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custom_api.py
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custom_api.py
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# coding: utf-8
import hashlib, os, sys, tempfile
from ctp.futures import ApiStruct, MdApi, TraderApi
from settings import logger, db
import models
import threading
class MyMdApi(MdApi):
def __init__(self, brokerID, userID, password, instrumentIDs):
self.requestID = 0
self.brokerID = brokerID
self.userID = userID
self.password = password
self.instrumentIDs = instrumentIDs
self.Create()
self.strategy = None
def Create(self):
dir = b''.join((b'ctp.futures', self.brokerID, self.userID))
dir = hashlib.md5(dir).hexdigest()
dir = os.path.join(tempfile.gettempdir(), dir, 'Md') + os.sep
if not os.path.isdir(dir): os.makedirs(dir)
MdApi.Create(self, os.fsencode(dir) if sys.version_info[0] >= 3 else dir)
def register_strategy(self, strategy):
self.strategy = strategy
def RegisterFront(self, front):
if isinstance(front, bytes):
return MdApi.RegisterFront(self, front)
for front in front:
MdApi.RegisterFront(self, front)
def OnFrontConnected(self):
logger.info('Market OnFrontConnected: Login...')
req = ApiStruct.ReqUserLogin(
BrokerID=self.brokerID, UserID=self.userID, Password=self.password)
self.requestID += 1
self.ReqUserLogin(req, self.requestID)
def OnFrontDisconnected(self, nReason):
logger.info('OnFrontDisconnected:{}'.format(nReason))
def OnHeartBeatWarning(self, nTimeLapse):
logger.info('OnHeartBeatWarning: {}'.format(nTimeLapse))
def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
logger.info('Market OnRspUserLogin:{}'.format(pRspInfo))
if pRspInfo.ErrorID == 0: # Success
logger.info('GetTradingDay:{}'.format(self.GetTradingDay()))
self.SubscribeMarketData(self.instrumentIDs)
def OnRspSubMarketData(self, pSpecificInstrument, pRspInfo, nRequestID, bIsLast):
logger.info('OnRspSubMarketData:{}'.format(pRspInfo))
def OnRspUnSubMarketData(self, pSpecificInstrument, pRspInfo, nRequestID, bIsLast):
logger.info('OnRspUnSubMarketData:{}'.format(pRspInfo))
def OnRspError(self, pRspInfo, nRequestID, bIsLast):
logger.info('OnRspError:{}'.format(pRspInfo))
def OnRspUserLogout(self, pUserLogout, pRspInfo, nRequestID, bIsLast):
logger.info('OnRspUserLogout:{}'.format(pRspInfo))
def OnRtnDepthMarketData(self, pDepthMarketData):
# print('OnRtnDepthMarketData:', pDepthMarketData)
models.TickData(pDepthMarketData).async_save_to_db(db)
if self.strategy:
self.strategy.on_tick(pDepthMarketData)
# logger.info('{}: {}'.format(pDepthMarketData.InstrumentID, pDepthMarketData.LastPrice))
class CustomTdApi(TraderApi):
def __init__(self, brokerID, userID, password, login_flag=None, api_type='normal'):
self.requestID = 0
self.brokerID = brokerID
self.userID = userID
self.password = password
self.Create()
self.strategy = None
self.login_flag = login_flag if login_flag else threading.Event()
self.login_flag.clear()
self.api_type = api_type
def register_strategy(self, strategy):
self.strategy = strategy
def RegisterFront(self, front):
if isinstance(front, bytes):
return TraderApi.RegisterFront(self, front)
for front in front:
TraderApi.RegisterFront(self, front)
def Create(self):
dir = b''.join((b'ctp.futures', self.brokerID, self.userID))
dir = hashlib.md5(dir).hexdigest()
dir = os.path.join(tempfile.gettempdir(), dir, 'Td') + os.sep
if not os.path.isdir(dir): os.makedirs(dir)
TraderApi.Create(self, os.fsencode(dir) if sys.version_info[0] >= 3 else dir)
def OnFrontConnected(self):
logger.info('Trader OnFrontConnected: Login...')
req = ApiStruct.ReqUserLogin(
BrokerID=self.brokerID, UserID=self.userID, Password=self.password)
self.requestID += 1
self.ReqUserLogin(req, self.requestID)
def OnFrontDisconnected(self, nReason):
logger.info('OnFrontDisconnected:{}'.format(nReason))
def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
logger.info('Trader OnRspUserLogin:{}'.format(pRspInfo))
if pRspInfo.ErrorID == 0: # Success
logger.info('GetTradingDay:{}'.format(self.GetTradingDay()))
'''Sending request for settlement confirm'''
self.requestID += 1
req = ApiStruct.SettlementInfoConfirm(BrokerID=self.brokerID, InvestorID=self.userID)
self.ReqSettlementInfoConfirm(req, self.requestID)
# 记录引用
if not self.strategy:
return
self.strategy.session_id = pRspUserLogin.SessionID
self.strategy.front_id = pRspUserLogin.FrontID
for k in self.strategy.order_refs:
self.strategy.order_refs[k] = pRspUserLogin.MaxOrderRef
def OnRspSettlementInfoConfirm(self, pSettlementInfoConfirm, pRspInfo, nRequestID, bIsLast):
# for id in self.instrumentIDs:
# qry_position = ApiStruct.QryInvestorPositionDetail(
# BrokerID=self.brokerID,
# InvestorID=self.userID,
# InstrumentID=id
# )
# self.requestID += 1
# self.ReqQryInvestorPositionDetail(qry_position, self.requestID)
logger.info('Settlement: {}'.format(pSettlementInfoConfirm))
self.login_flag.set()
def OnRspOrderInsert(self, pInputOrder, pRspInfo, nRequestID, bIsLast):
if not self.strategy:
if pRspInfo.ErrorID != 0:
logger.error('{}, requestID: {}'.format(pRspInfo.ErrorMsg, nRequestID).decode('gb2312'))
return
self.strategy.on_rsp_order_insert(pInputOrder, pRspInfo, nRequestID, bIsLast)
def OnRspOrderAction(self, pInputOrderAction, pRspInfo, nRequestID, bIsLast):
if not self.strategy:
if pRspInfo.ErrorID != 0:
logger.error(pRspInfo.ErrorMsg.decode('gb2312'))
return
self.strategy.on_rsp_order_action(pInputOrderAction, pRspInfo, nRequestID, bIsLast)
def OnRspQryInvestorPosition(self, pInvestorPosition, pRspInfo, nRequestID, bIsLast):
if not pInvestorPosition:
# 返回None，表示没有任何持仓
return
if not self.strategy:
logger.info(u'id={}, islast={}, ydposition={}, position={}'.format(
pInvestorPosition.InstrumentID,
bIsLast,
pInvestorPosition.YdPosition,
pInvestorPosition.Position
))
return
self.strategy.on_rsp_position(pInvestorPosition, pRspInfo, nRequestID, bIsLast)
def OnRspQryInvestorPositionDetail(self, pInvestorPositionDetail, pRspInfo, nRequestID, bIsLast):
if not pInvestorPositionDetail:
return
if self.api_type == 'close_all':
close_order = ApiStruct.InputOrder(
BrokerID=self.brokerID,
InvestorID=self.userID,
InstrumentID=pInvestorPositionDetail.InstrumentID,
OrderPriceType=ApiStruct.OPT_LimitPrice,
Direction=ApiStruct.D_Sell if pInvestorPositionDetail.Direction == ApiStruct.D_Buy else ApiStruct.D_Buy,
VolumeTotalOriginal=pInvestorPositionDetail.Volume,
TimeCondition=ApiStruct.TC_GFD,
VolumeCondition=ApiStruct.VC_AV,
CombHedgeFlag=ApiStruct.HF_Speculation,
CombOffsetFlag=ApiStruct.OF_CloseToday,
LimitPrice=models.TickData.latest(db, pInvestorPositionDetail.InstrumentID).last_price,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=False,
UserForceClose=False
)
self.requestID += 1
self.ReqOrderInsert(close_order, self.requestID)
logger.info(
'Close remaining orders, instrument: {}, requestID={}'.format(pInvestorPositionDetail.InstrumentID,
self.requestID))
# logger.info('Position: {}'.format(pInvestorPositionDetail))
def OnRtnOrder(self, pOrder):
if not self.strategy:
# logger.info(u'OnRtnOrder: {} '.format(pOrder))
return
self.strategy.on_rtn_order(pOrder)
# logger.info(u'{}: Opening..., direction:{}， offset:{} '.format(pOrder.InstrumentID, pOrder.Direction, pOrder.CombOffsetFlag))
def OnRtnTrade(self, pTrade):
if not self.strategy:
return
self.strategy.on_rtn_trade(pTrade)
# logger.info(u'{}: Deal，direction:{}， direction:{}'.format(pTrade.InstrumentID, pTrade.Direction, pTrade.OffsetFlag))