# encoding: UTF-8 ''' vn.ksgold的gateway接入 金仕达黄金接口在用户登录后，并不提供之前的Order和Trade数据主动推送， 而是需要用户自行查询，因此API里做了初始化后的查询设计。 ''' import os import json import time from vnksgoldtd import TdApi from ksgoldDataType import * from vtGateway import * # 以下类型映射参考的是原生API里的Constant.h # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = '0' directionMap[DIRECTION_SHORT] = '1' directionMapReverse = {v: k for k, v in directionMap.items()} # 开平类型映射 offsetMap = {} offsetMap[OFFSET_OPEN] = '0' offsetMap[OFFSET_CLOSE] = '1' offsetMapReverse = {v:k for k,v in offsetMap.items()} ######################################################################## class KsgoldGateway(VtGateway): """金仕达黄金接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='KSGOLD'): """Constructor""" super(KsgoldGateway, self).__init__(eventEngine, gatewayName) self.tdApi = KsgoldTdApi(self) # 黄金接口只有交易API self.tdConnected = False # 交易API连接状态 self.qryEnabled = False # 是否要启动循环查询 self.orderInited = False # 委托初始化查询 self.tradeInited = False # 成交初始化查询 #---------------------------------------------------------------------- def connect(self): """连接""" # 载入json文件 fileName = self.gatewayName + '_connect.json' fileName = os.getcwd() + '\\ksgoldGateway\\' + 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: accountID = str(setting['accountID']) password = str(setting['password']) address = str(setting['address']) 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.tdApi.connect(accountID, password, address) # 初始化并启动查询 self.initQuery() #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" self.tdApi.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.tdConnected: self.tdApi.close() #---------------------------------------------------------------------- def initQuery(self): """初始化连续查询""" # 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 #---------------------------------------------------------------------- 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 # 如果尚未完成委托查询则先查询委托 if not self.orderInited: self.tdApi.getOrder() # 然后如果未完成成交查询则再查询成交 elif not self.tradeInited: self.tdApi.getTrade() else: # 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""" if self.qryEnabled: 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 KsgoldTdApi(TdApi): """金仕达黄金交易API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """API对象的初始化函数""" super(KsgoldTdApi, 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.accountID = EMPTY_STRING # 账号 self.password = EMPTY_STRING # 密码 self.memberID = EMPTY_STRING # 会员代码（应该是银行） self.address = EMPTY_STRING # 服务器地址 self.seatID = EMPTY_STRING; # 席位号 self.tradeCode = EMPTY_STRING # 交易编码 self.subscribedSymbols = set() # 已订阅合约代码 self.orderDict = {} # 委托字典，用于缓存委托对象，key为整数 # 循环登录相关 self.loginThread = None #---------------------------------------------------------------------- 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, 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 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.seatID = str(data['SeatNo']) self.tradeCode = str(data['tradeCode']) self.loginStatus = True self.gateway.tdConnected = True log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易服务器登录完成' self.gateway.onLog(log) # 重新订阅之前订阅的合约 for subscribeReq in self.subscribedSymbols: self.subscribe(subscribeReq) # 查询合约信息 self.reqID += 1 self.reqQryInstrument({}, self.reqID) # 启动查询 self.gateway.startQuery() # 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) if error['ErrorID'] == -8: self.login() #---------------------------------------------------------------------- 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 onNtyMktStatus(self, data, error, n, last): """更新市场状态""" pass #---------------------------------------------------------------------- def onRspOrderInsert(self, data, error, n, last): """发单错误（柜台）""" if error['ErrorID']: 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）""" if error['ErrorID']: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspQryOrder(self, data, error, n, last): """""" if not self.gateway.orderInited: self.gateway.orderInited = True log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'委托查询完成' self.gateway.onLog(log) # 更新最大报单编号 newref = data['localOrderNo'] 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['instID'] order.exchange = EXCHANGE_SGE order.vtSymbol = order.symbol order.orderID = data['localOrderNo'] # 方向 if data['buyOrSell'] == '0': order.direction = DIRECTION_LONG elif data['buyOrSell'] == '1': order.direction = DIRECTION_SHORT else: order.direction = DIRECTION_UNKNOWN # 开平 if data['offsetFlag'] == '0': order.offset = OFFSET_OPEN elif data['offsetFlag'] == '1': order.offset = OFFSET_CLOSE else: order.offset = OFFSET_UNKNOWN # 状态 if data['status'] == '5': order.status = STATUS_ALLTRADED elif data['status'] == '6': order.status = STATUS_PARTTRADED elif data['status'] == '3': order.status = STATUS_NOTTRADED elif data['status'] == '4' or data['status'] == '7': # 全部撤销和部成部撤 order.status = STATUS_CANCELLED else: order.status = STATUS_UNKNOWN # 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]) # 价格、报单量等数值 order.price = data['price'] order.totalVolume = data['amount'] order.tradedVolume = data['matchQty'] order.orderTime = data['entrustTime'] order.cancelTime = data['cancelTime'] # 推送 self.gateway.onOrder(order) #---------------------------------------------------------------------- def onRspQryTrade(self, data, error, n, last): """""" if not self.gateway.tradeInited: self.gateway.tradeInited = True log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'成交查询完成' self.gateway.onLog(log) # 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['instID'] trade.exchange = EXCHANGE_SGE trade.vtSymbol = trade.symbol trade.tradeID = data['matchNo'] trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = data['localOrderNo'] trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) # 方向 trade.direction = directionMapReverse.get(data['buyOrSell'], '') # 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['matchTime'] # 推送 self.gateway.onTrade(trade) #---------------------------------------------------------------------- def onRspQryInvestorPosition(self, data, error, n, last): """持仓查询回报""" # 过滤一些空的数据 if data['instID']: # 黄金API推送的持仓数据把多空仓放在了一条中，需要分离 longPos = VtPositionData() longPos.gatewayName = self.gatewayName longPos.symbol = data['instID'] longPos.vtSymbol = longPos.symbol longPos.direction = DIRECTION_LONG longPos.frozen = data['longPosiFrozen'] longPos.position = data['longPosiVol'] longPos.ydPosition = data['lastLong'] longPos.price = data['longPosiAvgPrice'] longPos.vtPositionName = '.'.join([longPos.vtSymbol, longPos.direction]) self.gateway.onPosition(longPos) shortPos = VtPositionData() shortPos.gatewayName = self.gatewayName shortPos.symbol = data['instID'] shortPos.vtSymbol = shortPos.symbol shortPos.direction = DIRECTION_SHORT shortPos.frozen = data['shortPosiFrozen'] shortPos.position = data['shortPosiVol'] shortPos.ydPosition = data['lastShort'] shortPos.price = data['shortPosiAvgPrice'] shortPos.vtPositionName = '.'.join([shortPos.vtSymbol, shortPos.direction]) self.gateway.onPosition(shortPos) #---------------------------------------------------------------------- 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 = 'sge_account' # API不提供该字段，自行定义 account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) # 数值相关 account.available = data['availCap'] account.commission = data['totalFee'] account.margin = data['posiMargin'] # 推送 self.gateway.onAccount(account) #---------------------------------------------------------------------- def onRspQryInstrument(self, data, error, n, last): """合约查询回报""" contract = VtContractData() contract.gatewayName = self.gatewayName contract.symbol = data['instID'] contract.exchange = EXCHANGE_SGE # 交易所只有金交所 # 合约类型分为现货、延期、未知 if data['marketID'] == '00': contract.productClass = PRODUCT_SPOT elif data['marketID'] == '10': contract.productClass = PRODUCT_DEFER else: contract.productclass = PRODUCT_UNKNOWN contract.vtSymbol = contract.symbol contract.name = data['name'].decode('GBK') # 合约数值 contract.size = data['unit'] contract.priceTick = data['tick'] # 推送，考虑到只对T+D类带杠杆的产品感兴趣，API里默认过滤了现货 if data['marketID'] == '10': 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 onRtnDepthMarketData(self, data): """行情推送""" tick = VtTickData() tick.gatewayName = self.gatewayName tick.symbol = data['InstID'] tick.vtSymbol = tick.symbol tick.lastPrice = data['Last'] tick.volume = data['Volume'] tick.openInterest = data['OpenInt'] tick.time = data['QuoteTime'] tick.date = data['QuoteDate'] tick.openPrice = data['Open'] tick.highPrice = data['High'] tick.lowPrice = data['Low'] tick.preClosePrice = data['PreClose'] tick.upperLimit = data['highLimit'] tick.lowerLimit = data['lowLimit'] # CTP只有一档行情 tick.bidPrice1 = data['Bid1'] tick.bidPrice2 = data['Bid2'] tick.bidPrice3 = data['Bid3'] tick.bidPrice4 = data['Bid4'] tick.bidPrice5 = data['Bid5'] tick.askPrice1 = data['Ask1'] tick.askPrice2 = data['Ask2'] tick.askPrice3 = data['Ask3'] tick.askPrice4 = data['Ask4'] tick.askPrice5 = data['Ask5'] tick.bidVolume1 = data['BidLot1'] tick.bidVolume2 = data['BidLot2'] tick.bidVolume3 = data['BidLot3'] tick.bidVolume4 = data['BidLot4'] tick.bidVolume5 = data['BidLot5'] tick.askVolume1 = data['AskLot1'] tick.askVolume2 = data['AskLot2'] tick.askVolume3 = data['AskLot3'] tick.askVolume4 = data['AskLot4'] tick.askVolume5 = data['AskLot5'] self.gateway.onTick(tick) #---------------------------------------------------------------------- def onRtnOrder(self, data): """报单回报""" # 更新最大报单编号 newref = data['localOrderNo'] self.orderRef = max(self.orderRef, int(newref)) # 创建报单数据对象 order = self.orderDict.get(int(newref), VtOrderData()) order.gatewayName = self.gatewayName order.exchange = EXCHANGE_SGE order.orderID = data['localOrderNo'] # 状态 if data['status'] == '5': order.status = STATUS_ALLTRADED elif data['status'] == '6': order.status = STATUS_PARTTRADED elif data['status'] == '3': order.status = STATUS_NOTTRADED elif data['status'] == '4' or data['status'] == '7': # 全部撤销和部成部撤 order.status = STATUS_CANCELLED else: order.status = STATUS_UNKNOWN # 推送 self.gateway.onOrder(order) #---------------------------------------------------------------------- def onForceLogout(self, data): """强制登出推送""" self.gateway.onLog(u'被强制登出') #---------------------------------------------------------------------- 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['instID'] trade.exchange = EXCHANGE_SGE trade.vtSymbol = trade.symbol trade.tradeID = data['matchNo'] trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = data['localOrderNo'] trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) # 方向 trade.direction = directionMapReverse.get(data['buyOrSell'], '') # 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['matchTime'] # 推送 self.gateway.onTrade(trade) # 计算还原Order状态，并推送 order = self.orderDict.get(int(trade.orderID), None) if order: order.tradedVolume = order.tradedVolume + trade.volume if order.tradedVolume == order.totalVolume: order.status = STATUS_ALLTRADED else: order.status = STATUS_PARTTRADED self.gateway.onOrder(order) #---------------------------------------------------------------------- def onErrRtnOrderInsert(self, data, error): """发单错误回报（交易所）""" if error['ErrorID']: 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）""" if error['ErrorID']: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspQryClientStorage(self, data, error, n, last): """""" pass #---------------------------------------------------------------------- def onRspSubMarketData(self, data, error, n, last): """""" pass #---------------------------------------------------------------------- def connect(self, accountID, password, address): """初始化连接""" self.accountID = accountID self.password = password self.address = address # 如果尚未建立服务器连接，则进行连接 if not self.connectionStatus: self.createGoldTraderApi() # 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) self.connectionStatus = True # 金仕达接口第一次连接不会调用onFrontConnected（只有断线重连才会），直接登录 self.login() # 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.accountID and self.password: req = {} req['accountID'] = self.accountID req['password'] = self.password req['loginType'] = 1 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 self.reqQryInvestorPosition({}, self.reqID) #---------------------------------------------------------------------- def getTrade(self): """查询成交""" self.reqID += 1 self.reqQryTrade({}, self.reqID) #---------------------------------------------------------------------- def getOrder(self): """查询委托""" self.reqID += 1 self.reqQryOrder({}, self.reqID) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" self.reqID += 1 self.orderRef += 1 req = {} req['instID'] = orderReq.symbol req['marketID'] = '10' req['price'] = orderReq.price req['amount'] = 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['buyOrSell'] = directionMap[orderReq.direction] req['offsetFlag'] = offsetMap[orderReq.offset] except KeyError: return '' strOrderID = generateStrLocalID(self.orderRef) req['LocalOrderNo'] = strOrderID req['seatID'] = self.seatID req['tradeCode'] = self.tradeCode 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, strOrderID]) # 保存请求到本地，用于在收到回报时查询 # 金仕达黄金API的onRtnOrder只推送很有限的几个数据，因此整个数据需要自己还原 order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = orderReq.symbol order.vtSymbol = orderReq.symbol order.exchange = EXCHANGE_SGE order.orderID = strOrderID order.vtOrderID = strOrderID order.direction = orderReq.direction order.offset = orderReq.offset order.price = orderReq.price order.totalVolume = orderReq.volume order.orderTime = time.strftime('%H:%M:%S') # 保存委托时间 self.orderDict[self.orderRef] = order return vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" self.reqID += 1 req = {} req['localOrderNo'] = cancelOrderReq.orderID req['marketID'] = '10' # API默认只允许交易T+D延期 self.reqOrderAction(req, self.reqID) #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" # 黄金API的订阅传入的参数不是具体交易合约代码，而是类型代码 # 考虑到只希望交易T+D，这里直接传入'10' self.subscribeMarketData('10') #---------------------------------------------------------------------- def close(self): """关闭""" self.exit() #---------------------------------------------------------------------- def generateStrLocalID(localID): """把整数的本地委托号转化为字符串""" return str(localID).rjust(12, '0')