328 lines
13 KiB
Python
328 lines
13 KiB
Python
# encoding: UTF-8
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import time
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from vnpy.trader.vtConstant import (EMPTY_STRING, EMPTY_UNICODE,
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EMPTY_FLOAT, EMPTY_INT)
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########################################################################
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class VtBaseData(object):
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"""回调函数推送数据的基础类，其他数据类继承于此"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.gatewayName = EMPTY_STRING # Gateway名称
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self.rawData = None # 原始数据
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########################################################################
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class VtTickData(VtBaseData):
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"""Tick行情数据类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(VtTickData, self).__init__()
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# 代码相关
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self.symbol = EMPTY_STRING # 合约代码
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self.exchange = EMPTY_STRING # 交易所代码
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self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
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# 成交数据
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self.lastPrice = EMPTY_FLOAT # 最新成交价
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self.lastVolume = EMPTY_INT # 最新成交量
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self.volume = EMPTY_INT # 今天总成交量
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self.openInterest = EMPTY_INT # 持仓量
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self.time = EMPTY_STRING # 时间 11:20:56.5
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self.date = EMPTY_STRING # 日期 20151009
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self.datetime = None # python的datetime时间对象
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# 常规行情
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self.openPrice = EMPTY_FLOAT # 今日开盘价
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self.highPrice = EMPTY_FLOAT # 今日最高价
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self.lowPrice = EMPTY_FLOAT # 今日最低价
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self.preClosePrice = EMPTY_FLOAT
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self.upperLimit = EMPTY_FLOAT # 涨停价
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self.lowerLimit = EMPTY_FLOAT # 跌停价
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# 五档行情
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self.bidPrice1 = EMPTY_FLOAT
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self.bidPrice2 = EMPTY_FLOAT
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self.bidPrice3 = EMPTY_FLOAT
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self.bidPrice4 = EMPTY_FLOAT
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self.bidPrice5 = EMPTY_FLOAT
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self.askPrice1 = EMPTY_FLOAT
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self.askPrice2 = EMPTY_FLOAT
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self.askPrice3 = EMPTY_FLOAT
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self.askPrice4 = EMPTY_FLOAT
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self.askPrice5 = EMPTY_FLOAT
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self.bidVolume1 = EMPTY_INT
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self.bidVolume2 = EMPTY_INT
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self.bidVolume3 = EMPTY_INT
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self.bidVolume4 = EMPTY_INT
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self.bidVolume5 = EMPTY_INT
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self.askVolume1 = EMPTY_INT
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self.askVolume2 = EMPTY_INT
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self.askVolume3 = EMPTY_INT
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self.askVolume4 = EMPTY_INT
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self.askVolume5 = EMPTY_INT
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########################################################################
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class VtBarData(VtBaseData):
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"""K线数据"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(VtBarData, self).__init__()
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self.vtSymbol = EMPTY_STRING # vt系统代码
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self.symbol = EMPTY_STRING # 代码
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self.exchange = EMPTY_STRING # 交易所
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self.open = EMPTY_FLOAT # OHLC
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self.high = EMPTY_FLOAT
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self.low = EMPTY_FLOAT
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self.close = EMPTY_FLOAT
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self.date = EMPTY_STRING # bar开始的时间，日期
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self.time = EMPTY_STRING # 时间
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self.datetime = None # python的datetime时间对象
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self.volume = EMPTY_INT # 成交量
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self.openInterest = EMPTY_INT # 持仓量
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########################################################################
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class VtTradeData(VtBaseData):
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"""成交数据类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(VtTradeData, self).__init__()
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# 代码编号相关
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self.symbol = EMPTY_STRING # 合约代码
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self.exchange = EMPTY_STRING # 交易所代码
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self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
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self.tradeID = EMPTY_STRING # 成交编号
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self.vtTradeID = EMPTY_STRING # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
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self.orderID = EMPTY_STRING # 订单编号
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self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
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# 成交相关
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self.direction = EMPTY_UNICODE # 成交方向
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self.offset = EMPTY_UNICODE # 成交开平仓
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self.price = EMPTY_FLOAT # 成交价格
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self.volume = EMPTY_INT # 成交数量
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self.tradeTime = EMPTY_STRING # 成交时间
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########################################################################
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class VtOrderData(VtBaseData):
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"""订单数据类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(VtOrderData, self).__init__()
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# 代码编号相关
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self.symbol = EMPTY_STRING # 合约代码
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self.exchange = EMPTY_STRING # 交易所代码
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self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
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self.orderID = EMPTY_STRING # 订单编号
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self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
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# 报单相关
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self.direction = EMPTY_UNICODE # 报单方向
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self.offset = EMPTY_UNICODE # 报单开平仓
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self.price = EMPTY_FLOAT # 报单价格
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self.totalVolume = EMPTY_INT # 报单总数量
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self.tradedVolume = EMPTY_INT # 报单成交数量
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self.status = EMPTY_UNICODE # 报单状态
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self.orderTime = EMPTY_STRING # 发单时间
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self.cancelTime = EMPTY_STRING # 撤单时间
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# CTP/LTS相关
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self.frontID = EMPTY_INT # 前置机编号
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self.sessionID = EMPTY_INT # 连接编号
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########################################################################
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class VtPositionData(VtBaseData):
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"""持仓数据类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(VtPositionData, self).__init__()
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# 代码编号相关
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self.symbol = EMPTY_STRING # 合约代码
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self.exchange = EMPTY_STRING # 交易所代码
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self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，合约代码.交易所代码
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# 持仓相关
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self.direction = EMPTY_STRING # 持仓方向
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self.position = EMPTY_INT # 持仓量
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self.frozen = EMPTY_INT # 冻结数量
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self.price = EMPTY_FLOAT # 持仓均价
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self.vtPositionName = EMPTY_STRING # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
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self.ydPosition = EMPTY_INT # 昨持仓
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self.positionProfit = EMPTY_FLOAT # 持仓盈亏
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########################################################################
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class VtAccountData(VtBaseData):
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"""账户数据类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(VtAccountData, self).__init__()
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# 账号代码相关
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self.accountID = EMPTY_STRING # 账户代码
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self.vtAccountID = EMPTY_STRING # 账户在vt中的唯一代码，通常是 Gateway名.账户代码
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# 数值相关
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self.preBalance = EMPTY_FLOAT # 昨日账户结算净值
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self.balance = EMPTY_FLOAT # 账户净值
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self.available = EMPTY_FLOAT # 可用资金
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self.commission = EMPTY_FLOAT # 今日手续费
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self.margin = EMPTY_FLOAT # 保证金占用
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self.closeProfit = EMPTY_FLOAT # 平仓盈亏
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self.positionProfit = EMPTY_FLOAT # 持仓盈亏
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########################################################################
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class VtErrorData(VtBaseData):
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"""错误数据类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(VtErrorData, self).__init__()
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self.errorID = EMPTY_STRING # 错误代码
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self.errorMsg = EMPTY_UNICODE # 错误信息
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self.additionalInfo = EMPTY_UNICODE # 补充信息
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self.errorTime = time.strftime('%X', time.localtime()) # 错误生成时间
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########################################################################
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class VtLogData(VtBaseData):
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"""日志数据类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(VtLogData, self).__init__()
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self.logTime = time.strftime('%X', time.localtime()) # 日志生成时间
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self.logContent = EMPTY_UNICODE # 日志信息
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########################################################################
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class VtContractData(VtBaseData):
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"""合约详细信息类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(VtContractData, self).__init__()
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self.symbol = EMPTY_STRING # 代码
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self.exchange = EMPTY_STRING # 交易所代码
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self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
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self.name = EMPTY_UNICODE # 合约中文名
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self.productClass = EMPTY_UNICODE # 合约类型
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self.size = EMPTY_INT # 合约大小
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self.priceTick = EMPTY_FLOAT # 合约最小价格TICK
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# 期权相关
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self.strikePrice = EMPTY_FLOAT # 期权行权价
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self.underlyingSymbol = EMPTY_STRING # 标的物合约代码
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self.optionType = EMPTY_UNICODE # 期权类型
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########################################################################
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class VtSubscribeReq(object):
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"""订阅行情时传入的对象类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.symbol = EMPTY_STRING # 代码
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self.exchange = EMPTY_STRING # 交易所
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# 以下为IB相关
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self.productClass = EMPTY_UNICODE # 合约类型
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self.currency = EMPTY_STRING # 合约货币
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self.expiry = EMPTY_STRING # 到期日
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self.strikePrice = EMPTY_FLOAT # 行权价
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self.optionType = EMPTY_UNICODE # 期权类型
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########################################################################
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class VtOrderReq(object):
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"""发单时传入的对象类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.symbol = EMPTY_STRING # 代码
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self.exchange = EMPTY_STRING # 交易所
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self.price = EMPTY_FLOAT # 价格
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self.volume = EMPTY_INT # 数量
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self.priceType = EMPTY_STRING # 价格类型
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self.direction = EMPTY_STRING # 买卖
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self.offset = EMPTY_STRING # 开平
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# 以下为IB相关
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self.productClass = EMPTY_UNICODE # 合约类型
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self.currency = EMPTY_STRING # 合约货币
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self.expiry = EMPTY_STRING # 到期日
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self.strikePrice = EMPTY_FLOAT # 行权价
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self.optionType = EMPTY_UNICODE # 期权类型
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self.lastTradeDateOrContractMonth = EMPTY_STRING # 合约月,IB专用
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self.multiplier = EMPTY_STRING # 乘数,IB专用
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########################################################################
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class VtCancelOrderReq(object):
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"""撤单时传入的对象类"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.symbol = EMPTY_STRING # 代码
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self.exchange = EMPTY_STRING # 交易所
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# 以下字段主要和CTP、LTS类接口相关
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self.orderID = EMPTY_STRING # 报单号
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self.frontID = EMPTY_STRING # 前置机号
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self.sessionID = EMPTY_STRING # 会话号
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