# encoding: UTF-8 ''' vn.shzd的gateway接入 1. 期权合约数量太多，为了方便起见默认接口只接收期货合约数据 2. 直达接口的撤单操作也被视作一个独立的委托，但是在vn.trader中选择忽略 3. 持仓全部平光后，再次查询时会没有该合约的推送（和CTP不同），为了避免最后平仓 不更新的情况，使用缓存机制来处理 ''' import os import json from copy import copy from datetime import datetime from vnshzd import ShzdApi from vtGateway import * # 以下为一些VT类型和SHZD类型的映射字典 # 价格类型映射 priceTypeMap = {} priceTypeMap[PRICETYPE_LIMITPRICE] = '1' priceTypeMap[PRICETYPE_MARKETPRICE] = '2' priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = '1' directionMap[DIRECTION_SHORT] = '2' directionMapReverse = {v: k for k, v in directionMap.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_HKEX] = 'HKEX' exchangeMap[EXCHANGE_CME] = 'CME' exchangeMap[EXCHANGE_ICE] = 'ICE' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} # 产品类型映射 productClassMap = {} productClassMap[PRODUCT_FUTURES] = 'F' productClassMap[PRODUCT_OPTION] = 'O' productClassMapReverse = {v:k for k,v in productClassMap.items()} # 委托状态映射 orderStatusMapReverse = {} orderStatusMapReverse['2'] = STATUS_NOTTRADED orderStatusMapReverse['3'] = STATUS_PARTTRADED orderStatusMapReverse['4'] = STATUS_ALLTRADED orderStatusMapReverse['5'] = STATUS_CANCELLED orderStatusMapReverse['6'] = STATUS_CANCELLED s = set() ######################################################################## class ShzdGateway(VtGateway): """SHZD接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='SHZD'): """Constructor""" super(ShzdGateway, self).__init__(eventEngine, gatewayName) self.api = ShzdGatewayApi(self) 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() + '/shzdGateway/' + fileName from vtFunction import filePath path = filePath() #path = os.path.abspath(os.path.dirname(__file__)) print 'path:', path fileName = os.path.join(path, 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: frontAddress = str(setting['frontAddress']) frontPort = int(setting['frontPort']) marketAddress = str(setting['marketAddress']) marketPort = int(setting['marketPort']) userId = str(setting['userId']) userPwd = str(setting['userPwd']) except KeyError: self.writeLog(u'连接配置缺少字段，请检查') return # 创建行情和交易接口对象 self.api.connect(userId, userPwd, frontAddress, frontPort, marketAddress, marketPort) # 初始化并启动查询 self.initQuery() #---------------------------------------------------------------------- def writeLog(self, logContent): """记录日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = logContent self.onLog(log) #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" self.api.subscribe(subscribeReq) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" return self.api.sendOrder(orderReq) #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" self.api.cancelOrder(cancelOrderReq) #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" self.api.qryAccount() #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" self.api.qryPosition() #---------------------------------------------------------------------- def close(self): """关闭""" self.api.close() # 释放接口对象 #---------------------------------------------------------------------- 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 ShzdGatewayApi(ShzdApi): """直达接口的继承实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(ShzdGatewayApi, self).__init__() self.gateway = gateway self.gatewayName = gateway.gatewayName self.userId = EMPTY_STRING # 用户名 self.accountNo = EMPTY_STRING # 查询等用的单一账号 self.accountNoList = [] # 账号列表 self.tradeCallbacks = {} # 交易回调函数映射 self.marketCallbacks = {} # 行情回调函数映射 # 委托相关 self.localNo = EMPTY_INT # 本地委托号 self.orderDict = {} # key为str(localNo)，value为委托对象 self.orderNoDict = {} # key为OrderNo，value为localNo self.localNoDict = {} # key为str(localNo)，value为(SystemNo, OrderNo) self.cancelDict = {} # key为等待撤单的str(localNo)，value为CancelOrderReq # 委托号前缀 n = datetime.now() self.orderPrefix = n.strftime("%H%M%S.") # 持仓缓存 self.posDict = {} # key为vtPositionName，value为VtPositionData # 是否进行了初始化 self.inited = False self.initCallbacks() #---------------------------------------------------------------------- def initCallbacks(self): """初始化回调函数映射""" # 行情推送 self.marketCallbacks['MA1'] = self.onMarketData # 登录和查询回报 self.tradeCallbacks['A1'] = self.onLogin self.tradeCallbacks['AC1'] = self.onQryAccount self.tradeCallbacks['OS1'] = self.onQryPosition self.tradeCallbacks['HY'] = self.onQryContract self.tradeCallbacks['ORS1'] = self.onQryOrder self.tradeCallbacks['FS1'] = self.onTrade # 下单和撤单确认 self.tradeCallbacks['O1'] = self.onSendOrder self.tradeCallbacks['C1'] = self.onCancelOrder # 成交委托推送 self.tradeCallbacks['O3'] = self.onTrade self.tradeCallbacks['OST'] = self.onOrder #---------------------------------------------------------------------- def onReceiveErrorInfo(self, errcode, errmsg): """错误推送回报""" err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = errcode err.errorMsg = errmsg self.gateway.onError(err) #---------------------------------------------------------------------- def onReceiveMarketInfo(self, data): """行情推送回报""" func = self.marketCallbacks.get(data['msgtype'], None) if func: func(data) #---------------------------------------------------------------------- def onReceiveTradeInfo(self, data): """交易推送回报""" func = self.tradeCallbacks.get(data['msgtype'], None) if func: func(data) #---------------------------------------------------------------------- def onMarketData(self, data): """行情推送""" tick = VtTickData() tick.gatewayName = self.gatewayName tick.symbol = data['307'] tick.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN) tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) tick.volume = int(data['513']) tick.openInterest = int(data['514']) dt = data['512'].split(' ') tick.time = dt[1] tick.date = dt[0].replace('_', '') try: tick.lastPrice = float(data['504']) tick.openPrice = float(data['508']) tick.highPrice = float(data['506']) tick.lowPrice = float(data['507']) tick.preClosePrice = float(data['509']) # 可以实现5档深度 tick.bidPrice1 = float(data['500']) tick.bidPrice2 = float(data['515']) tick.bidPrice3 = float(data['516']) tick.bidPrice4 = float(data['517']) tick.bidPrice5 = float(data['518']) tick.bidVolume1 = int(data['501']) tick.bidVolume2 = int(data['519']) tick.bidVolume3 = int(data['520']) tick.bidVolume4 = int(data['521']) tick.bidVolume5 = int(data['522']) tick.askPrice1 = float(data['502']) tick.askPrice2 = float(data['523']) tick.askPrice3 = float(data['524']) tick.askPrice4 = float(data['525']) tick.askPrice5 = float(data['526']) tick.askVolume1 = int(data['503']) tick.askVolume2 = int(data['527']) tick.askVolume3 = int(data['528']) tick.askVolume4 = int(data['529']) tick.askVolume5 = int(data['530']) except ValueError: pass self.gateway.onTick(tick) #---------------------------------------------------------------------- def onLogin(self, data): """登录成功推送""" if '11' in data: self.accountNo = data['11'] self.accountNoList.append(data['11']) self.loginStatus = True self.gateway.writeLog(u'账户%s，结算货币%s' %(data['11'], data['200'])) if '410' in data and data['410'] == '1': self.gateway.writeLog(u'登录成功') #self.qryContract() self.qryOrder() self.qryTrade() #---------------------------------------------------------------------- def onSendOrder(self, data): """下单回报""" if not data['404'] or data['404'] == '00000': order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = data['307'] order.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN) order.vtSymbol = '.'.join([order.symbol, order.exchange]) order.orderID = data['305'] order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.direction = directionMapReverse.get(data['308'], DIRECTION_UNKNOWN) order.price = float(data['310']) order.totalVolume = int(data['309']) order.status = orderStatusMapReverse.get(data['405'], STATUS_UNKNOWN) order.orderTime = data['346'] self.orderDict[order.orderID] = order self.localNoDict[order.orderID] = (data['300'], data['301']) self.orderNoDict[data['301']] = order.orderID # 委托查询 if '315' in data: order.tradedVolume = int(data['315']) self.gateway.onOrder(copy(order)) # 检查是否要撤单 if order.orderID in self.cancelDict: self.cancelOrder(self.cancelDict[order.orderID]) del self.cancelDict[order.orderID] else: error = VtErrorData() error.gatewayName = self.gatewayName error.errorID = data['404'] error.errorMsg = u'委托失败' self.gateway.onError(error) #---------------------------------------------------------------------- def onCancelOrder(self, data): """撤单回报""" orderID = self.orderNoDict[data['301']] order = self.orderDict[orderID] if not data['404'] or data['404'] == '00000': order.status = STATUS_CANCELLED order.cancelTime = data['326'] self.gateway.onOrder(copy(order)) else: error = VtErrorData() error.gatewayName = self.gatewayName error.errorID = data['404'] error.errorMsg = u'撤单失败' self.gateway.onError(error) #---------------------------------------------------------------------- def onTrade(self, data): """成交推送""" if '307' in data: trade = VtTradeData() trade.gatewayName = self.gatewayName trade.symbol = data['307'] trade.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN) trade.vtSymbol = '.'.join([trade.symbol, trade.exchange]) trade.tradeID = data['304'] trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = data['305'] trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) trade.direction = directionMapReverse.get(data['308'], DIRECTION_UNKNOWN) trade.price = float(data['313']) trade.volume = int(data['315']) trade.tradeTime = data['326'] self.gateway.onTrade(trade) elif '410' in data and data['410'] == '1': self.gateway.writeLog(u'成交查询完成') #---------------------------------------------------------------------- def onOrder(self, data): """委托变化推送""" orderID = self.orderNoDict.get(data['301'], None) if orderID: order = self.orderDict[orderID] order.tradedVolume = int(data['315']) if order.tradedVolume > 0: if order.tradedVolume < order.totalVolume: order.status = STATUS_PARTTRADED else: order.status = STATUS_ALLTRADED self.gateway.onOrder(copy(order)) #---------------------------------------------------------------------- def onQryOrder(self, data): """查询委托回报""" if '404' in data and data['404'] != '00000': error = VtErrorData() error.gatewayName = self.gatewayName error.errorID = data['404'] error.errorMsg = u'查询委托失败' self.gateway.onError(error) elif '410' not in data and '307' in data: order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = data['307'] order.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN) order.vtSymbol = '.'.join([order.symbol, order.exchange]) order.orderID = data['305'] order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.direction = directionMapReverse.get(data['308'], DIRECTION_UNKNOWN) order.price = float(data['310']) order.totalVolume = int(data['309']) order.status = orderStatusMapReverse.get(data['405'], STATUS_UNKNOWN) order.orderTime = data['346'] order.cancelTime = data['326'] self.orderDict[order.orderID] = order self.localNoDict[order.orderID] = (data['300'], data['301']) self.orderNoDict[data['301']] = order.orderID order.tradedVolume = int(data['315']) self.gateway.onOrder(copy(order)) elif '410' in data and data['410'] == '1': self.gateway.writeLog(u'委托查询完成') #---------------------------------------------------------------------- def onQryPosition(self, data): """持仓查询返回""" if '307' in data: pos = VtPositionData() pos.gatewayName = self.gatewayName pos.symbol = data['307'] pos.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN) pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) # 多头仓位 longPosName = '.'.join([pos.vtSymbol, DIRECTION_LONG]) try: longPos = self.posDict[longPosName] except KeyError: longPos = copy(pos) longPos.direction = DIRECTION_LONG longPos.vtPositionName = longPosName self.posDict[longPosName] = longPos longPos.position = int(data['442']) longPos.price = float(data['443']) # 空头仓位 shortPosName = '.'.join([pos.vtSymbol, DIRECTION_SHORT]) try: shortPos = self.posDict[shortPosName] except KeyError: shortPos = copy(pos) shortPos.direction = DIRECTION_SHORT shortPos.vtPositionName = shortPosName self.posDict[shortPosName] = shortPos shortPos.position = int(data['445']) shortPos.price = float(data['446']) # 所有持仓数据推送完成后才向事件引擎中更新持仓数据 if '410' in data and data['410'] == '1': for pos in self.posDict.values(): self.gateway.onPosition(pos) #---------------------------------------------------------------------- def onQryAccount(self, data): """账户资金查询返回""" if '11' in data: account = VtAccountData() account.gatewayName = self.gatewayName account.accountID = data['11'] account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) account.preBalance = float(data['218']) account.balance = float(data['203']) account.available = float(data['201']) account.commission = float(data['221']) account.margin = float(data['212']) account.closeProfit = float(data['205']) account.positionProfit = float(data['216']) self.gateway.onAccount(account) #---------------------------------------------------------------------- def onQryContract(self, data): """查询合约推送""" if '306' in data and data['306'] in exchangeMapReverse: contract = VtContractData() contract.gatewayName = self.gatewayName contract.symbol = data['333'] + data['307'] contract.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN) contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) contract.name = data['332'].decode('GBK') contract.productClass = productClassMapReverse.get(data['335'], '') contract.size = float(data['336']) contract.priceTick = float(data['337']) # 期权合约数量太多，为了方便起见默认接口只接收期货合约数据 if contract.productClass == PRODUCT_FUTURES: self.gateway.onContract(contract) if '410' in data and data['410'] == '1': self.gateway.writeLog(u'合约查询完成') #---------------------------------------------------------------------- def connect(self, userId, userPwd, frontAddress, frontPort, marketAddress, marketPort): """连接""" self.userId = userId # 初始化接口 n = self.initShZdServer() if n: self.gateway.writeLog(u'接口初始化失败，原因%s' %n) return else: self.gateway.writeLog(u'接口初始化成功') self.inited = True # 连接交易服务器 n = self.registerFront(frontAddress, frontPort) if n: self.gateway.writeLog(u'交易服务器连接失败，原因%s' %n) return else: self.gateway.writeLog(u'交易服务器连接成功') # 连接行情服务器 n = self.registerMarket(marketAddress, marketPort) if n: self.gateway.writeLog(u'行情服务器连接失败，原因%s' %n) return else: self.gateway.writeLog(u'行情服务器连接成功') # 登录 req = {} req['msgtype'] = 'A' req['12'] = 'demo000604' req['16'] = '888888' self.shzdSendInfoToTrade(req) #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" req = {} req['msgtype'] = 'MA' req['11'] = self.accountNo req['201'] = '+' req['307'] = ','.join([exchangeMap[subscribeReq.exchange], subscribeReq.symbol]) self.shzdSendInfoToMarket(req) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" req = {} req['msgtype'] = 'O' req['12'] = self.userId req['11'] = self.accountNo req['306'] = exchangeMap.get(orderReq.exchange, '') req['307'] = orderReq.symbol req['308'] = directionMap.get(orderReq.direction, '') req['309'] = str(orderReq.volume) req['310'] = str(orderReq.price) req['401'] = priceTypeMap.get(orderReq.priceType, '') self.localNo += 1 req['305'] = self.orderPrefix + str(self.localNo).rjust(10, '0') self.shzdSendInfoToTrade(req) vtOrderID = '.'.join([self.gatewayName, str(self.localNo)]) return vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, cancelReq): """撤单""" tmp = self.localNoDict.get(cancelReq.orderID, None) if tmp: systemNo = tmp[0] orderNo = tmp[1] order = self.orderDict[cancelReq.orderID] req = {} req['msgtype'] = 'C' req['12'] = self.userId req['11'] = self.accountNo req['300'] = systemNo req['301'] = orderNo req['306'] = exchangeMap.get(order.exchange, '') req['307'] = order.symbol req['308'] = directionMap.get(order.direction, '') req['309'] = str(order.totalVolume) req['310'] = str(order.price) req['315'] = str(order.tradedVolume) self.shzdSendInfoToTrade(req) else: self.cancelSet.add(cancelReq) #---------------------------------------------------------------------- def qryAccount(self): """查询账户""" req = {} req['msgtype'] = 'AC' req['12'] = self.userId req['11'] = self.accountNo self.shzdSendInfoToTrade(req) #---------------------------------------------------------------------- def qryPosition(self): """持仓查询""" req = {} req['msgtype'] = 'OS' req['12'] = self.userId req['11'] = self.accountNo self.shzdSendInfoToTrade(req) # 清空持仓数据 for pos in self.posDict.values(): pos.price = 0 pos.position = 0 #---------------------------------------------------------------------- def qryContract(self): """合约查询""" req = {} req['msgtype'] = 'HY' req['11'] = self.accountNo self.shzdSendInfoToTrade(req) #---------------------------------------------------------------------- def qryTrade(self): """成交查询""" req = {} req['msgtype'] = 'FS' req['12'] = self.userId req['11'] = self.accountNo self.shzdSendInfoToTrade(req) #---------------------------------------------------------------------- def qryOrder(self): """委托查询""" req = {} req['msgtype'] = 'ORS' req['12'] = self.userId req['11'] = self.accountNo self.shzdSendInfoToTrade(req) #---------------------------------------------------------------------- def close(self): """关闭接口""" if self.inited: self.release() #---------------------------------------------------------------------- def printDict(d): """打印字典""" print '-' * 50 l = d.keys() l.sort() for k in l: print k, ':', d[k]