# encoding: UTF-8 ''' vn.ctp的gateway接入 考虑到现阶段大部分CTP中的ExchangeID字段返回的都是空值 vtSymbol直接使用symbol ''' import os import json from copy import copy from vnctpmd import MdApi from vnctptd import TdApi from ctpDataType import * from vtGateway import * import logging # 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["THOST_FTDC_OPT_LimitPrice"] priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["THOST_FTDC_OPT_AnyPrice"] priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = defineDict['THOST_FTDC_D_Buy'] directionMap[DIRECTION_SHORT] = defineDict['THOST_FTDC_D_Sell'] directionMapReverse = {v: k for k, v in directionMap.items()} # 开平类型映射 offsetMap = {} offsetMap[OFFSET_OPEN] = defineDict['THOST_FTDC_OF_Open'] offsetMap[OFFSET_CLOSE] = defineDict['THOST_FTDC_OF_Close'] offsetMap[OFFSET_CLOSETODAY] = defineDict['THOST_FTDC_OF_CloseToday'] offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['THOST_FTDC_OF_CloseYesterday'] offsetMapReverse = {v:k for k,v in offsetMap.items()} # 交易所类型映射 exchangeMap = {} #exchangeMap[EXCHANGE_CFFEX] = defineDict['THOST_FTDC_EIDT_CFFEX'] #exchangeMap[EXCHANGE_SHFE] = defineDict['THOST_FTDC_EIDT_SHFE'] #exchangeMap[EXCHANGE_CZCE] = defineDict['THOST_FTDC_EIDT_CZCE'] #exchangeMap[EXCHANGE_DCE] = defineDict['THOST_FTDC_EIDT_DCE'] exchangeMap[EXCHANGE_CFFEX] = 'CFFEX' exchangeMap[EXCHANGE_SHFE] = 'SHFE' exchangeMap[EXCHANGE_CZCE] = 'CZCE' exchangeMap[EXCHANGE_DCE] = 'DCE' exchangeMap[EXCHANGE_SSE] = 'SSE' exchangeMap[EXCHANGE_UNKNOWN] = '' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} # 持仓类型映射 posiDirectionMap = {} posiDirectionMap[DIRECTION_NET] = defineDict["THOST_FTDC_PD_Net"] posiDirectionMap[DIRECTION_LONG] = defineDict["THOST_FTDC_PD_Long"] posiDirectionMap[DIRECTION_SHORT] = defineDict["THOST_FTDC_PD_Short"] posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()} ######################################################################## class CtpGateway(VtGateway): """CTP接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='CTP'): """Constructor""" super(CtpGateway, self).__init__(eventEngine, gatewayName) self.mdApi = CtpMdApi(self) # 行情API self.tdApi = CtpTdApi(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() + '/ctpGateway/' + 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 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 CtpMdApi(MdApi): """CTP行情API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(CtpMdApi, 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 onHeartBeatWarning(self, n): """心跳报警""" # 因为API的心跳报警比较常被触发，且与API工作关系不大，因此选择忽略 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 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 = 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'] # 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.createFtdcMdApi(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: self.subscribeMarketData(str(subscribeReq.symbol)) 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 CtpTdApi(TdApi): """CTP交易API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """API对象的初始化函数""" super(CtpTdApi, 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 self.posBufferDict = {} # 缓存持仓数据的字典 self.symbolExchangeDict = {} # 保存合约代码和交易所的印射关系 self.symbolSizeDict = {} # 保存合约代码和合约大小的印射关系 #---------------------------------------------------------------------- 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 onHeartBeatWarning(self, n): """""" pass #---------------------------------------------------------------------- def onRspAuthenticate(self, data, error, n, last): """""" pass #---------------------------------------------------------------------- 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.tdConnected = 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.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'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）""" try: orderRef = data['OrderRef'] except KeyError: orderRef = u'KEYERROR' try: # 方向 if data['Direction'] == '0': direction = DIRECTION_LONG elif data['Direction'] == '1': direction = DIRECTION_SHORT else: direction = DIRECTION_UNKNOWN # 开平 if data['CombOffsetFlag'] == '0': offset = OFFSET_OPEN elif data['CombOffsetFlag'] == '1': offset = OFFSET_CLOSE elif data['CombOffsetFlag'] == '2': offset = OFFSET_FORCECLOSE elif data['CombOffsetFlag'] == '3': offset = OFFSET_CLOSETODAY elif data['CombOffsetFlag'] == '4': offset = OFFSET_CLOSEYESTERDAY else: offset = OFFSET_UNKNOWN except KeyError: direction = u'KEYERROR' offset = u'KEYERROR' try: symbol = data['InstrumentID'] except KeyError: symbol = u'KEYERROR' logging.info(u'onRspOrderInsert,RequestID:{0},orderRef:{1},Direction:{2},OffSet:{3}' .format(n, orderRef, direction, offset)) err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') err.additionalInfo = u'onRspOrderInsert():{0},{1},{2},{3}'.format(symbol, orderRef, direction , offset) self.gateway.onError(err) #---------------------------------------------------------------------- def onRspParkedOrderInsert(self, data, error, n, last): """""" pass #---------------------------------------------------------------------- def onRspParkedOrderAction(self, data, error, n, last): """""" pass #---------------------------------------------------------------------- def onRspOrderAction(self, data, error, n, last): """撤单错误（柜台）""" try: symbol = data['InstrumentID'] except KeyError: symbol = u'KEYERROR' err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') err.additionalInfo = u'onRspOrderAction,{0}'.format(symbol) 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""" # 获取缓存字典中的持仓缓存，若无则创建并初始化 positionName = '.'.join([data['InstrumentID'], data['PosiDirection']]) if positionName in self.posBufferDict: posBuffer = self.posBufferDict[positionName] else: posBuffer = PositionBuffer(data, self.gatewayName) self.posBufferDict[positionName] = posBuffer # 更新持仓缓存，并获取VT系统中持仓对象的返回值 exchange = self.symbolExchangeDict.get(data['InstrumentID'], EXCHANGE_UNKNOWN) size = self.symbolSizeDict.get(data['InstrumentID'], 1) if exchange == EXCHANGE_SHFE: pos = posBuffer.updateShfeBuffer(data, size) else: pos = posBuffer.updateBuffer(data, size) 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'] == '1': contract.productClass = PRODUCT_FUTURES elif data['ProductClass'] == '2': contract.productClass = PRODUCT_OPTION elif data['ProductClass'] == '3': 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 # 缓存代码和交易所的印射关系 self.symbolExchangeDict[contract.symbol] = contract.exchange self.symbolSizeDict[contract.symbol] = contract.size # 推送 self.gateway.onContract(contract) if last: #print self.symbolSizeDict 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 = u'onRspError' + 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 elif data['CombOffsetFlag'] == '2': order.offset = OFFSET_FORCECLOSE elif data['CombOffsetFlag'] == '3': order.offset = OFFSET_CLOSETODAY elif data['CombOffsetFlag'] == '4': order.offset = OFFSET_CLOSEYESTERDAY 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.updateTime = data['UpdateTime'] 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 onErrRtnOrderInsert(self, data, error): """发单错误回报（交易所）""" symbol = data['InstrumentID'] volume = data['VolumeTotalOriginal'] orderRef = data['OrderRef'] err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') err.additionalInfo = u'onErrRtnOrderInsert.{0},v:{1},ref:{2}:'.format(symbol, volume,orderRef) self.gateway.onError(err) #---------------------------------------------------------------------- def onErrRtnOrderAction(self, data, error): """撤单错误回报（交易所）""" symbol = data['InstrumentID'] err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = error['ErrorID'] err.errorMsg = error['ErrorMsg'].decode('gbk') err.additionalInfo =u'onErrRtnOrderAction.{0}'.format(symbol) self.gateway.onError(err) #---------------------------------------------------------------------- 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.createFtdcTraderApi(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 self.reqQryTradingAccount({}, 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 req['OrderPriceType'] = priceTypeMap.get(orderReq.priceType, '') req['Direction'] = directionMap.get(orderReq.direction, '') req['CombOffsetFlag'] = offsetMap.get(orderReq.offset, '') req['OrderRef'] = str(self.orderRef) req['InvestorID'] = self.userID req['UserID'] = self.userID req['BrokerID'] = self.brokerID req['CombHedgeFlag'] = defineDict['THOST_FTDC_HF_Speculation'] # 投机单 req['ContingentCondition'] = defineDict['THOST_FTDC_CC_Immediately'] # 立即发单 req['ForceCloseReason'] = defineDict['THOST_FTDC_FCC_NotForceClose'] # 非强平 req['IsAutoSuspend'] = 0 # 非自动挂起 req['TimeCondition'] = defineDict['THOST_FTDC_TC_GFD'] # 今日有效 req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV'] # 任意成交量 req['MinVolume'] = 1 # 最小成交量为1 # 判断FAK和FOK if orderReq.priceType == PRICETYPE_FAK: req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"] req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC'] req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV'] if orderReq.priceType == PRICETYPE_FOK: req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"] req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC'] req['VolumeCondition'] = defineDict['THOST_FTDC_VC_CV'] 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['THOST_FTDC_AF_Delete'] req['BrokerID'] = self.brokerID req['InvestorID'] = self.userID self.reqOrderAction(req, self.reqID) #---------------------------------------------------------------------- def close(self): """关闭""" self.exit() ######################################################################## class PositionBuffer(object): """用来缓存持仓的数据，处理上期所的数据返回分今昨的问题""" #---------------------------------------------------------------------- def __init__(self, data, gatewayName): """Constructor""" self.symbol = data['InstrumentID'] self.direction = posiDirectionMapReverse.get(data['PosiDirection'], '') self.todayPosition = EMPTY_INT self.ydPosition = EMPTY_INT self.todayPositionCost = EMPTY_FLOAT self.ydPositionCost = EMPTY_FLOAT # 通过提前创建持仓数据对象并重复使用的方式来降低开销 pos = VtPositionData() pos.symbol = self.symbol pos.vtSymbol = self.symbol pos.gatewayName = gatewayName pos.direction = self.direction pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) self.pos = pos #---------------------------------------------------------------------- def updateShfeBuffer(self, data, size): """更新上期所缓存，返回更新后的持仓数据""" # 昨仓和今仓的数据更新是分在两条记录里的，因此需要判断检查该条记录对应仓位 # 因为今仓字段TodayPosition可能变为0（被全部平仓），因此分辨今昨仓需要用YdPosition字段 if data['YdPosition']: self.ydPosition = data['Position'] self.ydPositionCost = data['PositionCost'] else: self.todayPosition = data['Position'] self.todayPositionCost = data['PositionCost'] # 持仓的昨仓和今仓相加后为总持仓 self.pos.position = self.todayPosition + self.ydPosition self.pos.ydPosition = self.ydPosition # 如果手头还有持仓，则通过加权平均方式计算持仓均价 if self.todayPosition or self.ydPosition: self.pos.price = ((self.todayPositionCost + self.ydPositionCost)/ ((self.todayPosition + self.ydPosition) * size)) # 否则价格为0 else: self.pos.price = 0 return copy(self.pos) #---------------------------------------------------------------------- def updateBuffer(self, data, size): """更新其他交易所的缓存，返回更新后的持仓数据""" # 其他交易所并不区分今昨，因此只关心总仓位，昨仓设为0 self.pos.position = data['Position'] self.pos.ydPosition = 0 if data['Position'] != 0 and size!=0: self.pos.price = data['PositionCost'] / (data['Position'] * size) else: self.pos.price = 0 return copy(self.pos) #---------------------------------------------------------------------- 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 = CtpGateway(eventEngine) gateway.connect() sys.exit(app.exec_()) if __name__ == '__main__': test()