def connect(self, username: str, password: str, host: str, port: int,
auth_code: str):
"""
Starting connection to TAP server.
"""
# General API setting
path = get_folder_path(self.gateway_name.lower())
SetTapQuoteAPIDataPath(str(path))
SetTapQuoteAPILogLevel(APILOGLEVEL_NONE)
# Create API object
info = TapAPIApplicationInfo()
info.AuthCode = auth_code
info.KeyOperationLogPath = str(path)
self.api, iResult = CreateTapQuoteAPI(info)
if not self.api:
self.gateway.write_log("行情API初始化失败")
return
# Set server address and port
self.api.SetAPINotify(self)
self.api.SetHostAddress(host, port)
# Start connection
login_auth = TapAPIQuoteLoginAuth()
login_auth.UserNo = username
login_auth.Password = password
login_auth.ISDDA = APIYNFLAG_NO
login_auth.ISModifyPassword = APIYNFLAG_NO
self.api.Login(login_auth)
class QuoteApi(ITapQuoteAPINotify):
"""
Implementation of TAP quote api.
"""
def __init__(self, gateway: TapGateway):
""""""
super().__init__()
self.gateway = gateway
self.gateway_name = gateway.gateway_name
self.api = None
def OnRspLogin(self, errorCode: int, info: TapAPIQuotLoginRspInfo):
"""
Callback of login request.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"行情服务器登录失败：{error_to_str(errorCode)}")
else:
self.gateway.write_log("行情服务器登录成功")
def OnAPIReady(self):
"""
Callback when API is ready for sending requests or queries.
"""
self.api.QryCommodity()
def OnDisconnect(self, reasonCode: int):
"""
Callback when connection to TAP server is lost.
"""
self.gateway.write_log(f"行情服务器连接断开，原因：{reasonCode}")
def OnRspSubscribeQuote(self, sessionID: int, errorCode: int, isLast: str,
info: TapAPIQuoteWhole):
"""
Callback of subscribe market data request.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"订阅行情失败：{error_to_str(errorCode)}")
else:
self.update_tick(info)
def OnRtnQuote(self, info: TapAPIQuoteWhole):
"""
Callback of new data update.
"""
self.update_tick(info)
def update_tick(self, info: TapAPIQuoteWhole):
"""
Convert TAP quote data structure into TickData event and push it.
"""
symbol = info.Contract.Commodity.CommodityNo + info.Contract.ContractNo1
exchange = EXCHANGE_TAP2VT[info.Contract.Commodity.ExchangeNo]
contract_info = contract_infos.get((symbol, exchange), None)
if not contract_info:
self.gateway.write_log(f"行情合约信息无法匹配：{symbol}和{exchange}")
return
tick = TickData(
symbol=symbol,
exchange=exchange,
datetime=parse_datetime(info.DateTimeStamp),
name=contract_info.name,
volume=info.QTotalQty,
last_price=info.QLastPrice,
last_volume=info.QLastQty,
limit_up=info.QLimitUpPrice,
limit_down=info.QLimitDownPrice,
open_price=info.QOpeningPrice,
high_price=info.QHighPrice,
low_price=info.QLowPrice,
pre_close=info.QPreClosingPrice,
bid_price_1=info.QBidPrice[0],
bid_price_2=info.QBidPrice[1],
bid_price_3=info.QBidPrice[2],
bid_price_4=info.QBidPrice[3],
bid_price_5=info.QBidPrice[4],
ask_price_1=info.QAskPrice[0],
ask_price_2=info.QAskPrice[1],
ask_price_3=info.QAskPrice[2],
ask_price_4=info.QAskPrice[3],
ask_price_5=info.QAskPrice[4],
bid_volume_1=info.QBidQty[0],
bid_volume_2=info.QBidQty[1],
bid_volume_3=info.QBidQty[2],
bid_volume_4=info.QBidQty[3],
bid_volume_5=info.QBidQty[4],
ask_volume_1=info.QAskQty[0],
ask_volume_2=info.QAskQty[1],
ask_volume_3=info.QAskQty[2],
ask_volume_4=info.QAskQty[3],
ask_volume_5=info.QAskQty[4],
gateway_name=self.gateway_name,
)
self.gateway.on_tick(tick)
def connect(self, username: str, password: str, host: str, port: int,
auth_code: str):
"""
Starting connection to TAP server.
"""
# General API setting
path = get_folder_path(self.gateway_name.lower())
SetTapQuoteAPIDataPath(str(path))
SetTapQuoteAPILogLevel(APILOGLEVEL_NONE)
# Create API object
info = TapAPIApplicationInfo()
info.AuthCode = auth_code
info.KeyOperationLogPath = str(path)
self.api, iResult = CreateTapQuoteAPI(info)
if not self.api:
self.gateway.write_log("行情API初始化失败")
return
# Set server address and port
self.api.SetAPINotify(self)
self.api.SetHostAddress(host, port)
# Start connection
login_auth = TapAPIQuoteLoginAuth()
login_auth.UserNo = username
login_auth.Password = password
login_auth.ISDDA = APIYNFLAG_NO
login_auth.ISModifyPassword = APIYNFLAG_NO
self.api.Login(login_auth)
def close(self):
"""
Release TAP API resources.
"""
if self.api:
self.api.SetAPINotify(None)
FreeTapQuoteAPI(self.api)
self.api = None
def subscribe(self, req: SubscribeRequest):
"""
Subscribe to new market data update.
"""
contract_info = contract_infos.get((req.symbol, req.exchange), None)
if not contract_info:
self.gateway.write_log(
f"找不到匹配的合约：{req.symbol}和{req.exchange.value}")
return
tap_contract = TapAPIContract()
tap_contract.Commodity.ExchangeNo = EXCHANGE_VT2TAP[req.exchange]
tap_contract.Commodity.CommodityType = contract_info.commodity_type
tap_contract.Commodity.CommodityNo = contract_info.commodity_no
tap_contract.ContractNo1 = contract_info.contract_no
tap_contract.CallOrPutFlag1 = TAPI_CALLPUT_FLAG_NONE
tap_contract.CallOrPutFlag2 = TAPI_CALLPUT_FLAG_NONE
self.api.SubscribeQuote(tap_contract)