class Test:
def __init__(self):
self.Session = ''
dllpath = os.path.join(
os.path.split(os.path.realpath(__file__))[0], '..', 'dll')
self.q = Quote(
os.path.join(
dllpath, 'ctp_quote.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.t = Trade(
os.path.join(
dllpath, 'ctp_trade.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.req = 0
self.ordered = False
self.needAuth = False
self.RelogEnable = True
def q_OnFrontConnected(self):
print('connected')
self.q.ReqUserLogin(BrokerID=self.broker,
UserID=self.investor,
Password=self.pwd)
def q_OnRspUserLogin(self, rsp: ctp.CThostFtdcRspUserLoginField,
info: ctp.CThostFtdcRspInfoField, req: int,
last: bool):
print(info)
self.q.SubscribeMarketData('rb1812')
def q_OnTick(self, tick: ctp.CThostFtdcMarketDataField):
f = tick
# print(tick)
if not self.ordered:
_thread.start_new_thread(self.Order, (f, ))
self.ordered = True
def Order(self, f: ctp.CThostFtdcMarketDataField):
print("报单")
self.req += 1
self.t.ReqOrderInsert(
BrokerID=self.broker,
InvestorID=self.investor,
InstrumentID=f.getInstrumentID(),
OrderRef='{0:>12}'.format(self.req),
UserID=self.investor,
OrderPriceType=ctp.OrderPriceTypeType.LimitPrice,
Direction=ctp.DirectionType.Buy,
CombOffsetFlag=ctp.OffsetFlagType.Open.__char__(),
CombHedgeFlag=ctp.HedgeFlagType.Speculation.__char__(),
LimitPrice=f.getLastPrice() - 50,
VolumeTotalOriginal=1,
TimeCondition=ctp.TimeConditionType.GFD,
# GTDDate=''
VolumeCondition=ctp.VolumeConditionType.AV,
MinVolume=1,
ContingentCondition=ctp.ContingentConditionType.Immediately,
StopPrice=0,
ForceCloseReason=ctp.ForceCloseReasonType.NotForceClose,
IsAutoSuspend=0,
IsSwapOrder=0,
UserForceClose=0)
def OnFrontConnected(self):
if not self.RelogEnable:
return
print('connected')
if self.needAuth:
self.t.ReqAuthenticate(self.broker, self.investor, '@haifeng',
'8MTL59FK1QGLKQW2')
else:
self.t.ReqUserLogin(BrokerID=self.broker,
UserID=self.investor,
Password=self.pwd,
UserProductInfo='@haifeng')
def OnFrontDisconnected(self, reason: int):
print(reason)
def OnRspAuthenticate(
self, pRspAuthenticateField: ctp.CThostFtdcRspAuthenticateField,
pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
print('auth：{0}:{1}'.format(pRspInfo.getErrorID(),
pRspInfo.getErrorMsg()))
self.t.ReqUserLogin(BrokerID=self.broker,
UserID=self.investor,
Password=self.pwd,
UserProductInfo='@haifeng')
def OnRspUserLogin(self, rsp: ctp.CThostFtdcRspUserLoginField,
info: ctp.CThostFtdcRspInfoField, req: int, last: bool):
print(info.getErrorMsg())
if info.getErrorID() == 0:
self.Session = rsp.getSessionID()
self.t.ReqSettlementInfoConfirm(BrokerID=self.broker,
InvestorID=self.investor)
else:
self.RelogEnable = False
def OnRspSettlementInfoConfirm(
self,
pSettlementInfoConfirm: ctp.CThostFtdcSettlementInfoConfirmField,
pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
# print(pSettlementInfoConfirm)
_thread.start_new_thread(self.StartQuote, ())
def StartQuote(self):
self.q.CreateApi()
spi = self.q.CreateSpi()
self.q.RegisterSpi(spi)
self.q.OnFrontConnected = self.q_OnFrontConnected
self.q.OnRspUserLogin = self.q_OnRspUserLogin
self.q.OnRtnDepthMarketData = self.q_OnTick
self.q.RegCB()
self.q.RegisterFront(self.frontAddr.split(',')[1])
self.q.Init()
# self.q.Join()
def Qry(self):
sleep(1.1)
self.t.ReqQryInstrument()
while True:
sleep(1.1)
self.t.ReqQryTradingAccount(self.broker, self.investor)
sleep(1.1)
self.t.ReqQryInvestorPosition(self.broker, self.investor)
return
def OnRtnInstrumentStatus(
self, pInstrumentStatus: ctp.CThostFtdcInstrumentStatusField):
print(pInstrumentStatus.getInstrumentStatus())
def OnRspOrderInsert(self, pInputOrder: ctp.CThostFtdcInputOrderField,
pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
print(pRspInfo)
print(pInputOrder)
print(pRspInfo.getErrorMsg())
def OnRtnOrder(self, pOrder: ctp.CThostFtdcOrderField):
print(pOrder)
if pOrder.getSessionID() == self.Session and pOrder.getOrderStatus(
) == ctp.OrderStatusType.NoTradeQueueing:
print("撤单")
self.t.ReqOrderAction(self.broker,
self.investor,
InstrumentID=pOrder.getInstrumentID(),
OrderRef=pOrder.getOrderRef(),
FrontID=pOrder.getFrontID(),
SessionID=pOrder.getSessionID(),
ActionFlag=ctp.ActionFlagType.Delete)
def Run(self):
# CreateApi时会用到log目录,需要在程序目录下创建**而非dll下**
self.t.CreateApi()
spi = self.t.CreateSpi()
self.t.RegisterSpi(spi)
self.t.OnFrontConnected = self.OnFrontConnected
self.t.OnFrontDisconnected = self.OnFrontDisconnected
self.t.OnRspUserLogin = self.OnRspUserLogin
self.t.OnRspSettlementInfoConfirm = self.OnRspSettlementInfoConfirm
self.t.OnRspAuthenticate = self.OnRspAuthenticate
self.t.OnRtnInstrumentStatus = self.OnRtnInstrumentStatus
self.t.OnRspOrderInsert = self.OnRspOrderInsert
self.t.OnRtnOrder = self.OnRtnOrder
# _thread.start_new_thread(self.Qry, ())
self.t.RegCB()
self.frontAddr = 'tcp://180.168.146.187:10000,tcp://180.168.146.187:10010'
self.broker = '9999'
self.investor = '008107'
self.pwd = '1'
self.t.RegisterFront(self.frontAddr.split(',')[0])
self.t.SubscribePrivateTopic(nResumeType=2) # quick
self.t.SubscribePrivateTopic(nResumeType=2)
self.t.Init()
class CtpTrade():
""""""
def __init__(self, dll_relative_path: str = 'dll'):
self.front_address = ''
self.investor = ''
self.password = ''
self.broker = ''
self.logined = False
self.tradingday = ''
self.instruments = {}
self.orders = {}
self.trades = {}
self.account: TradingAccount = None
self.positions = {}
self.instrument_status = {}
self._req = 0
self._session = ''
self._orderid_sysid = {}
self._posi = []
self.t = Trade(os.path.join(os.getcwd(), dll_relative_path, 'ctp_trade.' + ('dll' if 'Windows' in platform.system() else 'so')))
def _OnFrontConnected(self):
_thread.start_new_thread(self.OnConnected, (self,))
def _OnFrontDisconnected(self, nReason):
self.logined = False
print(nReason)
# 下午收盘后会不停断开再连接 4097错误
if nReason == 4097 or nReason == 4098:
_thread.start_new_thread(self._reconnect, ())
else:
_thread.start_new_thread(self.OnDisConnected, (self, nReason))
def _reconnect(self):
if sum([1 if stat == 'Continous' else 0 for exc, stat in self.instrument_status.items()]) == 0:
print(time.strftime('%Y%m%d %H:%M:%S', time.localtime()))
self.t.Release()
time.sleep(600)
self.ReqConnect(self.front_address)
# def _OnRspUserLogout(self, pUserLogout: CThostFtdcUserLogoutField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
# pass
def _OnRspUserLogin(self, pRspUserLogin: CThostFtdcRspUserLoginField(), pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
if pRspInfo.getErrorID() == 0:
self.session = pRspUserLogin.getSessionID()
self.tradingday = pRspUserLogin.getTradingDay()
self.t.ReqSettlementInfoConfirm(self.broker, self.investor)
elif self.logined:
_thread.start_new_thread(self._relogin, ())
else:
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
_thread.start_new_thread(self.OnUserLogin, (self, info))
def _relogin(self):
# 隔夜重连=>处理'初始化'错误
time.sleep(60 * 10)
self.t.ReqUserLogin(
BrokerID=self.broker,
UserID=self.investor,
Password=self.password,
UserProductInfo='@haifeng')
def _OnRspSettlementInfoConfirm(
self,
pSettlementInfoConfirm: CThostFtdcSettlementInfoConfirmField,
pRspInfo: CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool):
if not self.logined:
time.sleep(0.5)
"""查询合约/持仓/权益"""
_thread.start_new_thread(self._qry, ()) # 开启查询
def _qry(self):
"""查询帐号相关信息"""
# restart 模式, 待rtnorder 处理完毕后再进行查询,否则会造成position混乱
ord_cnt = 0
while True:
time.sleep(0.5)
if len(self.orders) == ord_cnt:
break
ord_cnt = len(self.orders)
self.t.ReqQryInstrument()
time.sleep(1.1)
self.t.ReqQryInvestorPosition(self.broker, self.investor)
time.sleep(1.1)
self.t.ReqQryTradingAccount(self.broker, self.investor)
time.sleep(1.1)
self.logined = True
info = InfoField()
info.ErrorID = 0
info.ErrorMsg = '正确'
_thread.start_new_thread(self.OnUserLogin, (self, info))
# 调用Release后程序异常退出,但不报错误:接口断开了仍然调用了查询指令
while self.logined:
"""查询持仓与权益"""
self.t.ReqQryInvestorPosition(self.broker, self.investor)
time.sleep(1.1)
if not self.logined:
return
self.t.ReqQryTradingAccount(self.broker, self.investor)
time.sleep(1.1)
def _OnRtnInstrumentStatus(self, pInstrumentStatus: CThostFtdcInstrumentStatusField):
if pInstrumentStatus.getInstrumentID() == '':
return
status = InstrumentStatus.Continous
if pInstrumentStatus.getInstrumentStatus() == InstrumentStatusType.Continous:
status = InstrumentStatus.Continous
elif pInstrumentStatus.getInstrumentStatus() == InstrumentStatusType.Closed:
status = InstrumentStatus.Closed
elif str(pInstrumentStatus.getInstrumentStatus()).startswith('Auction'):
status = InstrumentStatus.Auction
else:
status = InstrumentStatus.NoTrading
self.instrument_status[pInstrumentStatus.getInstrumentID()] = status
self.OnInstrumentStatus(self, pInstrumentStatus.getInstrumentID(), status)
# _thread.start_new_thread(self.OnInstrumentStatus, (self, pInstrumentStatus.getInstrumentID(), status))
def _OnRspQryInstrument(self, pInstrument: CThostFtdcInstrumentField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
inst = InstrumentField()
inst.InstrumentID = pInstrument.getInstrumentID()
inst.ProductID = pInstrument.getProductID()
inst.ExchangeID = pInstrument.getExchangeID()
inst.VolumeMultiple = pInstrument.getVolumeMultiple()
inst.PriceTick = pInstrument.getPriceTick()
inst.MaxOrderVolume = pInstrument.getMaxLimitOrderVolume()
self.instruments[inst.InstrumentID] = inst
def _OnRspQryPosition(self, pInvestorPosition: CThostFtdcInvestorPositionField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
if pInvestorPosition.getInstrumentID() != '': # 偶尔出现NULL的数据导致数据转换错误
self._posi.append(pInvestorPosition) # Struct(**f.__dict__)) #dict -> object
if bIsLast:
# 先排序再group才有效
self._posi = sorted(self._posi, key=lambda c: '{0}_{1}'.format(c.getInstrumentID(), DirectType.Buy if c.getPosiDirection() == PosiDirectionType.Long else DirectType.Sell))
# direction需从posidiction转换为dictiontype
for key, group in itertools.groupby(self._posi, lambda c: '{0}_{1}'.format(c.getInstrumentID(), 'Buy' if c.getPosiDirection() == PosiDirectionType.Long else 'Sell')):
pf = self.positions.get(key)
if not pf:
pf = PositionField()
self.positions[key] = pf
pf.Position = 0
pf.TdPosition = 0
pf.YdPosition = 0
pf.CloseProfit = 0
pf.PositionProfit = 0
pf.Commission = 0
pf.Margin = 0
pf.Price = 0
cost = 0.0
for g in group:
if not pf.InstrumentID:
pf.InstrumentID = g.getInstrumentID()
pf.Direction = DirectType.Buy if g.getPosiDirection() == PosiDirectionType.Long else DirectType.Sell
pf.Position += g.getPosition()
pf.TdPosition += g.getTodayPosition()
pf.YdPosition = pf.Position - pf.TdPosition
pf.CloseProfit += g.getCloseProfit()
pf.PositionProfit += g.getPositionProfit()
pf.Commission += g.getCommission()
pf.Margin += g.getUseMargin()
cost += g.OpenCost
# pf.Position <= 0 ? 0 : (g.Sum(n => n.PositionCost) / DicInstrumentField[pf.InstrumentID].VolumeMultiple / pf.Position);
vm = self.instruments[pf.InstrumentID].VolumeMultiple
pf.Price = 0 if pf.Position <= 0 else cost / vm / pf.Position
self._posi.clear()
def _OnRspQryAccount(self, pTradingAccount: CThostFtdcTradingAccountField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
if not self.account:
self.account = TradingAccount()
self.account.Available = pTradingAccount.getAvailable()
self.account.CloseProfit = pTradingAccount.getCloseProfit()
self.account.Commission = pTradingAccount.getCommission()
self.account.CurrMargin = pTradingAccount.getCurrMargin()
self.account.FrozenCash = pTradingAccount.getFrozenCash()
self.account.PositionProfit = pTradingAccount.getPositionProfit()
self.account.PreBalance = pTradingAccount.getPreBalance() + pTradingAccount.getDeposit() + pTradingAccount.getWithdraw()
self.account.Fund = self.account.PreBalance + pTradingAccount.getCloseProfit() + pTradingAccount.getPositionProfit() - pTradingAccount.getCommission()
self.account.Risk = 0 if self.account.Fund == 0 else self.account.CurrMargin / self.account.Fund
def _OnRtnOrder(self, pOrder: CThostFtdcOrderField):
""""""
id = '{0}|{1}|{2}'.format(pOrder.getSessionID(), pOrder.getFrontID(), pOrder.getOrderRef())
of = self.orders.get(id)
if not of:
of = OrderField()
if pOrder.getOrderRef().isdigit():
of.Custom = int(pOrder.getOrderRef()) % 1000000
of.InstrumentID = pOrder.getInstrumentID()
of.InsertTime = pOrder.getInsertTime()
of.Direction = DirectType.Buy if DirectionType(
pOrder.getDirection()
) == DirectionType.Buy else DirectType.Sell
ot = OffsetFlagType(ord(pOrder.getCombOffsetFlag()[0]))
of.Offset = OffsetType.Open if ot == OffsetFlagType.Open else (
OffsetType.CloseToday
if ot == OffsetFlagType.CloseToday else OffsetType.Close)
of.Status = OrderStatus.Normal
of.StatusMsg = pOrder.getStatusMsg()
of.IsLocal = pOrder.getSessionID() == self.session
of.LimitPrice = pOrder.getLimitPrice()
of.OrderID = id
of.Volume = pOrder.getVolumeTotalOriginal()
of.VolumeLeft = of.Volume
self.orders[id] = of
_thread.start_new_thread(self.OnOrder, (self, of))
elif pOrder.getOrderStatus() == OrderStatusType.Canceled:
of.Status = OrderStatus.Canceled
of.StatusMsg = pOrder.getStatusMsg()
if of.StatusMsg.find('被拒绝') >= 0:
info = InfoField()
info.ErrorID = -1
info.ErrorMsg = of.StatusMsg
_thread.start_new_thread(self.OnErrOrder, (self, of, info))
else:
_thread.start_new_thread(self.OnCancel, (self, of))
else:
if pOrder.getOrderSysID():
of.SysID = pOrder.getOrderSysID()
self._orderid_sysid[pOrder.getOrderSysID()] = id # 记录sysid与orderid关联,方便Trade时查找处理
def _OnRtnTrade(self, f):
""""""
tf = TradeField()
tf.Direction = DirectType.Buy if f.getDirection() == DirectionType.Buy else DirectType.Sell
tf.ExchangeID = f.getExchangeID()
tf.InstrumentID = f.getInstrumentID()
tf.Offset = OffsetType.Open if f.getOffsetFlag() == OffsetFlagType.Open else OffsetType.Close if f.getOffsetFlag(
) == OffsetFlagType.Close else OffsetType.CloseToday
tf.Price = f.getPrice()
tf.SysID = f.getOrderSysID()
tf.TradeID = f.getTradeID()
tf.TradeTime = f.getTradeTime()
tf.TradingDay = f.getTradingDay()
tf.Volume = f.getVolume()
self.trades[tf.TradeID] = tf
id = self._orderid_sysid[tf.SysID]
of = self.orders[id]
tf.OrderID = id # tradeid 与 orderid 关联
of.TradeTime = tf.TradeTime
of.AvgPrice = (of.AvgPrice * (of.Volume - of.VolumeLeft) + tf.Price *
tf.Volume) / (of.Volume - of.VolumeLeft + tf.Volume)
of.TradeVolume = tf.Volume
of.VolumeLeft -= tf.Volume
if of.VolumeLeft == 0:
of.Status = OrderStatus.Filled
of.StatusMsg = '全部成交'
else:
of.Status = OrderStatus.Partial
of.StatusMsg = '部分成交'
# 更新持仓 *****
if tf.Offset == OffsetType.Open:
key = '{0}_{1}'.format(tf.InstrumentID, tf.Direction)
pf = self.positions.get(key)
if not pf:
pf = PositionField()
self.positions[key] = pf
pf.InstrumentID = tf.InstrumentID
pf.Direction = tf.Direction
pf.Price = (pf.Price * pf.Position + tf.Price * tf.Volume) / (pf.Position + tf.Volume)
pf.TdPosition += tf.Volume
pf.Position += tf.Volume
else:
key = '{0}_{1}'.format(tf.InstrumentID, DirectType.Sell if tf.Direction == DirectType.Buy else DirectType.Buy)
pf = self.positions.get(key)
if pf: # 有可能出现无持仓的情况
if tf.Offset == OffsetType.CloseToday:
pf.TdPosition -= tf.Volume
else:
tdclose = min(pf.TdPosition, tf.Volume)
if pf.TdPosition > 0:
pf.TdPosition -= tdclose
pf.YdPosition -= max(0, tf.Volume - tdclose)
pf.Position -= tf.Volume
_thread.start_new_thread(self._onRtn, (of, tf))
def _onRtn(self, of, tf):
self.OnOrder(self, of)
self.OnTrade(self, tf)
def _OnRspOrder(self, pInputOrder: CThostFtdcInputOrderField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
id = '{0}|{1}|{2}'.format(self.session, '0', pInputOrder.getOrderRef())
of = self.orders.get(id)
if not of:
of = OrderField()
l = int(pInputOrder.getOrderRef())
of.Custom = l % 1000000
of.InstrumentID = pInputOrder.getInstrumentID()
of.InsertTime = time.strftime('%H:%M:%S', time.localtime())
# 对direction需特别处理（具体见ctp_struct）
of.Direction = DirectType.Buy if DirectionType(pInputOrder.getDirection()) == DirectionType.Buy else DirectType.Sell
ot = OffsetFlagType(ord(pInputOrder.getCombOffsetFlag()[0]))
of.Offset = OffsetType.Open if ot == OffsetFlagType.Open else (OffsetType.CloseToday if ot == OffsetFlagType.CloseToday else OffsetType.Close)
# of.Status = OrderStatus.Normal
# of.StatusMsg = f.getStatusMsg()
of.IsLocal = True
of.LimitPrice = pInputOrder.getLimitPrice()
of.OrderID = id
of.Volume = pInputOrder.getVolumeTotalOriginal()
of.VolumeLeft = of.Volume
self.orders[id] = of
of.Status = OrderStatus.Error
of.StatusMsg = '{0}:{1}'.format(info.ErrorID, info.ErrorMsg)
_thread.start_new_thread(self.OnErrOrder, (self, of, info))
def _OnErrOrder(self, pInputOrder: CThostFtdcInputOrderField, pRspInfo: CThostFtdcRspInfoField):
""""""
id = '{0}|{1}|{2}'.format(self.session, '0', pInputOrder.getOrderRef())
of = self.orders.get(id)
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
if of and of.IsLocal:
of.Status = OrderStatus.Error
of.StatusMsg = '{0}:{1}'.format(pRspInfo.getErrorID(), pRspInfo.getErrorMsg())
_thread.start_new_thread(self.OnErrOrder, (self, of, info))
def _OnRspOrderAction(self, pInputOrderAction: CThostFtdcInputOrderActionField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
id = "{0}|{1}|{2}".format(pInputOrderAction.getSessionID(), pInputOrderAction.getFrontID(), pInputOrderAction.getOrderRef())
if self.logined and id in self.orders:
info = InfoField()
info.ErrorID = pRspInfo.ErrorID
info.ErrorMsg = pRspInfo.ErrorMsg
_thread.start_new_thread(self.OnErrCancel, (self, self.orders[id], info))
def ReqConnect(self, front: str):
"""
连接交易前置
:param self:
:param front:str:
"""
self.t.CreateApi()
spi = self.t.CreateSpi()
self.t.RegisterSpi(spi)
self.t.OnFrontConnected = self._OnFrontConnected
self.t.OnRspUserLogin = self._OnRspUserLogin
self.t.OnFrontDisconnected = self._OnFrontDisconnected
# self.t.OnRspUserLogout = self._OnRspUserLogout
self.t.OnRspSettlementInfoConfirm = self._OnRspSettlementInfoConfirm
self.t.OnRtnOrder = self._OnRtnOrder
self.t.OnRtnTrade = self._OnRtnTrade
self.t.OnRspOrderInsert = self._OnRspOrder
self.t.OnErrRtnOrderInsert = self._OnErrOrder
self.t.OnRspOrderAction = self._OnRspOrderAction
self.t.OnRtnInstrumentStatus = self._OnRtnInstrumentStatus
self.t.OnRspQryInstrument = self._OnRspQryInstrument
self.t.OnRspQryTradingAccount = self._OnRspQryAccount
self.t.OnRspQryInvestorPosition = self._OnRspQryPosition
self.front_address = front
self.t.RegCB()
self.t.RegisterFront(front)
self.t.SubscribePrivateTopic(0) # restart 同步处理order trade
self.t.SubscribePublicTopic(0)
self.t.Init()
# self.t.Join()
def ReqUserLogin(self, user: str, pwd: str, broker: str):
"""
登录
:param self:
:param user:str:
:param pwd:str:
:param broker:str:
"""
self.broker = broker
self.investor = user
self.password = pwd
self.t.ReqUserLogin(BrokerID=broker, UserID=user, Password=pwd)
def ReqOrderInsert(self, pInstrument: str, pDirection: DirectType, pOffset: OffsetType, pPrice: float = 0.0, pVolume: int = 1, pType: OrderType = OrderType.Limit, pCustom: int = 0):
"""
委托
:param self:
:param pInstrument:str:
:param pDirection:DirectType:
:param pOffset:OffsetType:
:param pPrice:float=0.0:
:param pVolume:int=1:
:param pType:OrderType=OrderType.Limit:
"""
OrderPriceType = OrderPriceTypeType.AnyPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = 0.0
VolumeCondition = VolumeConditionType.AV
if pType == OrderType.Market: # 市价
OrderPriceType = OrderPriceTypeType.AnyPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = 0.0
VolumeCondition = VolumeConditionType.AV
elif pType == OrderType.Limit: # 限价
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.GFD
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.AV
elif pType == OrderType.FAK: # FAK
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.AV
elif pType == OrderType.FOK: # FOK
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.CV # 全部数量
self._req += 1
self.t.ReqOrderInsert(
BrokerID=self.broker,
InvestorID=self.investor,
InstrumentID=pInstrument,
OrderRef="%06d%06d" % (self._req, pCustom % 1000000),
UserID=self.investor,
# 此处ctp_enum与at_struct名称冲突
Direction=DirectionType.Buy
if pDirection == DirectType.Buy else DirectionType.Sell,
CombOffsetFlag=chr(OffsetFlagType.Open if pOffset == OffsetType.Open else (OffsetFlagType.CloseToday if pOffset == OffsetType.CloseToday else OffsetFlagType.Close)),
CombHedgeFlag=HedgeFlagType.Speculation.__char__(),
IsAutoSuspend=0,
ForceCloseReason=ForceCloseReasonType.NotForceClose,
IsSwapOrder=0,
ContingentCondition=ContingentConditionType.Immediately,
VolumeCondition=VolumeCondition,
MinVolume=1,
VolumeTotalOriginal=pVolume,
OrderPriceType=OrderPriceType,
TimeCondition=TimeCondition,
LimitPrice=LimitPrice,
)
def ReqOrderAction(self, OrderID: str):
"""
撤单
:param self:
:param OrderID:str:
"""
of = self.orders[OrderID]
if not of:
return -1
else:
pOrderId = of.OrderID
return self.t.ReqOrderAction(
self.broker,
self.investor,
OrderRef=pOrderId.split('|')[2],
FrontID=int(pOrderId.split('|')[1]),
SessionID=int(pOrderId.split('|')[0]),
InstrumentID=of.InstrumentID,
ActionFlag=ActionFlagType.Delete)
def ReqUserLogout(self):
"""
退出接口
:param self:
"""
self.logined = False
time.sleep(3)
self.t.ReqUserLogout(BrokerID=self.broker, UserID=self.investor)
self.t.RegisterSpi(None)
self.t.Release()
_thread.start_new_thread(self.OnDisConnected, (self, 0))
def OnConnected(self, obj):
"""
接口连接
:param self:
:param obj:
"""
print('=== OnConnected ==='.format(''))
def OnDisConnected(self, obj, reason: int):
"""
接口断开
:param self:
:param obj:
:param reason:int:
"""
print('=== OnDisConnected === \n{0}'.format(reason))
def OnUserLogin(self, obj, info: InfoField):
"""
登录响应
:param self:
:param obj:
:param info:InfoField:
"""
print('=== OnUserLogin === \n{0}'.format(info))
def OnOrder(self, obj, f: OrderField):
"""
委托响应
:param self:
:param obj:
:param f:OrderField:
"""
print('=== OnOrder === \n{0}'.format(f.__dict__))
def OnTrade(self, obj, f: TradeField):
"""
成交响应
:param self:
:param obj:
:param f:TradeField:
"""
print('=== OnTrade === \n{0}'.format(f.__dict__))
def OnCancel(self, obj, f: OrderField):
"""
撤单响应
:param self:
:param obj:
:param f:OrderField:
"""
print('=== OnCancel === \n{0}'.format(f.__dict__))
def OnErrCancel(self, obj, f: OrderField, info: InfoField):
"""
撤单失败
:param self:
:param obj:
:param f:OrderField:
:param info:InfoField:
"""
print('=== OnErrCancel ===\n{0}'.format(f.__dict__))
print(info)
def OnErrOrder(self, obj, f: OrderField, info: InfoField):
"""
委托错误
:param self:
:param obj:
:param f:OrderField:
:param info:InfoField:
"""
print('=== OnErrOrder ===\n{0}'.format(f.__dict__))
print(info)
def OnInstrumentStatus(self, obj, inst: str, status: InstrumentStatus):
"""
交易状态
:param self:
:param obj:
:param inst:str:
:param status:InstrumentStatus:
"""
print('{}:{}'.format(inst, str(status).strip().split('.')[1]))