1116 lines
40 KiB
Python
1116 lines
40 KiB
Python
# encoding: UTF-8
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'''
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vn.xspeed的gateway接入
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'''
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import os
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import json
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from copy import copy
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from vnxspeedmd import MdApi
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from vnxspeedtd import TdApi
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from xspeedDataType import *
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from vtGateway import *
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# 以下为一些VT类型和XSPEED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["DFITC_LIMITORDER"]
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priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["DFITC_MKORDER"]
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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['DFITC_SPD_BUY']
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directionMap[DIRECTION_SHORT] = defineDict['DFITC_SPD_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['DFITC_SPD_OPEN']
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offsetMap[OFFSET_CLOSE] = defineDict['DFITC_SPD_CLOSE']
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offsetMap[OFFSET_CLOSETODAY] = defineDict['DFITC_SPD_CLOSETODAY']
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offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['DFITC_SPD_CLOSE']
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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['DFITC_EXCHANGE_CFFEX']
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exchangeMap[EXCHANGE_SHFE] = defineDict['DFITC_EXCHANGE_SHFE']
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exchangeMap[EXCHANGE_CZCE] = defineDict['DFITC_EXCHANGE_CZCE']
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exchangeMap[EXCHANGE_DCE] = defineDict['DFITC_EXCHANGE_DCE']
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exchangeMap[EXCHANGE_UNKNOWN] = ''
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exchangeMapReverse = {v:k for k,v in exchangeMap.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["DFITC_SPD_FILLED"]
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orderStatusMap[STATUS_PARTTRADED] = defineDict["DFITC_SPD_PARTIAL"]
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orderStatusMap[STATUS_NOTTRADED] = defineDict["DFITC_SPD_IN_QUEUE"]
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orderStatusMap[STATUS_CANCELLED] = defineDict["DFITC_SPD_CANCELED"]
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orderStatusMapReverse = {v:k for k,v in orderStatusMap.items()}
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########################################################################
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class XspeedGateway(VtGateway):
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"""XSPEED接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='XSPEED'):
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"""Constructor"""
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super(XspeedGateway, self).__init__(eventEngine, gatewayName)
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self.mdApi = XspeedMdApi(self) # 行情API
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self.tdApi = XspeedTdApi(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() + '\\xspeedGateway\\' + 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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accountID = str(setting['accountID'])
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password = str(setting['password'])
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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(accountID, password, mdAddress)
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self.tdApi.connect(accountID, password, 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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self.qryFunctionList = [self.qryAccount, 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 XspeedMdApi(MdApi):
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"""XSPEED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(XspeedMdApi, 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.accountID = EMPTY_STRING # 账号
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self.password = EMPTY_STRING # 密码
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self.address = EMPTY_STRING # 服务器地址
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#----------------------------------------------------------------------
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def connect(self, accountID, password, address):
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"""初始化连接"""
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self.accountID = accountID # 账号
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self.password = password # 密码
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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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self.createDFITCMdApi()
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# 初始化连接，成功会调用onFrontConnected
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self.init(self.address)
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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.reqID += 1
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self.subscribeMarketData(str(subscribeReq.symbol), self.reqID)
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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.accountID and self.password:
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self.reqID += 1
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req = {}
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req['accountID'] = self.accountID
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req['passwd'] = self.password
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req['lRequestID'] = self.reqID
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self.reqUserLogin(req)
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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, i):
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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) :
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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['nErrorID'] == 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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# 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['nErrorID']
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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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def onRspUserLogout(self, data, error) :
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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['nErrorID'] == 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'行情服务器登出完成'
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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['nErrorID']
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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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def onRspError(self, error) :
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"""错误回报"""
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = error['nErrorID']
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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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def onRspSubMarketData(self, data, error) :
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""""""
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pass
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#----------------------------------------------------------------------
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def onRspUnSubMarketData(self, data, error) :
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""""""
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pass
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#----------------------------------------------------------------------
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def onRspSubForQuoteRsp(self, data, error) :
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""""""
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pass
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#----------------------------------------------------------------------
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def onRspUnSubForQuoteRsp(self, data, error) :
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""""""
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pass
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#----------------------------------------------------------------------
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def onMarketData(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)])
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tick.date = data['tradingDay']
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tick.openPrice = data['openPrice']
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tick.highPrice = data['highestPrice']
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tick.lowPrice = data['lowestPrice']
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tick.preClosePrice = data['preClosePrice']
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tick.upperLimit = data['upperLimitPrice']
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tick.lowerLimit = data['lowerLimitPrice']
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tick.bidPrice1 = data['BidPrice1']
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tick.bidVolume1 = data['BidVolume1']
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tick.askPrice1 = data['AskPrice1']
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tick.askVolume1 = data['AskVolume1']
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self.gateway.onTick(tick)
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#----------------------------------------------------------------------
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def onCustomMarketData(self, data) :
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""""""
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pass
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#----------------------------------------------------------------------
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def onRtnForQuoteRsp(self, data) :
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""""""
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pass
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#----------------------------------------------------------------------
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def onRspTradingDay(self, data) :
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""""""
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pass
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########################################################################
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class XspeedTdApi(TdApi):
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"""XSPEED交易API实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""API对象的初始化函数"""
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super(XspeedTdApi, 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.localID = EMPTY_INT # 订单编号
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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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|
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self.accountID = EMPTY_STRING # 账号
|
||
self.password = EMPTY_STRING # 密码
|
||
self.address = EMPTY_STRING # 服务器地址
|
||
|
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self.sessionID = EMPTY_INT # 会话编号
|
||
|
||
self.posDict = {} # 缓存持仓数据的字典
|
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self.orderDict = {} # 缓存委托数据的字典
|
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|
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#----------------------------------------------------------------------
|
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def connect(self, accountID, password, address):
|
||
"""初始化连接"""
|
||
self.accountID = accountID # 账号
|
||
self.password = password # 密码
|
||
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:
|
||
self.createDFITCTraderApi()
|
||
|
||
# 初始化连接，成功会调用onFrontConnected
|
||
self.init(self.address)
|
||
|
||
# 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.accountID and self.password:
|
||
self.reqID += 1
|
||
req = {}
|
||
req['accountID'] = self.accountID
|
||
req['passwd'] = self.password
|
||
req['lRequestID'] = self.reqID
|
||
self.reqUserLogin(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryAccount(self):
|
||
"""查询账户"""
|
||
self.reqID += 1
|
||
req = {}
|
||
req['lRequestID'] = self.reqID
|
||
req['accountID'] = self.accountID
|
||
self.reqQryCustomerCapital(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryPosition(self):
|
||
"""查询持仓"""
|
||
self.reqID += 1
|
||
req = {}
|
||
req['lRequestID'] = self.reqID
|
||
req['accountID'] = self.accountID
|
||
self.reqQryPosition(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, orderReq):
|
||
"""发单"""
|
||
self.reqID += 1
|
||
self.localID += 1
|
||
|
||
req = {}
|
||
req['instrumentID'] = orderReq.symbol
|
||
req['insertPrice'] = orderReq.price
|
||
req['orderAmount'] = 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['orderType'] = priceTypeMap[orderReq.priceType]
|
||
req['buySellType'] = directionMap[orderReq.direction]
|
||
req['openCloseType'] = offsetMap[orderReq.offset]
|
||
except KeyError:
|
||
return ''
|
||
|
||
req['localOrderID'] = self.localID
|
||
req['accountID'] = self.accountID
|
||
req['speculator'] = defineDict['DFITC_SPD_SPECULATOR'] # 投机单
|
||
req['minMatchAmount'] = 1 # 最小成交量为1
|
||
req['lRequestID'] = self.reqID
|
||
|
||
self.reqInsertOrder(req)
|
||
|
||
# 返回订单号（字符串），便于某些算法进行动态管理
|
||
vtOrderID = '.'.join([self.gatewayName, str(self.localID)])
|
||
return vtOrderID
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, cancelOrderReq):
|
||
"""撤单"""
|
||
self.reqID += 1
|
||
|
||
req = {}
|
||
req['instrumentID'] = cancelOrderReq.symbol
|
||
req['localOrderID'] = int(cancelOrderReq.orderID)
|
||
req['accountID'] = self.accountID
|
||
req['lRequestID'] = self.reqID
|
||
|
||
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, i):
|
||
"""服务器断开"""
|
||
self.connectionStatus = False
|
||
self.loginStatus = False
|
||
self.gateway.tdConnected = False
|
||
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'交易服务器连接断开'
|
||
self.gateway.onLog(log)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUserLogin(self, data, error) :
|
||
"""登陆回报"""
|
||
# 如果登录成功，推送日志信息
|
||
if error['nErrorID'] == 0:
|
||
self.sessionID = data['sessionID']
|
||
|
||
self.loginStatus = True
|
||
self.gateway.tdConnected = True
|
||
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'交易服务器登录完成'
|
||
self.gateway.onLog(log)
|
||
|
||
# 查询合约代码
|
||
self.reqID += 1
|
||
req = {}
|
||
req['lRequestID'] = self.reqID
|
||
self.reqQryExchangeInstrument(req)
|
||
|
||
# 否则，推送错误信息
|
||
else:
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['nErrorID']
|
||
err.errorMsg = error['errorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUserLogout(self, data, error) :
|
||
"""登出回报"""
|
||
# 如果登出成功，推送日志信息
|
||
if error['nErrorID'] == 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['nErrorID']
|
||
err.errorMsg = error['errorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspInsertOrder(self, data, error) :
|
||
"""发单错误（柜台）"""
|
||
if error['nErrorID']:
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['nErrorID']
|
||
err.errorMsg = error['errorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspCancelOrder(self, data, error) :
|
||
"""撤单错误（柜台）"""
|
||
if error['nErrorID']:
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['nErrorID']
|
||
err.errorMsg = error['errorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnErrorMsg(self, error) :
|
||
"""错误回报"""
|
||
if error['nErrorID']:
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['nErrorID']
|
||
err.errorMsg = error['errorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnMatchedInfo(self, data) :
|
||
"""成交回报"""
|
||
# 更新成交信息
|
||
trade = VtTradeData()
|
||
trade.gatewayName = self.gatewayName
|
||
|
||
# 保存代码和报单号
|
||
trade.symbol = data['instrumentID']
|
||
trade.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN)
|
||
trade.vtSymbol = trade.symbol
|
||
|
||
trade.tradeID = data['matchID']
|
||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||
|
||
trade.orderID = str(data['localOrderID'])
|
||
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
||
|
||
trade.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN)
|
||
trade.offset = offsetMapReverse.get(data['openCloseType'], OFFSET_UNKNOWN)
|
||
|
||
trade.price = data['insertPrice']
|
||
trade.volume = data['matchedAmount']
|
||
trade.tradeTime = data['matchedTime']
|
||
|
||
# 推送
|
||
self.gateway.onTrade(trade)
|
||
|
||
|
||
# 更新委托信息
|
||
# 创建报单数据对象
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
|
||
# 保存代码和报单号
|
||
order.symbol = data['instrumentID']
|
||
order.exchange = exchangeMapReverse[data['exchangeID']]
|
||
order.vtSymbol = order.symbol
|
||
order.orderID = str(data['localOrderID'])
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
order.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN)
|
||
order.offset = offsetMapReverse.get(data['openCloseType'], OFFSET_UNKNOWN)
|
||
order.status = orderStatusMapReverse.get(data['orderStatus'], STATUS_UNKNOWN)
|
||
|
||
order.price = data['insertPrice']
|
||
order.totalVolume = data['orderAmount']
|
||
|
||
# 推送
|
||
self.gateway.onOrder(order)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnOrder(self, data) :
|
||
"""报单回报"""
|
||
# 更新最大报单编号
|
||
newLocalID = data['localOrderID']
|
||
self.localID = max(self.localID, newLocalID)
|
||
|
||
# 获取报单数据对象
|
||
if newLocalID in self.orderDict:
|
||
order = self.orderDict[newLocalID]
|
||
else:
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
|
||
# 保存后续不会变化的数据
|
||
order.symbol = data['instrumentID']
|
||
order.exchange = exchangeMapReverse[data['exchangeID']]
|
||
order.vtSymbol = order.symbol
|
||
|
||
order.orderID = str(newLocalID)
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
order.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN)
|
||
order.offset = offsetMapReverse.get(data['openCloseType'], OFFSET_UNKNOWN)
|
||
|
||
# 价格、报单量等数值
|
||
order.price = data['insertPrice']
|
||
order.totalVolume = data['orderAmount']
|
||
order.sessionID = data['sessionID']
|
||
|
||
order.status = orderStatusMapReverse.get(data['orderStatus'], STATUS_UNKNOWN)
|
||
|
||
# 推送
|
||
self.gateway.onOrder(copy(order))
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnCancelOrder(self, data) :
|
||
"""撤单推送"""
|
||
# 更新最大报单编号
|
||
newLocalID = data['localOrderID']
|
||
self.localID = max(self.localID, int(newLocalID))
|
||
|
||
# 获取报单数据对象
|
||
if newLocalID in self.orderDict:
|
||
order = self.orderDict[newLocalID]
|
||
else:
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
|
||
# 保存后续不会变化的数据
|
||
order.symbol = data['instrumentID']
|
||
order.exchange = exchangeMapReverse[data['exchangeID']]
|
||
order.vtSymbol = order.symbol
|
||
|
||
order.orderID = str(newLocalID)
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
order.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN)
|
||
order.offset = offsetMapReverse.get(data['openCloseType'], OFFSET_UNKNOWN)
|
||
|
||
# 价格、报单量等数值
|
||
order.price = data['insertPrice']
|
||
order.totalVolume = data['orderAmount']
|
||
order.sessionID = data['sessionID']
|
||
|
||
order.status = orderStatusMapReverse.get(data['orderStatus'], STATUS_UNKNOWN)
|
||
order.cancelTime = data['canceledTime']
|
||
|
||
# 推送
|
||
self.gateway.onOrder(copy(order))
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryOrderInfo(self, data, error, last) :
|
||
"""查询委托回报"""
|
||
if not data['localOrderID']:
|
||
return
|
||
|
||
# 更新最大报单编号
|
||
newLocalID = data['localOrderID']
|
||
self.localID = max(self.localID, int(newLocalID))
|
||
|
||
# 获取报单数据对象
|
||
if newLocalID in self.orderDict:
|
||
order = self.orderDict[newLocalID]
|
||
else:
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
|
||
# 保存后续不会变化的数据
|
||
order.symbol = data['instrumentID']
|
||
order.exchange = exchangeMapReverse[data['exchangeID']]
|
||
order.vtSymbol = order.symbol
|
||
|
||
order.orderID = str(newLocalID)
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
order.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN)
|
||
order.offset = offsetMapReverse.get(data['openCloseType'], OFFSET_UNKNOWN)
|
||
|
||
order.price = data['insertPrice']
|
||
order.totalVolume = data['orderAmount']
|
||
order.sessionID = data['sessionID']
|
||
|
||
order.status = orderStatusMapReverse.get(data['orderStatus'], STATUS_UNKNOWN)
|
||
order.tradedVolume = data['matchedAmount']
|
||
order.orderTime = data['commTime']
|
||
|
||
# 推送
|
||
self.gateway.onOrder(copy(order))
|
||
|
||
if last:
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'查询委托完成'
|
||
self.gateway.onLog(log)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryMatchInfo(self, data, error, last) :
|
||
""""""
|
||
# 创建报单数据对象
|
||
trade = VtTradeData()
|
||
trade.gatewayName = self.gatewayName
|
||
|
||
# 保存代码和报单号
|
||
trade.symbol = data['instrumentID']
|
||
trade.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN)
|
||
trade.vtSymbol = trade.symbol #'.'.join([trade.symbol, trade.exchange])
|
||
|
||
trade.tradeID = data['matchedID']
|
||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||
|
||
trade.orderID = str(data['localOrderID'])
|
||
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
||
|
||
# 方向
|
||
trade.direction = directionMapReverse.get(data['buySellType'], DIRECTION_UNKNOWN)
|
||
|
||
# 开平
|
||
trade.offset = offsetMapReverse.get(data['openClose'], OFFSET_UNKNOWN)
|
||
|
||
# 价格、报单量等数值
|
||
trade.price = data['matchedPrice']
|
||
trade.volume = data['matchedAmount']
|
||
trade.tradeTime = data['matchedTime']
|
||
|
||
# 推送
|
||
self.gateway.onTrade(trade)
|
||
|
||
if last:
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'查询成交完成'
|
||
self.gateway.onLog(log)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryPosition(self, data, error, last) :
|
||
"""持仓查询回报"""
|
||
# 获取缓存字典中的持仓对象，若无则创建并初始化
|
||
positionName = '.'.join([data['instrumentID'], str(data['buySellType'])])
|
||
|
||
if positionName in self.posDict:
|
||
pos = self.posDict[positionName]
|
||
else:
|
||
pos = VtPositionData()
|
||
self.posDict[positionName] = pos
|
||
|
||
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
|
||
pos.direction = directionMapReverse.get(data['buySellType'], '')
|
||
|
||
# VT系统持仓名
|
||
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
|
||
|
||
# 持仓量
|
||
if data['positionAmount']:
|
||
pos.position = data['positionAmount']
|
||
|
||
if data['lastAmount']:
|
||
pos.ydPosition = data['lastAmount']
|
||
|
||
# 持仓均价
|
||
pos.price = data['positionAvgPrice']
|
||
|
||
# 推送
|
||
newpos = copy(pos)
|
||
self.gateway.onPosition(newpos)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspCustomerCapital(self, data, error, 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['preEquity']
|
||
account.available = data['available']
|
||
account.commission = data['fee']
|
||
account.margin = data['margin']
|
||
account.closeProfit = data['closeProfitLoss']
|
||
account.positionProfit = data['positionProfitLoss']
|
||
account.balance = data['todayEquity']
|
||
|
||
# 推送
|
||
self.gateway.onAccount(account)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryExchangeInstrument(self, data, error, last) :
|
||
"""合约查询回报"""
|
||
contract = VtContractData()
|
||
contract.gatewayName = self.gatewayName
|
||
|
||
contract.symbol = data['instrumentID']
|
||
contract.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN)
|
||
contract.vtSymbol = contract.symbol #'.'.join([contract.symbol, contract.exchange])
|
||
contract.name = data['VarietyName'].decode('GBK') + contract.symbol
|
||
|
||
# 合约数值
|
||
contract.size = data['contractMultiplier']
|
||
contract.priceTick = data['minPriceFluctuation']
|
||
contract.strikePrice = data['strikePrice']
|
||
contract.underlyingSymbol = data['underlying']
|
||
|
||
# 合约类型
|
||
if data['instrumentType'] == 0:
|
||
contract.productClass = PRODUCT_FUTURES
|
||
elif data['instrumentType'] == 1:
|
||
contract.productClass = PRODUCT_OPTION
|
||
else:
|
||
contract.productClass = PRODUCT_UNKNOWN
|
||
|
||
# 期权类型
|
||
if data['optionType'] == 1:
|
||
contract.optionType = OPTION_CALL
|
||
elif data['optionType'] == 2:
|
||
contract.optionType = OPTION_PUT
|
||
|
||
# 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)
|
||
|
||
# 查询委托
|
||
self.reqID += 1
|
||
req = {}
|
||
req['lRequestID'] = self.reqID
|
||
req['accountID'] = self.accountID
|
||
self.reqQryOrderInfo(req)
|
||
|
||
# 查询成交
|
||
self.reqID += 1
|
||
req = {}
|
||
req['lRequestID'] = self.reqID
|
||
req['accountID'] = self.accountID
|
||
self.reqQryMatchInfo(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspArbitrageInstrument(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQrySpecifyInstrument(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryPositionDetail(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnTradingNotice(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspResetPassword(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onnRspQryTradeCode(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspBillConfirm(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onnRspEquityComputMode(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryBill(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspConfirmProductInfo(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspTradingDay(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQuoteInsert(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnQuoteInsert(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQuoteCancel(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnQuoteCancel(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnQuoteMatchedInfo(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspCancelAllOrder(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryQuoteNotice(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspForQuote(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnForQuote(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryQuoteOrderInfo(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryForQuote(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryTransferBank(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryTransferSerial(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspFromBankToFutureByFuture(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspFromFutureToBankByFuture(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnFromBankToFutureByFuture(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnFromFutureToBankByFuture(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnRepealFromFutureToBankByBank(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryExchangeStatus(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnExchangeStatus(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryDepthMarketData(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryTradeCode(self, data, error, last) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspEquityComputMode(self, data) :
|
||
""""""
|
||
pass
|
||
|