# encoding: UTF-8 ''' vn.ksotp的gateway接入 ''' import os import json from vnksotpmd import MdApi from vnksotptd import TdApi from ksotpDataType import * from vtGateway import * # 以下为一些VT类型和CTP类型的映射字典 # 价格类型映射 priceTypeMap = {} priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["KS_OTP_OPT_LimitPrice"] priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["KS_OTP_OPT_AnyPrice"] priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = defineDict['KS_OTP_D_Buy'] directionMap[DIRECTION_SHORT] = defineDict['KS_OTP_D_Sell'] directionMapReverse = {v: k for k, v in directionMap.items()} # 开平类型映射 offsetMap = {} offsetMap[OFFSET_OPEN] = defineDict['KS_OTP_OF_Open'] offsetMap[OFFSET_CLOSE] = defineDict['KS_OTP_OF_Close'] offsetMap[OFFSET_CLOSETODAY] = defineDict['KS_OTP_OF_CloseToday'] offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['KS_OTP_OF_CloseYesterday'] offsetMapReverse = {v:k for k,v in offsetMap.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_SSE] = 'SSE' exchangeMap[EXCHANGE_SZSE] = 'SZSE' exchangeMap[EXCHANGE_UNKNOWN] = '' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} # 持仓类型映射 posiDirectionMap = {} posiDirectionMap[DIRECTION_LONG] = defineDict["KSVOC_PD_Buy"] posiDirectionMap[DIRECTION_SHORT] = defineDict["KSVOC_PD_Sell"] posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()} ######################################################################## class KsotpGateway(VtGateway): """金仕达期权接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='KSOTP'): """Constructor""" super(KsotpGateway, self).__init__(eventEngine, gatewayName) self.mdApi = KsotpMdApi(self) # 行情API self.tdApi = KsotpTdApi(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() + '\\ksotpGateway\\' + 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']) password = str(setting['password']) brokerID = str(setting['brokerID']) 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(userID, password, brokerID, mdAddress) self.tdApi.connect(userID, password, brokerID, 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，金仕达接口查询非常慢，因此不适合频繁查询 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 KsotpMdApi(MdApi): """金仕达期权的行情API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(KsotpMdApi, 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.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 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'] # CTP只有一档行情 tick.bidPrice1 = data['BidPrice1'] tick.bidVolume1 = data['BidVolume1'] tick.askPrice1 = data['AskPrice1'] tick.askVolume1 = data['AskVolume1'] self.gateway.onTick(tick) #---------------------------------------------------------------------- def onRspSubForQuoteRsp(self, data, error, n, last): """订阅期权询价""" pass #---------------------------------------------------------------------- def onRspUnSubForQuoteRsp(self, data, error, n, last): """退订期权询价""" pass #---------------------------------------------------------------------- def onRtnForQuoteRsp(self, data): """期权询价推送""" pass #---------------------------------------------------------------------- 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.createOTPMdApi(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""" # 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: req = {} req['InstrumentID'] = subscribeReq.symbol req['ExchangeID'] = subscribeReq.exchange 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 KsotpTdApi(TdApi): """金仕达期权的交易API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """API对象的初始化函数""" super(KsotpTdApi, 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.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) #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.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) ## 确认结算信息 #req = {} #req['BrokerID'] = self.brokerID #req['InvestorID'] = self.userID #self.reqID += 1 #self.reqSettlementInfoConfirm(req, 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.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 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 onRspQueryMaxOrderVolume(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspSettlementInfoConfirm(self, data, error, n, last): #"""确认结算信息回报""" #log = VtLogData() #log.gatewayName = self.gatewayName #log.logContent = u'结算信息确认完成' #self.gateway.onLog(log) ## 查询合约代码 #self.reqID += 1 #self.reqQryInstrument({}, self.reqID) ##---------------------------------------------------------------------- #def onRspRemoveParkedOrder(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspRemoveParkedOrderAction(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspExecOrderInsert(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspExecOrderAction(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspForQuoteInsert(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQuoteInsert(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQuoteAction(self, data, error, n, last): #"""""" #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.vtSymbol = pos.symbol # 这里因为data中没有ExchangeID这个字段 ## 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 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['PreBalance'] - data['PreCredit'] - data['PreMortgage'] + #data['Mortgage'] - data['Withdraw'] + data['Deposit'] + #data['CloseProfit'] + data['PositionProfit'] + data['CashIn'] - #data['Commission']) ## 推送 #self.gateway.onAccount(account) ##---------------------------------------------------------------------- #def onRspQryInvestor(self, data, error, n, last): #"""投资者查询回报""" #pass ##---------------------------------------------------------------------- #def onRspQryTradingCode(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryInstrumentMarginRate(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryInstrumentCommissionRate(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryExchange(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryProduct(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 = contract.symbol #'.'.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['StrikePrice'] #contract.underlyingSymbol = data['UnderlyingInstrID'] ## 合约类型 #if data['ProductClass'] == defineDict["KS_OTP_PC_Futures"]: #contract.productClass = PRODUCT_FUTURES ## 这里把期货和现货的期权统一为期权类型 #elif data['ProductClass'] == defineDict["KS_OTP_PC_ETFOption"]: #contract.productClass = PRODUCT_OPTION #elif data['ProductClass'] == defineDict["KS_OTP_PC_Options"]: #contract.productClass = PRODUCT_OPTION #elif defineDict["KS_OTP_PC_Combination"]: #contract.productClass = PRODUCT_COMBINATION #else: #contract.productClass = PRODUCT_UNKNOWN ## 期权类型 #if data['OptionsType'] == '1': #contract.optionType = OPTION_CALL #elif data['OptionsType'] == '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 onRspQryDepthMarketData(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQrySettlementInfo(self, data, error, n, last): #"""查询结算信息回报""" #pass ##---------------------------------------------------------------------- #def onRspQryTransferBank(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryInvestorPositionDetail(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryNotice(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQrySettlementInfoConfirm(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryInvestorPositionCombineDetail(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryCFMMCTradingAccountKey(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryEWarrantOffset(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryInvestorProductGroupMargin(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryExchangeMarginRate(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryExchangeMarginRateAdjust(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryExchangeRate(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQrySecAgentACIDMap(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryOptionInstrTradeCost(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryOptionInstrCommRate(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryExecOrder(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryForQuote(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryQuote(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryTransferSerial(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryAccountregister(self, data, error, n, last): #"""""" #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 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[data['ExchangeID']] #order.vtSymbol = order.symbol #'.'.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 = 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 ## 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]) ## 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[data['ExchangeID']] #trade.vtSymbol = trade.symbol #'.'.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 = data['Price'] #trade.volume = data['Volume'] #trade.tradeTime = data['TradeTime'] ## 推送 #self.gateway.onTrade(trade) ##---------------------------------------------------------------------- #def onRtnInstrumentStatus(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnTradingNotice(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnErrorConditionalOrder(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnExecOrder(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnExecOrderInsert(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnExecOrderAction(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnForQuoteInsert(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnQuote(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnQuoteInsert(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnQuoteAction(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnForQuoteRsp(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryContractBank(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryParkedOrder(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryParkedOrderAction(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryTradingNotice(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryBrokerTradingParams(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQryBrokerTradingAlgos(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnFromBankToFutureByBank(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnFromFutureToBankByBank(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnRepealFromBankToFutureByBank(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnRepealFromFutureToBankByBank(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnFromBankToFutureByFuture(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnFromFutureToBankByFuture(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnRepealFromBankToFutureByFutureManual(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnRepealFromFutureToBankByFutureManual(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnQueryBankBalanceByFuture(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnBankToFutureByFuture(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnFutureToBankByFuture(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnRepealBankToFutureByFutureManual(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnRepealFutureToBankByFutureManual(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onErrRtnQueryBankBalanceByFuture(self, data, error): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnRepealFromBankToFutureByFuture(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnRepealFromFutureToBankByFuture(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRspFromBankToFutureByFuture(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspFromFutureToBankByFuture(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRspQueryBankAccountMoneyByFuture(self, data, error, n, last): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnOpenAccountByBank(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnCancelAccountByBank(self, data): #"""""" #pass ##---------------------------------------------------------------------- #def onRtnChangeAccountByBank(self, data): #"""""" #pass #---------------------------------------------------------------------- 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.createOTPTraderApi(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 self.reqID += 1 self.reqUserLogin(req, self.reqID) #---------------------------------------------------------------------- def qryAccount(self): """查询账户""" self.reqID += 1 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 sendOrder(self, orderReq): """发单""" self.reqID += 1 self.orderRef += 1 req = {} req['InstrumentID'] = orderReq.symbol req['LimitPrice'] = orderReq.price req['VolumeTotalOriginal'] = 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['OrderPriceType'] = priceTypeMap[orderReq.priceType] req['Direction'] = directionMap[orderReq.direction] req['OffsetFlag'] = offsetMap[orderReq.offset] except KeyError: return '' req['OrderRef'] = str(self.orderRef) req['InvestorID'] = self.userID req['UserID'] = self.userID req['BrokerID'] = self.brokerID req['HedgeFlag'] = defineDict['KS_OTP_HF_Speculation'] # 投机单 req['ContingentCondition'] = defineDict['KS_OTP_CC_Immediately'] # 立即发单 req['ForceCloseReason'] = defineDict['KS_OTP_FCC_NotForceClose'] # 非强平 req['IsAutoSuspend'] = 0 # 非自动挂起 req['TimeCondition'] = defineDict['KS_OTP_TC_GFD'] # 今日有效 req['VolumeCondition'] = defineDict['KS_OTP_VC_AV'] # 任意成交量 req['MinVolume'] = 1 # 最小成交量为1 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['KS_OTP_AF_Delete'] req['BrokerID'] = self.brokerID req['InvestorID'] = self.userID self.reqOrderAction(req, self.reqID) #---------------------------------------------------------------------- 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 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.mdConnected = True log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'交易服务器登录完成' self.gateway.onLog(log) # 确认结算信息 req = {} req['BrokerID'] = self.brokerID req['InvestorID'] = self.userID self.reqID += 1 self.reqSettlementInfoConfirm(req, 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.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 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 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'], EXCHANGE_UNKNOWN) 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 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['PreBalance'] + data['Mortgage'] - data['Withdraw'] + data['Deposit'] + data['CloseProfit'] + data['PositionProfit'] + data['CashIn'] - data['Commission']) # 推送 self.gateway.onAccount(account) #---------------------------------------------------------------------- def onRspQryInvestor(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryTradingCode(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- 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['StrikePrice'] contract.underlyingSymbol = data['UnderlyingInstrID'] # 合约类型 if data['ProductClass'] == defineDict["KS_OTP_PC_Futures"]: contract.productClass = PRODUCT_FUTURES # 这里把期货和现货的期权统一为期权类型 elif data['ProductClass'] == defineDict["KS_OTP_PC_ETFOption"]: contract.productClass = PRODUCT_OPTION elif data['ProductClass'] == defineDict["KS_OTP_PC_Options"]: contract.productClass = PRODUCT_OPTION elif defineDict["KS_OTP_PC_Combination"]: contract.productClass = PRODUCT_COMBINATION else: contract.productClass = PRODUCT_UNKNOWN # 期权类型 if data['OptionsType'] == '1': contract.optionType = OPTION_CALL elif data['OptionsType'] == '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 onRspQryInvestorPositionDetail(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryTradingNotice(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspExecOrderInsert(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspLockInsert(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspExecOrderAction(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryExecOrder(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryExecOrderVolume(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryLock(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryLockPosition(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryUnderlyingStockInfo(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryOTPInsCommRate(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryInstrumentMarginRate(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryOTPAssignment(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryDepthMarketData(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspFromBankToStockByStock(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRtnFromBankToStockByStock(self, data) : """""" pass #---------------------------------------------------------------------- def onRspFromStockToBankByStock(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRtnFromStockToBankByStock(self, data) : """""" pass #---------------------------------------------------------------------- def onRtnQueryBankBalanceByStock(self, data) : """""" pass #---------------------------------------------------------------------- def onRspQryContractBank(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQueryBankAccountMoneyByStock(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryTransferSerial(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQrySettlementInfoConfirm(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspSettlementInfoConfirm(self, data, error, n, last) : """确认结算信息回报""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'结算信息确认完成' self.gateway.onLog(log) # 查询合约代码 self.reqID += 1 self.reqQryInstrument({}, self.reqID) #---------------------------------------------------------------------- def onRspQrySettlementInfo(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryInvestorTradeLevel(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryPurchaseLimitAmt(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryPositionLimitVol(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryHistoryOrder(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryHistoryTrade(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryHistoryAssignment(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryDelivDetail(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspAutoExecOrderAction(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspCombActionInsert(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryInvestorCombinePosition(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryCombActionVolume(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspFundOutCreditApply(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryFundOutCredit(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- def onRspQryFundOutCreditApply(self, data, error, n, last) : """""" pass #---------------------------------------------------------------------- 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[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['OffsetFlag'] == '0': order.offset = OFFSET_OPEN elif data['OffsetFlag'] == '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 = 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 # 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]) # 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[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 = data['Price'] trade.volume = data['Volume'] trade.tradeTime = data['TradeTime'] # 推送 self.gateway.onTrade(trade) #---------------------------------------------------------------------- def onRtnExecOrder(self, data) : """""" pass #---------------------------------------------------------------------- def onRtnLock(self, data) : """""" pass #---------------------------------------------------------------------- def onRtnInstrumentStatus(self, data) : """""" pass #---------------------------------------------------------------------- def onRtnTradingNotice(self, data) : """""" pass #---------------------------------------------------------------------- def onRtnCombAction(self, data) : """""" pass #---------------------------------------------------------------------- def test(): """测试""" from PyQt4 import QtCore import sys def print_log(event): log = event.dict_['data'] print ':'.join([log.logTime, log.logContent]) app = QtCore.QCoreApplication(sys.argv) eventEngine = EventEngine() eventEngine.register(EVENT_LOG, print_log) eventEngine.start() gateway = KsotpGateway(eventEngine) gateway.connect() sys.exit(app.exec_()) if __name__ == '__main__': test()