToday'] offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['THOST_FTDC_OF_CloseYesterday'] offsetMapReverse = {v:k for k,v in offsetMap.items()} # 交易所类型映射 exchangeMap = {} exchangeMap[EXCHANGE_CFFEX] = 'CFFEX' exchangeMap[EXCHANGE_SHFE] = 'SHFE' exchangeMap[EXCHANGE_CZCE] = 'CZCE' exchangeMap[EXCHANGE_DCE] = 'DCE' exchangeMap[EXCHANGE_SSE] = 'SSE' exchangeMap[EXCHANGE_INE] = 'INE' exchangeMap[EXCHANGE_UNKNOWN] = '' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} # 持仓类型映射 posiDirectionMap = {} posiDirectionMap[DIRECTION_NET] = defineDict["THOST_FTDC_PD_Net"] 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()} # 委托状态映射 statusMap = {} statusMap[STATUS_ALLTRADED] = defineDict["THOST_FTDC_OST_AllTraded"] statusMap[STATUS_PARTTRADED] = defineDict["THOST_FTDC_OST_PartTradedQueueing"] statusMap[STATUS_NOTTRADED] = defineDict["THOST_FTDC_OST_NoTradeQueueing"] statusMap[STATUS_CANCELLED] = defineDict["THOST_FTDC_OST_Canceled"] statusMapReverse = {v:k for k,v in statusMap.items()} ######################################################################## class CtpGateway(VtGateway): """CTP接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='CTP'): """Constructor""" super(CtpGateway, self).__init__(eventEngine, gatewayName) self.mdApi = None # 行情API self.tdApi = None # 交易API self.mdConnected = False # 行情API连接状态，登录完成后为True self.tdConnected = False # 交易API连接状态 self.qryEnabled = False # 是否要启动循环查询 self.subscribedSymbols = set() # 已订阅合约代码 self.requireAuthentication = False #---------------------------------------------------------------------- def connect(self): """连接""" # 载入json文件 fileName = self.gatewayName + '_connect.json' path = os.path.abspath(os.path.dirname(__file__)) fileName = os.path.join(path, fileName) if self.mdApi is None: self.writeLog(u'行情接口未实例化，创建实例') self.mdApi = CtpMdApi(self) # 行情API else: self.writeLog(u'行情接口已实例化') if self.tdApi is None: self.writeLog(u'交易接口未实例化，创建实例') self.tdApi = CtpTdApi(self) # 交易API else: self.writeLog(u'交易接口已实例化') try: f = file(fileName) except IOError: self.writeLog(text.LOADING_ERROR) return # 解析json文件 setting = json.load(f) try: userID = str(setting['userID']) password = str(setting['password']) brokerID = str(setting['brokerID']) tdAddress = str(setting['tdAddress']) mdAddress = str(setting['mdAddress']) # 如果json文件提供了验证码 if 'authCode' in setting: authCode = str(setting['authCode']) userProductInfo = str(setting['userProductInfo']) self.tdApi.requireAuthentication = True else: authCode = None userProductInfo = None except KeyError: self.writeLog(text.CONFIG_KEY_MISSING) return # 创建行情和交易接口对象 self.writeLog(u'连接行情服务器') self.mdApi.connect(userID, password, brokerID, mdAddress) self.writeLog(u'连接交易服务器') self.tdApi.connect(userID, password, brokerID, tdAddress, authCode, userProductInfo) self.setQryEnabled(True) # 初始化并启动查询 self.initQuery() for req in self.subscribedSymbols: self.mdApi.subscribe(req) #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" if self.mdApi is not None: self.mdApi.subscribe(subscribeReq) # Allow the strategies to start before the connection self.subscribedSymbols.add(subscribeReq) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" if self.tdApi is not None: return self.tdApi.sendOrder(orderReq) #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" if self.tdApi is not None: self.tdApi.cancelOrder(cancelOrderReq) #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" if self.tdApi is None: self.tdConnected = False return self.tdApi.qryAccount() #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" if self.tdApi is None: self.mdConnected = False return self.tdApi.qryPosition() def checkStatus(self): """查询md/td的状态""" if self.tdApi is None or self.mdApi is None: return False if not self.tdConnected or not self.mdConnected: return False return True #---------------------------------------------------------------------- def close(self): """关闭""" if self.mdConnected and self.mdApi is not None: tmp1 = self.mdApi self.mdApi = None tmp1.close() self.mdConnected = False if self.tdConnected and self.tdApi is not None: tmp2 = self.tdApi self.tdApi = None tmp2.close() self.tdConnected = False self.writeLog(u'主动断开连接') #---------------------------------------------------------------------- def initQuery(self): """初始化连续查询""" if self.qryEnabled: # 需要循环的查询函数列表 self.qryFunctionList = [self.qryAccount, self.qryPosition] self.qryCount = 0 # 查询触发倒计时 self.qryTrigger = 2 # 查询触发点 self.qryNextFunction = 0 # 上次运行的查询函数索引 self.startQuery() #---------------------------------------------------------------------- def query(self, event): """注册到事件处理引擎上的查询函数""" self.qryCount += 1 if self.qryCount > self.qryTrigger: # 清空倒计时 self.qryCount = 0 # 执行查询函数 function = self.qryFunctionList[self.qryNextFunction] function() # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 self.qryNextFunction += 1 if self.qryNextFunction == len(self.qryFunctionList): self.qryNextFunction = 0 #---------------------------------------------------------------------- def startQuery(self): """启动连续查询""" self.eventEngine.register(EVENT_TIMER, self.query) #---------------------------------------------------------------------- def setQryEnabled(self, qryEnabled): """设置是否要启动循环查询""" self.qryEnabled = qryEnabled # ---------------------------------------------------------------------- def writeLog(self, content): """发出日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = content self.onLog(log) ######################################################################## class CtpMdApi(MdApi): """CTP行情API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(CtpMdApi, self).__init__() self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 self.reqID = EMPTY_INT # 操作请求编号 self.connectionStatus = False # 连接状态 self.loginStatus = False # 登录状态 self.subscribedSymbols = gateway.subscribedSymbols # 已订阅合约代码 self.userID = EMPTY_STRING # 账号 self.password = EMPTY_STRING # 密码 self.brokerID = EMPTY_STRING # 经纪商代码 self.address = EMPTY_STRING # 服务器地址 #---------------------------------------------------------------------- def onFrontConnected(self): """服务器连接""" self.connectionStatus = True self.writeLog(text.DATA_SERVER_CONNECTED) self.login() #---------------------------------------------------------------------- def onFrontDisconnected(self, n): """服务器断开""" self.connectionStatus = False self.loginStatus = False self.gateway.mdConnected = False self.writeLog(text.DATA_SERVER_DISCONNECTED) #---------------------------------------------------------------------- def onHeartBeatWarning(self, n): """心跳报警""" # 因为API的心跳报警比较常被触发，且与API工作关系不大，因此选择忽略 pass #---------------------------------------------------------------------- def onRspError(self, error, n, last): """错误回报""" err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspUserLogin(self, data, error, n, last): """登陆回报""" # 如果登录成功，推送日志信息 if error['ErrorID'] == 0: self.loginStatus = True self.gateway.mdConnected = True self.writeLog(text.DATA_SERVER_LOGIN) # 重新订阅之前订阅的合约 for subscribeReq in self.subscribedSymbols: self.subscribe(subscribeReq) # 否则，推送错误信息 else: err = VtErrorData() err.gatewayName = self.gatewayName 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""" # 如果登出成功，推送日志信息 if error['ErrorID'] == 0: self.loginStatus = False self.gateway.mdConnected = False self.writeLog(text.DATA_SERVER_LOGOUT) # 否则，推送错误信息 else: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspSubMarketData(self, data, error, n, last): """订阅合约回报""" # 通常不在乎订阅错误，选择忽略 pass #---------------------------------------------------------------------- def onRspUnSubMarketData(self, data, error, n, last): """退订合约回报""" # 同上 pass #---------------------------------------------------------------------- def onRtnDepthMarketData(self, data): """行情推送""" # 忽略成交量为0的无效tick数据 if not data['Volume']: return tick = VtTickData() tick.gatewayName = self.gatewayName tick.symbol = data['InstrumentID'] tick.exchange = exchangeMapReverse.get(data['ExchangeID'], u'未知') tick.vtSymbol = tick.symbol #'.'.join([tick.symbol, EXCHANGE_UNKNOWN]) tick.lastPrice = data['LastPrice'] tick.volume = data['Volume'] tick.openInterest = data['OpenInterest'] tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)]) tick.date = data['TradingDay'] # add by Incense Lee tick.tradingDay = data['TradingDay'] tick.openPrice = data['OpenPrice'] tick.highPrice = data['HighestPrice'] tick.lowPrice = data['LowestPrice'] tick.preClosePrice = data['PreClosePrice'] tick.upperLimit = data['UpperLimitPrice'] tick.lowerLimit = data['LowerLimitPrice'] # CTP只有一档行情 tick.bidPrice1 = data['BidPrice1'] tick.bidVolume1 = data['BidVolume1'] tick.askPrice1 = data['AskPrice1'] tick.askVolume1 = data['AskVolume1'] self.gateway.onTick(tick) #---------------------------------------------------------------------- def onRspSubForQuoteRsp(self, data, error, n, last): """订阅期权询价""" pass #---------------------------------------------------------------------- def onRspUnSubForQuoteRsp(self, data, error, n, last): """退订期权询价""" pass #---------------------------------------------------------------------- def onRtnForQuoteRsp(self, data): """期权询价推送""" pass #---------------------------------------------------------------------- def connect(self, userID, password, brokerID, address): """初始化连接""" self.userID = userID # 账号 self.password = password # 密码 self.brokerID = brokerID # 经纪商代码 self.address = address # 服务器地址 # 如果尚未建立服务器连接，则进行连接 if not self.connectionStatus: # 创建C++环境中的API对象，这里传入的参数是需要用来保存.con文件的文件夹路径 path = os.getcwd() + '/temp/' + self.gatewayName + '/' if not os.path.exists(path): os.makedirs(path) self.createFtdcMdApi(path) # 注册服务器地址 self.registerFront(self.address) # 初始化连接，成功会调用onFrontConnected self.init() # 若已经连接但尚未登录，则进行登录 else: if not self.loginStatus: self.login() #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅合约""" # 这里的设计是，如果尚未登录就调用了订阅方法 # 则先保存订阅请求，登录完成后会自动订阅 if self.loginStatus: print u'subscribe {0}'.format(str(subscribeReq.symbol)) self.subscribeMarketData(str(subscribeReq.symbol)) self.writeLog(u'订阅合约:{0}'.format(str(subscribeReq.symbol))) else: print u'not login, add {0} into subscribe list'.format(str(subscribeReq.symbol)) self.writeLog(u'未连接，增加合约{0}至待订阅列表'.format(str(subscribeReq.symbol))) self.subscribedSymbols.add(subscribeReq) #---------------------------------------------------------------------- def login(self): """登录""" # 如果填入了用户名密码等，则登录 if self.userID and self.password and self.brokerID: req = {} req['UserID'] = self.userID req['Password'] = self.password req['BrokerID'] = self.brokerID self.reqID += 1 self.reqUserLogin(req, self.reqID) #---------------------------------------------------------------------- def close(self): """关闭""" self.exit() #---------------------------------------------------------------------- def writeLog(self, content): """发出日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = content self.gateway.onLog(log) ######################################################################## class CtpTdApi(TdApi): """CTP交易API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """API对象的初始化函数""" super(CtpTdApi, self).__init__() self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 self.reqID = EMPTY_INT # 操作请求编号 self.orderRef = EMPTY_INT # 订单编号 self.connectionStatus = False # 连接状态 self.loginStatus = False # 登录状态 self.authStatus = False self.userID = EMPTY_STRING # 账号 self.password = EMPTY_STRING # 密码 self.brokerID = EMPTY_STRING # 经纪商代码 self.address = EMPTY_STRING # 服务器地址 self.frontID = EMPTY_INT # 前置机编号 self.sessionID = EMPTY_INT # 会话编号 self.posDict = {} self.symbolExchangeDict = {} # 保存合约代码和交易所的印射关系 self.symbolSizeDict = {} # 保存合约代码和合约大小的印射关系 self.requireAuthentication = False #---------------------------------------------------------------------- def onFrontConnected(self): """服务器连接""" self.connectionStatus = True self.writeLog(text.TRADING_SERVER_CONNECTED) if self.requireAuthentication: self.authenticate() else: self.login() #---------------------------------------------------------------------- def onFrontDisconnected(self, n): """服务器断开""" self.connectionStatus = False self.loginStatus = False self.gateway.tdConnected = False self.writeLog(text.TRADING_SERVER_DISCONNECTED) #---------------------------------------------------------------------- def onHeartBeatWarning(self, n): """""" pass #---------------------------------------------------------------------- def onRspAuthenticate(self, data, error, n, last): """验证客户端回报""" if error['ErrorID'] == 0: self.authStatus = True self.writeLog(text.TRADING_SERVER_AUTHENTICATED) self.login() #---------------------------------------------------------------------- def onRspUserLogin(self, data, error, n, last): """登陆回报""" # 如果登录成功，推送日志信息 if error['ErrorID'] == 0: self.frontID = str(data['FrontID']) self.sessionID = str(data['SessionID']) self.loginStatus = True self.gateway.tdConnected = True self.gateway.mdConnected = True self.writeLog(text.TRADING_SERVER_LOGIN) # 确认结算信息 req = {} req['BrokerID'] = self.brokerID req['InvestorID'] = self.userID self.reqID += 1 self.reqSettlementInfoConfirm(req, self.reqID) # 提交合约更新请求 try: self.resentReqQryInstrument() except: pass # 否则，推送错误信息 else: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) def resentReqQryInstrument(self): # 查询合约代码 self.reqID += 1 self.reqQryInstrument({}, self.reqID) #---------------------------------------------------------------------- def onRspUserLogout(self, data, error, n, last): """登出回报""" # 如果登出成功，推送日志信息 if error['ErrorID'] == 0: self.loginStatus = False self.gateway.tdConnected = False self.writeLog(text.TRADING_SERVER_LOGOUT) # 否则，推送错误信息 else: err = VtErrorData() err.gatewayName = self.gatewayName 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）""" # 推送委托信息 order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = data['InstrumentID'] order.exchange = exchangeMapReverse[data['ExchangeID']] order.vtSymbol = order.symbol order.orderID = data['OrderRef'] order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.direction = directionMapReverse.get(data['Direction'], DIRECTION_UNKNOWN) order.offset = offsetMapReverse.get(data['CombOffsetFlag'], OFFSET_UNKNOWN) order.status = STATUS_REJECTED order.price = data['LimitPrice'] order.totalVolume = data['VolumeTotalOriginal'] self.gateway.onOrder(order) # 推送错误信息 err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') err.additionalInfo = u'onRspOrderInsert():{0},{1},{2},{3}'.\ format(order.vtSymbol, order.orderID, order.direction , order.offset) 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）""" try: symbol = data['InstrumentID'] except KeyError: symbol = u'KEYERROR' err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') err.additionalInfo = u'onRspOrderAction,{0}'.format(symbol) 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""" self.writeLog(text.SETTLEMENT_INFO_CONFIRMED) #---------------------------------------------------------------------- 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""" if not data['InstrumentID']: return # 获取持仓缓存对象 posName = '.'.join([data['InstrumentID'], data['PosiDirection']]) if posName in self.posDict: pos = self.posDict[posName] else: pos = VtPositionData() self.posDict[posName] = pos pos.gatewayName = self.gatewayName pos.symbol = data['InstrumentID'] pos.vtSymbol = pos.symbol pos.direction = posiDirectionMapReverse.get(data['PosiDirection'], '') pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction, pos.gatewayName]) # 针对上期所持仓的今昨分条返回（有昨仓、无今仓），读取昨仓数据 if data['YdPosition'] and not data['TodayPosition']: pos.ydPosition = data['Position'] # 计算成本 cost = pos.price * pos.position # 汇总总仓 pos.position += data['Position'] pos.positionProfit += data['PositionProfit'] # 计算持仓均价 if pos.position: pos.price = (cost + data['PositionCost']) / pos.position # 读取冻结 if pos.direction is DIRECTION_LONG: pos.frozen += data['LongFrozen'] else: pos.frozen += data['ShortFrozen'] # 查询回报结束 if last: # 遍历推送 for pos in self.posDict.values(): self.gateway.onPosition(pos) # 清空缓存 self.posDict.clear() #---------------------------------------------------------------------- def onRspQryTradingAccount(self, data, error, n, last): """资金账户查询回报""" self.gateway.mdConnected = True 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'] account.commission = data['Commission'] 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): """""" 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""" self.gateway.mdConnected = True contract = VtContractData() contract.gatewayName = self.gatewayName contract.symbol = data['InstrumentID'] 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'] 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: self.writeLog(text.CONTRACT_DATA_RECEIVED) #---------------------------------------------------------------------- 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""" err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = u'onRspError' + error['ErrorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRtnOrder(self, data): """报单回报""" # 更新最大报单编号 newref = data['OrderRef'] self.orderRef = max(self.orderRef, int(newref)) # 创建报单数据对象 order = VtOrderData() order.gatewayName = self.gatewayName # 保存代码和报单号 order.symbol = data['InstrumentID'] order.exchange = exchangeMapReverse[data['ExchangeID']] order.vtSymbol = order.symbol #'.'.join([order.symbol, order.exchange]) order.orderID = data['OrderRef'] # CTP的报单号一致性维护需要基于frontID, sessionID, orderID三个字段 # 但在本接口设计中，已经考虑了CTP的OrderRef的自增性，避免重复 # 唯一可能出现OrderRef重复的情况是多处登录并在非常接近的时间内（几乎同时发单） # 考虑到VtTrader的应用场景，认为以上情况不会构成问题 order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.direction = directionMapReverse.get(data['Direction'], DIRECTION_UNKNOWN) order.offset = offsetMapReverse.get(data['CombOffsetFlag'], OFFSET_UNKNOWN) order.status = statusMapReverse.get(data['OrderStatus'], STATUS_UNKNOWN) # 价格、报单量等数值 order.price = data['LimitPrice'] order.totalVolume = data['VolumeTotalOriginal'] order.tradedVolume = data['VolumeTraded'] order.orderTime = data['InsertTime'] order.updateTime = data['UpdateTime'] order.cancelTime = data['CancelTime'] order.frontID = data['FrontID'] order.sessionID = data['SessionID'] # 推送 self.gateway.onOrder(order) #---------------------------------------------------------------------- def onRtnTrade(self, data): """成交回报""" # 创建报单数据对象 trade = VtTradeData() trade.gatewayName = self.gatewayName # 保存代码和报单号 trade.symbol = data['InstrumentID'] trade.exchange = exchangeMapReverse[data['ExchangeID']] trade.vtSymbol = trade.symbol #'.'.join([trade.symbol, trade.exchange]) trade.tradeID = data['TradeID'] trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = data['OrderRef'] trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) # 方向 trade.direction = directionMapReverse.get(data['Direction'], '') # 开平 trade.offset = offsetMapReverse.get(data['OffsetFlag'], '') # 价格、报单量等数值 trade.price = data['Price'] trade.volume = data['Volume'] trade.tradeTime = data['TradeTime'] # 推送 self.gateway.onTrade(trade) #---------------------------------------------------------------------- def onErrRtnOrderInsert(self, data, error): """发单错误回报（交易所）""" # 推送委托信息 order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = data['InstrumentID'] order.exchange = exchangeMapReverse[data['ExchangeID']] order.vtSymbol = order.symbol order.orderID = data['OrderRef'] order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.direction = directionMapReverse.get(data['Direction'], DIRECTION_UNKNOWN) order.offset = offsetMapReverse.get(data['CombOffsetFlag'], OFFSET_UNKNOWN) order.status = STATUS_REJECTED order.price = data['LimitPrice'] order.totalVolume = data['VolumeTotalOriginal'] self.gateway.onOrder(order) # 推送错误信息 err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') err.additionalInfo = u'onErrRtnOrderInsert.{0},v:{1},ref:{2}:'\ .format(order.vtSymbol , order.totalVolume, order.orderID) self.gateway.onError(err) #---------------------------------------------------------------------- def onErrRtnOrderAction(self, data, error): """撤单错误回报（交易所）""" symbol = data['InstrumentID'] err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') err.additionalInfo =u'onErrRtnOrderAction.{0}'.format(symbol) 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 #---------------------------------------------------------------------- def onRtnLock(self, data): """""" pass #---------------------------------------------------------------------- def onErrRtnLockInsert(self, data, error): """""" pass #---------------------------------------------------------------------- def onRtnCombAction(self, data): """""" pass #---------------------------------------------------------------------- def onErrRtnCombActionInsert(self, data, error): """""" 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, authCode, userProductInfo): """初始化连接""" self.userID = userID # 账号 self.password = password # 密码 self.brokerID = brokerID # 经纪商代码 self.address = address # 服务器地址 self.authCode = authCode #验证码 self.userProductInfo = userProductInfo #产品信息 # 如果尚未建立服务器连接，则进行连接 if not self.connectionStatus: # 创建C++环境中的API对象，这里传入的参数是需要用来保存.con文件的文件夹路径 path = os.getcwd() + '/temp/' + self.gatewayName + '/' if not os.path.exists(path): os.makedirs(path) self.createFtdcTraderApi(path) # 设置数据同步模式为推送从今日开始所有数据 self.subscribePrivateTopic(0) self.subscribePublicTopic(0) # 注册服务器地址 self.registerFront(self.address) # 初始化连接，成功会调用onFrontConnected self.init() # 若已经连接但尚未登录，则进行登录 else: if self.requireAuthentication and not self.authStatus: self.authenticate() elif not self.loginStatus: self.login() #---------------------------------------------------------------------- def login(self): """连接服务器""" # 如果填入了用户名密码等，则登录 if self.userID and self.password and self.brokerID: req = {} req['UserID'] = self.userID req['Password'] = self.password req['BrokerID'] = self.brokerID self.reqID += 1 self.reqUserLogin(req, self.reqID) #---------------------------------------------------------------------- def authenticate(self): """申请验证""" if self.userID and self.brokerID and self.authCode and self.userProductInfo: req = {} req['UserID'] = self.userID req['BrokerID'] = self.brokerID req['AuthCode'] = self.authCode req['UserProductInfo'] = self.userProductInfo self.reqID +=1 self.reqAuthenticate(req, self.reqID) #---------------------------------------------------------------------- def qryAccount(self): """查询账户""" self.reqID += 1 self.reqQryTradingAccount({}, self.reqID) #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" self.reqID += 1 req = {} req['BrokerID'] = self.brokerID req['InvestorID'] = self.userID self.reqQryInvestorPosition(req, self.reqID) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" self.reqID += 1 self.orderRef += 1 req = {} req['InstrumentID'] = orderReq.symbol req['LimitPrice'] = orderReq.price req['VolumeTotalOriginal'] = orderReq.volume # 下面如果由于传入的类型本接口不支持，则会返回空字符串 req['OrderPriceType'] = priceTypeMap.get(orderReq.priceType, '') req['Direction'] = directionMap.get(orderReq.direction, '') req['CombOffsetFlag'] = offsetMap.get(orderReq.offset, '') req['OrderRef'] = str(self.orderRef) req['InvestorID'] = self.userID req['UserID'] = self.userID req['BrokerID'] = self.brokerID req['CombHedgeFlag'] = defineDict['THOST_FTDC_HF_Speculation'] # 投机单 req['ContingentCondition'] = defineDict['THOST_FTDC_CC_Immediately'] # 立即发单 req['ForceCloseReason'] = defineDict['THOST_FTDC_FCC_NotForceClose'] # 非强平 req['IsAutoSuspend'] = 0 # 非自动挂起 req['TimeCondition'] = defineDict['THOST_FTDC_TC_GFD'] # 今日有效 req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV'] # 任意成交量 req['MinVolume'] = 1 # 最小成交量为1 # 判断FAK和FOK if orderReq.priceType == PRICETYPE_FAK: req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"] req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC'] req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV'] if orderReq.priceType == PRICETYPE_FOK: req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"] req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC'] req['VolumeCondition'] = defineDict['THOST_FTDC_VC_CV'] self.reqOrderInsert(req, self.reqID) # 返回订单号（字符串），便于某些算法进行动态管理 vtOrderID = '.'.join([self.gatewayName, str(self.orderRef)]) return vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" self.reqID += 1 req = {} req['InstrumentID'] = cancelOrderReq.symbol req['ExchangeID'] = cancelOrderReq.exchange req['OrderRef'] = cancelOrderReq.orderID req['FrontID'] = cancelOrderReq.frontID req['SessionID'] = cancelOrderReq.sessionID req['ActionFlag'] = defineDict['THOST_FTDC_AF_Delete'] req['BrokerID'] = self.brokerID req['InvestorID'] = self.userID self.reqOrderAction(req, self.reqID) #---------------------------------------------------------------------- def close(self): """关闭""" self.exit() #---------------------------------------------------------------------- def writeLog(self, content): """发出日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = content self.gateway.onLog(log) #---------------------------------------------------------------------- def test(): """测试""" from PyQt4 import QtCore import sys def print_log(event): log = event.dict_['data'] print ':'.join([log.logTime, log.logContent]) app = QtCore.QCoreApplication(sys.argv) eventEngine = EventEngine() eventEngine.register(EVENT_LOG, print_log) eventEngine.start() gateway = CtpGateway(eventEngine) gateway.connect() sys.exit(app.exec_()) if __name__ == '__main__': test()