1121 lines
40 KiB
Python
1121 lines
40 KiB
Python
# encoding: UTF-8
|
||
|
||
'''
|
||
vn.xspeed的gateway接入
|
||
'''
|
||
|
||
import os
|
||
import json
|
||
import time
|
||
from copy import copy
|
||
|
||
from vnxspeedmd import MdApi
|
||
from vnxspeedtd import TdApi
|
||
from xspeedDataType import *
|
||
from vtGateway import *
|
||
|
||
# 以下为一些VT类型和XSPEED类型的映射字典
|
||
# 价格类型映射
|
||
priceTypeMap = {}
|
||
priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["DFITC_LIMITORDER"]
|
||
priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["DFITC_MKORDER"]
|
||
priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
|
||
|
||
# 方向类型映射
|
||
directionMap = {}
|
||
directionMap[DIRECTION_LONG] = defineDict['DFITC_SPD_BUY']
|
||
directionMap[DIRECTION_SHORT] = defineDict['DFITC_SPD_SELL']
|
||
directionMapReverse = {v: k for k, v in directionMap.items()}
|
||
|
||
# 开平类型映射
|
||
offsetMap = {}
|
||
offsetMap[OFFSET_OPEN] = defineDict['DFITC_SPD_OPEN']
|
||
offsetMap[OFFSET_CLOSE] = defineDict['DFITC_SPD_CLOSE']
|
||
offsetMap[OFFSET_CLOSETODAY] = defineDict['DFITC_SPD_CLOSETODAY']
|
||
offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['DFITC_SPD_CLOSE']
|
||
offsetMapReverse = {v:k for k,v in offsetMap.items()}
|
||
|
||
# 交易所类型映射
|
||
exchangeMap = {}
|
||
exchangeMap[EXCHANGE_CFFEX] = defineDict['DFITC_EXCHANGE_CFFEX']
|
||
exchangeMap[EXCHANGE_SHFE] = defineDict['DFITC_EXCHANGE_SHFE']
|
||
exchangeMap[EXCHANGE_CZCE] = defineDict['DFITC_EXCHANGE_CZCE']
|
||
exchangeMap[EXCHANGE_DCE] = defineDict['DFITC_EXCHANGE_DCE']
|
||
exchangeMap[EXCHANGE_UNKNOWN] = ''
|
||
exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
|
||
|
||
# 委托状态类型映射
|
||
orderStatusMap = {}
|
||
orderStatusMap[STATUS_ALLTRADED] = defineDict["DFITC_SPD_FILLED"]
|
||
orderStatusMap[STATUS_PARTTRADED] = defineDict["DFITC_SPD_PARTIAL"]
|
||
orderStatusMap[STATUS_NOTTRADED] = defineDict["DFITC_SPD_IN_QUEUE"]
|
||
orderStatusMap[STATUS_CANCELLED] = defineDict["DFITC_SPD_CANCELED"]
|
||
orderStatusMapReverse = {v:k for k,v in orderStatusMap.items()}
|
||
orderStatusMapReverse[defineDict["DFITC_SPD_PARTIAL_CANCELED"]] = STATUS_CANCELLED
|
||
|
||
|
||
########################################################################
|
||
class XspeedGateway(VtGateway):
|
||
"""XSPEED接口"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, eventEngine, gatewayName='XSPEED'):
|
||
"""Constructor"""
|
||
super(XspeedGateway, self).__init__(eventEngine, gatewayName)
|
||
|
||
self.mdApi = XspeedMdApi(self) # 行情API
|
||
self.tdApi = XspeedTdApi(self) # 交易API
|
||
|
||
self.mdConnected = False # 行情API连接状态，登录完成后为True
|
||
self.tdConnected = False # 交易API连接状态
|
||
|
||
self.qryEnabled = False # 是否要启动循环查询
|
||
|
||
#----------------------------------------------------------------------
|
||
def connect(self):
|
||
"""连接"""
|
||
# 载入json文件
|
||
fileName = self.gatewayName + '_connect.json'
|
||
path = os.path.abspath(os.path.dirname(__file__))
|
||
fileName = os.path.join(path, fileName)
|
||
|
||
try:
|
||
f = file(fileName)
|
||
except IOError:
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'读取连接配置出错，请检查'
|
||
self.onLog(log)
|
||
return
|
||
|
||
# 解析json文件
|
||
setting = json.load(f)
|
||
try:
|
||
accountID = str(setting['accountID'])
|
||
password = str(setting['password'])
|
||
tdAddress = str(setting['tdAddress'])
|
||
mdAddress = str(setting['mdAddress'])
|
||
except KeyError:
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'连接配置缺少字段，请检查'
|
||
self.onLog(log)
|
||
return
|
||
|
||
# 创建行情和交易接口对象
|
||
self.mdApi.connect(accountID, password, mdAddress)
|
||
self.tdApi.connect(accountID, password, tdAddress)
|
||
|
||
# 初始化并启动查询
|
||
self.initQuery()
|
||
|
||
#----------------------------------------------------------------------
|
||
def subscribe(self, subscribeReq):
|
||
"""订阅行情"""
|
||
self.mdApi.subscribe(subscribeReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, orderReq):
|
||
"""发单"""
|
||
return self.tdApi.sendOrder(orderReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, cancelOrderReq):
|
||
"""撤单"""
|
||
self.tdApi.cancelOrder(cancelOrderReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryAccount(self):
|
||
"""查询账户资金"""
|
||
self.tdApi.qryAccount()
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryPosition(self):
|
||
"""查询持仓"""
|
||
self.tdApi.qryPosition()
|
||
|
||
#----------------------------------------------------------------------
|
||
def close(self):
|
||
"""关闭"""
|
||
if self.mdConnected:
|
||
self.mdApi.close()
|
||
if self.tdConnected:
|
||
self.tdApi.close()
|
||
|
||
#----------------------------------------------------------------------
|
||
def initQuery(self):
|
||
"""初始化连续查询"""
|
||
if self.qryEnabled:
|
||
# 需要循环的查询函数列表
|
||
self.qryFunctionList = [self.qryAccount, self.qryPosition]
|
||
|
||
self.qryCount = 0 # 查询触发倒计时
|
||
self.qryTrigger = 2 # 查询触发点
|
||
self.qryNextFunction = 0 # 上次运行的查询函数索引
|
||
|
||
self.startQuery()
|
||
|
||
#----------------------------------------------------------------------
|
||
def query(self, event):
|
||
"""注册到事件处理引擎上的查询函数"""
|
||
self.qryCount += 1
|
||
|
||
if self.qryCount > self.qryTrigger:
|
||
# 清空倒计时
|
||
self.qryCount = 0
|
||
|
||
# 执行查询函数
|
||
function = self.qryFunctionList[self.qryNextFunction]
|
||
function()
|
||
|
||
# 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
|
||
self.qryNextFunction += 1
|
||
if self.qryNextFunction == len(self.qryFunctionList):
|
||
self.qryNextFunction = 0
|
||
|
||
#----------------------------------------------------------------------
|
||
def startQuery(self):
|
||
"""启动连续查询"""
|
||
self.eventEngine.register(EVENT_TIMER, self.query)
|
||
|
||
#----------------------------------------------------------------------
|
||
def setQryEnabled(self, qryEnabled):
|
||
"""设置是否要启动循环查询"""
|
||
self.qryEnabled = qryEnabled
|
||
|
||
|
||
########################################################################
|
||
class XspeedMdApi(MdApi):
|
||
"""XSPEED行情API实现"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, gateway):
|
||
"""Constructor"""
|
||
super(XspeedMdApi, self).__init__()
|
||
|
||
self.gateway = gateway # gateway对象
|
||
self.gatewayName = gateway.gatewayName # gateway对象名称
|
||
|
||
self.reqID = EMPTY_INT # 操作请求编号
|
||
|
||
self.connectionStatus = False # 连接状态
|
||
self.loginStatus = False # 登录状态
|
||
|
||
self.subscribedSymbols = set() # 已订阅合约代码
|
||
|
||
self.accountID = EMPTY_STRING # 账号
|
||
self.password = EMPTY_STRING # 密码
|
||
self.address = EMPTY_STRING # 服务器地址
|
||
|
||
#----------------------------------------------------------------------
|
||
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.createDFITCMdApi()
|
||
|
||
# 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 subscribe(self, subscribeReq):
|
||
"""订阅合约"""
|
||
# 这里的设计是，如果尚未登录就调用了订阅方法
|
||
# 则先保存订阅请求，登录完成后会自动订阅
|
||
if self.loginStatus:
|
||
self.reqID += 1
|
||
self.subscribeMarketData(str(subscribeReq.symbol), self.reqID)
|
||
|
||
self.subscribedSymbols.add(subscribeReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def login(self):
|
||
"""登录"""
|
||
# 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 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'行情服务器连接成功'
|
||
self.gateway.onLog(log)
|
||
self.login()
|
||
|
||
#----------------------------------------------------------------------
|
||
def onFrontDisconnected(self, i):
|
||
"""服务器断开"""
|
||
self.connectionStatus = False
|
||
self.loginStatus = False
|
||
self.gateway.mdConnected = False
|
||
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'行情服务器连接断开'
|
||
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.loginStatus = True
|
||
self.gateway.mdConnected = True
|
||
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'行情服务器登录完成'
|
||
self.gateway.onLog(log)
|
||
|
||
# 重新订阅之前订阅的合约
|
||
for subscribeReq in self.subscribedSymbols:
|
||
self.subscribe(subscribeReq)
|
||
|
||
# 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'行情服务器登出完成'
|
||
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 onRspError(self, error) :
|
||
"""错误回报"""
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['nErrorID']
|
||
err.errorMsg = error['errorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspSubMarketData(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUnSubMarketData(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspSubForQuoteRsp(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUnSubForQuoteRsp(self, data, error) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onMarketData(self, data) :
|
||
"""行情推送"""
|
||
tick = VtTickData()
|
||
tick.gatewayName = self.gatewayName
|
||
|
||
tick.symbol = data['instrumentID']
|
||
tick.exchange = exchangeMapReverse.get(data['exchangeID'], u'未知')
|
||
tick.vtSymbol = tick.symbol #'.'.join([tick.symbol, EXCHANGE_UNKNOWN])
|
||
|
||
tick.lastPrice = data['lastPrice']
|
||
tick.volume = data['Volume']
|
||
tick.openInterest = data['openInterest']
|
||
tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
|
||
tick.date = data['tradingDay']
|
||
|
||
tick.openPrice = data['openPrice']
|
||
tick.highPrice = data['highestPrice']
|
||
tick.lowPrice = data['lowestPrice']
|
||
tick.preClosePrice = data['preClosePrice']
|
||
|
||
tick.upperLimit = data['upperLimitPrice']
|
||
tick.lowerLimit = data['lowerLimitPrice']
|
||
|
||
tick.bidPrice1 = data['BidPrice1']
|
||
tick.bidVolume1 = data['BidVolume1']
|
||
tick.askPrice1 = data['AskPrice1']
|
||
tick.askVolume1 = data['AskVolume1']
|
||
|
||
self.gateway.onTick(tick)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onCustomMarketData(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnForQuoteRsp(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspTradingDay(self, data) :
|
||
""""""
|
||
pass
|
||
|
||
|
||
########################################################################
|
||
class XspeedTdApi(TdApi):
|
||
"""XSPEED交易API实现"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, gateway):
|
||
"""API对象的初始化函数"""
|
||
super(XspeedTdApi, self).__init__()
|
||
|
||
self.gateway = gateway # gateway对象
|
||
self.gatewayName = gateway.gatewayName # gateway对象名称
|
||
|
||
self.reqID = EMPTY_INT # 操作请求编号
|
||
self.localID = EMPTY_INT # 订单编号
|
||
|
||
self.connectionStatus = False # 连接状态
|
||
self.loginStatus = False # 登录状态
|
||
|
||
self.accountID = EMPTY_STRING # 账号
|
||
self.password = EMPTY_STRING # 密码
|
||
self.address = EMPTY_STRING # 服务器地址
|
||
|
||
self.sessionID = EMPTY_INT # 会话编号
|
||
|
||
self.posDict = {} # 缓存持仓数据的字典
|
||
self.orderDict = {} # 缓存委托数据的字典
|
||
self.spdOrderDict = {} # 飞创柜台委托号字典
|
||
|
||
#----------------------------------------------------------------------
|
||
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
|
||
|
||
# 添加柜台委托号字段
|
||
localID = int(cancelOrderReq.orderID)
|
||
if localID in self.spdOrderDict:
|
||
req['spdOrderID'] = self.spdOrderDict[localID]
|
||
del req['localOrderID']
|
||
|
||
self.reqCancelOrder(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
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)
|
||
|
||
# 获取报单数据对象
|
||
localID = data['localOrderID']
|
||
if localID not in self.orderDict:
|
||
return
|
||
order = self.orderDict[localID]
|
||
|
||
order.status = orderStatusMapReverse.get(data['orderStatus'], STATUS_UNKNOWN)
|
||
order.tradedVolume += trade.volume
|
||
|
||
# 推送
|
||
self.gateway.onOrder(copy(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)
|
||
self.spdOrderDict[newLocalID] = data['spdOrderID']
|
||
|
||
# 获取报单数据对象
|
||
if newLocalID in self.orderDict:
|
||
order = self.orderDict[newLocalID]
|
||
else:
|
||
order = VtOrderData()
|
||
self.orderDict[newLocalID] = order
|
||
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.orderTime = time.strftime('%H:%M:%S')
|
||
|
||
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()
|
||
self.orderDict[newLocalID] = order
|
||
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))
|
||
self.spdOrderDict[newLocalID] = data['spdOrderID']
|
||
|
||
# 获取报单数据对象
|
||
if newLocalID in self.orderDict:
|
||
order = self.orderDict[newLocalID]
|
||
else:
|
||
order = VtOrderData()
|
||
self.orderDict[newLocalID] = order
|
||
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['openClose'], 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
|
||
|