9f6ea1fd5c
2. 将vn.trader下的所有接口统一放到了一个单独的gateway文件夹中,并实现自动识别和加载
730 lines
27 KiB
Python
730 lines
27 KiB
Python
# encoding: UTF-8
|
||
|
||
'''
|
||
vn.shzd的gateway接入
|
||
|
||
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
|
||
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
|
||
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
|
||
不更新的情况,使用缓存机制来处理
|
||
'''
|
||
|
||
|
||
import os
|
||
import json
|
||
from copy import copy
|
||
from datetime import datetime
|
||
|
||
from vnshzd import ShzdApi
|
||
from vtGateway import *
|
||
|
||
|
||
# 以下为一些VT类型和SHZD类型的映射字典
|
||
# 价格类型映射
|
||
priceTypeMap = {}
|
||
priceTypeMap[PRICETYPE_LIMITPRICE] = '1'
|
||
priceTypeMap[PRICETYPE_MARKETPRICE] = '2'
|
||
priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
|
||
|
||
# 方向类型映射
|
||
directionMap = {}
|
||
directionMap[DIRECTION_LONG] = '1'
|
||
directionMap[DIRECTION_SHORT] = '2'
|
||
directionMapReverse = {v: k for k, v in directionMap.items()}
|
||
|
||
# 交易所类型映射
|
||
exchangeMap = {}
|
||
#exchangeMap[EXCHANGE_CFFEX] = 'CFFEX'
|
||
#exchangeMap[EXCHANGE_SHFE] = 'SHFE'
|
||
#exchangeMap[EXCHANGE_CZCE] = 'CZCE'
|
||
#exchangeMap[EXCHANGE_DCE] = 'DCE'
|
||
exchangeMap[EXCHANGE_HKEX] = 'HKEX'
|
||
exchangeMap[EXCHANGE_CME] = 'CME'
|
||
exchangeMap[EXCHANGE_ICE] = 'ICE'
|
||
exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
|
||
|
||
# 产品类型映射
|
||
productClassMap = {}
|
||
productClassMap[PRODUCT_FUTURES] = 'F'
|
||
productClassMap[PRODUCT_OPTION] = 'O'
|
||
productClassMapReverse = {v:k for k,v in productClassMap.items()}
|
||
|
||
# 委托状态映射
|
||
orderStatusMapReverse = {}
|
||
orderStatusMapReverse['2'] = STATUS_NOTTRADED
|
||
orderStatusMapReverse['3'] = STATUS_PARTTRADED
|
||
orderStatusMapReverse['4'] = STATUS_ALLTRADED
|
||
orderStatusMapReverse['5'] = STATUS_CANCELLED
|
||
orderStatusMapReverse['6'] = STATUS_CANCELLED
|
||
|
||
|
||
########################################################################
|
||
class ShzdGateway(VtGateway):
|
||
"""SHZD接口"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, eventEngine, gatewayName='SHZD'):
|
||
"""Constructor"""
|
||
super(ShzdGateway, self).__init__(eventEngine, gatewayName)
|
||
|
||
self.api = ShzdGatewayApi(self)
|
||
|
||
self.qryEnabled = False # 是否要启动循环查询
|
||
|
||
#----------------------------------------------------------------------
|
||
def connect(self):
|
||
"""连接"""
|
||
# 载入json文件
|
||
fileName = self.gatewayName + '_connect.json'
|
||
path = os.path.abspath(os.path.dirname(__file__))
|
||
fileName = os.path.join(path, fileName)
|
||
|
||
try:
|
||
f = file(fileName)
|
||
except IOError:
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'读取连接配置出错,请检查'
|
||
self.onLog(log)
|
||
return
|
||
|
||
# 解析json文件
|
||
setting = json.load(f)
|
||
try:
|
||
frontAddress = str(setting['frontAddress'])
|
||
frontPort = int(setting['frontPort'])
|
||
marketAddress = str(setting['marketAddress'])
|
||
marketPort = int(setting['marketPort'])
|
||
userId = str(setting['userId'])
|
||
userPwd = str(setting['userPwd'])
|
||
except KeyError:
|
||
self.writeLog(u'连接配置缺少字段,请检查')
|
||
return
|
||
|
||
# 创建行情和交易接口对象
|
||
self.api.connect(userId, userPwd,
|
||
frontAddress, frontPort,
|
||
marketAddress, marketPort)
|
||
|
||
# 初始化并启动查询
|
||
self.initQuery()
|
||
|
||
#----------------------------------------------------------------------
|
||
def writeLog(self, logContent):
|
||
"""记录日志"""
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = logContent
|
||
self.onLog(log)
|
||
|
||
#----------------------------------------------------------------------
|
||
def subscribe(self, subscribeReq):
|
||
"""订阅行情"""
|
||
self.api.subscribe(subscribeReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, orderReq):
|
||
"""发单"""
|
||
return self.api.sendOrder(orderReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, cancelOrderReq):
|
||
"""撤单"""
|
||
self.api.cancelOrder(cancelOrderReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryAccount(self):
|
||
"""查询账户资金"""
|
||
self.api.qryAccount()
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryPosition(self):
|
||
"""查询持仓"""
|
||
self.api.qryPosition()
|
||
|
||
#----------------------------------------------------------------------
|
||
def close(self):
|
||
"""关闭"""
|
||
self.api.close() # 释放接口对象
|
||
|
||
#----------------------------------------------------------------------
|
||
def initQuery(self):
|
||
"""初始化连续查询"""
|
||
if self.qryEnabled:
|
||
# 需要循环的查询函数列表
|
||
self.qryFunctionList = [self.qryAccount, self.qryPosition]
|
||
|
||
self.qryCount = 0 # 查询触发倒计时
|
||
self.qryTrigger = 2 # 查询触发点
|
||
self.qryNextFunction = 0 # 上次运行的查询函数索引
|
||
|
||
self.startQuery()
|
||
|
||
#----------------------------------------------------------------------
|
||
def query(self, event):
|
||
"""注册到事件处理引擎上的查询函数"""
|
||
self.qryCount += 1
|
||
|
||
if self.qryCount > self.qryTrigger:
|
||
# 清空倒计时
|
||
self.qryCount = 0
|
||
|
||
# 执行查询函数
|
||
function = self.qryFunctionList[self.qryNextFunction]
|
||
function()
|
||
|
||
# 计算下次查询函数的索引,如果超过了列表长度,则重新设为0
|
||
self.qryNextFunction += 1
|
||
if self.qryNextFunction == len(self.qryFunctionList):
|
||
self.qryNextFunction = 0
|
||
|
||
#----------------------------------------------------------------------
|
||
def startQuery(self):
|
||
"""启动连续查询"""
|
||
self.eventEngine.register(EVENT_TIMER, self.query)
|
||
|
||
#----------------------------------------------------------------------
|
||
def setQryEnabled(self, qryEnabled):
|
||
"""设置是否要启动循环查询"""
|
||
self.qryEnabled = qryEnabled
|
||
|
||
|
||
########################################################################
|
||
class ShzdGatewayApi(ShzdApi):
|
||
"""直达接口的继承实现"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, gateway):
|
||
"""Constructor"""
|
||
super(ShzdGatewayApi, self).__init__()
|
||
|
||
self.gateway = gateway
|
||
self.gatewayName = gateway.gatewayName
|
||
|
||
self.userId = EMPTY_STRING # 用户名
|
||
self.accountNo = EMPTY_STRING # 查询等用的单一账号
|
||
self.accountNoList = [] # 账号列表
|
||
|
||
self.tradeCallbacks = {} # 交易回调函数映射
|
||
self.marketCallbacks = {} # 行情回调函数映射
|
||
|
||
# 委托相关
|
||
self.localNo = EMPTY_INT # 本地委托号
|
||
self.orderDict = {} # key为str(localNo),value为委托对象
|
||
self.orderNoDict = {} # key为OrderNo,value为localNo
|
||
self.localNoDict = {} # key为str(localNo),value为(SystemNo, OrderNo)
|
||
self.cancelDict = {} # key为等待撤单的str(localNo),value为CancelOrderReq
|
||
|
||
# 委托号前缀
|
||
n = datetime.now()
|
||
self.orderPrefix = n.strftime("%H%M%S.")
|
||
|
||
# 持仓缓存
|
||
self.posDict = {} # key为vtPositionName,value为VtPositionData
|
||
|
||
# 是否进行了初始化
|
||
self.inited = False
|
||
|
||
self.initCallbacks()
|
||
|
||
#----------------------------------------------------------------------
|
||
def initCallbacks(self):
|
||
"""初始化回调函数映射"""
|
||
# 行情推送
|
||
self.marketCallbacks['MA1'] = self.onMarketData
|
||
|
||
# 登录和查询回报
|
||
self.tradeCallbacks['A1'] = self.onLogin
|
||
self.tradeCallbacks['AC1'] = self.onQryAccount
|
||
self.tradeCallbacks['OS1'] = self.onQryPosition
|
||
self.tradeCallbacks['HY'] = self.onQryContract
|
||
self.tradeCallbacks['ORS1'] = self.onQryOrder
|
||
self.tradeCallbacks['FS1'] = self.onTrade
|
||
|
||
# 下单和撤单确认
|
||
self.tradeCallbacks['O1'] = self.onSendOrder
|
||
self.tradeCallbacks['C1'] = self.onCancelOrder
|
||
|
||
# 成交委托推送
|
||
self.tradeCallbacks['O3'] = self.onTrade
|
||
self.tradeCallbacks['OST'] = self.onOrder
|
||
|
||
#----------------------------------------------------------------------
|
||
def onReceiveErrorInfo(self, errcode, errmsg):
|
||
"""错误推送回报"""
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorID = errcode
|
||
err.errorMsg = errmsg
|
||
self.gateway.onError(err)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onReceiveMarketInfo(self, data):
|
||
"""行情推送回报"""
|
||
func = self.marketCallbacks.get(data['msgtype'], None)
|
||
if func:
|
||
func(data)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onReceiveTradeInfo(self, data):
|
||
"""交易推送回报"""
|
||
func = self.tradeCallbacks.get(data['msgtype'], None)
|
||
if func:
|
||
func(data)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onMarketData(self, data):
|
||
"""行情推送"""
|
||
tick = VtTickData()
|
||
tick.gatewayName = self.gatewayName
|
||
|
||
tick.symbol = data['307']
|
||
tick.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
|
||
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
|
||
|
||
tick.volume = int(data['513'])
|
||
tick.openInterest = int(data['514'])
|
||
|
||
dt = data['512'].split(' ')
|
||
tick.time = dt[1]
|
||
tick.date = dt[0].replace('_', '')
|
||
|
||
try:
|
||
tick.lastPrice = float(data['504'])
|
||
tick.openPrice = float(data['508'])
|
||
tick.highPrice = float(data['506'])
|
||
tick.lowPrice = float(data['507'])
|
||
tick.preClosePrice = float(data['509'])
|
||
|
||
# 可以实现5档深度
|
||
tick.bidPrice1 = float(data['500'])
|
||
tick.bidPrice2 = float(data['515'])
|
||
tick.bidPrice3 = float(data['516'])
|
||
tick.bidPrice4 = float(data['517'])
|
||
tick.bidPrice5 = float(data['518'])
|
||
|
||
tick.bidVolume1 = int(data['501'])
|
||
tick.bidVolume2 = int(data['519'])
|
||
tick.bidVolume3 = int(data['520'])
|
||
tick.bidVolume4 = int(data['521'])
|
||
tick.bidVolume5 = int(data['522'])
|
||
|
||
tick.askPrice1 = float(data['502'])
|
||
tick.askPrice2 = float(data['523'])
|
||
tick.askPrice3 = float(data['524'])
|
||
tick.askPrice4 = float(data['525'])
|
||
tick.askPrice5 = float(data['526'])
|
||
|
||
tick.askVolume1 = int(data['503'])
|
||
tick.askVolume2 = int(data['527'])
|
||
tick.askVolume3 = int(data['528'])
|
||
tick.askVolume4 = int(data['529'])
|
||
tick.askVolume5 = int(data['530'])
|
||
|
||
except ValueError:
|
||
pass
|
||
|
||
self.gateway.onTick(tick)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onLogin(self, data):
|
||
"""登录成功推送"""
|
||
if '11' in data:
|
||
self.accountNo = data['11']
|
||
self.accountNoList.append(data['11'])
|
||
|
||
self.loginStatus = True
|
||
self.gateway.writeLog(u'账户%s,结算货币%s' %(data['11'], data['200']))
|
||
|
||
if '410' in data and data['410'] == '1':
|
||
self.gateway.writeLog(u'登录成功')
|
||
#self.qryContract()
|
||
self.qryOrder()
|
||
self.qryTrade()
|
||
|
||
#----------------------------------------------------------------------
|
||
def onSendOrder(self, data):
|
||
"""下单回报"""
|
||
if not data['404'] or data['404'] == '00000':
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
|
||
order.symbol = data['307']
|
||
order.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
|
||
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
||
|
||
order.orderID = data['305']
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
order.direction = directionMapReverse.get(data['308'], DIRECTION_UNKNOWN)
|
||
order.price = float(data['310'])
|
||
order.totalVolume = int(data['309'])
|
||
order.status = orderStatusMapReverse.get(data['405'], STATUS_UNKNOWN)
|
||
order.orderTime = data['346']
|
||
|
||
self.orderDict[order.orderID] = order
|
||
self.localNoDict[order.orderID] = (data['300'], data['301'])
|
||
self.orderNoDict[data['301']] = order.orderID
|
||
|
||
# 委托查询
|
||
if '315' in data:
|
||
order.tradedVolume = int(data['315'])
|
||
|
||
self.gateway.onOrder(copy(order))
|
||
|
||
# 检查是否要撤单
|
||
if order.orderID in self.cancelDict:
|
||
self.cancelOrder(self.cancelDict[order.orderID])
|
||
del self.cancelDict[order.orderID]
|
||
else:
|
||
error = VtErrorData()
|
||
error.gatewayName = self.gatewayName
|
||
error.errorID = data['404']
|
||
error.errorMsg = u'委托失败'
|
||
self.gateway.onError(error)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onCancelOrder(self, data):
|
||
"""撤单回报"""
|
||
orderID = self.orderNoDict[data['301']]
|
||
order = self.orderDict[orderID]
|
||
|
||
if not data['404'] or data['404'] == '00000':
|
||
order.status = STATUS_CANCELLED
|
||
order.cancelTime = data['326']
|
||
self.gateway.onOrder(copy(order))
|
||
else:
|
||
error = VtErrorData()
|
||
error.gatewayName = self.gatewayName
|
||
error.errorID = data['404']
|
||
error.errorMsg = u'撤单失败'
|
||
self.gateway.onError(error)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onTrade(self, data):
|
||
"""成交推送"""
|
||
if '307' in data:
|
||
trade = VtTradeData()
|
||
trade.gatewayName = self.gatewayName
|
||
|
||
trade.symbol = data['307']
|
||
trade.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
|
||
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
|
||
|
||
trade.tradeID = data['304']
|
||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||
|
||
trade.orderID = data['305']
|
||
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
||
|
||
trade.direction = directionMapReverse.get(data['308'], DIRECTION_UNKNOWN)
|
||
|
||
trade.price = float(data['313'])
|
||
trade.volume = int(data['315'])
|
||
trade.tradeTime = data['326']
|
||
|
||
self.gateway.onTrade(trade)
|
||
|
||
elif '410' in data and data['410'] == '1':
|
||
self.gateway.writeLog(u'成交查询完成')
|
||
|
||
#----------------------------------------------------------------------
|
||
def onOrder(self, data):
|
||
"""委托变化推送"""
|
||
orderID = self.orderNoDict.get(data['301'], None)
|
||
if orderID:
|
||
order = self.orderDict[orderID]
|
||
order.tradedVolume = int(data['315'])
|
||
|
||
if order.tradedVolume > 0:
|
||
if order.tradedVolume < order.totalVolume:
|
||
order.status = STATUS_PARTTRADED
|
||
else:
|
||
order.status = STATUS_ALLTRADED
|
||
|
||
self.gateway.onOrder(copy(order))
|
||
|
||
#----------------------------------------------------------------------
|
||
def onQryOrder(self, data):
|
||
"""查询委托回报"""
|
||
if '404' in data and data['404'] != '00000':
|
||
error = VtErrorData()
|
||
error.gatewayName = self.gatewayName
|
||
error.errorID = data['404']
|
||
error.errorMsg = u'查询委托失败'
|
||
self.gateway.onError(error)
|
||
|
||
elif '410' not in data and '307' in data:
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
|
||
order.symbol = data['307']
|
||
order.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
|
||
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
||
|
||
order.orderID = data['305']
|
||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||
|
||
order.direction = directionMapReverse.get(data['308'], DIRECTION_UNKNOWN)
|
||
order.price = float(data['310'])
|
||
order.totalVolume = int(data['309'])
|
||
order.status = orderStatusMapReverse.get(data['405'], STATUS_UNKNOWN)
|
||
order.orderTime = data['346']
|
||
order.cancelTime = data['326']
|
||
|
||
self.orderDict[order.orderID] = order
|
||
self.localNoDict[order.orderID] = (data['300'], data['301'])
|
||
self.orderNoDict[data['301']] = order.orderID
|
||
|
||
order.tradedVolume = int(data['315'])
|
||
|
||
self.gateway.onOrder(copy(order))
|
||
|
||
elif '410' in data and data['410'] == '1':
|
||
self.gateway.writeLog(u'委托查询完成')
|
||
|
||
#----------------------------------------------------------------------
|
||
def onQryPosition(self, data):
|
||
"""持仓查询返回"""
|
||
if '307' in data:
|
||
pos = VtPositionData()
|
||
pos.gatewayName = self.gatewayName
|
||
pos.symbol = data['307']
|
||
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]
|
||
|