vnpy/vn.trader/vtGateway.py

# encoding: UTF-8

import time

from eventEngine import *

# 默认空值
EMPTY_STRING = ''
EMPTY_UNICODE = u''
EMPTY_INT = 0
EMPTY_FLOAT = 0.0

# 方向常量
DIRECTION_NONE = u'无方向'
DIRECTION_LONG = u'多'
DIRECTION_SHORT = u'空'
DIRECTION_UNKNOWN = u'未知'
DIRECTION_NET = u'净'

# 开平常量
OFFSET_NONE = u'无开平'
OFFSET_OPEN = u'开仓'
OFFSET_CLOSE = u'平仓'
OFFSET_CLOSETODAY = u'平今'
OFFSET_CLOSESYESTERDAY = u'平昨'
OFFSET_UNKNOWN = u'未知'

# 状态常量
STATUS_NOTTRADED = u'未成交'
STATUS_PARTTRADED = u'部分成交'
STATUS_ALLTRADED = u'全部成交'
STATUS_CANCELLED = u'已撤销'
STATUS_UNKNOWN = u'未知'

# 合约类型常量
PRODUCT_EQUITY = u'股票'
PRODUCT_FUTURES = u'期货'
PRODUCT_OPTION = u'期权'
PRODUCT_INDEX = u'指数'
PRODUCT_COMBINATION = u'组合'

# 价格类型常量
PRICETYPE_LIMITPRICE = u'限价'
PRICETYPE_MARKETPRICE = u'市价'

# 期权类型
OPTION_CALL = u'看涨期权'
OPTION_PUT = u'看跌期权'


########################################################################
class VtGateway(object):
    """交易接口"""

    #----------------------------------------------------------------------
    def __init__(self, eventEngine, gatewayName):
        """Constructor"""
        self.eventEngine = eventEngine
        self.gatewayName = gatewayName
        
    #----------------------------------------------------------------------
    def onTick(self, tick):
        """市场行情推送"""
        # 通用事件
        event1 = Event(type_=EVENT_TICK)
        event1.dict_['data'] = tick
        self.eventEngine.put(event1)
        
        # 特定合约代码的事件
        event2 = Event(type_=EVENT_TICK+tick.vtSymbol)
        event2.dict_['data'] = tick
        self.eventEngine.put(event2)
    
    #----------------------------------------------------------------------
    def onTrade(self, trade):
        """成交信息推送"""
        # 因为成交通常都是事后才会知道成交编号，因此只需要推送通用事件
        event1 = Event(type_=EVENT_TRADE)
        event1.dict_['data'] = trade
        self.eventEngine.put(event1)
    
    #----------------------------------------------------------------------
    def onOrder(self, order):
        """订单变化推送"""
        # 通用事件
        event1 = Event(type_=EVENT_ORDER)
        event1.dict_['data'] = order
        self.eventEngine.put(event1)
        
        # 特定订单编号的事件
        event2 = Event(type_=EVENT_ORDER+order.vtOrderID)
        event2.dict_['data'] = order
        self.eventEngine.put(event2)
    
    #----------------------------------------------------------------------
    def onPosition(self, position):
        """持仓信息推送"""
        # 通用事件
        event1 = Event(type_=EVENT_POSITION)
        event1.dict_['data'] = position
        self.eventEngine.put(event1)
        
        # 特定合约代码的事件
        event2 = Event(type_=EVENT_POSITION+position.vtPositionName)
        event2.dict_['data'] = position
        self.eventEngine.put(event2)
    
    #----------------------------------------------------------------------
    def onAccount(self, account):
        """账户信息推送"""
        # 通用事件
        event1 = Event(type_=EVENT_ACCOUNT)
        event1.dict_['data'] = account
        self.eventEngine.put(event1)
        
        # 特定合约代码的事件
        event2 = Event(type_=EVENT_ACCOUNT+account.vtAccountID)
        event2.dict_['data'] = account
        self.eventEngine.put(event2)
    
    #----------------------------------------------------------------------
    def onError(self, error):
        """错误信息推送"""
        # 通用事件
        event1 = Event(type_=EVENT_ERROR)
        event1.dict_['data'] = error
        self.eventEngine.put(event1)    
        
    #----------------------------------------------------------------------
    def onLog(self, log):
        """日志推送"""
        # 通用事件
        event1 = Event(type_=EVENT_LOG)
        event1.dict_['data'] = log
        self.eventEngine.put(event1)
        
    #----------------------------------------------------------------------
    def onContract(self, contract):
        """合约基础信息推送"""
        # 通用事件
        event1 = Event(type_=EVENT_CONTRACT)
        event1.dict_['data'] = contract
        self.eventEngine.put(event1)        
    
    #----------------------------------------------------------------------
    def connect(self):
        """连接"""
        pass
    
    #----------------------------------------------------------------------
    def subscribe(self, subscribeReq):
        """订阅行情"""
        pass
    
    #----------------------------------------------------------------------
    def sendOrder(self, orderReq):
        """发单"""
        pass
    
    #----------------------------------------------------------------------
    def cancelOrder(self, cancelOrderReq):
        """撤单"""
        pass
    
    #----------------------------------------------------------------------
    def getAccount(self):
        """查询账户资金"""
        pass
    
    #----------------------------------------------------------------------
    def getPosition(self):
        """查询持仓"""
        pass
    
    #----------------------------------------------------------------------
    def close(self):
        """关闭"""
        pass


########################################################################
class VtBaseData(object):
    """回调函数推送数据的基础类，其他数据类继承于此"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.gatewayName = EMPTY_STRING         # Gateway名称        
        self.rawData = None                     # 原始数据
        
        
########################################################################
class VtTickData(VtBaseData):
    """Tick行情数据类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtTickData, self).__init__()
        
        # 代码相关
        self.symbol = EMPTY_STRING              # 合约代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
        
        # 成交数据
        self.lastPrice = EMPTY_FLOAT            # 最新成交价
        self.volume = EMPTY_INT                 # 最新成交量
        self.openInterest = EMPTY_INT           # 持仓量
        self.tickTime = EMPTY_STRING            # 更新时间
        
        # 常规行情
        self.openPrice = EMPTY_FLOAT            # 今日开盘价
        self.highPrice = EMPTY_FLOAT            # 今日最高价
        self.lowPrice = EMPTY_FLOAT             # 今日最低价
        
        # 五档行情
        self.bidPrice1 = EMPTY_FLOAT
        self.bidPrice2 = EMPTY_FLOAT
        self.bidPrice3 = EMPTY_FLOAT
        self.bidPrice4 = EMPTY_FLOAT
        self.bidPrice5 = EMPTY_FLOAT
        
        self.askPrice1 = EMPTY_FLOAT
        self.askPrice2 = EMPTY_FLOAT
        self.askPrice3 = EMPTY_FLOAT
        self.askPrice4 = EMPTY_FLOAT
        self.askPrice5 = EMPTY_FLOAT        
        
        self.bidVolume1 = EMPTY_INT
        self.bidVolume2 = EMPTY_INT
        self.bidVolume3 = EMPTY_INT
        self.bidVolume4 = EMPTY_INT
        self.bidVolume5 = EMPTY_INT
        
        self.askVolume1 = EMPTY_INT
        self.askVolume2 = EMPTY_INT
        self.askVolume3 = EMPTY_INT
        self.askVolume4 = EMPTY_INT
        self.askVolume5 = EMPTY_INT         
    
    
########################################################################
class VtTradeData(VtBaseData):
    """成交数据类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtTradeData, self).__init__()
        
        # 代码编号相关
        self.symbol = EMPTY_STRING              # 合约代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
        
        self.tradeID = EMPTY_STRING             # 成交编号
        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
        
        self.orderID = EMPTY_STRING             # 订单编号
        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
        
        # 成交相关
        self.direction = EMPTY_UNICODE          # 成交方向
        self.offset = EMPTY_UNICODE             # 成交开平仓
        self.price = EMPTY_FLOAT                # 成交价格
        self.volume = EMPTY_INT                 # 成交数量
        self.tradeTime = EMPTY_STRING           # 成交时间
   

########################################################################
class VtOrderData(VtBaseData):
    """订单数据类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtOrderData, self).__init__()
        
        # 代码编号相关
        self.symbol = EMPTY_STRING              # 合约代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
        
        self.orderID = EMPTY_STRING             # 订单编号
        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
        
        # 报单相关
        self.direction = EMPTY_UNICODE          # 报单方向
        self.offset = EMPTY_UNICODE             # 报单开平仓
        self.price = EMPTY_FLOAT                # 报单价格
        self.totalVolume = EMPTY_INT            # 报单总数量
        self.tradedVolume = EMPTY_INT           # 报单成交数量
        self.status = EMPTY_UNICODE             # 报单状态
        
        self.orderTime = EMPTY_STRING           # 发单时间
        self.cancelTime = EMPTY_STRING          # 撤单时间
        
        # CTP/LTS相关
        self.frontID = EMPTY_INT                # 前置机编号
        self.sessionID = EMPTY_INT              # 连接编号

    
########################################################################
class VtPositionData(VtBaseData):
    """持仓数据类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtPositionData, self).__init__()
        
        # 代码编号相关
        self.symbol = EMPTY_STRING              # 合约代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码     
        
        # 持仓相关
        self.direction = EMPTY_STRING           # 持仓方向
        self.position = EMPTY_INT               # 持仓量
        self.frozen = EMPTY_INT                 # 冻结数量
        self.price = EMPTY_FLOAT                # 持仓均价
        self.vtPositionName = EMPTY_STRING      # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向


########################################################################
class VtAccountData(VtBaseData):
    """账户数据类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtAccountData, self).__init__()
        
        # 账号代码相关
        self.accountID = EMPTY_STRING           # 账户代码
        self.vtAccountID = EMPTY_STRING         # 账户在vt中的唯一代码，通常是 Gateway名.账户代码
        
        # 数值相关
        self.preBalance = EMPTY_FLOAT           # 昨日账户结算净值
        self.balance = EMPTY_FLOAT              # 账户净值
        self.available = EMPTY_FLOAT            # 可用资金
        self.commission = EMPTY_FLOAT           # 今日手续费
        self.margin = EMPTY_FLOAT               # 保证金占用
        self.closeProfit = EMPTY_FLOAT          # 平仓盈亏
        self.positionProfit = EMPTY_FLOAT       # 持仓盈亏
        

########################################################################
class VtErrorData(VtBaseData):
    """错误数据类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtErrorData, self).__init__()
        
        self.errorID = EMPTY_STRING             # 错误代码
        self.errorMsg = EMPTY_UNICODE           # 错误信息


########################################################################
class VtLogData(VtBaseData):
    """日志数据类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtLogData, self).__init__()
        
        self.logTime = time.strftime('%X', time.localtime())    # 日志生成时间
        self.logContent = EMPTY_UNICODE                         # 日志信息


########################################################################
class VtContractData(VtBaseData):
    """合约详细信息类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtBaseData, self).__init__()
        
        self.symbol = EMPTY_STRING              # 代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码 
        self.name = EMPTY_UNICODE               # 合约中文名
        
        self.productClass = EMPTY_UNICODE       # 合约类型
        self.size = EMPTY_INT                   # 合约大小
        self.priceTick = EMPTY_FLOAT            # 合约最小价格TICK
        
        # 期权相关
        self.strikePrice = EMPTY_FLOAT          # 期权行权价
        self.underlyingSymbol = EMPTY_STRING    # 标的物合约代码
        self.optionType = EMPTY_UNICODE         # 期权类型


########################################################################
class VtSubscribeReq:
    """订阅行情时传入的对象类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.symbol = EMPTY_STRING              # 代码
        self.exchange = EMPTY_STRING            # 交易所


########################################################################
class VtOrderReq:
    """发单时传入的对象类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.symbol = EMPTY_STRING
        self.price = EMPTY_FLOAT
        self.volume = EMPTY_INT
        
        self.priceType = EMPTY_STRING
        self.direction = EMPTY_STRING
        self.offset = EMPTY_STRING
        

########################################################################
class VtCancelOrderReq:
    """撤单时传入的对象类"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.symbol = EMPTY_STRING
        self.exchange = EMPTY_STRING
        
        # 以下字段主要和CTP、LTS类接口相关
        self.orderRef = EMPTY_STRING
        self.frontID = EMPTY_STRING
        self.sessionID = EMPTY_STRING