1195 lines
42 KiB
Python
1195 lines
42 KiB
Python
# encoding: UTF-8
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import os
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import json
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from vnctpmd import MdApi
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from vnctptd import TdApi
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from ctpDataType import *
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from vtGateway import *
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########################################################################
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class CtpGateway(VtGateway):
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"""CTP接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='CTP'):
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"""Constructor"""
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super(CtpGateway, self).__init__(eventEngine, gatewayName)
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self.mdApi = CtpMdApi(self) # 行情API
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self.tdApi = CtpTdApi(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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#----------------------------------------------------------------------
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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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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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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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self.mdApi(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 getAccount(self):
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"""查询账户资金"""
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self.tdApi.getAccount()
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#----------------------------------------------------------------------
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def getPosition(self):
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"""查询持仓"""
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self.tdApi.getPosition()
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.mdApi.close()
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self.tdApi.close()
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########################################################################
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class CtpMdApi(MdApi):
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"""CTP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(CtpMdApi, 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 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, n):
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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 onHeartBeatWarning(self, n):
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"""心跳报警"""
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# 因为API的心跳报警比较常被触发，且与API工作关系不大，因此选择忽略
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pass
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#----------------------------------------------------------------------
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def onRspError(self, error, n, last):
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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['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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def onRspUserLogin(self, data, error, n, 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.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['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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def onRspUserLogout(self, data, error, n, 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'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['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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def onRspSubMarketData(self, data, error, n, last):
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"""订阅合约回报"""
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# 通常不在乎订阅错误，选择忽略
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pass
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#----------------------------------------------------------------------
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def onRspUnSubMarketData(self, data, error, n, last):
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"""退订合约回报"""
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# 同上
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pass
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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.symbol = data['InstrumentID']
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tick.vtSymbol = '.'.join([self.gatewayName, tick.symbol])
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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.tickTime = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
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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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# CTP只有一档行情
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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 onRspSubForQuoteRsp(self, data, error, n, last):
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"""订阅期权询价"""
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pass
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#----------------------------------------------------------------------
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def onRspUnSubForQuoteRsp(self, data, error, n, last):
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"""退订期权询价"""
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pass
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#----------------------------------------------------------------------
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def onRtnForQuoteRsp(self, data):
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"""期权询价推送"""
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pass
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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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# 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()
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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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self.subscribeMarketData(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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class CtpTdApi(TdApi):
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"""CTP交易API实现"""
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# 以下为一些VT类型和CTP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["THOST_FTDC_OPT_LimitPrice"]
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priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["THOST_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['THOST_FTDC_D_Buy']
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directionMap[DIRECTION_SHORT] = defineDict['THOST_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['THOST_FTDC_OF_Open']
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offsetMap[OFFSET_CLOSE] = defineDict['THOST_FTDC_OF_Close']
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offsetMap[OFFSET_CLOSETODAY] = defineDict['THOST_FTDC_OF_CloseToday']
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offsetMap[OFFSET_CLOSESYESTERDAY] = defineDict['THOST_FTDC_OF_CloseYesterday']
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offsetMapReverse = {v:k for k,v in offsetMap.items()}
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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(CtpTdApi, 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.orderRef = 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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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 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'交易服务器连接成功'
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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, n):
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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.tdConnected = False
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易服务器连接断开'
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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def onHeartBeatWarning(self, n):
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""""""
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pass
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#----------------------------------------------------------------------
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def onRspAuthenticate(self, data, error, n, last):
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""""""
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pass
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#----------------------------------------------------------------------
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def onRspUserLogin(self, data, error, n, 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'交易服务器登录完成'
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self.gateway.onLog(log)
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# 确认结算信息
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req = {}
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req['BrokerID'] = self.brokerID
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req['InvestorID'] = self.userID
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self.reqID += 1
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self.reqSettlementInfoConfirm(req, self.reqID)
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# 否则，推送错误信息
|
||
else:
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err = VtErrorData()
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err.gatewayName = self.gateway
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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, n, 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
|
||
if error['ErrorID'] == 0:
|
||
self.loginStatus = False
|
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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']
|
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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 onRspUserPasswordUpdate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspTradingAccountPasswordUpdate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspOrderInsert(self, data, error, n, last):
|
||
"""发单错误（柜台）"""
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['ErrorID']
|
||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspParkedOrderInsert(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspParkedOrderAction(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspOrderAction(self, data, error, n, last):
|
||
"""撤单错误（柜台）"""
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['ErrorID']
|
||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQueryMaxOrderVolume(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspSettlementInfoConfirm(self, data, error, n, last):
|
||
"""确认结算信息回报"""
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'结算信息确认完成'
|
||
self.gateway.onLog(log)
|
||
|
||
# 查询合约代码
|
||
self.reqID += 1
|
||
self.reqQryInstrument({}, self.reqID)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspRemoveParkedOrder(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspRemoveParkedOrderAction(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspExecOrderInsert(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspExecOrderAction(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspForQuoteInsert(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQuoteInsert(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQuoteAction(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryOrder(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryTrade(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInvestorPosition(self, data, error, n, last):
|
||
"""持仓查询回报"""
|
||
pos = VtPositionData()
|
||
pos.gatewayName = self.gatewayName
|
||
|
||
# 保存代码
|
||
pos.symbol = data['InstrumentID']
|
||
pos.vtSymbol = '.'.join([self.gatewayName, pos.symbol])
|
||
|
||
# 方向和持仓冻结数量
|
||
if data['PosiDirection'] == '1':
|
||
pos.direction = DIRECTION_NET
|
||
pos.frozen = data['LongFrozen']
|
||
if data['PosiDirection'] == '2':
|
||
pos.direction = DIRECTION_LONG
|
||
pos.frozen = data['LongFrozen']
|
||
elif data['PosiDirection'] == '3':
|
||
pos.direction = DIRECTION_SHORT
|
||
pos.frozen = data['ShortFrozen']
|
||
|
||
# 持仓量
|
||
pos.position = data['Position']
|
||
|
||
# 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 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['ClostProfit'] + data['PositionProfit'] + data['CashIn'] -
|
||
data['Commission'])
|
||
|
||
# 推送
|
||
self.gateway.onAccount(account)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInvestor(self, data, error, n, last):
|
||
"""投资者查询回报"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryTradingCode(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInstrumentMarginRate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInstrumentCommissionRate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryExchange(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryProduct(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInstrument(self, data, error, n, last):
|
||
"""合约查询回报"""
|
||
contract = VtContractData()
|
||
contract.gatewayName = self.gatewayName
|
||
|
||
contract.symbol = data['InstrumentID']
|
||
contract.vtSymbol = '.'.join([self.gatewayName, contract.symbol])
|
||
contract.name = data['InstrumentName']
|
||
|
||
# 合约数值
|
||
contract.size = data['VolumeMultiple']
|
||
contract.priceTick = data['PriceTick']
|
||
contract.strikePrice = data['StrikePrice']
|
||
contract.underlyingSymbol = data['UnderlyingInstrID']
|
||
|
||
# 合约类型
|
||
if data['ProductClass'] == '1':
|
||
contract.productClass == PRODUCT_FUTURES
|
||
elif data['ProductClass'] == '2':
|
||
contract.productClass = PRODUCT_OPTION
|
||
elif data['ProductClass'] == '3':
|
||
contract.productClass = PRODUCT_COMBINATION
|
||
|
||
# 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)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryDepthMarketData(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQrySettlementInfo(self, data, error, n, last):
|
||
"""查询结算信息回报"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryTransferBank(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInvestorPositionDetail(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryNotice(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQrySettlementInfoConfirm(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInvestorPositionCombineDetail(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryCFMMCTradingAccountKey(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryEWarrantOffset(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryInvestorProductGroupMargin(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryExchangeMarginRate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryExchangeMarginRateAdjust(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryExchangeRate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQrySecAgentACIDMap(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryOptionInstrTradeCost(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryOptionInstrCommRate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryExecOrder(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryForQuote(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryQuote(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryTransferSerial(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryAccountregister(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspError(self, error, n, last):
|
||
"""错误回报"""
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['ErrorID']
|
||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnOrder(self, data):
|
||
"""报单回报"""
|
||
# 更新最大报单编号
|
||
newref = data['OrderRef']
|
||
self.orderRef = max(self.orderRef, int(newref))
|
||
|
||
# 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.vtSymbol = '.'.join([self.gatewayName, order.symbol])
|
||
|
||
order.orderID = data['OrderRef']
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
# 方向
|
||
if data['Direction'] == '0':
|
||
order.direction = DIRECTION_LONG
|
||
elif data['Direction'] == '1':
|
||
order.direction = DIRECTION_SHORT
|
||
else:
|
||
order.direction = DIRECTION_UNKNOWN
|
||
|
||
# 开平
|
||
if data['CombOffsetFlag'] == '0':
|
||
order.offset = OFFSET_OPEN
|
||
elif data['CombOffsetFlag'] == '1':
|
||
order.offset = OFFSET_CLOSE
|
||
else:
|
||
order.offset = OFFSET_UNKNOWN
|
||
|
||
# 状态
|
||
if data['OrderStatus'] == '0':
|
||
order.status = STATUS_ALLTRADED
|
||
elif data['OrderStatus'] == '1':
|
||
order.status = STATUS_PARTTRADED
|
||
elif data['OrderStatus'] == '3':
|
||
order.status = STATUS_NOTTRADED
|
||
elif data['OrderStatus'] == '5':
|
||
order.status = STATUS_CANCELLED
|
||
else:
|
||
order.status = STATUS_UNKNOWN
|
||
|
||
# 价格、报单量等数值
|
||
order.price = data['LimitPrice']
|
||
order.totalVolume = data['VolumeTotalOriginal']
|
||
order.tradedVolume = data['VolumeTraded']
|
||
order.orderTime = data['InsertTime']
|
||
order.cancelTime = data['CancelTime']
|
||
order.frontID = data['FrontID']
|
||
order.sessionID = data['SessionID']
|
||
|
||
# 推送
|
||
self.gateway.onOrder(order)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnTrade(self, data):
|
||
"""成交回报"""
|
||
# 创建报单数据对象
|
||
trade = VtTradeData()
|
||
order.gatewayName = self.gatewayName
|
||
|
||
# 保存代码和报单号
|
||
trade.symbol = data['InstrumentID']
|
||
trade.vtSymbol = '.'.join([self.gatewayName, trade.symbol])
|
||
|
||
trade.tradeID = data['TradeID']
|
||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||
|
||
trade.orderID = data['OrderRef']
|
||
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
||
|
||
# 方向
|
||
if data['Direction'] == '0':
|
||
trade.direction = DIRECTION_LONG
|
||
elif data['Direction'] == '1':
|
||
trade.direction = DIRECTION_SHORT
|
||
else:
|
||
trade.direction = DIRECTION_UNKNOWN
|
||
|
||
# 开平
|
||
if data['OffsetFlag'] == '0':
|
||
trade.offset = OFFSET_OPEN
|
||
elif data['OffsetFlag'] == '1':
|
||
trade.offset = OFFSET_CLOSE
|
||
else:
|
||
trade.offset = OFFSET_UNKNOW
|
||
|
||
# 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)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnOrderInsert(self, data, error):
|
||
"""发单错误回报（交易所）"""
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['ErrorID']
|
||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnOrderAction(self, data, error):
|
||
"""撤单错误回报（交易所）"""
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['ErrorID']
|
||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnInstrumentStatus(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnTradingNotice(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnErrorConditionalOrder(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnExecOrder(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnExecOrderInsert(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnExecOrderAction(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnForQuoteInsert(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnQuote(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnQuoteInsert(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnQuoteAction(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnForQuoteRsp(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryContractBank(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryParkedOrder(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryParkedOrderAction(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryTradingNotice(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryBrokerTradingParams(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryBrokerTradingAlgos(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnFromBankToFutureByBank(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnFromFutureToBankByBank(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnRepealFromBankToFutureByBank(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnRepealFromFutureToBankByBank(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnFromBankToFutureByFuture(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnFromFutureToBankByFuture(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnRepealFromBankToFutureByFutureManual(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnRepealFromFutureToBankByFutureManual(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnQueryBankBalanceByFuture(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnBankToFutureByFuture(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnFutureToBankByFuture(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnRepealBankToFutureByFutureManual(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnRepealFutureToBankByFutureManual(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnQueryBankBalanceByFuture(self, data, error):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnRepealFromBankToFutureByFuture(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnRepealFromFutureToBankByFuture(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspFromBankToFutureByFuture(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspFromFutureToBankByFuture(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQueryBankAccountMoneyByFuture(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnOpenAccountByBank(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnCancelAccountByBank(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnChangeAccountByBank(self, data):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
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)
|
||
|
||
# 注册服务器地址
|
||
self.registerFront(self.address)
|
||
|
||
# 初始化连接，成功会调用onFrontConnected
|
||
self.init()
|
||
|
||
# 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 getAccount(self):
|
||
"""查询账户"""
|
||
self.reqID += 1
|
||
self.reqQryTradingAccount({}, self.reqID)
|
||
|
||
#----------------------------------------------------------------------
|
||
def getPosition(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.orderRef += 1
|
||
|
||
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'] = self.priceTypeMap[orderReq.priceType]
|
||
req['Direction'] = self.directionMap[orderReq.priceType]
|
||
req['CombOffsetFlag'] = self.offsetMap[orderReq.offset]
|
||
except KeyError:
|
||
return ''
|
||
|
||
req['OrderRef'] = str(self.orderRef)
|
||
req['InvestorID'] = self.userID
|
||
req['UserID'] = self.userID
|
||
req['BrokerID'] = self.brokerID
|
||
|
||
req['CombHedgeFlag'] = defineDict['THOST_FTDC_HF_Speculation'] # 投机单
|
||
req['ContingentCondition'] = defineDict['THOST_FTDC_CC_Immediately'] # 立即发单
|
||
req['ForceCloseReason'] = defineDict['THOST_FTDC_FCC_NotForceClose'] # 非强平
|
||
req['IsAutoSuspend'] = 0 # 非自动挂起
|
||
req['TimeCondition'] = defineDict['THOST_FTDC_TC_GFD'] # 今日有效
|
||
req['VolumeCondition'] = defineDict['THOST_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
|
||
return str(self.orderRef)
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, cancelOrderReq):
|
||
"""撤单"""
|
||
self.reqID += 1
|
||
|
||
req = {}
|
||
|
||
req['InstrumentID'] = cancelOrderReq.symbol
|
||
req['ExchangeID'] = cancelOrderReq.exchange
|
||
req['OrderRef'] = cancelOrderReq.orderRef
|
||
req['FrontID'] = cancelOrderReq.frontID
|
||
req['SessionID'] = cancelOrderReq.sessionID
|
||
|
||
req['ActionFlag'] = defineDict['THOST_FTDC_AF_Delete']
|
||
req['BrokerID'] = self.brokerID
|
||
req['InvestorID'] = self.userID
|
||
|
||
self.reqOrderAction(req, self.reqID)
|
||
|
||
#----------------------------------------------------------------------
|
||
def close(self):
|
||
"""关闭"""
|
||
self.exit() |