# encoding: UTF-8 ''' vn.sgit的gateway接入 飞鼠接口的委托数据更新是分散在多个推送里的： 1. 下单后，通过onRtnOrder通知是否成功，没有ErrorID说明委托到了交易所 2. 后续的成交状态，通过onRtnTrade通知，用户自行累加 3. 撤单的确认，通过onRspOrderAction通知 为了获取实时的委托状态，需要用户自行把这三个数据合并起来， 因此在TdApi中维护了一个委托数据的缓存字典，对vn.trader系统中推送的是本地委托号， 在Gateway中和委托系统号对应起来 飞鼠的撤单需要使用：交易所代码+交易所的系统委托号，撤单时从缓存中 获取委托的系统编号 ''' import os import json from vnsgitmd import MdApi from vnsgittd import TdApi from sgitDataType import * from vtGateway import * # 以下为一些VT类型和SGIT类型的映射字典 # 价格类型映射 priceTypeMap = {} priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["Sgit_FTDC_OPT_LimitPrice"] priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["Sgit_FTDC_OPT_AnyPrice"] priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = defineDict['Sgit_FTDC_D_Buy'] directionMap[DIRECTION_SHORT] = defineDict['Sgit_FTDC_D_Sell'] directionMapReverse = {v: k for k, v in directionMap.items()} # 开平类型映射 offsetMap = {} offsetMap[OFFSET_OPEN] = defineDict['Sgit_FTDC_OF_Open'] offsetMap[OFFSET_CLOSE] = defineDict['Sgit_FTDC_OF_Close'] offsetMap[OFFSET_CLOSETODAY] = defineDict['Sgit_FTDC_OF_CloseToday'] offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['Sgit_FTDC_OF_CloseYesterday'] offsetMapReverse = {v:k for k,v in offsetMap.items()} # 交易所类型映射 exchangeMap = {} exchangeMap[EXCHANGE_CFFEX] = defineDict['Sgit_FTDC_EIDT_CFFEX'] exchangeMap[EXCHANGE_SHFE] = defineDict['Sgit_FTDC_EIDT_SHFE'] exchangeMap[EXCHANGE_CZCE] = defineDict['Sgit_FTDC_EIDT_CZCE'] exchangeMap[EXCHANGE_DCE] = defineDict['Sgit_FTDC_EIDT_DCE'] exchangeMap[EXCHANGE_SGE] = defineDict['Sgit_FTDC_EIDT_GOLD'] exchangeMap[EXCHANGE_UNKNOWN] = '' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} # 持仓类型映射 posiDirectionMap = {} posiDirectionMap[DIRECTION_NET] = defineDict["Sgit_FTDC_PD_Net"] posiDirectionMap[DIRECTION_LONG] = defineDict["Sgit_FTDC_PD_Long"] posiDirectionMap[DIRECTION_SHORT] = defineDict["Sgit_FTDC_PD_Short"] posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()} # 委托状态类型映射 orderStatusMap = {} orderStatusMap[STATUS_ALLTRADED] = defineDict["Sgit_FTDC_OST_AllTraded"] orderStatusMap[STATUS_PARTTRADED] = defineDict["Sgit_FTDC_OST_PartTradedQueueing"] orderStatusMap[STATUS_NOTTRADED] = defineDict["Sgit_FTDC_OST_NoTradeQueueing"] orderStatusMap[STATUS_CANCELLED] = defineDict["Sgit_FTDC_OST_Canceled"] orderStatusMapReverse = {v:k for k,v in orderStatusMap.items()} ######################################################################## class SgitGateway(VtGateway): """SGIT接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='SGIT'): """Constructor""" super(SgitGateway, self).__init__(eventEngine, gatewayName) self.mdApi = SgitMdApi(self) # 行情API self.tdApi = SgitTdApi(self) # 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 #---------------------------------------------------------------------- def connect(self): """连接""" # 载入json文件 fileName = self.gatewayName + '_connect.json' fileName = os.getcwd() + '\\sgitGateway\\' + fileName try: f = file(fileName) except IOError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'读取连接配置出错，请检查' self.onLog(log) 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']) except KeyError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'连接配置缺少字段，请检查' self.onLog(log) return # 创建行情和交易接口对象 self.mdApi.connect(userID, password, brokerID, mdAddress) self.tdApi.connect(userID, password, brokerID, tdAddress) # 初始化并启动查询 self.initQuery() #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" self.mdApi.subscribe(subscribeReq) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" return self.tdApi.sendOrder(orderReq) #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" self.tdApi.cancelOrder(cancelOrderReq) #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" self.tdApi.qryAccount() #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" self.tdApi.qryPosition() #---------------------------------------------------------------------- def close(self): """关闭""" if self.mdConnected: self.mdApi.close() if self.tdConnected: self.tdApi.close() #---------------------------------------------------------------------- def initQuery(self): """初始化连续查询""" if self.qryEnabled: # 需要循环的查询函数列表 # 飞鼠柜台的资金是主动推送的，因此无需查询 self.qryFunctionList = [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 ######################################################################## class SgitMdApi(MdApi): """SGIT行情API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(SgitMdApi, 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 = set() # 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 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) # 订阅数据流 self.subscribeMarketTopic(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(False) # 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: self.subQuot({'ContractID': 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 onFrontConnected(self): """服务器连接""" self.connectionStatus = True log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'行情服务器连接成功' self.gateway.onLog(log) self.login() #---------------------------------------------------------------------- def onFrontDisconnected(self, msg): """服务器断开""" self.connectionStatus = False self.loginStatus = False self.gateway.mdConnected = False log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'行情服务器连接断开' self.gateway.onLog(log) #---------------------------------------------------------------------- def onRspUserLogin(self, data, error, i, 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 log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'行情服务器登录完成' self.gateway.onLog(log) # 调用ready self.ready() # 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, i, 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 log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易服务器登出完成' self.gateway.onLog(log) # 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 onRtnDepthMarketData(self, data): """行情推送""" 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'] tick.openPrice = data['OpenPrice'] tick.highPrice = data['HighestPrice'] tick.lowPrice = data['LowestPrice'] tick.preClosePrice = data['PreClosePrice'] tick.upperLimit = data['UpperLimitPrice'] tick.lowerLimit = data['LowerLimitPrice'] # SGIT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) ######################################################################## class SgitTdApi(TdApi): """SGIT交易API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """API对象的初始化函数""" super(SgitTdApi, 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.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.localID = 0 # 本地委托代码 self.orderDict = {} # 缓存委托对象的字典 self.localSysDict = {} # key为本地委托代码，value为交易所系统代码 self.cancelReqDict = {} # key为本地委托代码，value为撤单请求 #---------------------------------------------------------------------- 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.createFtdcTraderApi(path) # 订阅数据流 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(False) # 若已经连接但尚未登录，则进行登录 else: if 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 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.localID += 1 strID = str(self.localID).rjust(12, '0') 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 try: req['OrderPriceType'] = priceTypeMap[orderReq.priceType] req['Direction'] = directionMap[orderReq.direction] req['CombOffsetFlag'] = offsetMap[orderReq.offset] except KeyError: return '' req['OrderRef'] = strID req['InvestorID'] = self.userID req['UserID'] = self.userID req['BrokerID'] = self.brokerID req['CombHedgeFlag'] = defineDict['Sgit_FTDC_HF_Speculation'] # 投机单 req['ContingentCondition'] = defineDict['Sgit_FTDC_CC_Immediately'] # 立即发单 req['ForceCloseReason'] = defineDict['Sgit_FTDC_FCC_NotForceClose'] # 非强平 req['IsAutoSuspend'] = 0 # 非自动挂起 req['TimeCondition'] = defineDict['Sgit_FTDC_TC_GFD'] # 今日有效 req['VolumeCondition'] = defineDict['Sgit_FTDC_VC_AV'] # 任意成交量 req['MinVolume'] = 1 # 最小成交量为1 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, strID]) return vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" # 如果OrderSysID的数据尚未返回，则把撤单请求缓存下来后直接返回 # 若已经返回，则获取strID对应的OrderSysID，并撤单 strID = cancelOrderReq.orderID if strID not in self.localSysDict: self.cancelReqDict[strID] = cancelOrderReq return sysID = self.localSysDict[strID] self.reqID += 1 req = {} req['InstrumentID'] = cancelOrderReq.symbol req['ExchangeID'] = exchangeMap[cancelOrderReq.exchange] req['OrderSysID'] = sysID req['ActionFlag'] = defineDict['Sgit_FTDC_AF_Delete'] req['BrokerID'] = self.brokerID req['InvestorID'] = self.userID req['UserID'] = self.userID self.reqOrderAction(req, self.reqID) #---------------------------------------------------------------------- def close(self): """关闭""" self.exit() #---------------------------------------------------------------------- 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() #---------------------------------------------------------------------- def onFrontDisconnected(self, msg): """服务器断开""" self.connectionStatus = False self.loginStatus = False self.gateway.mdConnected = False log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易服务器连接断开' self.gateway.onLog(log) #---------------------------------------------------------------------- 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 log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易服务器登录完成' self.gateway.onLog(log) # 调用ready self.ready() # 查询合约代码 self.reqID += 1 self.reqQryInstrument({}, self.reqID) # 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.tdConnected = False log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易服务器登出完成' self.gateway.onLog(log) # 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 onRspOrderInsert(self, data, error, n, last): """发单错误（柜台）""" if error['ErrorID'] != 0: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspOrderAction(self, data, error, n, last): """撤单错误（柜台）""" # 获取委托对象 sysID = data['OrderSysID'] strID = data['OrderRef'] if sysID in self.orderDict: order = self.orderDict[sysID] else: self.localSysDict[strID] = sysID order = VtOrderData() self.orderDict[sysID] = order order.gatewayName = self.gatewayName order.orderID = strID order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) # 推送错误信息 if error['ErrorID'] != 0: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) else: order.status = STATUS_CANCELLED self.gateway.onOrder(order) #---------------------------------------------------------------------- def onRspQryOrder(self, data, error, n, last): """""" pass #---------------------------------------------------------------------- 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'] 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 onRspQryInstrument(self, data, error, n, last): """合约查询回报""" 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'] # 合约类型 if contract.exchange == EXCHANGE_SGE: if '(' in contract.symbol: contract.productClass = PRODUCT_DEFER else: contract.productClass = PRODUCT_SPOT else: contract.productClass = PRODUCT_FUTURES # 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 onRtnOrder(self, data, error): """报单回报""" # 获取委托对象 sysID = data['OrderSysID'] strID = data['OrderRef'] newID = int(strID) if newID > self.localID: self.localID = newID if sysID in self.orderDict: order = self.orderDict[sysID] else: self.localSysDict[strID] = sysID order = VtOrderData() self.orderDict[sysID] = order order.gatewayName = self.gatewayName order.orderID = strID order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.symbol = data['InstrumentID'] order.exchange = exchangeMapReverse[data['ExchangeID']] order.vtSymbol = order.symbol order.direction = directionMapReverse.get(data['Direction'], DIRECTION_UNKNOWN) order.offset = offsetMapReverse.get(data['CombOffsetFlag'], OFFSET_UNKNOWN) order.totalVolume = data['VolumeTotalOriginal'] order.price = data['LimitPrice'] # 推送错误信息 if error['ErrorID'] == 0: # 如果没有错误信息，则认为委托有效未成交 if not order.status: order.status = STATUS_NOTTRADED else: # 如果有错误信息，委托被自动撤单 order.status = STATUS_CANCELLED err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) # 推送 self.gateway.onOrder(order) # 检查是否有待撤单请求 if strID in self.cancelReqDict: req = self.cancelReqDict.pop(strID) self.cancelOrder(req) #---------------------------------------------------------------------- def onRtnTrade(self, data): """成交回报""" # 更新委托 sysID = data['OrderSysID'] strID = data['OrderRef'] if sysID in self.orderDict: order = self.orderDict[sysID] else: self.localSysDict[strID] = sysID order = VtOrderData() self.orderDict[sysID] = order order.gatewayName = self.gatewayName order.orderID = strID order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.tradedVolume += data['Volume'] if order.tradedVolume == order.totalVolume: order.status = STATUS_ALLTRADED else: order.status = STATUS_PARTTRADED # 更新成交 trade = VtTradeData() trade.gatewayName = self.gatewayName trade.symbol = data['InstrumentID'] trade.exchange = exchangeMapReverse[data['ExchangeID']] trade.vtSymbol = trade.symbol trade.tradeID = data['TradeID'] trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = order.orderID 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) self.gateway.onOrder(order) #---------------------------------------------------------------------- def onRtnInstrumentStatus(self, data): """""" pass #---------------------------------------------------------------------- def onRspQryInvestorPositionDetail(self, data, error, n, last): """""" pass #---------------------------------------------------------------------- def onRspQryInvestorPosition(self, data, error, n, last): """持仓查询回报""" # 过滤空数据的情况 if not data['InstrumentID']: return pos = VtPositionData() pos.gatewayName = self.gatewayName # 保存代码 pos.symbol = data['InstrumentID'] pos.vtSymbol = pos.symbol # 这里因为data中没有ExchangeID这个字段 # 方向和持仓冻结数量 pos.direction = posiDirectionMapReverse.get(data['PosiDirection'], '') if pos.direction == DIRECTION_NET or pos.direction == DIRECTION_LONG: pos.frozen = data['LongFrozen'] elif pos.direction == DIRECTION_SHORT: pos.frozen = data['ShortFrozen'] # 持仓量 pos.position = data['Position'] pos.ydPosition = data['YdPosition'] # 持仓均价 if pos.position: pos.price = data['PositionCost'] / pos.position # VT系统持仓名 pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) # 推送 self.gateway.onPosition(pos) #---------------------------------------------------------------------- def print_dict(d): """""" l = d.keys() l.sort() for k in l: print k, ':', d[k]