# encoding: UTF-8 ''' vn.lts的gateway接入 ''' import os import json from vnltsmd import MdApi from vnltstd import TdApi from vnltsqry import QryApi from ltsDataType import * from vtGateway import * # 以下为一些VT类型和LTS类型的映射字典 # 价格类型映射 priceTypeMap= {} priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["SECURITY_FTDC_OPT_LimitPrice"] priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["SECURITY_FTDC_OPT_AnyPrice"] priceTypeMap[PRICETYPE_FAK] = defineDict["SECURITY_FTDC_OPT_BestPrice"] priceTypeMap[PRICETYPE_FOK] = defineDict["SECURITY_FTDC_OPT_AllLimitPrice"] priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = defineDict["SECURITY_FTDC_D_Buy"] directionMap[DIRECTION_SHORT] = defineDict["SECURITY_FTDC_D_Sell"] directionMapReverse = {v: k for k, v in directionMap.items()} # 开平类型映射 offsetMap = {} offsetMap[OFFSET_OPEN] = defineDict["SECURITY_FTDC_OF_Open"] offsetMap[OFFSET_CLOSE] = defineDict["SECURITY_FTDC_OF_Close"] offsetMap[OFFSET_CLOSETODAY] = defineDict["SECURITY_FTDC_OF_CloseToday"] offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict["SECURITY_FTDC_OF_CloseYesterday"] offsetMapReverse = {v:k for k,v in offsetMap.items()} # 交易所类型映射 exchangeMap = {} exchangeMap[EXCHANGE_SSE] = 'SSE' exchangeMap[EXCHANGE_SZSE] = 'SZE' exchangeMap[EXCHANGE_HKEX] = 'HGE' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} # 持仓类型映射 posiDirectionMap = {} posiDirectionMap[DIRECTION_NET] = defineDict["SECURITY_FTDC_PD_Net"] posiDirectionMap[DIRECTION_LONG] = defineDict["SECURITY_FTDC_PD_Long"] posiDirectionMap[DIRECTION_SHORT] = defineDict["SECURITY_FTDC_PD_Short"] posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()} ######################################################################################## class LtsGateway(VtGateway): """Lts接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='LTS'): """Constructor""" super(LtsGateway, self).__init__(eventEngine, gatewayName) self.mdApi = LtsMdApi(self) self.tdApi = LtsTdApi(self) self.qryApi = LtsQryApi(self) self.mdConnected = False self.tdConnected = False self.qryConnected = False 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() + '/ltsGateway/' + 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']) mdPassword = str(setting['mdPassword']) tdPassword = str(setting['tdPassword']) brokerID = str(setting['brokerID']) tdAddress = str(setting['tdAddress']) mdAddress = str(setting['mdAddress']) qryAddress = str(setting['qryAddress']) productInfo = str(setting['productInfo']) authCode = str(setting['authCode']) 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, mdPassword, brokerID, mdAddress) self.tdApi.connect(userID, tdPassword, brokerID, tdAddress, productInfo, authCode) self.qryApi.connect(userID, tdPassword, brokerID, qryAddress, productInfo, authCode) # 初始化并启动查询 self.initQuery() self.startQuery() #---------------------------------------------------------------------- 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.qryApi.qryAccount() #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" self.qryApi.qryPosition() #---------------------------------------------------------------------- def close(self): """关闭""" if self.mdConnected: self.mdApi.close() if self.tdConnected: self.tdApi.close() if self.qryConnected: self.qryApi.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 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 ######################################################################## class LtsMdApi(MdApi): """Lts行情API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(LtsMdApi, 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 # 登陆状态 self.subscribedSymbols = set() 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 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,n): """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 onHeartBeatWarning(self, n): """心跳报警""" 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 log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'行情服务器登录完成' self.gateway.onLog(log) # 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.tdConnected = False log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'行情服务器登出完成' 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 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""" tick = VtTickData() tick.gatewayName = self.gatewayName tick.symbol = data['InstrumentID'] tick.exchange = exchangeMapReverse.get(data['ExchangeID'], u'未知') tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) 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'] # LTS有5档行情 tick.bidPrice1 = data['BidPrice1'] tick.bidVolume1 = data['BidVolume1'] tick.askPrice1 = data['AskPrice1'] tick.askVolume1 = data['AskVolume1'] tick.bidPrice2 = data['BidPrice2'] tick.bidVolume2 = data['BidVolume2'] tick.askPrice2 = data['AskPrice2'] tick.askVolume2 = data['AskVolume2'] tick.bidPrice3 = data['BidPrice3'] tick.bidVolume3 = data['BidVolume3'] tick.askPrice3 = data['AskPrice3'] tick.askVolume3 = data['AskVolume3'] tick.bidPrice4 = data['BidPrice4'] tick.bidVolume4 = data['BidVolume4'] tick.askPrice4 = data['AskPrice4'] tick.askVolume4 = data['AskVolume4'] tick.bidPrice5 = data['BidPrice5'] tick.bidVolume5 = data['BidVolume5'] tick.askPrice5 = data['AskPrice5'] tick.askVolume5 = data['AskVolume5'] self.gateway.onTick(tick) #---------------------------------------------------------------------- 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""" req = {} req['InstrumentID'] = str(subscribeReq.symbol) req['ExchangeID'] = exchangeMap.get(str(subscribeReq.exchange), '') # 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.subscribeMarketData(req) 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() ######################################################################## class LtsTdApi(TdApi): """LTS交易API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """API对象的初始化函数""" super(LtsTdApi, 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.productInfo = EMPTY_STRING # 程序产品名称 self.authCode = EMPTY_STRING # 授权码 self.randCode = EMPTY_STRING # 随机码 self.frontID = EMPTY_INT # 前置机编号 self.sessionID = EMPTY_INT # 会话编号 #---------------------------------------------------------------------- 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) # 前置机连接后，请求随机码 self.reqID += 1 self.reqFetchAuthRandCode({}, self.reqID) #---------------------------------------------------------------------- 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) #---------------------------------------------------------------------- def onHeartBeatWarning(self, n): """""" pass #---------------------------------------------------------------------- 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.mdConnected = True log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易服务器登录完成' self.gateway.onLog(log) # 否则，推送错误信息 else: err = VtErrorData() err.gatewayName = self.gateway 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 onRspFetchAuthRandCode(self, data, error, n, last): """请求随机认证码""" self.randCode = data['RandCode'] self.login() #---------------------------------------------------------------------- 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）""" 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）""" err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- 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 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.get(data['ExchangeID'], '') order.vtSymbol = '.'.join([order.symbol, order.exchange]) order.orderID = data['OrderRef'] # 方向 if data['Direction'] == '0': order.direction = DIRECTION_LONG elif data['Direction'] == '1': order.direction = DIRECTION_SHORT else: order.direction = DIRECTION_UNKNOWN # 开平 if data['CombOffsetFlag'] == '0': order.offset = OFFSET_OPEN elif data['CombOffsetFlag'] == '1': order.offset = OFFSET_CLOSE else: order.offset = OFFSET_UNKNOWN # 状态 if data['OrderStatus'] == '0': order.status = STATUS_ALLTRADED elif data['OrderStatus'] == '1': order.status = STATUS_PARTTRADED elif data['OrderStatus'] == '3': order.status = STATUS_NOTTRADED elif data['OrderStatus'] == '5': order.status = STATUS_CANCELLED else: order.status = STATUS_UNKNOWN # 价格、报单量等数值 order.price = float(data['LimitPrice']) order.totalVolume = data['VolumeTotalOriginal'] order.tradedVolume = data['VolumeTraded'] order.orderTime = data['InsertTime'] order.cancelTime = data['CancelTime'] order.frontID = data['FrontID'] order.sessionID = data['SessionID'] # CTP的报单号一致性维护需要基于frontID, sessionID, orderID三个字段 order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) # 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.get(data['ExchangeID'], '') trade.vtSymbol = '.'.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 = float(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）""" err = VtErrorData() err.gatewayName = self.gatewayName 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）""" err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspFundOutByLiber(self, data, error, n, last): """LTS发起出金应答""" pass #---------------------------------------------------------------------- def onRtnFundOutByLiber(self, data): """LTS发起出金通知""" pass #---------------------------------------------------------------------- def onErrRtnFundOutByLiber(self, data, error): """LTS发起出金错误回报""" pass #---------------------------------------------------------------------- def onRtnFundInByBank(self, data): """银行发起入金通知""" pass #---------------------------------------------------------------------- def onRspFundInterTransfer(self, data, error, n, last): """资金内转应答""" pass #---------------------------------------------------------------------- def onRtnFundInterTransferSerial(self, data): """资金内转流水通知""" pass #---------------------------------------------------------------------- def onErrRtnFundInterTransfer(self, data, error): """资金内转错误回报""" pass #---------------------------------------------------------------------- def connect(self, userID, password, brokerID, address, productInfo, authCode): """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.productInfo = productInfo self.authCode = authCode # 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) # 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 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 req['UserProductInfo'] = self.productInfo req['AuthCode'] = self.authCode req['RandCode'] = self.randCode self.reqID += 1 self.reqUserLogin(req, self.reqID) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" self.reqID += 1 self.orderRef += 1 req = {} req['InstrumentID'] = str(orderReq.symbol) req['LimitPrice'] = str(orderReq.price) # LTS里的价格是字符串 req['VolumeTotalOriginal'] = int(orderReq.volume) req['ExchangeID'] = exchangeMap.get(orderReq.exchange, '') # 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] req['ExchangeID'] = exchangeMap[orderReq.exchange] except KeyError: return '' req['OrderRef'] = str(self.orderRef) req['InvestorID'] = self.userID req['UserID'] = self.userID req['BrokerID'] = self.brokerID req['CombHedgeFlag'] = defineDict['SECURITY_FTDC_HF_Speculation'] # 投机单 req['ContingentCondition'] = defineDict['SECURITY_FTDC_CC_Immediately'] # 立即发单 req['ForceCloseReason'] = defineDict['SECURITY_FTDC_FCC_NotForceClose'] # 非强平 req['IsAutoSuspend'] = 0 # 非自动挂起 req['TimeCondition'] = defineDict['SECURITY_FTDC_TC_GFD'] # 今日有效 req['VolumeCondition'] = defineDict['SECURITY_FTDC_VC_AV'] # 任意成交量 req['MinVolume'] = 1 # 最小成交量为1 req['UserForceClose'] = 0 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['SECURITY_FTDC_AF_Delete'] req['BrokerID'] = self.brokerID req['InvestorID'] = self.userID self.reqOrderAction(req, self.reqID) #---------------------------------------------------------------------- def close(self): """关闭""" self.exit() ######################################################################## class LtsQryApi(QryApi): """Lts账户查询实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """API对象的初始化函数""" super(LtsQryApi, 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.productInfo = EMPTY_STRING # 程序产品名称 self.authCode = EMPTY_STRING # 授权码 self.randCode = EMPTY_STRING # 随机码 self.frontID = EMPTY_INT # 前置机编号 self.sessionID = EMPTY_INT # 会话编号 #---------------------------------------------------------------------- def onFrontConnected(self): """服务器连接""" self.connectionStatus = True log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'查询服务器连接成功' self.gateway.onLog(log) # 前置机连接后，请求随机码 self.reqID += 1 self.reqFetchAuthRandCode({}, self.reqID) #---------------------------------------------------------------------- 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'查询服务器连接断开' self.gateway.onLog(log) #---------------------------------------------------------------------- def onHeartBeatWarning(self, n): """""" 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.frontID = str(data['FrontID']) self.sessionID = str(data['SessionID']) self.loginStatus = True self.gateway.qryConnected = True log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'查询服务器登录完成' self.gateway.onLog(log) # 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.gateway 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.qryConnected = False log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'查询服务器登出完成' 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 onRspFetchAuthRandCode(self, data, error, n, last): """请求随机认证码""" self.randCode = data['RandCode'] self.login() #---------------------------------------------------------------------- def onRspQryExchange(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 = '.'.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['ExecPrice'] contract.underlyingSymbol = data['MarketID'] # 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 elif data['ProductClass'] == '6': contract.productClass = PRODUCT_EQUITY elif data['ProductClass'] == '8': contract.productClass = PRODUCT_EQUITY else: print data['ProductClass'] # 期权类型 if data['InstrumentType'] == '1': contract.optionType = OPTION_CALL elif data['InstrumentType'] == '2': contract.optionType = OPTION_PUT # 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 onRspQryInvestor(self, data, error, n, last): """投资者查询回报""" pass #---------------------------------------------------------------------- def onRspQryTradingCode(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['Balance'] # 推送 self.gateway.onAccount(account) #---------------------------------------------------------------------- def onRspQryBondInterest(self, data, error, n, last): """债券利息查询回报""" pass #---------------------------------------------------------------------- def onRspQryMarketRationInfo(self, data, error, n, last): """市值配售查询回报""" pass #---------------------------------------------------------------------- def onRspQryInstrumentCommissionRate(self, data, error, n, last): """合约手续费查询回报""" pass #---------------------------------------------------------------------- def onRspQryETFInstrument(self, data, error, n, last): """ETF基金查询回报""" pass #---------------------------------------------------------------------- def onRspQryETFBasket(self, data, error, n, last): """ETF股票篮查询回报""" pass #---------------------------------------------------------------------- def onRspQryOFInstrument(self, data, error, n, last): """OF合约查询回报""" pass #---------------------------------------------------------------------- def onRspQrySFInstrument(self, data, error, n, last): """SF合约查询回报""" pass #---------------------------------------------------------------------- def onRspQryInstrumentUnitMargin(self, data, error, n, last): """查询单手保证金""" pass #---------------------------------------------------------------------- def onRspQryPreDelivInfo(self, data, error, n , last): """查询预交割信息""" pass #---------------------------------------------------------------------- def onRsyQryCreditStockAssignInfo(self, data, error, n, last): """查询可融券分配""" pass #---------------------------------------------------------------------- def onRspQryCreditCashAssignInfo(self, data, error, n , last): """查询可融资分配""" pass #---------------------------------------------------------------------- def onRsyQryConversionRate(self, data, error, n, last): """查询证券这算率""" pass #---------------------------------------------------------------------- def onRspQryHisCreditDebtInfo(self,data, error, n, last): """查询历史信用负债""" pass #---------------------------------------------------------------------- def onRspQryMarketDataStaticInfo(self, data, error, n, last): """查询行情静态信息""" pass #---------------------------------------------------------------------- def onRspQryExpireRepurchInfo(self, data, error, n, last): """查询到期回购信息响应""" pass #---------------------------------------------------------------------- def onRspQryBondPledgeRate(self, data, error, n, last): """查询债券质押为标准券比例""" pass #---------------------------------------------------------------------- def onRspQryPledgeBond(self, data, error, n, last): """查询债券质押代码对照关系""" 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""" pos = VtPositionData() pos.gatewayName = self.gatewayName # 保存代码 pos.symbol = data['InstrumentID'] pos.exchange = exchangeMapReverse.get(data['ExchangeID'], '') pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) # 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 OnRspQryFundTransferSerial(self, data, error, n, last): """资金转账查询""" pass #---------------------------------------------------------------------- def onRspQryFundInterTransferSerial(self, data, error,n, last): """资金内转流水查询""" pass #---------------------------------------------------------------------- def connect(self, userID, password, brokerID, address, productInfo, authCode): """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.productInfo = productInfo self.authCode = authCode # 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.createFtdcQueryApi(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 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 req['UserProductInfo'] = self.productInfo req['AuthCode'] = self.authCode req['RandCode'] = self.randCode self.reqID += 1 self.reqUserLogin(req, self.reqID) #---------------------------------------------------------------------- def qryAccount(self): """查询账户""" self.reqID += 1 #是否需要INVESTERID, BROKERID? req = {} req['BrokerID'] = self.brokerID req['InvestorID'] = self.userID self.reqQryTradingAccount(req, 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 close(self): """关闭""" self.exit()