730 lines
27 KiB
Python
730 lines
27 KiB
Python
# encoding: UTF-8
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'''
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vn.shzd的gateway接入
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1. 期权合约数量太多，为了方便起见默认接口只接收期货合约数据
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2. 直达接口的撤单操作也被视作一个独立的委托，但是在vn.trader中选择忽略
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3. 持仓全部平光后，再次查询时会没有该合约的推送（和CTP不同），为了避免最后平仓
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不更新的情况，使用缓存机制来处理
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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 datetime import datetime
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from vnshzd import ShzdApi
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from vtGateway import *
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# 以下为一些VT类型和SHZD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] = '1'
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priceTypeMap[PRICETYPE_MARKETPRICE] = '2'
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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] = '1'
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directionMap[DIRECTION_SHORT] = '2'
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directionMapReverse = {v: k for k, v in directionMap.items()}
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# 交易所类型映射
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exchangeMap = {}
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#exchangeMap[EXCHANGE_CFFEX] = 'CFFEX'
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#exchangeMap[EXCHANGE_SHFE] = 'SHFE'
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#exchangeMap[EXCHANGE_CZCE] = 'CZCE'
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#exchangeMap[EXCHANGE_DCE] = 'DCE'
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exchangeMap[EXCHANGE_HKEX] = 'HKEX'
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exchangeMap[EXCHANGE_CME] = 'CME'
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exchangeMap[EXCHANGE_ICE] = 'ICE'
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exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
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# 产品类型映射
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productClassMap = {}
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productClassMap[PRODUCT_FUTURES] = 'F'
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productClassMap[PRODUCT_OPTION] = 'O'
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productClassMapReverse = {v:k for k,v in productClassMap.items()}
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# 委托状态映射
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orderStatusMapReverse = {}
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orderStatusMapReverse['2'] = STATUS_NOTTRADED
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orderStatusMapReverse['3'] = STATUS_PARTTRADED
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orderStatusMapReverse['4'] = STATUS_ALLTRADED
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orderStatusMapReverse['5'] = STATUS_CANCELLED
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orderStatusMapReverse['6'] = STATUS_CANCELLED
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########################################################################
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class ShzdGateway(VtGateway):
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"""SHZD接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='SHZD'):
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"""Constructor"""
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super(ShzdGateway, self).__init__(eventEngine, gatewayName)
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self.api = ShzdGatewayApi(self)
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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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path = os.path.abspath(os.path.dirname(__file__))
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fileName = os.path.join(path, 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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frontAddress = str(setting['frontAddress'])
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frontPort = int(setting['frontPort'])
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marketAddress = str(setting['marketAddress'])
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marketPort = int(setting['marketPort'])
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userId = str(setting['userId'])
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userPwd = str(setting['userPwd'])
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except KeyError:
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self.writeLog(u'连接配置缺少字段，请检查')
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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.api.connect(userId, userPwd,
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frontAddress, frontPort,
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marketAddress, marketPort)
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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 writeLog(self, logContent):
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"""记录日志"""
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = logContent
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self.onLog(log)
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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.api.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.api.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.api.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.api.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.api.qryPosition()
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.api.close() # 释放接口对象
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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 ShzdGatewayApi(ShzdApi):
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"""直达接口的继承实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(ShzdGatewayApi, self).__init__()
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self.gateway = gateway
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self.gatewayName = gateway.gatewayName
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self.userId = EMPTY_STRING # 用户名
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self.accountNo = EMPTY_STRING # 查询等用的单一账号
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self.accountNoList = [] # 账号列表
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self.tradeCallbacks = {} # 交易回调函数映射
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self.marketCallbacks = {} # 行情回调函数映射
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# 委托相关
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self.localNo = EMPTY_INT # 本地委托号
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self.orderDict = {} # key为str(localNo)，value为委托对象
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self.orderNoDict = {} # key为OrderNo，value为localNo
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self.localNoDict = {} # key为str(localNo)，value为(SystemNo, OrderNo)
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self.cancelDict = {} # key为等待撤单的str(localNo)，value为CancelOrderReq
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# 委托号前缀
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n = datetime.now()
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self.orderPrefix = n.strftime("%H%M%S.")
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# 持仓缓存
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self.posDict = {} # key为vtPositionName，value为VtPositionData
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# 是否进行了初始化
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self.inited = False
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self.initCallbacks()
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#----------------------------------------------------------------------
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def initCallbacks(self):
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"""初始化回调函数映射"""
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# 行情推送
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self.marketCallbacks['MA1'] = self.onMarketData
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# 登录和查询回报
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self.tradeCallbacks['A1'] = self.onLogin
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self.tradeCallbacks['AC1'] = self.onQryAccount
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self.tradeCallbacks['OS1'] = self.onQryPosition
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self.tradeCallbacks['HY'] = self.onQryContract
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self.tradeCallbacks['ORS1'] = self.onQryOrder
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self.tradeCallbacks['FS1'] = self.onTrade
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# 下单和撤单确认
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self.tradeCallbacks['O1'] = self.onSendOrder
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self.tradeCallbacks['C1'] = self.onCancelOrder
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# 成交委托推送
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self.tradeCallbacks['O3'] = self.onTrade
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self.tradeCallbacks['OST'] = self.onOrder
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#----------------------------------------------------------------------
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def onReceiveErrorInfo(self, errcode, errmsg):
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"""错误推送回报"""
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = errcode
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err.errorMsg = errmsg
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def onReceiveMarketInfo(self, data):
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"""行情推送回报"""
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func = self.marketCallbacks.get(data['msgtype'], None)
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if func:
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func(data)
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#----------------------------------------------------------------------
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def onReceiveTradeInfo(self, data):
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"""交易推送回报"""
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func = self.tradeCallbacks.get(data['msgtype'], None)
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if func:
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func(data)
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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['307']
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tick.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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tick.volume = int(data['513'])
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tick.openInterest = int(data['514'])
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dt = data['512'].split(' ')
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tick.time = dt[1]
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tick.date = dt[0].replace('_', '')
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try:
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tick.lastPrice = float(data['504'])
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tick.openPrice = float(data['508'])
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tick.highPrice = float(data['506'])
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tick.lowPrice = float(data['507'])
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tick.preClosePrice = float(data['509'])
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# 可以实现5档深度
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tick.bidPrice1 = float(data['500'])
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tick.bidPrice2 = float(data['515'])
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tick.bidPrice3 = float(data['516'])
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tick.bidPrice4 = float(data['517'])
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tick.bidPrice5 = float(data['518'])
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tick.bidVolume1 = int(data['501'])
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tick.bidVolume2 = int(data['519'])
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tick.bidVolume3 = int(data['520'])
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tick.bidVolume4 = int(data['521'])
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tick.bidVolume5 = int(data['522'])
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tick.askPrice1 = float(data['502'])
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tick.askPrice2 = float(data['523'])
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tick.askPrice3 = float(data['524'])
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tick.askPrice4 = float(data['525'])
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tick.askPrice5 = float(data['526'])
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tick.askVolume1 = int(data['503'])
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tick.askVolume2 = int(data['527'])
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tick.askVolume3 = int(data['528'])
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tick.askVolume4 = int(data['529'])
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tick.askVolume5 = int(data['530'])
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except ValueError:
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pass
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self.gateway.onTick(tick)
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#----------------------------------------------------------------------
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def onLogin(self, data):
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"""登录成功推送"""
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if '11' in data:
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self.accountNo = data['11']
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self.accountNoList.append(data['11'])
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self.loginStatus = True
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self.gateway.writeLog(u'账户%s，结算货币%s' %(data['11'], data['200']))
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if '410' in data and data['410'] == '1':
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self.gateway.writeLog(u'登录成功')
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#self.qryContract()
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self.qryOrder()
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self.qryTrade()
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#----------------------------------------------------------------------
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def onSendOrder(self, data):
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"""下单回报"""
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if not data['404'] or data['404'] == '00000':
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.symbol = data['307']
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order.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
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order.vtSymbol = '.'.join([order.symbol, order.exchange])
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order.orderID = data['305']
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order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
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order.direction = directionMapReverse.get(data['308'], DIRECTION_UNKNOWN)
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order.price = float(data['310'])
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order.totalVolume = int(data['309'])
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order.status = orderStatusMapReverse.get(data['405'], STATUS_UNKNOWN)
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order.orderTime = data['346']
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self.orderDict[order.orderID] = order
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self.localNoDict[order.orderID] = (data['300'], data['301'])
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self.orderNoDict[data['301']] = order.orderID
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# 委托查询
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if '315' in data:
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order.tradedVolume = int(data['315'])
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self.gateway.onOrder(copy(order))
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# 检查是否要撤单
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if order.orderID in self.cancelDict:
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self.cancelOrder(self.cancelDict[order.orderID])
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del self.cancelDict[order.orderID]
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else:
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error = VtErrorData()
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error.gatewayName = self.gatewayName
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error.errorID = data['404']
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error.errorMsg = u'委托失败'
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self.gateway.onError(error)
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#----------------------------------------------------------------------
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def onCancelOrder(self, data):
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"""撤单回报"""
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orderID = self.orderNoDict[data['301']]
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order = self.orderDict[orderID]
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if not data['404'] or data['404'] == '00000':
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order.status = STATUS_CANCELLED
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order.cancelTime = data['326']
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self.gateway.onOrder(copy(order))
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else:
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error = VtErrorData()
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error.gatewayName = self.gatewayName
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error.errorID = data['404']
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error.errorMsg = u'撤单失败'
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self.gateway.onError(error)
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#----------------------------------------------------------------------
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def onTrade(self, data):
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"""成交推送"""
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if '307' in data:
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trade = VtTradeData()
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trade.gatewayName = self.gatewayName
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trade.symbol = data['307']
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trade.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
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trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
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trade.tradeID = data['304']
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trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
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trade.orderID = data['305']
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trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
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trade.direction = directionMapReverse.get(data['308'], DIRECTION_UNKNOWN)
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trade.price = float(data['313'])
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trade.volume = int(data['315'])
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trade.tradeTime = data['326']
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self.gateway.onTrade(trade)
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elif '410' in data and data['410'] == '1':
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self.gateway.writeLog(u'成交查询完成')
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#----------------------------------------------------------------------
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def onOrder(self, data):
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"""委托变化推送"""
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orderID = self.orderNoDict.get(data['301'], None)
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if orderID:
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order = self.orderDict[orderID]
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order.tradedVolume = int(data['315'])
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if order.tradedVolume > 0:
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if order.tradedVolume < order.totalVolume:
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order.status = STATUS_PARTTRADED
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else:
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order.status = STATUS_ALLTRADED
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self.gateway.onOrder(copy(order))
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#----------------------------------------------------------------------
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def onQryOrder(self, data):
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"""查询委托回报"""
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if '404' in data and data['404'] != '00000':
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error = VtErrorData()
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error.gatewayName = self.gatewayName
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error.errorID = data['404']
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error.errorMsg = u'查询委托失败'
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self.gateway.onError(error)
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elif '410' not in data and '307' in data:
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.symbol = data['307']
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order.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
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order.vtSymbol = '.'.join([order.symbol, order.exchange])
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order.orderID = data['305']
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order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
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order.direction = directionMapReverse.get(data['308'], DIRECTION_UNKNOWN)
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order.price = float(data['310'])
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order.totalVolume = int(data['309'])
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order.status = orderStatusMapReverse.get(data['405'], STATUS_UNKNOWN)
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order.orderTime = data['346']
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order.cancelTime = data['326']
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self.orderDict[order.orderID] = order
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self.localNoDict[order.orderID] = (data['300'], data['301'])
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self.orderNoDict[data['301']] = order.orderID
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order.tradedVolume = int(data['315'])
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self.gateway.onOrder(copy(order))
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elif '410' in data and data['410'] == '1':
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self.gateway.writeLog(u'委托查询完成')
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#----------------------------------------------------------------------
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def onQryPosition(self, data):
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"""持仓查询返回"""
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if '307' in data:
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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pos.symbol = data['307']
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pos.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
|
||
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
|
||
|
||
# 多头仓位
|
||
longPosName = '.'.join([pos.vtSymbol, DIRECTION_LONG])
|
||
try:
|
||
longPos = self.posDict[longPosName]
|
||
except KeyError:
|
||
longPos = copy(pos)
|
||
longPos.direction = DIRECTION_LONG
|
||
longPos.vtPositionName = longPosName
|
||
self.posDict[longPosName] = longPos
|
||
|
||
longPos.position = int(data['442'])
|
||
longPos.price = float(data['443'])
|
||
|
||
# 空头仓位
|
||
shortPosName = '.'.join([pos.vtSymbol, DIRECTION_SHORT])
|
||
try:
|
||
shortPos = self.posDict[shortPosName]
|
||
except KeyError:
|
||
shortPos = copy(pos)
|
||
shortPos.direction = DIRECTION_SHORT
|
||
shortPos.vtPositionName = shortPosName
|
||
self.posDict[shortPosName] = shortPos
|
||
|
||
shortPos.position = int(data['445'])
|
||
shortPos.price = float(data['446'])
|
||
|
||
# 所有持仓数据推送完成后才向事件引擎中更新持仓数据
|
||
if '410' in data and data['410'] == '1':
|
||
for pos in self.posDict.values():
|
||
self.gateway.onPosition(pos)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onQryAccount(self, data):
|
||
"""账户资金查询返回"""
|
||
if '11' in data:
|
||
account = VtAccountData()
|
||
account.gatewayName = self.gatewayName
|
||
|
||
account.accountID = data['11']
|
||
account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
|
||
account.preBalance = float(data['218'])
|
||
account.balance = float(data['203'])
|
||
account.available = float(data['201'])
|
||
account.commission = float(data['221'])
|
||
account.margin = float(data['212'])
|
||
account.closeProfit = float(data['205'])
|
||
account.positionProfit = float(data['216'])
|
||
|
||
self.gateway.onAccount(account)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onQryContract(self, data):
|
||
"""查询合约推送"""
|
||
if '306' in data and data['306'] in exchangeMapReverse:
|
||
contract = VtContractData()
|
||
contract.gatewayName = self.gatewayName
|
||
|
||
contract.symbol = data['333'] + data['307']
|
||
contract.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
|
||
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||
|
||
contract.name = data['332'].decode('GBK')
|
||
contract.productClass = productClassMapReverse.get(data['335'], '')
|
||
contract.size = float(data['336'])
|
||
contract.priceTick = float(data['337'])
|
||
|
||
# 期权合约数量太多，为了方便起见默认接口只接收期货合约数据
|
||
if contract.productClass == PRODUCT_FUTURES:
|
||
self.gateway.onContract(contract)
|
||
|
||
if '410' in data and data['410'] == '1':
|
||
self.gateway.writeLog(u'合约查询完成')
|
||
|
||
#----------------------------------------------------------------------
|
||
def connect(self, userId, userPwd,
|
||
frontAddress, frontPort,
|
||
marketAddress, marketPort):
|
||
"""连接"""
|
||
self.userId = userId
|
||
|
||
# 初始化接口
|
||
n = self.initShZdServer()
|
||
if n:
|
||
self.gateway.writeLog(u'接口初始化失败，原因%s' %n)
|
||
return
|
||
else:
|
||
self.gateway.writeLog(u'接口初始化成功')
|
||
self.inited = True
|
||
|
||
# 连接交易服务器
|
||
n = self.registerFront(frontAddress, frontPort)
|
||
if n:
|
||
self.gateway.writeLog(u'交易服务器连接失败，原因%s' %n)
|
||
return
|
||
else:
|
||
self.gateway.writeLog(u'交易服务器连接成功')
|
||
|
||
# 连接行情服务器
|
||
n = self.registerMarket(marketAddress, marketPort)
|
||
if n:
|
||
self.gateway.writeLog(u'行情服务器连接失败，原因%s' %n)
|
||
return
|
||
else:
|
||
self.gateway.writeLog(u'行情服务器连接成功')
|
||
|
||
# 登录
|
||
req = {}
|
||
req['msgtype'] = 'A'
|
||
req['12'] = 'demo000604'
|
||
req['16'] = '888888'
|
||
self.shzdSendInfoToTrade(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def subscribe(self, subscribeReq):
|
||
"""订阅行情"""
|
||
req = {}
|
||
req['msgtype'] = 'MA'
|
||
req['11'] = self.accountNo
|
||
req['201'] = '+'
|
||
req['307'] = ','.join([exchangeMap[subscribeReq.exchange], subscribeReq.symbol])
|
||
self.shzdSendInfoToMarket(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, orderReq):
|
||
"""发单"""
|
||
req = {}
|
||
req['msgtype'] = 'O'
|
||
req['12'] = self.userId
|
||
req['11'] = self.accountNo
|
||
req['306'] = exchangeMap.get(orderReq.exchange, '')
|
||
req['307'] = orderReq.symbol
|
||
req['308'] = directionMap.get(orderReq.direction, '')
|
||
req['309'] = str(orderReq.volume)
|
||
req['310'] = str(orderReq.price)
|
||
req['401'] = priceTypeMap.get(orderReq.priceType, '')
|
||
|
||
self.localNo += 1
|
||
req['305'] = self.orderPrefix + str(self.localNo).rjust(10, '0')
|
||
|
||
self.shzdSendInfoToTrade(req)
|
||
|
||
vtOrderID = '.'.join([self.gatewayName, str(self.localNo)])
|
||
return vtOrderID
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, cancelReq):
|
||
"""撤单"""
|
||
tmp = self.localNoDict.get(cancelReq.orderID, None)
|
||
|
||
if tmp:
|
||
systemNo = tmp[0]
|
||
orderNo = tmp[1]
|
||
order = self.orderDict[cancelReq.orderID]
|
||
|
||
req = {}
|
||
req['msgtype'] = 'C'
|
||
req['12'] = self.userId
|
||
req['11'] = self.accountNo
|
||
req['300'] = systemNo
|
||
req['301'] = orderNo
|
||
req['306'] = exchangeMap.get(order.exchange, '')
|
||
req['307'] = order.symbol
|
||
req['308'] = directionMap.get(order.direction, '')
|
||
req['309'] = str(order.totalVolume)
|
||
req['310'] = str(order.price)
|
||
req['315'] = str(order.tradedVolume)
|
||
|
||
self.shzdSendInfoToTrade(req)
|
||
else:
|
||
self.cancelSet.add(cancelReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryAccount(self):
|
||
"""查询账户"""
|
||
req = {}
|
||
req['msgtype'] = 'AC'
|
||
req['12'] = self.userId
|
||
req['11'] = self.accountNo
|
||
self.shzdSendInfoToTrade(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryPosition(self):
|
||
"""持仓查询"""
|
||
req = {}
|
||
req['msgtype'] = 'OS'
|
||
req['12'] = self.userId
|
||
req['11'] = self.accountNo
|
||
self.shzdSendInfoToTrade(req)
|
||
|
||
# 清空持仓数据
|
||
for pos in self.posDict.values():
|
||
pos.price = 0
|
||
pos.position = 0
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryContract(self):
|
||
"""合约查询"""
|
||
req = {}
|
||
req['msgtype'] = 'HY'
|
||
req['11'] = self.accountNo
|
||
self.shzdSendInfoToTrade(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryTrade(self):
|
||
"""成交查询"""
|
||
req = {}
|
||
req['msgtype'] = 'FS'
|
||
req['12'] = self.userId
|
||
req['11'] = self.accountNo
|
||
self.shzdSendInfoToTrade(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryOrder(self):
|
||
"""委托查询"""
|
||
req = {}
|
||
req['msgtype'] = 'ORS'
|
||
req['12'] = self.userId
|
||
req['11'] = self.accountNo
|
||
self.shzdSendInfoToTrade(req)
|
||
|
||
#----------------------------------------------------------------------
|
||
def close(self):
|
||
"""关闭接口"""
|
||
if self.inited:
|
||
self.release()
|
||
|
||
#----------------------------------------------------------------------
|
||
def printDict(d):
|
||
"""打印字典"""
|
||
print('-' * 50)
|
||
l = d.keys()
|
||
l.sort()
|
||
for k in l:
|
||
print(k, ':', d[k])
|
||
|