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tdapi.py
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tdapi.py
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# -*- coding:utf-8 -*-
from ctp.futures import ApiStruct, TraderApi
import utils
import time
class my_tdapi(TraderApi):
def __init__(self, broker_id,
investor_id, passwd, instrumentIDs, logger):
self.logger = logger # 日志器
self.logger.info( '=========== 交易实例开始创建 ===========')
self.broker_id = broker_id # 券商代码
self.investor_id = investor_id # 用户代码
self.passwd = passwd # 密码
self.instruimentIDs = instrumentIDs # 合约品种
time.sleep(0.5)
self.initial()
def initial(self):
"""
每次实例创建时需要初始化的变量（一般不改变）
:return:
"""
self.logger.info("行情价格初始化中...")
self.max_trade_time = 2 # 最大套利次数，一次套利包括了四次交易，必须是偶数，simNow只支持IH2次
self.request_id = 0
self.order_follow_point = 1.0 # 追单价差
self.max_diff = {'long': 100.0, 'short': 0.0} # 存储多头价差最小值，空头价差最大值
self.ask_price_dict = {} # 卖价信息
self.bid_price_dict = {} # 买价信息
self.real_deal_price = None # 记录近月实际成交价格
self.real_deal_diff = None # 记录实际成交价差
self.price_update()
def price_update(self):
"""
每次跳价时需要 重新 初始化的变量
"""
self.order_status_dict = {} # 存储每个合约品种与价格对应的成交状态
self.real_trade_flag = False # 识别一次价差交易是否完整发生
# 字典存储价格
def wait(self, instrument, price):
"""
确定报单返回成交或撤单其中之一
:param instrument: 合约代码
:param price: 交易价格
"""
self.logger.info('等待服务器返回报单成交信息...')
while (instrument, price) not in self.order_status_dict: # 确定服务器返回了保单信息
time.sleep(0.01)
while True:
if self.order_status_dict[(instrument, price)] in ['0', '5']: # 确定服务器返回了成交(0)或是撤单(5)信息
break
time.sleep(0.01)
def OnRspError(self, info, RequestId, IsLast):
self.logger.error(utils.decode(info.ErrorMsg))
self.isErrorRspInfo(info)
def isErrorRspInfo(self, info):
if info.ErrorID != 0:
self.logger.info("ErrorID= %s, ErrorMsg= %s", info.ErrorID, info.ErrorMsg)
return info.ErrorID != 0
def OnFrontDisConnected(self, reason):
self.logger.info("onFrontDisConnected: %s", reason)
def OnFrontConnected(self):
self.logger.info('交易前置机连接成功!')
self.logger.info('用户登录中... ...')
self.user_login(self.broker_id, self.investor_id, self.passwd)
def user_login(self, broker_id, investor_id, passwd):
req = ApiStruct.ReqUserLogin(BrokerID=broker_id, UserID=investor_id, Password=passwd)
self.request_id += 1
self.ReqUserLogin(req, self.request_id)
def OnRspUserLogin(self, userlogin, info, rid, is_last):
self.logger.info('用户登录成功!')
self.logger.info('请求确认投资者结算结果...')
#self.request_id += 1
#self.ReqQrySettlementInfo(ApiStruct.QrySettlementInfo(self.broker_id, self.investor_id), self.request_id)
#time.sleep(1)
self.logger.info('开始账户查询:')
self.request_id += 1
self.ReqQryTradingAccount(ApiStruct.QryTradingAccount(self.broker_id, self.investor_id), self.request_id)
time.sleep(1)
self.request_id += 1
self.ReqSettlementInfoConfirm(ApiStruct.SettlementInfoConfirm(self.broker_id, self.investor_id), self.request_id)
time.sleep(1)
def OnRspQrySettlementInfo(self, pSettlementInfo, pRspInfo, nRequestID, bIsLast):
try:
print utils.decode(pSettlementInfo.Content)
except:
if pSettlementInfo == None:
pass
else:
print pSettlementInfo.Content
def OnRspSettlementInfoConfirm(self, pSettlementInfoConfirm, pRspInfo, nRequestID, bIsLast):
self.logger.info('投资者结算结果确认完毕!')
self.logger.info('\t确认日期: %s', pSettlementInfoConfirm.ConfirmDate)
self.logger.info('\t确认时间: %s', pSettlementInfoConfirm.ConfirmTime)
self.request_id += 1
self.logger.info('开始持仓查询:')
self.ReqQryInvestorPosition(
ApiStruct.QryInvestorPosition(self.broker_id, self.investor_id, self.instruimentIDs[0]), self.request_id)
time.sleep(1)
self.request_id += 1
self.ReqQryInvestorPosition(
ApiStruct.QryInvestorPosition(self.broker_id, self.investor_id, self.instruimentIDs[1]), self.request_id)
time.sleep(1)
def OnRspQryInvestorPosition(self, pInvestorPosition, pRspInfo, nRequestID, bIsLast):
self.logger.info('持仓查询结果:')
self.logger.info('\t合约代码: %s', pInvestorPosition.InstrumentID)
self.logger.info('\t持仓日期: %s', pInvestorPosition.PositionDate)
self.logger.info('\t今日持仓: %s', pInvestorPosition.Position)
self.logger.info('\t开仓量: %s, 开仓金额: %s' % (pInvestorPosition.OpenVolume, pInvestorPosition.OpenAmount))
self.logger.info('\t平仓量: %s, 平仓金额: %s' % (pInvestorPosition.CloseVolume, pInvestorPosition.CloseAmount))
self.logger.info('\t占用保证金: %s', pInvestorPosition.UseMargin)
self.logger.info('持仓查询结束。')
def OnRspQryTradingAccount(self, pTradingAccount, pRspInfo, nRequestID, bIsLast):
self.logger.info('账户查询结果：')
self.logger.info('利息收入：%s', pTradingAccount.Interest)
self.logger.info('冻结的保证金：%s', pTradingAccount.FrozenMargin)
self.logger.info('冻结的资金： %s', pTradingAccount.FrozenCash)
self.logger.info('前保证金总额： %s', pTradingAccount.CurrMargin)
self.logger.info('手续费： %s', pTradingAccount.Commission)
self.logger.info('平仓盈亏： %s', pTradingAccount.CloseProfit)
self.logger.info('持仓盈亏： %s', pTradingAccount.PositionProfit)
self.logger.info('可用资金： %s', pTradingAccount.Available)
self.available_capital = pTradingAccount.Available
self.logger.info('可用资金： %s', pTradingAccount.Available)
self.logger.info('账户查询结束。')
def OnRspOrderInsert(self, pInputOrder, pRspInfo, nRequestID, bIsLast):
# 报单报错(无法提交）后返回
self.logger.info("报单错误！无法提交")
self.logger.info("报错内容： %s", utils.decode(pRspInfo.ErrorMsg))
def OnRtnOrder(self, pOrder):
# 报单提交（可提交，但是有错）后返回
self.order_status_dict[(pOrder.InstrumentID, pOrder.LimitPrice)] = pOrder.OrderStatus
self.logger.info('-------------------------------------')
self.logger.info('合约代码: %s', pOrder.InstrumentID)
self.logger.info('价格: %s', pOrder.LimitPrice)
self.logger.info('买卖方向: %s', pOrder.Direction)
self.logger.info('数量: %s', pOrder.VolumeTotalOriginal)
self.logger.info('报单提交状态: %s', pOrder.OrderSubmitStatus)
"""
OSS_InsertSubmitted = '0' #已经提交
OSS_CancelSubmitted = '1' #撤单已经提交
OSS_ModifySubmitted = '2' #修改已经提交
OSS_Accepted = '3' #已经接受
OSS_InsertRejected = '4' #报单已经被拒绝
OSS_CancelRejected = '5' #撤单已经被拒绝
"""
self.logger.info('报单状态: %s', pOrder.OrderStatus)
"""
OST_AllTraded = '0' #全部成交
OST_PartTradedQueueing = '1' #部分成交还在队列中
OST_PartTradedNotQueueing = '2' #部分成交不在队列中
OST_NoTradeQueueing = '3' #未成交还在队列中
OST_NoTradeNotQueueing = '4' #未成交不在队列中
OST_Canceled = '5' #撤单
"""
self.logger.info('报单日期: %s', pOrder.InsertDate)
self.logger.info('委托时间: %s', pOrder.InsertTime)
self.logger.info('状态信息: %s', utils.decode(pOrder.StatusMsg))
self.logger.info('报单价格条件: %s', pOrder.OrderPriceType)
def OnRtnTrade(self, pTrade):
# 交易成功后返回
self.logger.info('-------------------------------------')
self.logger.info("交易确认：")
if pTrade.InstrumentID == self.instruimentIDs[0]:
self.real_deal_price = pTrade.Price
self.logger.info('\t 合约代码: %s', pTrade.InstrumentID)
self.logger.info('\t 买卖方向: %s', pTrade.Direction)
self.logger.info('\t 开平标志: %s', pTrade.OffsetFlag)
self.logger.info('\t 价格: %s', pTrade.Price)
self.logger.info('\t 数量: %s', pTrade.Volume)
self.logger.info('\t 成交时期: %s', pTrade.TradeDate)
self.logger.info('\t 成交时间: %s', pTrade.TradeTime)
def OnErrRtnOrderInsert(self, pInputOrder, pRspInfo):
self.logger.info("报单失败!: %s", pInputOrder, pRspInfo)
def ReqOrderInsert2(self, InstrumentID, LimitPrice, Volumes, Direction = ApiStruct.D_Buy,
TimeCondition = ApiStruct.TC_IOC, CombOffsetFlag = ApiStruct.OF_Open, OrderPriceType = '2'):
"""
OrderPriceType: #报单价格条件, char
OPT_AnyPrice = '1' #任意价
OPT_LimitPrice = '2' #限价
OPT_BestPrice = '3' #最优价
OPT_LastPrice = '4' #最新价
Direction:
D_Buy = '0' #买
D_Sell = '1' #卖
TimeCondition: #有效期类型, char
TC_IOC = '1' #立即完成，否则撤销
TC_GFS = '2' #本节有效
TC_GFD = '3' #当日有效
TC_GTD = '4' #指定日期前有效
TC_GTC = '5' #撤销前有效
TC_GFA = '6' #集合竞价有效
CombOffsetFlag：
OF_Open = '0' #开仓
OF_Close = '1' #平仓
OF_ForceClose = '2' #强平
OF_CloseToday = '3' #平今
OF_CloseYesterday = '4' #平昨
OF_ForceOff = '5' #强减
OF_LocalForceClose = '6' #本地强平
VolumeCondition: #成交量类型, char
VC_AV = '1' #任何数量
VC_MV = '2' #最小数量
VC_CV = '3' #全部数量
ContingentCondition： #触发条件, char
CC_Immediately = '1' #立即
CC_Touch = '2' #止损
CC_TouchProfit = '3' #止赢
CC_ParkedOrder = '4' #预埋单
ForceCloseReason： #强平原因, char
FCC_NotForceClose = '0' #非强平
FCC_LackDeposit = '1' #资金不足
FCC_ClientOverPositionLimit = '2' #客户超仓
FCC_MemberOverPositionLimit = '3' #会员超仓
FCC_NotMultiple = '4' #持仓非整数倍
FCC_Violation = '5' #违规
FCC_Other = '6' #其它
FCC_PersonDeliv = '7' #自然人临近交割
"""
self.request_id += 1
self.ReqOrderInsert(ApiStruct.InputOrder(
BrokerID=self.broker_id,
InvestorID=self.investor_id,
InstrumentID=InstrumentID,
OrderRef='',
UserID='',
OrderPriceType=OrderPriceType,
Direction=Direction,
CombOffsetFlag=CombOffsetFlag,
LimitPrice=LimitPrice,
CombHedgeFlag='1',
VolumeTotalOriginal=Volumes,
TimeCondition=TimeCondition,
GTDDate='',
VolumeCondition='1',
MinVolume=0,
ContingentCondition='1',
StopPrice=0.0,
ForceCloseReason='0',
# IsAutoSuspend=0,
# BusinessUnit='',
# RequestID=0,
# UserForceClose=0,
# IsSwapOrder=0
), self.request_id)
self.wait(InstrumentID, LimitPrice)
if __name__ == '__main__':
pass