def __init__(self, _brokder_id, _user_id, _password, _flow_path, _front_address):
# request index
self.mRequestId = 0
# account info
self.mBrokerId = _brokder_id
self.mUserId = _user_id
self.mPassword = _password
self.mFlowPath = _flow_path
self.mFrontAddress = _front_address
# init socket
self.mSocketClient = MySocketClient()
# init functions
self.Create()
self.Init()
self.mSocketClient.send(self.DEF_INIT_FINISH)
class MyMd(MdApi):
DEF_CREATE_FINISH = 'md_create_finish'
DEF_INIT_FINISH = 'md_init_finish'
DEF_FRONT_CONNECTED = 'md_front_connected'
DEF_FRONT_DISCONNECTED = 'md_front_disconnected'
DEF_LOGIN = '******'
DEF_DEPTH_MARKET = 'depth_market'
def __init__(self, _brokder_id, _user_id, _password, _flow_path, _front_address):
# request index
self.mRequestId = 0
# account info
self.mBrokerId = _brokder_id
self.mUserId = _user_id
self.mPassword = _password
self.mFlowPath = _flow_path
self.mFrontAddress = _front_address
# init socket
self.mSocketClient = MySocketClient()
# init functions
self.Create()
self.Init()
self.mSocketClient.send(self.DEF_INIT_FINISH)
def Create(self):
super(MdApi, self).Create(self.mFlowPath)
def Init(self):
logging.info('')
super(MdApi, self).Init()
# register front
def RegisterFront(self):
logging.info('')
super(MdApi, self).RegisterFront(self.mFrontAddress)
def OnFrontConnected(self):
logging.info('')
self.mSocketClient.send(self.DEF_FRONT_CONNECTED)
def OnFrontDisconnected(self, _reason):
logging.warning('reason: 0x%x' % (_reason))
self.mSocketClient.send(self.DEF_FRONT_DISCONNECTED)
# login
def ReqUserLogin(self):
logging.info('')
req = ApiStruct.ReqUserLogin(
BrokerID=self.mBrokerId,
UserID=self.mUserId,
Password=self.mPassword
)
super(MdApi, self).ReqUserLogin(req, self.mRequestId)
self.mRequestId += 1
def OnRspUserLogin(self, _rsp_user_login, _rsp_info, _request_id, _is_last):
logging.info("ErrorID: " + str(_rsp_info.ErrorID) +
", ErrorMsg: " + _rsp_info.ErrorMsg.decode('gbk'))
self.mSocketClient.send(self.DEF_LOGIN)
def OnRspUserLogout(self, _user_logout, _rsp_info, _request_id, _is_last):
logging.info(str(_user_logout))
# Subscribe
def SubscribeMarketData(self, _instrument_ids):
super(MdApi, self).SubscribeMarketData(_instrument_ids)
def OnRspSubMarketData(self, _specific_instrument, _rsp_info, _request_id, _is_last):
logging.info(_specific_instrument.InstrumentID)
def OnRtnDepthMarketData(self, _depth_market_data):
Datetime = _depth_market_data.ActionDay + _depth_market_data.UpdateTime
format = "%Y%m%d%H:%M:%S"
Datetime = datetime.strptime(Datetime, format)
delta = timedelta(milliseconds=_depth_market_data.UpdateMillisec)
Datetime = Datetime + delta
data = {
"Datetime": Datetime,
"LastPrice": _depth_market_data.LastPrice,
"Volume": _depth_market_data.Volume,
"Turnover": _depth_market_data.Turnover,
"OpenInterest": _depth_market_data.OpenInterest,
}
if _depth_market_data.AskVolume1 > 0:
data["AskVolume1"] = _depth_market_data.AskVolume1
data["AskPrice1"] = _depth_market_data.AskPrice1
if _depth_market_data.AskVolume2 > 0:
data["AskVolume2"] = _depth_market_data.AskVolume2
data["AskPrice2"] = _depth_market_data.AskPrice2
if _depth_market_data.AskVolume3 > 0:
data["AskVolume3"] = _depth_market_data.AskVolume3
data["AskPrice3"] = _depth_market_data.AskPrice3
if _depth_market_data.AskVolume4 > 0:
data["AskVolume4"] = _depth_market_data.AskVolume4
data["AskPrice4"] = _depth_market_data.AskPrice4
if _depth_market_data.AskVolume5 > 0:
data["AskVolume5"] = _depth_market_data.AskVolume5
data["AskPrice5"] = _depth_market_data.AskPrice5
if _depth_market_data.AskVolume1 > 0:
data["BidVolume1"] = _depth_market_data.BidVolume1
data["BidPrice1"] = _depth_market_data.BidPrice1
if _depth_market_data.BidVolume2 > 0:
data["BidVolume2"] = _depth_market_data.BidVolume2
data["BidPrice2"] = _depth_market_data.BidPrice2
if _depth_market_data.BidVolume3 > 0:
data["BidVolume3"] = _depth_market_data.BidVolume3
data["BidPrice3"] = _depth_market_data.BidPrice3
if _depth_market_data.BidVolume4 > 0:
data["BidVolume4"] = _depth_market_data.BidVolume4
data["BidPrice4"] = _depth_market_data.BidPrice4
if _depth_market_data.BidVolume5 > 0:
data["BidVolume5"] = _depth_market_data.BidVolume5
data["BidPrice5"] = _depth_market_data.BidPrice5
self.mSocketClient.send(
self.DEF_DEPTH_MARKET,
data={'inst_id': _depth_market_data.InstrumentID, 'data': data}
)
class MyTrader(TraderApi):
DEF_CREATE_FINISH = 'trader_create_finish'
DEF_INIT_FINISH = 'trader_init_finish'
DEF_FRONT_CONNECTED = 'trader_front_connected'
DEF_FRONT_DISCONNECTED = 'trader_front_disconnected'
DEF_LOGIN = '******'
DEF_INSTRUMENT = 'trader_instrument'
DEF_QRY_SETTLEMENT_INFO = 'trader_qry_settlement_info'
DEF_SETTLEMENT_INFO_CONFIRM = 'trader_settlement_info_confirm'
DIRECTION_BUY = 'buy'
DIRECTION_SELL = 'sell'
def __init__(self, _brokder_id, _user_id, _password, _flow_path, _front_address):
# request index
self.mRequestId = 0
self.mOrderRef = 0
# account info
self.mBrokerId = _brokder_id
self.mUserId = _user_id
self.mPassword = _password
self.mFlowPath = _flow_path
self.mFrontAddress = _front_address
# init socket
self.mSocketClient = MySocketClient()
# init functions
self.Create()
self.Init()
self.mSocketClient.send(self.DEF_INIT_FINISH)
def Create(self):
super(TraderApi, self).Create(self.mFlowPath)
def Init(self):
logging.info('')
super(TraderApi, self).SubscribePublicTopic(ApiStruct.TERT_RESUME)
super(TraderApi, self).SubscribePrivateTopic(ApiStruct.TERT_RESUME)
super(TraderApi, self).Init()
# register front
def RegisterFront(self):
logging.info('')
super(TraderApi, self).RegisterFront(self.mFrontAddress)
def OnFrontConnected(self):
logging.info('')
self.mSocketClient.send(self.DEF_FRONT_CONNECTED)
def OnFrontDisconnected(self, _reason):
logging.warning('reason: 0x%x' % (_reason))
self.mSocketClient.send(self.DEF_FRONT_DISCONNECTED)
# login
def ReqUserLogin(self):
logging.info('')
req = ApiStruct.ReqUserLogin(
BrokerID=self.mBrokerId,
UserID=self.mUserId,
Password=self.mPassword
)
super(TraderApi, self).ReqUserLogin(req, self.mRequestId)
self.mRequestId += 1
def OnRspUserLogin(self, _rsp_user_login, _rsp_info, _request_id, _is_last):
logging.info("ErrorID: " + str(_rsp_info.ErrorID) +
", ErrorMsg: " + _rsp_info.ErrorMsg.decode('gbk'))
self.mSocketClient.send(self.DEF_LOGIN, data=_rsp_info.ErrorID)
def OnRspUserLogout(self, _user_logout, _rsp_info, _request_id, _is_last):
logging.info(str(_user_logout))
# qry instrument
def ReqQryInstrument(self, _instrument_id):
req = ApiStruct.QryInstrument(
InstrumentID=_instrument_id
)
super(TraderApi, self).ReqQryInstrument(req, self.mRequestId)
self.mRequestId += 1
def OnRspQryInstrument(self, _instrument, _rsp_info, _request_id, _is_last):
format = "%Y%m%d"
open_date = datetime.strptime(_instrument.OpenDate, format)
expire_date = datetime.strptime(_instrument.ExpireDate, format)
data = {'InstrumentID': _instrument.InstrumentID,
'ProductID': _instrument.ProductID,
'OpenDate': open_date,
'ExpireDate': expire_date,
'MaxMarketOrderVolume': _instrument.MaxMarketOrderVolume,
'MinMarketOrderVolume': _instrument.MinMarketOrderVolume,
'MaxLimitOrderVolume': _instrument.MaxLimitOrderVolume,
'MinLimitOrderVolume': _instrument.MinLimitOrderVolume,
'VolumeMultiple': _instrument.VolumeMultiple,
'PriceTick': _instrument.PriceTick,
'LongMarginRatio': _instrument.LongMarginRatio,
'ShortMarginRatio': _instrument.ShortMarginRatio
}
self.mSocketClient.send(self.DEF_INSTRUMENT, data=data)
def ReqQryTradingAccount(self):
logging.info('')
req = ApiStruct.QryTradingAccount(
BrokerID=self.mBrokerId,
InvestorID=self.mUserId
)
super(TraderApi, self).ReqQryTradingAccount(req, self.mRequestId)
self.mRequestId += 1
def OnRspQryTradingAccount(self, _trading_account, _rsp_info, _request_id, _is_last):
print _trading_account
def ReqQrySettlementInfo(self):
logging.info('')
req = ApiStruct.SettlementInfo(
BrokerID=self.mBrokerId,
InvestorID=self.mUserId,
TradingDay=''
)
super(TraderApi, self).ReqQrySettlementInfo(req, self.mRequestId)
self.mRequestId += 1
def OnRspQrySettlementInfo(self, _settlement_info, _rsp_info, _request_id, _is_last):
logging.info('')
print _settlement_info
self.mSocketClient.send(self.DEF_QRY_SETTLEMENT_INFO)
def ReqSettlementInfoConfirm(self):
logging.info('')
req = ApiStruct.SettlementInfoConfirm(
BrokerID=self.mBrokerId,
InvestorID=self.mUserId
)
super(TraderApi, self).ReqSettlementInfoConfirm(req, self.mRequestId)
self.mRequestId += 1
def OnRspSettlementInfoConfirm(self, _settlement_info_confirm, _rsp_info, _request_id, _is_last):
logging.info('')
print _settlement_info_confirm
self.mSocketClient.send(self.DEF_SETTLEMENT_INFO_CONFIRM)
def ReqOrderInsert(self, _instrument_id, _direction, _volume):
logging.info(_instrument_id + ' ' + _direction + ' ' + str(_volume))
self.mOrderRef += 1
req = ApiStruct.InputOrder(
BrokerID=self.mBrokerId,
InvestorID=self.mUserId,
InstrumentID=_instrument_id,
OrderRef=str(self.mOrderRef),
Direction=ApiStruct.D_Buy if _direction == self.DIRECTION_BUY else ApiStruct.D_Sell,
CombOffsetFlag=ApiStruct.OF_Open,
CombHedgeFlag=ApiStruct.HF_Speculation,
VolumeTotalOriginal=_volume,
VolumeCondition=ApiStruct.VC_AV,
MinVolume=1,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=0,
UserForceClose=0,
OrderPriceType=ApiStruct.OPT_LimitPrice,
LimitPrice=0,
TimeCondition=ApiStruct.TC_IOC
)
super(TraderApi, self).ReqOrderInsert(req, self.mRequestId)
self.mRequestId += 1
def OnRspOrderInsert(self, _input_order, _rsp_info, _request_id, _is_last):
logging.info('')
print _input_order
print _rsp_info.ErrorMsg.decode('gbk')
def OnRtnOrder(self, _order):
logging.info('')
print _order
def OnErrRtnOrderInsert(self, _input_order, _rsp_info):
logging.info('')
print _rsp_info
def OnRtnTrade(self, _trade):
logging.info('')
print _trade
def ReqQryInvestorPositionDetail(self, _instrument_id):
logging.info('')
req = ApiStruct.QryInvestorPosition(
BrokerID=self.mBrokerId,
InvestorID=self.mUserId,
InstrumentID=_instrument_id
)
super(TraderApi, self).ReqQryInvestorPositionDetail(req, self.mRequestId)
self.mRequestId += 1
def OnRspQryInvestorPositionDetail(self, _investor_position_detail, _rsp_info, _request_id, _is_last):
print _investor_position_detail
