935 lines
35 KiB
Python
935 lines
35 KiB
Python
# encoding: UTF-8
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'''
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vn.sgit的gateway接入
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飞鼠接口的委托数据更新是分散在多个推送里的：
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1. 下单后，通过onRtnOrder通知是否成功，没有ErrorID说明委托到了交易所
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2. 后续的成交状态，通过onRtnTrade通知，用户自行累加
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3. 撤单的确认，通过onRspOrderAction通知
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为了获取实时的委托状态，需要用户自行把这三个数据合并起来，
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因此在TdApi中维护了一个委托数据的缓存字典，对vn.trader系统中推送的是本地委托号，
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在Gateway中和委托系统号对应起来
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飞鼠的撤单需要使用：交易所代码+交易所的系统委托号，撤单时从缓存中
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获取委托的系统编号
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'''
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import os
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import json
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from vnsgitmd import MdApi
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from vnsgittd import TdApi
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from sgitDataType import *
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from vtGateway import *
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# 以下为一些VT类型和SGIT类型的映射字典
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# 价格类型映射
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priceTypeMap = {}
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priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["Sgit_FTDC_OPT_LimitPrice"]
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priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["Sgit_FTDC_OPT_AnyPrice"]
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priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
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# 方向类型映射
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directionMap = {}
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directionMap[DIRECTION_LONG] = defineDict['Sgit_FTDC_D_Buy']
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directionMap[DIRECTION_SHORT] = defineDict['Sgit_FTDC_D_Sell']
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directionMapReverse = {v: k for k, v in directionMap.items()}
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# 开平类型映射
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offsetMap = {}
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offsetMap[OFFSET_OPEN] = defineDict['Sgit_FTDC_OF_Open']
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offsetMap[OFFSET_CLOSE] = defineDict['Sgit_FTDC_OF_Close']
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offsetMap[OFFSET_CLOSETODAY] = defineDict['Sgit_FTDC_OF_CloseToday']
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offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['Sgit_FTDC_OF_CloseYesterday']
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offsetMapReverse = {v:k for k,v in offsetMap.items()}
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# 交易所类型映射
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exchangeMap = {}
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exchangeMap[EXCHANGE_CFFEX] = defineDict['Sgit_FTDC_EIDT_CFFEX']
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exchangeMap[EXCHANGE_SHFE] = defineDict['Sgit_FTDC_EIDT_SHFE']
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exchangeMap[EXCHANGE_CZCE] = defineDict['Sgit_FTDC_EIDT_CZCE']
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exchangeMap[EXCHANGE_DCE] = defineDict['Sgit_FTDC_EIDT_DCE']
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exchangeMap[EXCHANGE_SGE] = defineDict['Sgit_FTDC_EIDT_GOLD']
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exchangeMap[EXCHANGE_UNKNOWN] = ''
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exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
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# 持仓类型映射
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posiDirectionMap = {}
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posiDirectionMap[DIRECTION_NET] = defineDict["Sgit_FTDC_PD_Net"]
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posiDirectionMap[DIRECTION_LONG] = defineDict["Sgit_FTDC_PD_Long"]
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posiDirectionMap[DIRECTION_SHORT] = defineDict["Sgit_FTDC_PD_Short"]
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posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()}
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# 委托状态类型映射
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orderStatusMap = {}
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orderStatusMap[STATUS_ALLTRADED] = defineDict["Sgit_FTDC_OST_AllTraded"]
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orderStatusMap[STATUS_PARTTRADED] = defineDict["Sgit_FTDC_OST_PartTradedQueueing"]
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orderStatusMap[STATUS_NOTTRADED] = defineDict["Sgit_FTDC_OST_NoTradeQueueing"]
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orderStatusMap[STATUS_CANCELLED] = defineDict["Sgit_FTDC_OST_Canceled"]
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orderStatusMapReverse = {v:k for k,v in orderStatusMap.items()}
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########################################################################
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class SgitGateway(VtGateway):
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"""SGIT接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='SGIT'):
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"""Constructor"""
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super(SgitGateway, self).__init__(eventEngine, gatewayName)
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self.mdApi = SgitMdApi(self) # 行情API
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self.tdApi = SgitTdApi(self) # 交易API
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self.mdConnected = False # 行情API连接状态，登录完成后为True
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self.tdConnected = False # 交易API连接状态
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self.qryEnabled = False # 是否要启动循环查询
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#----------------------------------------------------------------------
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def connect(self):
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"""连接"""
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# 载入json文件
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fileName = self.gatewayName + '_connect.json'
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fileName = os.getcwd() + '/sgitGateway/' + fileName
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try:
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f = file(fileName)
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except IOError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'读取连接配置出错，请检查'
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self.onLog(log)
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return
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# 解析json文件
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setting = json.load(f)
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try:
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userID = str(setting['userID'])
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password = str(setting['password'])
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brokerID = str(setting['brokerID'])
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tdAddress = str(setting['tdAddress'])
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mdAddress = str(setting['mdAddress'])
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'连接配置缺少字段，请检查'
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self.onLog(log)
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return
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# 创建行情和交易接口对象
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self.mdApi.connect(userID, password, brokerID, mdAddress)
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self.tdApi.connect(userID, password, brokerID, tdAddress)
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# 初始化并启动查询
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self.initQuery()
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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self.mdApi.subscribe(subscribeReq)
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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return self.tdApi.sendOrder(orderReq)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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self.tdApi.cancelOrder(cancelOrderReq)
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#----------------------------------------------------------------------
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def qryAccount(self):
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"""查询账户资金"""
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self.tdApi.qryAccount()
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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self.tdApi.qryPosition()
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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if self.mdConnected:
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self.mdApi.close()
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if self.tdConnected:
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self.tdApi.close()
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#----------------------------------------------------------------------
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def initQuery(self):
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"""初始化连续查询"""
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if self.qryEnabled:
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# 需要循环的查询函数列表
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# 飞鼠柜台的资金是主动推送的，因此无需查询
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self.qryFunctionList = [self.qryPosition]
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self.qryCount = 0 # 查询触发倒计时
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self.qryTrigger = 2 # 查询触发点
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self.qryNextFunction = 0 # 上次运行的查询函数索引
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self.startQuery()
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#----------------------------------------------------------------------
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def query(self, event):
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"""注册到事件处理引擎上的查询函数"""
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self.qryCount += 1
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if self.qryCount > self.qryTrigger:
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# 清空倒计时
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self.qryCount = 0
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# 执行查询函数
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function = self.qryFunctionList[self.qryNextFunction]
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function()
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# 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
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self.qryNextFunction += 1
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if self.qryNextFunction == len(self.qryFunctionList):
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self.qryNextFunction = 0
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#----------------------------------------------------------------------
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def startQuery(self):
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"""启动连续查询"""
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self.eventEngine.register(EVENT_TIMER, self.query)
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#----------------------------------------------------------------------
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def setQryEnabled(self, qryEnabled):
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"""设置是否要启动循环查询"""
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self.qryEnabled = qryEnabled
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########################################################################
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class SgitMdApi(MdApi):
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"""SGIT行情API实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(SgitMdApi, self).__init__()
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self.gateway = gateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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self.reqID = EMPTY_INT # 操作请求编号
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self.connectionStatus = False # 连接状态
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self.loginStatus = False # 登录状态
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self.subscribedSymbols = set() # 已订阅合约代码
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self.userID = EMPTY_STRING # 账号
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self.password = EMPTY_STRING # 密码
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self.brokerID = EMPTY_STRING # 经纪商代码
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self.address = EMPTY_STRING # 服务器地址
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#----------------------------------------------------------------------
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def connect(self, userID, password, brokerID, address):
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"""初始化连接"""
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self.userID = userID # 账号
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self.password = password # 密码
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self.brokerID = brokerID # 经纪商代码
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self.address = address # 服务器地址
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# 如果尚未建立服务器连接，则进行连接
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if not self.connectionStatus:
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# 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
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path = os.getcwd() + '/temp/' + self.gatewayName + '/'
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if not os.path.exists(path):
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os.makedirs(path)
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self.createFtdcMdApi(path)
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# 订阅数据流
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self.subscribeMarketTopic(0)
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# 注册服务器地址
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self.registerFront(self.address)
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# 初始化连接，成功会调用onFrontConnected
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self.init(False)
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# 若已经连接但尚未登录，则进行登录
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else:
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if not self.loginStatus:
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self.login()
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅合约"""
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# 这里的设计是，如果尚未登录就调用了订阅方法
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# 则先保存订阅请求，登录完成后会自动订阅
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if self.loginStatus:
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self.subQuot({'ContractID': str(subscribeReq.symbol)})
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self.subscribedSymbols.add(subscribeReq)
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#----------------------------------------------------------------------
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def login(self):
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"""登录"""
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# 如果填入了用户名密码等，则登录
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if self.userID and self.password and self.brokerID:
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req = {}
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req['UserID'] = self.userID
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req['Password'] = self.password
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req['BrokerID'] = self.brokerID
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self.reqID += 1
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self.reqUserLogin(req, self.reqID)
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.exit()
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#----------------------------------------------------------------------
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def onFrontConnected(self):
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"""服务器连接"""
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self.connectionStatus = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'行情服务器连接成功'
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self.gateway.onLog(log)
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self.login()
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#----------------------------------------------------------------------
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def onFrontDisconnected(self, msg):
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"""服务器断开"""
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self.connectionStatus = False
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self.loginStatus = False
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self.gateway.mdConnected = False
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'行情服务器连接断开'
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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def onRspUserLogin(self, data, error, i, last):
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"""登陆回报"""
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# 如果登录成功，推送日志信息
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if error['ErrorID'] == 0:
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self.loginStatus = True
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self.gateway.mdConnected = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'行情服务器登录完成'
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self.gateway.onLog(log)
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# 调用ready
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self.ready()
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# 重新订阅之前订阅的合约
|
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for subscribeReq in self.subscribedSymbols:
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self.subscribe(subscribeReq)
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# 否则，推送错误信息
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else:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = error['ErrorID']
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err.errorMsg = error['ErrorMsg'].decode('gbk')
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self.gateway.onError(err)
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|
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#----------------------------------------------------------------------
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def onRspUserLogout(self, data, error, i, last):
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"""登出回报"""
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# 如果登出成功，推送日志信息
|
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if error['ErrorID'] == 0:
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self.loginStatus = False
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self.gateway.tdConnected = False
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易服务器登出完成'
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self.gateway.onLog(log)
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# 否则，推送错误信息
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else:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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||
err.errorID = error['ErrorID']
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err.errorMsg = error['ErrorMsg'].decode('gbk')
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self.gateway.onError(err)
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|
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#----------------------------------------------------------------------
|
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def onRtnDepthMarketData(self, data):
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"""行情推送"""
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tick = VtTickData()
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tick.gatewayName = self.gatewayName
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tick.symbol = data['InstrumentID']
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tick.exchange = exchangeMapReverse.get(data['ExchangeID'], u'未知')
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tick.vtSymbol = tick.symbol #'.'.join([tick.symbol, EXCHANGE_UNKNOWN])
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tick.lastPrice = data['LastPrice']
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tick.volume = data['Volume']
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||
tick.openInterest = data['OpenInterest']
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||
tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
|
||
tick.date = data['TradingDay']
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|
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tick.openPrice = data['OpenPrice']
|
||
tick.highPrice = data['HighestPrice']
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tick.lowPrice = data['LowestPrice']
|
||
tick.preClosePrice = data['PreClosePrice']
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||
|
||
tick.upperLimit = data['UpperLimitPrice']
|
||
tick.lowerLimit = data['LowerLimitPrice']
|
||
|
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# SGIT只有一档行情
|
||
tick.bidPrice1 = data['BidPrice1']
|
||
tick.bidVolume1 = data['BidVolume1']
|
||
tick.askPrice1 = data['AskPrice1']
|
||
tick.askVolume1 = data['AskVolume1']
|
||
|
||
tick.bidPrice2 = data['BidPrice2']
|
||
tick.bidVolume2 = data['BidVolume2']
|
||
tick.askPrice2 = data['AskPrice2']
|
||
tick.askVolume2 = data['AskVolume2']
|
||
|
||
tick.bidPrice3 = data['BidPrice3']
|
||
tick.bidVolume3 = data['BidVolume3']
|
||
tick.askPrice3 = data['AskPrice3']
|
||
tick.askVolume3 = data['AskVolume3']
|
||
|
||
tick.bidPrice4 = data['BidPrice4']
|
||
tick.bidVolume4 = data['BidVolume4']
|
||
tick.askPrice4 = data['AskPrice4']
|
||
tick.askVolume4 = data['AskVolume4']
|
||
|
||
tick.bidPrice5 = data['BidPrice5']
|
||
tick.bidVolume5 = data['BidVolume5']
|
||
tick.askPrice5 = data['AskPrice5']
|
||
tick.askVolume5 = data['AskVolume5']
|
||
|
||
self.gateway.onTick(tick)
|
||
|
||
|
||
########################################################################
|
||
class SgitTdApi(TdApi):
|
||
"""SGIT交易API实现"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, gateway):
|
||
"""API对象的初始化函数"""
|
||
super(SgitTdApi, 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.investorID = EMPTY_STRING # 投资者代码
|
||
|
||
self.frontID = EMPTY_INT # 前置机编号
|
||
self.sessionID = EMPTY_INT # 会话编号
|
||
|
||
self.localID = 0 # 本地委托代码
|
||
self.orderDict = {} # 缓存委托对象的字典
|
||
self.localSysDict = {} # key为本地委托代码，value为交易所系统代码
|
||
self.cancelReqDict = {} # key为本地委托代码，value为撤单请求
|
||
|
||
#----------------------------------------------------------------------
|
||
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)
|
||
|
||
# 订阅数据流
|
||
self.subscribePrivateTopic(0)
|
||
self.subscribePublicTopic(0)
|
||
|
||
# 注册服务器地址
|
||
self.registerFront(self.address)
|
||
|
||
# 初始化连接，成功会调用onFrontConnected
|
||
self.init(False)
|
||
|
||
# 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.localID += 1
|
||
strID = str(self.localID).rjust(12, '0')
|
||
|
||
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['CombOffsetFlag'] = offsetMap[orderReq.offset]
|
||
except KeyError:
|
||
return ''
|
||
|
||
req['OrderRef'] = strID
|
||
req['InvestorID'] = self.investorID
|
||
req['UserID'] = self.userID
|
||
req['BrokerID'] = self.brokerID
|
||
|
||
req['CombHedgeFlag'] = defineDict['Sgit_FTDC_HF_Speculation'] # 投机单
|
||
req['ContingentCondition'] = defineDict['Sgit_FTDC_CC_Immediately'] # 立即发单
|
||
req['ForceCloseReason'] = defineDict['Sgit_FTDC_FCC_NotForceClose'] # 非强平
|
||
req['IsAutoSuspend'] = 0 # 非自动挂起
|
||
req['TimeCondition'] = defineDict['Sgit_FTDC_TC_GFD'] # 今日有效
|
||
req['VolumeCondition'] = defineDict['Sgit_FTDC_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, strID])
|
||
return vtOrderID
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, cancelOrderReq):
|
||
"""撤单"""
|
||
# 如果OrderSysID的数据尚未返回，则把撤单请求缓存下来后直接返回
|
||
# 若已经返回，则获取strID对应的OrderSysID，并撤单
|
||
strID = cancelOrderReq.orderID
|
||
|
||
if strID not in self.localSysDict:
|
||
self.cancelReqDict[strID] = cancelOrderReq
|
||
return
|
||
|
||
sysID = self.localSysDict[strID]
|
||
|
||
self.reqID += 1
|
||
|
||
req = {}
|
||
req['InstrumentID'] = cancelOrderReq.symbol
|
||
req['ExchangeID'] = exchangeMap[cancelOrderReq.exchange]
|
||
req['OrderSysID'] = sysID
|
||
req['ActionFlag'] = defineDict['Sgit_FTDC_AF_Delete']
|
||
req['BrokerID'] = self.brokerID
|
||
req['InvestorID'] = self.userID
|
||
req['UserID'] = 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, msg):
|
||
"""服务器断开"""
|
||
self.connectionStatus = False
|
||
self.loginStatus = False
|
||
self.gateway.mdConnected = 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.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)
|
||
|
||
# 调用ready
|
||
self.ready()
|
||
|
||
# 查询投资者代码
|
||
self.reqID += 1
|
||
self.reqQryInvestor({}, 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 onRspOrderInsert(self, data, error, n, last):
|
||
"""发单错误（柜台）"""
|
||
if error['ErrorID'] != 0:
|
||
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）"""
|
||
# 获取委托对象
|
||
sysID = data['OrderSysID']
|
||
strID = data['OrderRef']
|
||
|
||
if sysID in self.orderDict:
|
||
order = self.orderDict[sysID]
|
||
else:
|
||
self.localSysDict[strID] = sysID
|
||
|
||
order = VtOrderData()
|
||
self.orderDict[sysID] = order
|
||
|
||
order.gatewayName = self.gatewayName
|
||
order.orderID = strID
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
# 推送错误信息
|
||
if error['ErrorID'] != 0:
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['ErrorID']
|
||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
else:
|
||
order.status = STATUS_CANCELLED
|
||
|
||
self.gateway.onOrder(order)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryOrder(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
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):
|
||
""""""
|
||
self.investorID = data['InvestorID']
|
||
|
||
if last:
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'投资者编码获取完成'
|
||
self.gateway.onLog(log)
|
||
|
||
# 查询合约
|
||
self.reqID += 1
|
||
self.reqQryInstrument({}, self.reqID)
|
||
|
||
#----------------------------------------------------------------------
|
||
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']
|
||
|
||
# 合约类型
|
||
if contract.exchange == EXCHANGE_SGE:
|
||
if '(' in contract.symbol:
|
||
contract.productClass = PRODUCT_DEFER
|
||
else:
|
||
contract.productClass = PRODUCT_SPOT
|
||
else:
|
||
contract.productClass = PRODUCT_FUTURES
|
||
|
||
# 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 onRtnOrder(self, data, error):
|
||
"""报单回报"""
|
||
# 获取委托对象
|
||
sysID = data['OrderSysID']
|
||
strID = data['OrderRef']
|
||
|
||
newID = int(strID)
|
||
if newID > self.localID:
|
||
self.localID = newID
|
||
|
||
if sysID in self.orderDict:
|
||
order = self.orderDict[sysID]
|
||
else:
|
||
self.localSysDict[strID] = sysID
|
||
|
||
order = VtOrderData()
|
||
self.orderDict[sysID] = order
|
||
|
||
order.gatewayName = self.gatewayName
|
||
order.orderID = strID
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
order.symbol = data['InstrumentID']
|
||
order.exchange = exchangeMapReverse[data['ExchangeID']]
|
||
order.vtSymbol = order.symbol
|
||
order.direction = directionMapReverse.get(data['Direction'], DIRECTION_UNKNOWN)
|
||
order.offset = offsetMapReverse.get(data['CombOffsetFlag'], OFFSET_UNKNOWN)
|
||
order.totalVolume = data['VolumeTotalOriginal']
|
||
order.price = data['LimitPrice']
|
||
|
||
# 推送错误信息
|
||
if error['ErrorID'] == 0:
|
||
# 如果没有错误信息，则认为委托有效未成交
|
||
if not order.status:
|
||
order.status = STATUS_NOTTRADED
|
||
else:
|
||
# 如果有错误信息，委托被自动撤单
|
||
order.status = STATUS_CANCELLED
|
||
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['ErrorID']
|
||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
# 推送
|
||
self.gateway.onOrder(order)
|
||
|
||
# 检查是否有待撤单请求
|
||
if strID in self.cancelReqDict:
|
||
req = self.cancelReqDict.pop(strID)
|
||
self.cancelOrder(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnTrade(self, data):
|
||
"""成交回报"""
|
||
# 更新委托
|
||
sysID = data['OrderSysID']
|
||
strID = data['OrderRef']
|
||
|
||
if sysID in self.orderDict:
|
||
order = self.orderDict[sysID]
|
||
else:
|
||
self.localSysDict[strID] = sysID
|
||
|
||
order = VtOrderData()
|
||
self.orderDict[sysID] = order
|
||
|
||
order.gatewayName = self.gatewayName
|
||
order.orderID = strID
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
order.tradedVolume += data['Volume']
|
||
|
||
if order.tradedVolume == order.totalVolume:
|
||
order.status = STATUS_ALLTRADED
|
||
else:
|
||
order.status = STATUS_PARTTRADED
|
||
|
||
# 更新成交
|
||
trade = VtTradeData()
|
||
trade.gatewayName = self.gatewayName
|
||
|
||
trade.symbol = data['InstrumentID']
|
||
trade.exchange = exchangeMapReverse[data['ExchangeID']]
|
||
trade.vtSymbol = trade.symbol
|
||
|
||
trade.tradeID = data['TradeID']
|
||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||
|
||
trade.orderID = order.orderID
|
||
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)
|
||
self.gateway.onOrder(order)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnInstrumentStatus(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInvestorPositionDetail(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInvestorPosition(self, data, error, n, last):
|
||
"""持仓查询回报"""
|
||
# 过滤空数据的情况
|
||
if not data['InstrumentID']:
|
||
return
|
||
|
||
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['TodayPosition']
|
||
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 print_dict(d):
|
||
""""""
|
||
l = d.keys()
|
||
l.sort()
|
||
for k in l:
|
||
print k, ':', d[k]
|
||
|