185 lines
6.5 KiB
Python
185 lines
6.5 KiB
Python
# encoding: UTF-8
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'''
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Wind Python API的gateway接入
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'''
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from copy import copy
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try:
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from WindPy import w
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except ImportError:
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print u'请先安装WindPy接口'
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from vtGateway import *
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# 交易所类型映射
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exchangeMap = {}
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exchangeMap[EXCHANGE_SSE] = 'SH'
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exchangeMap[EXCHANGE_SZSE] = 'SZ'
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exchangeMap[EXCHANGE_CFFEX] = 'CFE'
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exchangeMap[EXCHANGE_SHFE] = 'SHF'
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exchangeMap[EXCHANGE_DCE] = 'DCE'
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exchangeMap[EXCHANGE_CZCE] = 'CZC'
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exchangeMap[EXCHANGE_UNKNOWN] = ''
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exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
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########################################################################
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class WindGateway(VtGateway):
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"""Wind接口"""
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# 订阅wsq时传入的字段列表
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wsqParamMap = {}
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wsqParamMap['rt_last'] = 'lastPrice'
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wsqParamMap['rt_last_vol'] = 'volume'
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wsqParamMap['rt_oi'] = 'openInterest'
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wsqParamMap['rt_open'] = 'openPrice'
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wsqParamMap['rt_high'] = 'highPrice'
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wsqParamMap['rt_low'] = 'lowPrice'
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wsqParamMap['rt_pre_close'] = 'preClosePrice'
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wsqParamMap['rt_high_limit'] = 'upperLimit'
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wsqParamMap['rt_low_limit'] = 'lowerLimit'
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wsqParamMap['rt_bid1'] = 'bidPrice1'
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wsqParamMap['rt_bid2'] = 'bidPrice2'
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wsqParamMap['rt_bid3'] = 'bidPrice3'
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wsqParamMap['rt_bid4'] = 'bidPrice4'
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wsqParamMap['rt_bid5'] = 'bidPrice5'
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wsqParamMap['rt_ask1'] = 'askPrice1'
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wsqParamMap['rt_ask2'] = 'askPrice2'
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wsqParamMap['rt_ask3'] = 'askPrice3'
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wsqParamMap['rt_ask4'] = 'askPrice4'
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wsqParamMap['rt_ask5'] = 'askPrice5'
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wsqParamMap['rt_bsize1'] = 'bidVolume1'
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wsqParamMap['rt_bsize2'] = 'bidVolume2'
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wsqParamMap['rt_bsize3'] = 'bidVolume3'
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wsqParamMap['rt_bsize4'] = 'bidVolume4'
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wsqParamMap['rt_bsize5'] = 'bidVolume5'
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wsqParamMap['rt_asize1'] = 'askVolume1'
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wsqParamMap['rt_asize2'] = 'askVolume2'
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wsqParamMap['rt_asize3'] = 'askVolume3'
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wsqParamMap['rt_asize4'] = 'askVolume4'
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wsqParamMap['rt_asize5'] = 'askVolume5'
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wsqParam = ','.join(wsqParamMap.keys())
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='Wind'):
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"""Constructor"""
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super(WindGateway, self).__init__(eventEngine, gatewayName)
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self.w = w # Wind API对象
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self.connected = False # 连接状态
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# Wind的wsq更新采用的是增量更新模式，每次推送只会更新发生变化的字段
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# 而vt中的tick是完整更新，因此需要本地维护一个所有字段的快照
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self.tickDict = {}
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self.registerEvent()
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#----------------------------------------------------------------------
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def connect(self):
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"""连接"""
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# 由于w.start方法会阻塞较长时间
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# 因此设计为异步模式，交给事件处理线程去处理
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# 另外w.start和WingIDE的debug模块有冲突，会导致异常退出
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event = Event(type_=EVENT_WIND_CONNECTREQ)
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self.eventEngine.put(event)
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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windSymbol = '.'.join([subscribeReq.symbol, exchangeMap[subscribeReq.exchange]])
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data = self.w.wsq(windSymbol, self.wsqParam, func=self.wsqCallBack)
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'Wind接口未实现发单功能'
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self.onLog(log)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'Wind接口未实现撤单功能'
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self.onLog(log)
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#----------------------------------------------------------------------
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def getAccount(self):
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"""查询账户资金"""
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'Wind接口未实现查询账户功能'
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self.onLog(log)
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#----------------------------------------------------------------------
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def getPosition(self):
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"""查询持仓"""
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'Wind接口未实现查询持仓功能'
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self.onLog(log)
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#----------------------------------------------------------------------
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def close(self):
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self.w.stop()
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#----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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self.eventEngine.register(EVENT_WIND_CONNECTREQ, self.wConnect)
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#----------------------------------------------------------------------
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def wsqCallBack(self, data):
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"""收到wsq推送"""
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windSymbol = data.Codes[0]
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if windSymbol in self.tickDict:
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tick = self.tickDict[windSymbol]
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else:
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tick = VtTickData()
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tick.gatewayName = self.gatewayName
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symbolSplit = windSymbol.split('.')
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tick.symbol = symbolSplit[0]
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tick.exchange = exchangeMapReverse[symbolSplit[1]]
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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self.tickDict[windSymbol] = tick
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dt = data.Times[0]
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tick.time = dt.strftime('%H:%M:%S')
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tick.date = dt.strftime('%Y%m%d')
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# 采用遍历的形式读取数值
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fields = data.Fields
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values = data.Data
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d = tick.__dict__
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for n, field in enumerate(fields):
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field = field.lower()
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key = self.wsqParamMap[field]
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value = values[n][0]
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d[key] = value
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newtick = copy(tick)
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self.onTick(newtick)
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#----------------------------------------------------------------------
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def wConnect(self, event):
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"""利用事件处理线程去异步连接Wind接口"""
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result = self.w.start()
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log = VtLogData()
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log.gatewayName = self.gatewayName
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if not result.ErrorCode:
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log.logContent = u'Wind接口连接成功'
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else:
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log.logContent = u'Wind接口连接失败，错误代码%d' %result.ErrorCode
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self.onLog(log) |