1368 lines
50 KiB
Python
1368 lines
50 KiB
Python
# encoding: UTF-8
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'''
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vn.ctp的gateway接入
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考虑到现阶段大部分CTP中的ExchangeID字段返回的都是空值
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vtSymbol直接使用symbol
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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 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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import logging
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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_CLOSEYESTERDAY] = defineDict['THOST_FTDC_OF_CloseYesterday']
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offsetMapReverse = {v:k for k,v in offsetMap.items()}
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# 交易所类型映射
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exchangeMap = {}
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#exchangeMap[EXCHANGE_CFFEX] = defineDict['THOST_FTDC_EIDT_CFFEX']
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#exchangeMap[EXCHANGE_SHFE] = defineDict['THOST_FTDC_EIDT_SHFE']
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#exchangeMap[EXCHANGE_CZCE] = defineDict['THOST_FTDC_EIDT_CZCE']
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#exchangeMap[EXCHANGE_DCE] = defineDict['THOST_FTDC_EIDT_DCE']
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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_UNKNOWN] = ''
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exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
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# 持仓类型映射
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posiDirectionMap = {}
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posiDirectionMap[DIRECTION_NET] = defineDict["THOST_FTDC_PD_Net"]
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posiDirectionMap[DIRECTION_LONG] = defineDict["THOST_FTDC_PD_Long"]
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posiDirectionMap[DIRECTION_SHORT] = defineDict["THOST_FTDC_PD_Short"]
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posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()}
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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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self.qryEnabled = False # 是否要启动循环查询
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#----------------------------------------------------------------------
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def connect(self):
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"""连接"""
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# 载入json文件
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fileName = self.gatewayName + '_connect.json'
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fileName = os.getcwd() + '/ctpGateway/' + fileName
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try:
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f = file(fileName)
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except IOError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'读取连接配置出错，请检查'
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self.onLog(log)
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return
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# 解析json文件
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setting = json.load(f)
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try:
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userID = str(setting['userID'])
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password = str(setting['password'])
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brokerID = str(setting['brokerID'])
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tdAddress = str(setting['tdAddress'])
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mdAddress = str(setting['mdAddress'])
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'连接配置缺少字段，请检查'
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self.onLog(log)
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return
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# 创建行情和交易接口对象
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self.mdApi.connect(userID, password, brokerID, mdAddress)
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self.tdApi.connect(userID, password, brokerID, tdAddress)
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# 初始化并启动查询
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self.initQuery()
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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self.mdApi.subscribe(subscribeReq)
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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return self.tdApi.sendOrder(orderReq)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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self.tdApi.cancelOrder(cancelOrderReq)
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#----------------------------------------------------------------------
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def qryAccount(self):
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"""查询账户资金"""
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self.tdApi.qryAccount()
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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self.tdApi.qryPosition()
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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if self.mdConnected:
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self.mdApi.close()
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if self.tdConnected:
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self.tdApi.close()
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#----------------------------------------------------------------------
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def initQuery(self):
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"""初始化连续查询"""
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if self.qryEnabled:
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# 需要循环的查询函数列表
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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 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.gatewayName = self.gatewayName
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log.logContent = u'行情服务器登录完成'
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self.gateway.onLog(log)
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# 重新订阅之前订阅的合约
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for subscribeReq in self.subscribedSymbols:
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self.subscribe(subscribeReq)
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# 否则，推送错误信息
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else:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = error['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.gatewayName = self.gatewayName
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tick.symbol = data['InstrumentID']
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tick.exchange = exchangeMapReverse.get(data['ExchangeID'], u'未知')
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tick.vtSymbol = tick.symbol #'.'.join([tick.symbol, EXCHANGE_UNKNOWN])
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tick.lastPrice = data['LastPrice']
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tick.volume = data['Volume']
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tick.openInterest = data['OpenInterest']
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tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
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tick.date = data['TradingDay']
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tick.openPrice = data['OpenPrice']
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tick.highPrice = data['HighestPrice']
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tick.lowPrice = data['LowestPrice']
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tick.preClosePrice = data['PreClosePrice']
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tick.upperLimit = data['UpperLimitPrice']
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tick.lowerLimit = data['LowerLimitPrice']
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# 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):
|
||
"""订阅合约"""
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||
# 这里的设计是，如果尚未登录就调用了订阅方法
|
||
# 则先保存订阅请求，登录完成后会自动订阅
|
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if self.loginStatus:
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self.subscribeMarketData(str(subscribeReq.symbol))
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self.subscribedSymbols.add(subscribeReq)
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|
||
#----------------------------------------------------------------------
|
||
def login(self):
|
||
"""登录"""
|
||
# 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 close(self):
|
||
"""关闭"""
|
||
self.exit()
|
||
|
||
|
||
########################################################################
|
||
class CtpTdApi(TdApi):
|
||
"""CTP交易API实现"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, gateway):
|
||
"""API对象的初始化函数"""
|
||
super(CtpTdApi, self).__init__()
|
||
|
||
self.gateway = gateway # gateway对象
|
||
self.gatewayName = gateway.gatewayName # gateway对象名称
|
||
|
||
self.reqID = EMPTY_INT # 操作请求编号
|
||
self.orderRef = EMPTY_INT # 订单编号
|
||
|
||
self.connectionStatus = False # 连接状态
|
||
self.loginStatus = False # 登录状态
|
||
|
||
self.userID = EMPTY_STRING # 账号
|
||
self.password = EMPTY_STRING # 密码
|
||
self.brokerID = EMPTY_STRING # 经纪商代码
|
||
self.address = EMPTY_STRING # 服务器地址
|
||
|
||
self.frontID = EMPTY_INT # 前置机编号
|
||
self.sessionID = EMPTY_INT # 会话编号
|
||
|
||
self.posBufferDict = {} # 缓存持仓数据的字典
|
||
|
||
#----------------------------------------------------------------------
|
||
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, n):
|
||
"""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 onHeartBeatWarning(self, n):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspAuthenticate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUserLogin(self, data, error, n, last):
|
||
"""登陆回报"""
|
||
# 如果登录成功，推送日志信息
|
||
if error['ErrorID'] == 0:
|
||
self.frontID = str(data['FrontID'])
|
||
self.sessionID = str(data['SessionID'])
|
||
self.loginStatus = True
|
||
self.gateway.mdConnected = True
|
||
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'交易服务器登录完成'
|
||
self.gateway.onLog(log)
|
||
|
||
# 确认结算信息
|
||
req = {}
|
||
req['BrokerID'] = self.brokerID
|
||
req['InvestorID'] = self.userID
|
||
self.reqID += 1
|
||
self.reqSettlementInfoConfirm(req, self.reqID)
|
||
|
||
# 否则，推送错误信息
|
||
else:
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['ErrorID']
|
||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUserLogout(self, data, error, n, last):
|
||
"""登出回报"""
|
||
# 如果登出成功，推送日志信息
|
||
if error['ErrorID'] == 0:
|
||
self.loginStatus = False
|
||
self.gateway.tdConnected = False
|
||
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'交易服务器登出完成'
|
||
self.gateway.onLog(log)
|
||
|
||
# 否则，推送错误信息
|
||
else:
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = error['ErrorID']
|
||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUserPasswordUpdate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspTradingAccountPasswordUpdate(self, data, error, n, last):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspOrderInsert(self, data, error, n, last):
|
||
"""发单错误（柜台）"""
|
||
|
||
logging.info(u'onRspOrderInsert')
|
||
|
||
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"""
|
||
# 获取缓存字典中的持仓缓存，若无则创建并初始化
|
||
positionName = '.'.join([data['InstrumentID'], data['PosiDirection']])
|
||
|
||
if positionName in self.posBufferDict:
|
||
posBuffer = self.posBufferDict[positionName]
|
||
else:
|
||
posBuffer = PositionBuffer(data, self.gatewayName)
|
||
self.posBufferDict[positionName] = posBuffer
|
||
|
||
# 更新持仓缓存，并获取VT系统中持仓对象的返回值
|
||
pos = posBuffer.updateBuffer(data)
|
||
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['CloseProfit'] + 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.exchange = exchangeMapReverse[data['ExchangeID']]
|
||
contract.vtSymbol = contract.symbol #'.'.join([contract.symbol, contract.exchange])
|
||
contract.name = data['InstrumentName'].decode('GBK')
|
||
|
||
# 合约数值
|
||
contract.size = data['VolumeMultiple']
|
||
contract.priceTick = data['PriceTick']
|
||
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
|
||
else:
|
||
contract.productClass = PRODUCT_UNKNOWN
|
||
|
||
# 期权类型
|
||
if data['OptionsType'] == '1':
|
||
contract.optionType = OPTION_CALL
|
||
elif data['OptionsType'] == '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)
|
||
|
||
#----------------------------------------------------------------------
|
||
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.exchange = exchangeMapReverse[data['ExchangeID']]
|
||
order.vtSymbol = order.symbol #'.'.join([order.symbol, order.exchange])
|
||
|
||
order.orderID = data['OrderRef']
|
||
|
||
# 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']
|
||
|
||
# CTP的报单号一致性维护需要基于frontID, sessionID, orderID三个字段
|
||
# 但在本接口设计中，已经考虑了CTP的OrderRef的自增性，避免重复
|
||
# 唯一可能出现OrderRef重复的情况是多处登录并在非常接近的时间内（几乎同时发单）
|
||
# 考虑到VtTrader的应用场景，认为以上情况不会构成问题
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
# 推送
|
||
self.gateway.onOrder(order)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnTrade(self, data):
|
||
"""成交回报"""
|
||
# 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[data['ExchangeID']]
|
||
trade.vtSymbol = trade.symbol #'.'.join([trade.symbol, trade.exchange])
|
||
|
||
trade.tradeID = data['TradeID']
|
||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||
|
||
trade.orderID = data['OrderRef']
|
||
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
||
|
||
# 方向
|
||
trade.direction = directionMapReverse.get(data['Direction'], '')
|
||
|
||
# 开平
|
||
trade.offset = offsetMapReverse.get(data['OffsetFlag'], '')
|
||
|
||
# 价格、报单量等数值
|
||
trade.price = data['Price']
|
||
trade.volume = data['Volume']
|
||
trade.tradeTime = data['TradeTime']
|
||
|
||
# 推送
|
||
self.gateway.onTrade(trade)
|
||
|
||
#----------------------------------------------------------------------
|
||
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 qryAccount(self):
|
||
"""查询账户"""
|
||
self.reqID += 1
|
||
self.reqQryTradingAccount({}, self.reqID)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryPosition(self):
|
||
"""查询持仓"""
|
||
self.reqID += 1
|
||
req = {}
|
||
req['BrokerID'] = self.brokerID
|
||
req['InvestorID'] = self.userID
|
||
self.reqQryInvestorPosition(req, self.reqID)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, orderReq):
|
||
"""发单"""
|
||
self.reqID += 1
|
||
self.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
|
||
req['OrderPriceType'] = priceTypeMap.get(orderReq.priceType, '')
|
||
req['Direction'] = directionMap.get(orderReq.direction, '')
|
||
req['CombOffsetFlag'] = offsetMap.get(orderReq.offset, '')
|
||
|
||
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
|
||
|
||
# 判断FAK和FOK
|
||
if orderReq.priceType == PRICETYPE_FAK:
|
||
req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"]
|
||
req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC']
|
||
req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV']
|
||
if orderReq.priceType == PRICETYPE_FOK:
|
||
req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"]
|
||
req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC']
|
||
req['VolumeCondition'] = defineDict['THOST_FTDC_VC_CV']
|
||
|
||
self.reqOrderInsert(req, self.reqID)
|
||
|
||
# 返回订单号（字符串），便于某些算法进行动态管理
|
||
vtOrderID = '.'.join([self.gatewayName, str(self.orderRef)])
|
||
return vtOrderID
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, cancelOrderReq):
|
||
"""撤单"""
|
||
self.reqID += 1
|
||
|
||
req = {}
|
||
|
||
req['InstrumentID'] = cancelOrderReq.symbol
|
||
req['ExchangeID'] = cancelOrderReq.exchange
|
||
req['OrderRef'] = cancelOrderReq.orderID
|
||
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()
|
||
|
||
|
||
########################################################################
|
||
class PositionBuffer(object):
|
||
"""用来缓存持仓的数据，处理上期所的数据返回分今昨的问题"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, data, gatewayName):
|
||
"""Constructor"""
|
||
self.symbol = data['InstrumentID']
|
||
self.direction = posiDirectionMapReverse.get(data['PosiDirection'], '')
|
||
|
||
self.todayPosition = EMPTY_INT
|
||
self.ydPosition = EMPTY_INT
|
||
self.todayPositionCost = EMPTY_FLOAT
|
||
self.ydPositionCost = EMPTY_FLOAT
|
||
|
||
# 通过提前创建持仓数据对象并重复使用的方式来降低开销
|
||
pos = VtPositionData()
|
||
pos.symbol = self.symbol
|
||
pos.vtSymbol = self.symbol
|
||
pos.gatewayName = gatewayName
|
||
pos.direction = self.direction
|
||
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
|
||
self.pos = pos
|
||
|
||
#----------------------------------------------------------------------
|
||
def updateBuffer(self, data):
|
||
"""更新缓存，返回更新后的持仓数据"""
|
||
# 昨仓和今仓的数据更新是分在两条记录里的，因此需要判断检查该条记录对应仓位
|
||
if data['TodayPosition']:
|
||
self.todayPosition = data['Position']
|
||
self.todayPositionCost = data['PositionCost']
|
||
elif data['YdPosition']:
|
||
self.ydPosition = data['Position']
|
||
self.ydPositionCost = data['PositionCost']
|
||
|
||
# 持仓的昨仓和今仓相加后为总持仓
|
||
self.pos.position = self.todayPosition + self.ydPosition
|
||
self.pos.ydPosition = self.ydPosition
|
||
|
||
# 如果手头还有持仓，则通过加权平均方式计算持仓均价
|
||
if self.todayPosition or self.ydPosition:
|
||
self.pos.price = ((self.todayPositionCost + self.ydPositionCost)/
|
||
(self.todayPosition + self.ydPosition))
|
||
# 否则价格为0
|
||
else:
|
||
self.pos.price = 0
|
||
|
||
return copy(self.pos)
|
||
|
||
#----------------------------------------------------------------------
|
||
def test():
|
||
"""测试"""
|
||
from PyQt4 import QtCore
|
||
import sys
|
||
|
||
def print_log(event):
|
||
log = event.dict_['data']
|
||
print ':'.join([log.logTime, log.logContent])
|
||
|
||
app = QtCore.QCoreApplication(sys.argv)
|
||
|
||
eventEngine = EventEngine()
|
||
eventEngine.register(EVENT_LOG, print_log)
|
||
eventEngine.start()
|
||
|
||
gateway = CtpGateway(eventEngine)
|
||
gateway.connect()
|
||
|
||
sys.exit(app.exec_())
|
||
|
||
|
||
if __name__ == '__main__':
|
||
test() |