# encoding: UTF-8 ''' vn.xspeed的gateway接入 ''' import os import json import time from copy import copy from vnxspeedmd import MdApi from vnxspeedtd import TdApi from xspeedDataType import * from vtGateway import * # 以下为一些VT类型和XSPEED类型的映射字典 # 价格类型映射 priceTypeMap = {} priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["DFITC_LIMITORDER"] priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["DFITC_MKORDER"] priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = defineDict['DFITC_SPD_BUY'] directionMap[DIRECTION_SHORT] = defineDict['DFITC_SPD_SELL'] directionMapReverse = {v: k for k, v in directionMap.items()} # 开平类型映射 offsetMap = {} offsetMap[OFFSET_OPEN] = defineDict['DFITC_SPD_OPEN'] offsetMap[OFFSET_CLOSE] = defineDict['DFITC_SPD_CLOSE'] offsetMap[OFFSET_CLOSETODAY] = defineDict['DFITC_SPD_CLOSETODAY'] offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['DFITC_SPD_CLOSE'] offsetMapReverse = {v:k for k,v in offsetMap.items()} # 交易所类型映射 exchangeMap = {} exchangeMap[EXCHANGE_CFFEX] = defineDict['DFITC_EXCHANGE_CFFEX'] exchangeMap[EXCHANGE_SHFE] = defineDict['DFITC_EXCHANGE_SHFE'] exchangeMap[EXCHANGE_CZCE] = defineDict['DFITC_EXCHANGE_CZCE'] exchangeMap[EXCHANGE_DCE] = defineDict['DFITC_EXCHANGE_DCE'] exchangeMap[EXCHANGE_UNKNOWN] = '' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} # 委托状态类型映射 orderStatusMap = {} orderStatusMap[STATUS_ALLTRADED] = defineDict["DFITC_SPD_FILLED"] orderStatusMap[STATUS_PARTTRADED] = defineDict["DFITC_SPD_PARTIAL"] orderStatusMap[STATUS_NOTTRADED] = defineDict["DFITC_SPD_IN_QUEUE"] orderStatusMap[STATUS_CANCELLED] = defineDict["DFITC_SPD_CANCELED"] orderStatusMapReverse = {v:k for k,v in orderStatusMap.items()} orderStatusMapReverse[defineDict["DFITC_SPD_PARTIAL_CANCELED"]] = STATUS_CANCELLED ######################################################################## class XspeedGateway(VtGateway): """XSPEED接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='XSPEED'): """Constructor""" super(XspeedGateway, self).__init__(eventEngine, gatewayName) self.mdApi = XspeedMdApi(self) # 行情API self.tdApi = XspeedTdApi(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() + '\\xspeedGateway\\' + 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']) 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(accountID, password, mdAddress) self.tdApi.connect(accountID, password, 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 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 XspeedMdApi(MdApi): """XSPEED行情API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(XspeedMdApi, 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.accountID = EMPTY_STRING # 账号 self.password = EMPTY_STRING # 密码 self.address = EMPTY_STRING # 服务器地址 #---------------------------------------------------------------------- def connect(self, accountID, password, address): """初始化连接""" self.accountID = accountID # 账号 self.password = password # 密码 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: self.createDFITCMdApi() # 初始化连接，成功会调用onFrontConnected self.init(self.address) # 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.reqID += 1 self.subscribeMarketData(str(subscribeReq.symbol), self.reqID) 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.accountID and self.password: self.reqID += 1 req = {} req['accountID'] = self.accountID req['passwd'] = self.password req['lRequestID'] = self.reqID self.reqUserLogin(req) #---------------------------------------------------------------------- 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, i): """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) : """登陆回报""" # 如果登录成功，推送日志信息 if error['nErrorID'] == 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['nErrorID'] err.errorMsg = error['errorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspUserLogout(self, data, error) : """登出回报""" # 如果登出成功，推送日志信息 if error['nErrorID'] == 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['nErrorID'] err.errorMsg = error['errorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspError(self, error) : """错误回报""" err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['nErrorID'] err.errorMsg = error['errorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspSubMarketData(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRspUnSubMarketData(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRspSubForQuoteRsp(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRspUnSubForQuoteRsp(self, data, error) : """""" pass #---------------------------------------------------------------------- def onMarketData(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'] tick.bidPrice1 = data['BidPrice1'] tick.bidVolume1 = data['BidVolume1'] tick.askPrice1 = data['AskPrice1'] tick.askVolume1 = data['AskVolume1'] self.gateway.onTick(tick) #---------------------------------------------------------------------- def onCustomMarketData(self, data) : """""" pass #---------------------------------------------------------------------- def onRtnForQuoteRsp(self, data) : """""" pass #---------------------------------------------------------------------- def onRspTradingDay(self, data) : """""" pass ######################################################################## class XspeedTdApi(TdApi): """XSPEED交易API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """API对象的初始化函数""" super(XspeedTdApi, 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.localID = 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.address = EMPTY_STRING # 服务器地址 self.sessionID = EMPTY_INT # 会话编号 self.posDict = {} # 缓存持仓数据的字典 self.orderDict = {} # 缓存委托数据的字典 self.spdOrderDict = {} # 飞创柜台委托号字典 #---------------------------------------------------------------------- def connect(self, accountID, password, address): """初始化连接""" self.accountID = accountID # 账号 self.password = password # 密码 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: self.createDFITCTraderApi() # 初始化连接，成功会调用onFrontConnected self.init(self.address) # 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: self.reqID += 1 req = {} req['accountID'] = self.accountID req['passwd'] = self.password req['lRequestID'] = self.reqID self.reqUserLogin(req) #---------------------------------------------------------------------- def qryAccount(self): """查询账户""" self.reqID += 1 req = {} req['lRequestID'] = self.reqID req['accountID'] = self.accountID self.reqQryCustomerCapital(req) #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" self.reqID += 1 req = {} req['lRequestID'] = self.reqID req['accountID'] = self.accountID self.reqQryPosition(req) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" self.reqID += 1 self.localID += 1 req = {} req['instrumentID'] = orderReq.symbol req['insertPrice'] = orderReq.price req['orderAmount'] = 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['orderType'] = priceTypeMap[orderReq.priceType] req['buySellType'] = directionMap[orderReq.direction] req['openCloseType'] = offsetMap[orderReq.offset] except KeyError: return '' req['localOrderID'] = self.localID req['accountID'] = self.accountID req['speculator'] = defineDict['DFITC_SPD_SPECULATOR'] # 投机单 req['minMatchAmount'] = 1 # 最小成交量为1 req['lRequestID'] = self.reqID self.reqInsertOrder(req) # 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.localID)]) return vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" self.reqID += 1 req = {} req['instrumentID'] = cancelOrderReq.symbol req['localOrderID'] = int(cancelOrderReq.orderID) req['accountID'] = self.accountID req['lRequestID'] = self.reqID # 添加柜台委托号字段 localID = int(cancelOrderReq.orderID) if localID in self.spdOrderDict: req['spdOrderID'] = self.spdOrderDict[localID] del req['localOrderID'] self.reqCancelOrder(req) #---------------------------------------------------------------------- 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, i): """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) : """登陆回报""" # 如果登录成功，推送日志信息 if error['nErrorID'] == 0: self.sessionID = data['sessionID'] 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) # 查询合约代码 self.reqID += 1 req = {} req['lRequestID'] = self.reqID self.reqQryExchangeInstrument(req) # 否则，推送错误信息 else: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['nErrorID'] err.errorMsg = error['errorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspUserLogout(self, data, error) : """登出回报""" # 如果登出成功，推送日志信息 if error['nErrorID'] == 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['nErrorID'] err.errorMsg = error['errorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspInsertOrder(self, data, error) : """发单错误（柜台）""" if error['nErrorID']: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['nErrorID'] err.errorMsg = error['errorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRspCancelOrder(self, data, error) : """撤单错误（柜台）""" if error['nErrorID']: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['nErrorID'] err.errorMsg = error['errorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRtnErrorMsg(self, error) : """错误回报""" if error['nErrorID']: err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['nErrorID'] err.errorMsg = error['errorMsg'].decode('gbk') self.gateway.onError(err) #---------------------------------------------------------------------- def onRtnMatchedInfo(self, data) : """成交回报""" # 更新成交信息 trade = VtTradeData() trade.gatewayName = self.gatewayName # 保存代码和报单号 trade.symbol = data['instrumentID'] trade.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN) trade.vtSymbol = trade.symbol trade.tradeID = data['matchID'] trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = str(data['localOrderID']) trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) trade.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN) trade.offset = offsetMapReverse.get(data['openCloseType'], OFFSET_UNKNOWN) trade.price = data['insertPrice'] trade.volume = data['matchedAmount'] trade.tradeTime = data['matchedTime'] # 推送 self.gateway.onTrade(trade) # 获取报单数据对象 localID = data['localOrderID'] if localID not in self.orderDict: return order = self.orderDict[localID] order.status = orderStatusMapReverse.get(data['orderStatus'], STATUS_UNKNOWN) order.tradedVolume += trade.volume # 推送 self.gateway.onOrder(copy(order)) #---------------------------------------------------------------------- def onRtnOrder(self, data) : """报单回报""" # 更新最大报单编号 newLocalID = data['localOrderID'] self.localID = max(self.localID, newLocalID) self.spdOrderDict[newLocalID] = data['spdOrderID'] # 获取报单数据对象 if newLocalID in self.orderDict: order = self.orderDict[newLocalID] else: order = VtOrderData() self.orderDict[newLocalID] = order order.gatewayName = self.gatewayName # 保存后续不会变化的数据 order.symbol = data['instrumentID'] order.exchange = exchangeMapReverse[data['exchangeID']] order.vtSymbol = order.symbol order.orderID = str(newLocalID) order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN) order.offset = offsetMapReverse.get(data['openCloseType'], OFFSET_UNKNOWN) # 价格、报单量等数值 order.price = data['insertPrice'] order.totalVolume = data['orderAmount'] order.sessionID = data['sessionID'] order.orderTime = time.strftime('%H:%M:%S') order.status = orderStatusMapReverse.get(data['orderStatus'], STATUS_UNKNOWN) # 推送 self.gateway.onOrder(copy(order)) #---------------------------------------------------------------------- def onRtnCancelOrder(self, data) : """撤单推送""" # 更新最大报单编号 newLocalID = data['localOrderID'] self.localID = max(self.localID, int(newLocalID)) # 获取报单数据对象 if newLocalID in self.orderDict: order = self.orderDict[newLocalID] else: order = VtOrderData() self.orderDict[newLocalID] = order order.gatewayName = self.gatewayName # 保存后续不会变化的数据 order.symbol = data['instrumentID'] order.exchange = exchangeMapReverse[data['exchangeID']] order.vtSymbol = order.symbol order.orderID = str(newLocalID) order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN) order.offset = offsetMapReverse.get(data['openCloseType'], OFFSET_UNKNOWN) # 价格、报单量等数值 order.price = data['insertPrice'] order.totalVolume = data['orderAmount'] order.sessionID = data['sessionID'] order.status = orderStatusMapReverse.get(data['orderStatus'], STATUS_UNKNOWN) order.cancelTime = data['canceledTime'] # 推送 self.gateway.onOrder(copy(order)) #---------------------------------------------------------------------- def onRspQryOrderInfo(self, data, error, last) : """查询委托回报""" if not data['localOrderID']: return # 更新最大报单编号 newLocalID = data['localOrderID'] self.localID = max(self.localID, int(newLocalID)) self.spdOrderDict[newLocalID] = data['spdOrderID'] # 获取报单数据对象 if newLocalID in self.orderDict: order = self.orderDict[newLocalID] else: order = VtOrderData() self.orderDict[newLocalID] = order order.gatewayName = self.gatewayName # 保存后续不会变化的数据 order.symbol = data['instrumentID'] order.exchange = exchangeMapReverse[data['exchangeID']] order.vtSymbol = order.symbol order.orderID = str(newLocalID) order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN) order.offset = offsetMapReverse.get(data['openClose'], OFFSET_UNKNOWN) order.price = data['insertPrice'] order.totalVolume = data['orderAmount'] #order.sessionID = data['sessionID'] order.status = orderStatusMapReverse.get(data['orderStatus'], STATUS_UNKNOWN) order.tradedVolume = data['matchedAmount'] order.orderTime = data['commTime'] # 推送 self.gateway.onOrder(copy(order)) if last: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'查询委托完成' self.gateway.onLog(log) #---------------------------------------------------------------------- def onRspQryMatchInfo(self, data, error, last) : """""" # 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'], EXCHANGE_UNKNOWN) trade.vtSymbol = trade.symbol #'.'.join([trade.symbol, trade.exchange]) trade.tradeID = data['matchedID'] trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = str(data['localOrderID']) trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) # 方向 trade.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN) # 开平 trade.offset = offsetMapReverse.get(data['openClose'], OFFSET_UNKNOWN) # 价格、报单量等数值 trade.price = data['matchedPrice'] trade.volume = data['matchedAmount'] trade.tradeTime = data['matchedTime'] # 推送 self.gateway.onTrade(trade) if last: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'查询成交完成' self.gateway.onLog(log) #---------------------------------------------------------------------- def onRspQryPosition(self, data, error, last) : """持仓查询回报""" # 获取缓存字典中的持仓对象，若无则创建并初始化 positionName = '.'.join([data['instrumentID'], str(data['buySellType'])]) if positionName in self.posDict: pos = self.posDict[positionName] else: pos = VtPositionData() self.posDict[positionName] = pos 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 pos.direction = directionMapReverse.get(data['buySellType'], '') # VT系统持仓名 pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) # 持仓量 if data['positionAmount']: pos.position = data['positionAmount'] if data['lastAmount']: pos.ydPosition = data['lastAmount'] # 持仓均价 pos.price = data['positionAvgPrice'] # 推送 newpos = copy(pos) self.gateway.onPosition(newpos) #---------------------------------------------------------------------- def onRspCustomerCapital(self, data, error, 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['preEquity'] account.available = data['available'] account.commission = data['fee'] account.margin = data['margin'] account.closeProfit = data['closeProfitLoss'] account.positionProfit = data['positionProfitLoss'] account.balance = data['todayEquity'] # 推送 self.gateway.onAccount(account) #---------------------------------------------------------------------- def onRspQryExchangeInstrument(self, data, error, last) : """合约查询回报""" contract = VtContractData() contract.gatewayName = self.gatewayName contract.symbol = data['instrumentID'] contract.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN) contract.vtSymbol = contract.symbol #'.'.join([contract.symbol, contract.exchange]) contract.name = data['VarietyName'].decode('GBK') + contract.symbol # 合约数值 contract.size = data['contractMultiplier'] contract.priceTick = data['minPriceFluctuation'] contract.strikePrice = data['strikePrice'] contract.underlyingSymbol = data['underlying'] # 合约类型 if data['instrumentType'] == 0: contract.productClass = PRODUCT_FUTURES elif data['instrumentType'] == 1: contract.productClass = PRODUCT_OPTION else: contract.productClass = PRODUCT_UNKNOWN # 期权类型 if data['optionType'] == 1: contract.optionType = OPTION_CALL elif data['optionType'] == 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) # 查询委托 self.reqID += 1 req = {} req['lRequestID'] = self.reqID req['accountID'] = self.accountID self.reqQryOrderInfo(req) # 查询成交 self.reqID += 1 req = {} req['lRequestID'] = self.reqID req['accountID'] = self.accountID self.reqQryMatchInfo(req) #---------------------------------------------------------------------- def onRspArbitrageInstrument(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspQrySpecifyInstrument(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspQryPositionDetail(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRtnTradingNotice(self, data) : """""" pass #---------------------------------------------------------------------- def onRspResetPassword(self, data, error) : """""" pass #---------------------------------------------------------------------- def onnRspQryTradeCode(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspBillConfirm(self, data, error) : """""" pass #---------------------------------------------------------------------- def onnRspEquityComputMode(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRspQryBill(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspConfirmProductInfo(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRspTradingDay(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRspQuoteInsert(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRtnQuoteInsert(self, data) : """""" pass #---------------------------------------------------------------------- def onRspQuoteCancel(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRtnQuoteCancel(self, data) : """""" pass #---------------------------------------------------------------------- def onRtnQuoteMatchedInfo(self, data) : """""" pass #---------------------------------------------------------------------- def onRspCancelAllOrder(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRspQryQuoteNotice(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspForQuote(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRtnForQuote(self, data) : """""" pass #---------------------------------------------------------------------- def onRspQryQuoteOrderInfo(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspQryForQuote(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspQryTransferBank(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspQryTransferSerial(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspFromBankToFutureByFuture(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRspFromFutureToBankByFuture(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRtnFromBankToFutureByFuture(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRtnFromFutureToBankByFuture(self, data, error) : """""" pass #---------------------------------------------------------------------- def onRtnRepealFromFutureToBankByBank(self, data) : """""" pass #---------------------------------------------------------------------- def onRspQryExchangeStatus(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRtnExchangeStatus(self, data) : """""" pass #---------------------------------------------------------------------- def onRspQryDepthMarketData(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspQryTradeCode(self, data, error, last) : """""" pass #---------------------------------------------------------------------- def onRspEquityComputMode(self, data) : """""" pass