def OnRtnTrade(self, Trade):
"""成交回报"""
# print('OnRtnTrade:', Trade)
print('OnRtnTrade:\n', Utils.code_transform(Trade))
PyCTP_Trader_API.dfOnRtnTrade = DataFrame.append(
PyCTP_Trader_API.dfOnRtnTrade,
other=Utils.code_transform(Trade),
ignore_index=True)
def OnRtnOrder(self, Order):
"""报单回报"""
# print('OnRtnOrder:', Order)
print('OnRtnOrder:\n', Utils.code_transform(Order))
# 未调用API OrderInsert之前还未生成属性_PyCTP_Trader_API__rsp_OrderInsert
if hasattr(self, '_PyCTP_Trader_API__rsp_OrderInsert'):
if self.__rsp_OrderInsert['InputOrder']['OrderRef'] == Order[
'OrderRef']:
self.__rsp_OrderInsert['event'].set()
PyCTP_Trader_API.dfOnRtnOrder = DataFrame.append(
PyCTP_Trader_API.dfOnRtnOrder,
other=Utils.code_transform(Order),
ignore_index=True)
def OnRtnInstrumentStatus(self, InstrumentStatus):
# 将查询结果用df保存
series_InstrumentStatus = Series(
Utils.code_transform(InstrumentStatus))
PyCTP_Trader.dfQryInstrumentStatus = pd.DataFrame.append(
PyCTP_Trader.dfQryInstrumentStatus,
other=series_InstrumentStatus,
ignore_index=True)
def __init__(self, InstrumentID):
self.BrokerID = b'9999'
self.UserID = b'123141' # 063802
self.Password = b'062929AAA' # 123456
self.ExchangeID = b'SHFE'
self.listInstrumentID = [b'j1901', b'cu1612']
self.InstrumentID = InstrumentID
self.trader = Trade1.PyCTP_Trader.CreateFtdcTraderApi(
b'tmp/_tmp_t_') # Trade实例
self.market = Market1.PyCTP_Market.CreateFtdcMdApi(
b'tmp/_tmp_m_') # Market实例
#连接交易前置
self.trader.Connect(b'tcp://180.168.146.187:10000')
self.market.Connect(b'tcp://180.168.146.187:10010')
#交易账号登陆
self.trader.Login(self.BrokerID, self.UserID, self.Password)
self.market.Login(self.BrokerID, self.UserID, self.Password)
print('交易日', Utils.code_transform(self.trader.GetTradingDay()))
print(
'查询行情',
Utils.code_transform(self.trader.QryDepthMarketData(InstrumentID)))
def queryMarketDate(self):
# 查询的行情数据
k_data = Utils.code_transform(
self.trader.QryDepthMarketData(self.InstrumentID))
# 将结果添加到数据库
print(datetime.datetime.now())
for dict_one in k_data:
try:
res = db01.add_kdata(dict_one)
print("添加数据成功")
except Exception as e:
print("错误为", e)
print("添加数据失败")
def OnRspQryInstrument(self, Instrument, RspInfo, RequestID, IsLast):
""" 请求查询合约响应 """
# print('OnRspQryInstrument:', Instrument, IsLast)
series_Instrument = Series(Utils.code_transform(Instrument))
PyCTP_Trader.dfQryInstrument = pd.DataFrame.append(
PyCTP_Trader.dfQryInstrument,
other=series_Instrument,
ignore_index=True)
if RequestID == self.__rsp_QryInstrument['RequestID']:
if RspInfo is not None:
self.__rsp_QryInstrument.update(RspInfo)
if Instrument is not None:
self.__rsp_QryInstrument['results'].append(Instrument)
if IsLast:
self.__rsp_QryInstrument['event'].set()
def OnRspQryInvestorPosition(self, InvestorPosition, RspInfo, RequestID,
IsLast):
""" 请求查询投资者持仓响应 """
if RequestID == self.__rsp_QryInvestorPosition['RequestID']:
if RspInfo is not None:
self.__rsp_QryInvestorPosition.update(RspInfo)
if InvestorPosition is not None:
self.__rsp_QryInvestorPosition['results'].append(
InvestorPosition)
if IsLast:
# 将查询结果转为df格式
for i in self.__rsp_QryInvestorPosition['results']:
PyCTP_Trader_API.dfQryInvestorPosition = DataFrame.append(
PyCTP_Trader_API.dfQryInvestorPosition,
other=Utils.code_transform(i),
ignore_index=True)
self.__rsp_QryInvestorPosition['event'].set()
def OnRspQryTrade(self, Trade, RspInfo, RequestID, IsLast):
"""请求查询成交单响应"""
if RequestID == self.__rsp_QryTrade['RequestID']:
if RspInfo is not None:
self.__rsp_QryTrade.update(RspInfo)
if Trade is not None:
self.__rsp_QryTrade['results'].append(Trade)
PyCTP_Trader_API.dfQryTrade = DataFrame.append(
PyCTP_Trader_API.dfQryTrade,
other=Utils.code_transform(Trade),
ignore_index=True)
if IsLast:
print("OnRspQryTrade() Trade", Trade)
print("OnRspQryTrade() RspInfo", RspInfo)
print("OnRspQryTrade() RequestID", RequestID)
print("OnRspQryTrade() IsLast", IsLast)
self.__rsp_QryTrade['event'].set()
def OnRspQryOrder(self, Order, RspInfo, RequestID, IsLast):
"""请求查询投资者持仓响应"""
if RequestID == self.__rsp_QryOrder['RequestID']:
if RspInfo is not None:
self.__rsp_QryOrder.update(RspInfo)
if Order is not None:
self.__rsp_QryOrder['results'].append(Order)
PyCTP_Trader_API.dfQryOrder = DataFrame.append(
PyCTP_Trader_API.dfQryOrder,
other=Utils.code_transform(Order),
ignore_index=True)
if IsLast:
print("OnRspQryOrder() Order", Order)
print("OnRspQryOrder() RspInfo", RspInfo)
print("OnRspQryOrder() RequestID", RequestID)
print("OnRspQryOrder() IsLast", IsLast)
self.__rsp_QryOrder['event'].set()
def OnErrRtnOrderInsert(self, InputOrder, RspInfo):
"""报单录入错误回报"""
print('OnErrRtnOrderInsert:', Utils.code_transform(InputOrder),
Utils.code_transform(RspInfo))
def OnErrRtnOrderAction(self, OrderAction, RspInfo):
""" 报单操作错误回报 """
print('OnErrRtnOrderAction:', Utils.code_transform(OrderAction),
Utils.code_transform(RspInfo))
def queryMarketDate(self):
time.sleep(1.0)
#查询的行情数据
return Utils.code_transform(
self.trader.QryDepthMarketData(self.InstrumentID))