# encoding: UTF-8 import time from eventEngine import * from vtConstant import * ######################################################################## class VtGateway(object): """交易接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName): """Constructor""" self.eventEngine = eventEngine self.gatewayName = gatewayName #---------------------------------------------------------------------- def onTick(self, tick): """市场行情推送""" # 通用事件 event1 = Event(type_=EVENT_TICK) event1.dict_['data'] = tick self.eventEngine.put(event1) # 特定合约代码的事件 event2 = Event(type_=EVENT_TICK+tick.vtSymbol) event2.dict_['data'] = tick self.eventEngine.put(event2) #---------------------------------------------------------------------- def onTrade(self, trade): """成交信息推送""" # 通用事件 event1 = Event(type_=EVENT_TRADE) event1.dict_['data'] = trade self.eventEngine.put(event1) # 特定合约的成交事件 event2 = Event(type_=EVENT_TRADE+trade.vtSymbol) event2.dict_['data'] = trade self.eventEngine.put(event2) #---------------------------------------------------------------------- def onOrder(self, order): """订单变化推送""" # 通用事件 event1 = Event(type_=EVENT_ORDER) event1.dict_['data'] = order self.eventEngine.put(event1) # 特定订单编号的事件 event2 = Event(type_=EVENT_ORDER+order.vtOrderID) event2.dict_['data'] = order self.eventEngine.put(event2) #---------------------------------------------------------------------- def onPosition(self, position): """持仓信息推送""" # 通用事件 event1 = Event(type_=EVENT_POSITION) event1.dict_['data'] = position self.eventEngine.put(event1) # 特定合约代码的事件 event2 = Event(type_=EVENT_POSITION+position.vtSymbol) event2.dict_['data'] = position self.eventEngine.put(event2) #---------------------------------------------------------------------- def onAccount(self, account): """账户信息推送""" # 通用事件 event1 = Event(type_=EVENT_ACCOUNT) event1.dict_['data'] = account self.eventEngine.put(event1) # 特定合约代码的事件 event2 = Event(type_=EVENT_ACCOUNT+account.vtAccountID) event2.dict_['data'] = account self.eventEngine.put(event2) #---------------------------------------------------------------------- def onError(self, error): """错误信息推送""" # 通用事件 event1 = Event(type_=EVENT_ERROR) event1.dict_['data'] = error self.eventEngine.put(event1) #---------------------------------------------------------------------- def onLog(self, log): """日志推送""" # 通用事件 event1 = Event(type_=EVENT_LOG) event1.dict_['data'] = log self.eventEngine.put(event1) #---------------------------------------------------------------------- def onContract(self, contract): """合约基础信息推送""" # 通用事件 event1 = Event(type_=EVENT_CONTRACT) event1.dict_['data'] = contract self.eventEngine.put(event1) #---------------------------------------------------------------------- def connect(self): """连接""" pass #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" pass #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" pass #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" pass #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" pass #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" pass #---------------------------------------------------------------------- def close(self): """关闭""" pass ######################################################################## class VtBaseData(object): """回调函数推送数据的基础类，其他数据类继承于此""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.gatewayName = EMPTY_STRING # Gateway名称 self.rawData = None # 原始数据 ######################################################################## class VtTickData(VtBaseData): """Tick行情数据类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" super(VtTickData, self).__init__() # 代码相关 self.symbol = EMPTY_STRING # 合约代码 self.exchange = EMPTY_STRING # 交易所代码 self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码 # 成交数据 self.lastPrice = EMPTY_FLOAT # 最新成交价 self.lastVolume = EMPTY_INT # 最新成交量 self.volume = EMPTY_INT # 今天总成交量 self.openInterest = EMPTY_INT # 持仓量 self.time = EMPTY_STRING # 时间 11:20:56.5 self.date = EMPTY_STRING # 日期 20151009 # 常规行情 self.openPrice = EMPTY_FLOAT # 今日开盘价 self.highPrice = EMPTY_FLOAT # 今日最高价 self.lowPrice = EMPTY_FLOAT # 今日最低价 self.preClosePrice = EMPTY_FLOAT self.upperLimit = EMPTY_FLOAT # 涨停价 self.lowerLimit = EMPTY_FLOAT # 跌停价 # 五档行情 self.bidPrice1 = EMPTY_FLOAT self.bidPrice2 = EMPTY_FLOAT self.bidPrice3 = EMPTY_FLOAT self.bidPrice4 = EMPTY_FLOAT self.bidPrice5 = EMPTY_FLOAT self.askPrice1 = EMPTY_FLOAT self.askPrice2 = EMPTY_FLOAT self.askPrice3 = EMPTY_FLOAT self.askPrice4 = EMPTY_FLOAT self.askPrice5 = EMPTY_FLOAT self.bidVolume1 = EMPTY_INT self.bidVolume2 = EMPTY_INT self.bidVolume3 = EMPTY_INT self.bidVolume4 = EMPTY_INT self.bidVolume5 = EMPTY_INT self.askVolume1 = EMPTY_INT self.askVolume2 = EMPTY_INT self.askVolume3 = EMPTY_INT self.askVolume4 = EMPTY_INT self.askVolume5 = EMPTY_INT ######################################################################## class VtTradeData(VtBaseData): """成交数据类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" super(VtTradeData, self).__init__() # 代码编号相关 self.symbol = EMPTY_STRING # 合约代码 self.exchange = EMPTY_STRING # 交易所代码 self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码 self.tradeID = EMPTY_STRING # 成交编号 self.vtTradeID = EMPTY_STRING # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号 self.orderID = EMPTY_STRING # 订单编号 self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号 # 成交相关 self.direction = EMPTY_UNICODE # 成交方向 self.offset = EMPTY_UNICODE # 成交开平仓 self.price = EMPTY_FLOAT # 成交价格 self.volume = EMPTY_INT # 成交数量 self.tradeTime = EMPTY_STRING # 成交时间 ######################################################################## class VtOrderData(VtBaseData): """订单数据类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" super(VtOrderData, self).__init__() # 代码编号相关 self.symbol = EMPTY_STRING # 合约代码 self.exchange = EMPTY_STRING # 交易所代码 self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码 self.orderID = EMPTY_STRING # 订单编号 self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号 # 报单相关 self.direction = EMPTY_UNICODE # 报单方向 self.offset = EMPTY_UNICODE # 报单开平仓 self.price = EMPTY_FLOAT # 报单价格 self.totalVolume = EMPTY_INT # 报单总数量 self.tradedVolume = EMPTY_INT # 报单成交数量 self.status = EMPTY_UNICODE # 报单状态 self.orderTime = EMPTY_STRING # 发单时间 self.cancelTime = EMPTY_STRING # 撤单时间 # CTP/LTS相关 self.frontID = EMPTY_INT # 前置机编号 self.sessionID = EMPTY_INT # 连接编号 ######################################################################## class VtPositionData(VtBaseData): """持仓数据类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" super(VtPositionData, self).__init__() # 代码编号相关 self.symbol = EMPTY_STRING # 合约代码 self.exchange = EMPTY_STRING # 交易所代码 self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，合约代码.交易所代码 # 持仓相关 self.direction = EMPTY_STRING # 持仓方向 self.position = EMPTY_INT # 持仓量 self.frozen = EMPTY_INT # 冻结数量 self.price = EMPTY_FLOAT # 持仓均价 self.vtPositionName = EMPTY_STRING # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向 # 20151020添加 self.ydPosition = EMPTY_INT # 昨持仓 ######################################################################## class VtAccountData(VtBaseData): """账户数据类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" super(VtAccountData, self).__init__() # 账号代码相关 self.accountID = EMPTY_STRING # 账户代码 self.vtAccountID = EMPTY_STRING # 账户在vt中的唯一代码，通常是 Gateway名.账户代码 # 数值相关 self.preBalance = EMPTY_FLOAT # 昨日账户结算净值 self.balance = EMPTY_FLOAT # 账户净值 self.available = EMPTY_FLOAT # 可用资金 self.commission = EMPTY_FLOAT # 今日手续费 self.margin = EMPTY_FLOAT # 保证金占用 self.closeProfit = EMPTY_FLOAT # 平仓盈亏 self.positionProfit = EMPTY_FLOAT # 持仓盈亏 ######################################################################## class VtErrorData(VtBaseData): """错误数据类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" super(VtErrorData, self).__init__() self.errorID = EMPTY_STRING # 错误代码 self.errorMsg = EMPTY_UNICODE # 错误信息 self.additionalInfo = EMPTY_UNICODE # 补充信息 self.errorTime = time.strftime('%X', time.localtime()) # 错误生成时间 ######################################################################## class VtLogData(VtBaseData): """日志数据类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" super(VtLogData, self).__init__() self.logTime = time.strftime('%X', time.localtime()) # 日志生成时间 self.logContent = EMPTY_UNICODE # 日志信息 ######################################################################## class VtContractData(VtBaseData): """合约详细信息类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" super(VtContractData, self).__init__() self.symbol = EMPTY_STRING # 代码 self.exchange = EMPTY_STRING # 交易所代码 self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码 self.name = EMPTY_UNICODE # 合约中文名 self.productClass = EMPTY_UNICODE # 合约类型 self.size = EMPTY_INT # 合约大小 self.priceTick = EMPTY_FLOAT # 合约最小价格TICK # 期权相关 self.strikePrice = EMPTY_FLOAT # 期权行权价 self.underlyingSymbol = EMPTY_STRING # 标的物合约代码 self.optionType = EMPTY_UNICODE # 期权类型 ######################################################################## class VtSubscribeReq(object): """订阅行情时传入的对象类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.symbol = EMPTY_STRING # 代码 self.exchange = EMPTY_STRING # 交易所 # 以下为IB相关 self.productClass = EMPTY_UNICODE # 合约类型 self.currency = EMPTY_STRING # 合约货币 self.expiry = EMPTY_STRING # 到期日 self.strikePrice = EMPTY_FLOAT # 行权价 self.optionType = EMPTY_UNICODE # 期权类型 ######################################################################## class VtOrderReq(object): """发单时传入的对象类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.symbol = EMPTY_STRING # 代码 self.exchange = EMPTY_STRING # 交易所 self.price = EMPTY_FLOAT # 价格 self.volume = EMPTY_INT # 数量 self.priceType = EMPTY_STRING # 价格类型 self.direction = EMPTY_STRING # 买卖 self.offset = EMPTY_STRING # 开平 # 以下为IB相关 self.productClass = EMPTY_UNICODE # 合约类型 self.currency = EMPTY_STRING # 合约货币 self.expiry = EMPTY_STRING # 到期日 self.strikePrice = EMPTY_FLOAT # 行权价 self.optionType = EMPTY_UNICODE # 期权类型 ######################################################################## class VtCancelOrderReq(object): """撤单时传入的对象类""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.symbol = EMPTY_STRING # 代码 self.exchange = EMPTY_STRING # 交易所 # 以下字段主要和CTP、LTS类接口相关 self.orderID = EMPTY_STRING # 报单号 self.frontID = EMPTY_STRING # 前置机号 self.sessionID = EMPTY_STRING # 会话号