class MainEngine:
"""主引擎，负责对API的调度"""
#----------------------------------------------------------------------
def __init__(self, ws, account, justCopySignal=False):
"""Constructor
:type self: object
"""
self.ee = EventEngine(account,ws) # 创建事件驱动引擎
self.justCopySignal = justCopySignal
self.userid = account['userid']
self.password = account['password']
self.brokerid = account['brokerid']
self.mdaddress = account['mdAddress']
self.tdaddress = account['tdAddress']
self.md = DemoMdApi(self.ee, self.mdaddress, self.userid, self.password, self.brokerid) # 创建API接口
self.td = DemoTdApi(self.ee, self.tdaddress, self.userid, self.password, self.brokerid)
self.ee.start() # 启动事件驱动引擎
self.havedposi = False
self.position = {}
self.todayposition = {}
self.__orders = {}
self.__retry = 0
# 循环查询持仓和账户相关
self.countGet = 0 # 查询延时计数
self.lastGet = 'Account' # 上次查询的性质
self.ee.register(EVENT_TDLOGIN, self.initGet) # 登录成功后开始初始化查询
# 合约储存相关
self.dictInstrument = {} # 字典（保存合约查询数据）
self.ee.register(EVENT_INSTRUMENT, self.insertInstrument)
self.ee.register(EVENT_TRADE_DATA, self.get_trade)
self.ee.register(EVENT_ORDER_DATA, self.get_order)
self.ee.register(EVENT_ERROR, self.get_error)
self.ee.register(EVENT_MARKETDATA_DATA, self.get_data)
self.ee.register(EVENT_POSITION_DATA, self.get_position)
def set_ws(self,ws):self.ee.set_ws(ws)
def get_order(self,event):
_data = event.dict_['data']
if _data['OrderStatus'] == '5':
self.__retry += 1
if int(_data['OrderRef']) in self.__orders:
_saved = self.__orders.pop(int(_data['OrderRef']))
else:
self.__orders = {}
return 0
if self.__retry>5:
self.__retry = 0
return 0
print("Plus...Order")
if _saved[6] == defineDict['THOST_FTDC_OF_Open']:
_tr = 1
elif _saved[6] == defineDict['THOST_FTDC_OF_Close']:
_tr = -1
else:
_tr = 0
if _saved[5] == defineDict["THOST_FTDC_D_Buy"]:
_kr = 1
elif _saved[5] == defineDict["THOST_FTDC_D_Sell"]:
_kr = -1
else:
_kr = 0
if _tr*_kr>0:
price = float(_saved[2])+0.2
else:
price = float(_saved[2])-0.2
_ref = self.td.sendOrder(_saved[0],_saved[1],price,_saved[3],_saved[4],_saved[5],_saved[6])
self.__orders[_ref] = (_saved[0],_saved[1],price,_saved[3],_saved[4],_saved[5],_saved[6])
def get_trade(self,event):
_data = event.dict_['data']
print('get_trade',_data['OrderRef'])
_done = _data['Volume']
if int(_data['OrderRef']) in self.__orders:
_saved = self.__orders.pop(int(_data['OrderRef']))
_goon = _saved[4] - _done
else:
_goon = 0
if _goon != 0:
self.__retry += 1
if self.__retry>5:
self.__retry = 0
return 0
print("Plus...Trade")
if _saved[6] == defineDict['THOST_FTDC_OF_Open']:
_tr = 1
elif _saved[6] == defineDict['THOST_FTDC_OF_Close']:
_tr = -1
else:
_tr = 0
if _saved[5] == defineDict["THOST_FTDC_D_Buy"]:
_kr = 1
elif _saved[5] == defineDict["THOST_FTDC_D_Sell"]:
_kr = -1
else:
_kr = 0
if _tr*_kr>0:
price = float(_saved[2])+0.2
else:
price = float(_saved[2])-0.2
_ref = self.td.sendOrder(_saved[0],_saved[1],price,_saved[3],_goon,_saved[5],_saved[6])
self.__orders[_ref] = (_saved[0],_saved[1],price,_saved[3],_goon,_saved[5],_saved[6])
def set_symbol(self,_s):
self.symbol = _s
def set_socket(self,_s):
self.socket = _s
def get_position(self,event):
_data = event.dict_['data']
if _data['TodayPosition']:
self.todayposition[_data['PosiDirection']] = _data['TodayPosition']
if _data['Position']:pass
# self.position[_data['PosiDirection']] = _data['Position']
self.havedposi = True
self.__orders = {}
def openPosition(self,tr,volume):
self.__retry = 0
offset = defineDict['THOST_FTDC_OF_Open']
pricetype = defineDict['THOST_FTDC_OPT_LimitPrice']
if tr>0:
price = self.ask+0.2*2.0
direction = defineDict["THOST_FTDC_D_Buy"]
else:
price = self.bid-0.2*2.0
direction = defineDict["THOST_FTDC_D_Sell"]
_ref = self.td.sendOrder(self.symbol,self.exchangeid,price,pricetype,volume,direction,offset)
self.__orders[_ref] = (self.symbol,self.exchangeid,price,pricetype,volume,direction,offset)
def closePosition(self,tr,volume):
self.__retry = 0
offset = defineDict['THOST_FTDC_OF_Close']
pricetype = defineDict['THOST_FTDC_OPT_LimitPrice']
if tr<0:
price = self.ask+0.2*2.0
direction = defineDict["THOST_FTDC_D_Buy"]
else:
price = self.bid-0.2*2.0
direction = defineDict["THOST_FTDC_D_Sell"]
_ref = self.td.sendOrder(self.symbol,self.exchangeid,price,pricetype,volume,direction,offset)
self.__orders[_ref] = (self.symbol,self.exchangeid,price,pricetype,volume,direction,offset)
def closeTodayPosition(self,tr,volume):
self.__retry = 0
offset = defineDict['THOST_FTDC_OF_CloseToday']
pricetype = defineDict['THOST_FTDC_OPT_LimitPrice']
if tr<0:
price = self.ask+0.2*2.0
direction = defineDict["THOST_FTDC_D_Buy"]
else:
price = self.bid-0.2*2.0
direction = defineDict["THOST_FTDC_D_Sell"]
_ref = self.td.sendOrder(self.symbol,self.exchangeid,price,pricetype,volume,direction,offset)
self.__orders[_ref] = (self.symbol,self.exchangeid,price,pricetype,volume,direction,offset)
def get_error(self,event):
_err = event.dict_['ErrorID']
self.socket.send(bytes("error_%s"%_err))
_bk = self.socket.recv()
print("ERROR",event.dict_)
self.__orders = {}
def get_data(self,event):
_data = event.dict_['data']
self.ask = _data['AskPrice1']
self.bid = _data['BidPrice1']
price = (self.ask+self.bid)/2.0
if self.justCopySignal:
self.socket.send(bytes("result_get"))
else:
self.socket.send(bytes(str(price)))
_bk = int(self.socket.recv())
self.todo = _bk
# print '%.0f %s = %d'%(time(),_data['LastPrice'],_bk)
if self.__orders:
print(self.__orders)
elif self.havedposi:
_long = defineDict["THOST_FTDC_PD_Long"]
_short = defineDict["THOST_FTDC_PD_Short"]
if self.todo==0:
if self.position.get(_long,0)>0:
self.closePosition(1,self.position[_long])
self.havedposi = False
if self.todayposition.get(_long,0)>0:
self.closeTodayPosition(1,self.todayposition[_long])
self.havedposi = False
if self.position.get(_short,0)>0:
self.closePosition(-1,self.position[_short])
self.havedposi = False
if self.todayposition.get(_short,0)>0:
self.closeTodayPosition(-1,self.todayposition[_short])
self.havedposi = False
def do_it(_todo,_pass,_reverse,d_pass,d_reverse):
if self.position.get(_reverse,0)>0:
self.closePosition(d_reverse,self.position[_reverse])
self.havedposi = False
if self.todayposition.get(_reverse,0)>0:
self.closeTodayPosition(d_reverse,self.todayposition[_reverse])
self.havedposi = False
_haved = self.position.get(_pass,0)+self.todayposition.get(_pass,0)
if _todo>_haved:
self.openPosition(d_pass,_todo-_haved)
self.havedposi = False
if _todo<_haved:
if self.position.get(_pass,0)>0:
self.closePosition(d_pass,min(self.position[_pass],_haved-_todo))
self.havedposi = False
if self.position[_pass]<_haved-_todo:
self.closeTodayPosition(d_pass,_haved-_todo-self.position[_pass])
self.havedposi = False
elif self.todayposition.get(_pass,0)>0:
self.closeTodayPosition(d_pass,_haved-_todo)
self.havedposi = False
if self.todo>0:
_todo = self.todo
_pass = _long
_reverse = _short
d_pass = 1
d_reverse = -1
do_it(_todo,_pass,_reverse,d_pass,d_reverse)
if self.todo<0:
_todo = abs(self.todo)
_pass = _short
_reverse = _long
d_pass = -1
d_reverse = 1
do_it(_todo,_pass,_reverse,d_pass,d_reverse)
if not self.havedposi:
self.todayposition = {}
self.position = {}
#----------------------------------------------------------------------
def login(self):
"""登陆"""
self.td.login()
self.md.login()
#----------------------------------------------------------------------
def subscribe(self, instrumentid, exchangeid):
"""订阅合约"""
self.md.subscribe(instrumentid, exchangeid)
#----------------------------------------------------------------------
def getAccount(self):
"""查询账户"""
self.td.getAccount()
#----------------------------------------------------------------------
def getInvestor(self):
"""查询投资者"""
self.td.getInvestor()
#----------------------------------------------------------------------
def getPosition(self):
"""查询持仓"""
self.td.getPosition()
#----------------------------------------------------------------------
def getInstrument(self):
"""获取合约"""
event = Event(type_=EVENT_LOG)
log = u'查询合约信息'
event.dict_['log'] = log
self.ee.put(event)
self.td.getInstrument()
#----------------------------------------------------------------------
def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset):
"""发单"""
self.td.sendOrder(instrumentid, exchangeid, price, pricetype, volume, direction, offset)
#----------------------------------------------------------------------
def cancelOrder(self, instrumentid, exchangeid, orderref, frontid, sessionid):
"""撤单"""
self.td.cancelOrder(instrumentid, exchangeid, orderref, frontid, sessionid)
#----------------------------------------------------------------------
def getAccountPosition(self, event):
"""循环查询账户和持仓"""
self.countGet = self.countGet + 1
# 每1秒发一次查询
if self.countGet >= 20:
self.countGet = 0
if self.lastGet == 'Account':
self.getPosition()
self.lastGet = 'Position'
else:
self.lastGet = 'Account'
self.getAccount()
#----------------------------------------------------------------------
def initGet(self, event):
"""在交易服务器登录成功后，开始初始化查询"""
# 打开设定文件setting.vn
f = shelve.open('setting.vn')
# 尝试读取设定字典，若该字典不存在，则发出查询请求
try:
d = f['instrument']
# 如果本地保存的合约数据是今日的，则载入，否则发出查询请求
today = date.today()
if d['date'] == today:
self.dictInstrument = d['dictInstrument']
event = Event(type_=EVENT_LOG)
log = u'合约信息读取完成'
event.dict_['log'] = log
self.ee.put(event)
self.getInvestor()
# 开始循环查询
self.ee.register(EVENT_TIMER, self.getAccountPosition)
else:
self.getInstrument()
except KeyError:
self.getInstrument()
f.close()
# _exchangeid = self.dictInstrument[self.symbol]['ExchangeID']
self.exchangeid = ""#_exchangeid
self.subscribe(self.symbol,self.exchangeid)
#----------------------------------------------------------------------
def insertInstrument(self, event):
"""插入合约对象"""
data = event.dict_['data']
last = event.dict_['last']
self.dictInstrument[data['InstrumentID']] = data
# 合约对象查询完成后，查询投资者信息并开始循环查询
if last:
# 将查询完成的合约信息保存到本地文件，今日登录可直接使用不再查询
self.saveInstrument()
event = Event(type_=EVENT_LOG)
log = u'合约信息查询完成'
event.dict_['log'] = log
self.ee.put(event)
self.getInvestor()
# 开始循环查询
self.ee.register(EVENT_TIMER, self.getAccountPosition)
#----------------------------------------------------------------------
def selectInstrument(self, instrumentid):
"""获取合约信息对象"""
try:
instrument = self.dictInstrument[instrumentid]
except KeyError:
instrument = None
return instrument
#----------------------------------------------------------------------
def exit(self):
"""退出"""
# 销毁API对象
self.td = None
self.md = None
# 停止事件驱动引擎
self.ee.stop()
#----------------------------------------------------------------------
def saveInstrument(self):
"""保存合约属性数据"""
f = shelve.open('setting.vn')
d = {}
d['dictInstrument'] = self.dictInstrument
d['date'] = date.today()
f['instrument'] = d
f.close()
