def OnRtnOrder(self, pOrder):
print 'ks_OnRtnOrder:', repr(pOrder)
#报单操作请求
pOrder = KSUserApiStruct.CThostFtdcOrderField()
if pOrder.OrderStatus == KSUserApiType.THOST_FTDC_OST_NoTradeQueueing and int(
PyString_AsString(pOrder.OrderSysID)) != 0:
ord = KSUserApiStruct.CThostFtdcInputOrderActionField()
# broker id
ord.BrokerID = broker_id
# investor ID
ord.InvestorID = investor_id
# order action refernce
ord.OrderActionRef = 000000000001
# order reference
ord.OrderRef = pOrder.OrderRef # *必传1
# front id
ord.FrontID = pOrder.FrontID # *必传2
# session id
ord.SessionID = pOrder.SessionID # *必传3
# 或者
# exchange ID
ord.ExchangeID = pOrder.ExchangeID # *必传1
# action order ID
ord.OrderSysID = pOrder.OrderSysID # *必传2
# action order num(unavailable yet)
ord.VolumeChange = 0
# instrument ID
ord.InstrumentID = pOrder.InstrumentID
# user id
ord.UserID = investor_id
self.requestid
r = self.api.ReqOrderAction(ord, self.requestid)
if r == 0: print u"报单操作请求: 成功\n"
else: print u"报单操作请求: 失败\n"
def Req_QryExchange(self, investor_id):
req = KSUserApiStruct.CThostFtdcQryExchangeField()
req.ExchangeID = investor_id
self.requestid += 1
r = self.api.ReqQryExchange(req, self.requestid)
if r == 0: print u"请求查询交易所: 成功\n"
else: print u"请求查询交易所: 失败\n"
def Req_QryDepthMarketData(self, instrument_id):
req = KSUserApiStruct.CThostFtdcQryDepthMarketDataField()
req.InstrumentID = instrument_id
self.requestid += 1
r = self.api.ReqQryDepthMarketData(req, self.requestid)
if r == 0: print u"请求查询行情: 成功\n"
else: print u"请求查询行情: 失败\n"
def Req_QryAccountregister(self, broker_id):
req = KSUserApiStruct.CThostFtdcQryAccountregisterField()
req.BrokerID = broker_id
self.requestid += 1
r = self.api.ReqQryAccountregister(req, self.requestid)
if r == 0: print u"请求查询银期签约关系: 成功\n"
else: print u"请求查询银期签约关系: 失败\n"
def Req_QryBrokerTradingAlgos(self, broker_id):
req = KSUserApiStruct.CThostFtdcQryBrokerTradingAlgosField()
req.BrokerID = broker_id
self.requestid += 1
r = self.api.ReqQryBrokerTradingAlgos(req, self.requestid)
if r == 0: print u"请求查询经纪公司交易算法: 成功\n"
else: print u"请求查询经纪公司交易算法: 失败\n"
def Req_QryNotice(self, broker_id):
req = KSUserApiStruct.CThostFtdcQryNoticeField()
req.BrokerID = broker_id
self.requestid += 1
r = self.api.ReqQryNotice(req, self.requestid)
if r == 0: print u"请求查询客户通知: 成功\n"
else: print u"请求查询客户通知: 失败\n"
def Req_QryContractBank(self, broker_id):
req = KSUserApiStruct.CThostFtdcQryContractBankField()
req.BrokerID = broker_id
self.requestid += 1
r = self.api.ReqQryContractBank(req, self.requestid)
if r == 0: print u"请求查询签约银行: 成功\n"
else: print u"请求查询签约银行: 失败\n"
def Req_UserLogout(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcUserLogoutField(BrokerID=broker_id,
UserID=investor_id)
self.requestid += 1
r = self.api.ReqUserLogout(req, self.requestid)
if r == 0: print u"发送用户录出请求: 成功\n"
else: print u"发送用户录出请求: 失败\n"
def Req_QueryInvestorOpenPosition(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcQryInvestorPositionDetailField()
req.BrokerID = broker_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQueryInvestorOpenPosition(req, self.requestid)
if r == 0: print u"请求查询开盘前持仓: 成功\n"
else: print u"请求查询开盘前持仓: 失败\n"
def Req_UserLogin(self, broker_id, investor_id, passwd):
req = KSUserApiStruct.CThostFtdcReqUserLoginField(BrokerID=broker_id,
UserID=investor_id,
Password=passwd)
self.requestid += 1
r = self.api.ReqUserLogin(req, self.requestid)
if r == 0: print u"发送用户登录请求: 成功\n"
else: print u"发送用户登录请求: 失败\n"
def Req_QryTradingAccount(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcQryTradingAccountField()
req.BrokerID = broker_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQryTradingAccount(req, self.requestid)
if r == 0: print u"请求查询资金账户: 成功\n"
else: print u"请求查询资金账户: 失败\n"
def Req_QryInstrument(self, instrument_id):
req = KSUserApiStruct.CThostFtdcQryInstrumentField()
req.InstrumentID = ''
req.ExchangeID = "SHFE"
self.requestid += 1
r = self.api.ReqQryInstrument(req, self.requestid)
if r == 0: print u"ReqQryInstrument\n"
else: print u"请求查询合约: 失败\n"
def Req_QryBrokerTradingParams(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcQryBrokerTradingParamsField()
req.BrokerID = broker_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQryBrokerTradingParams(req, self.requestid)
if r == 0: print u"请求查询经纪公司交易参数: 成功\n"
else: print u"请求查询经纪公司交易参数: 失败\n"
def Req_QryInvestor(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcQryInvestorField()
req.BrokerID = broker_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQryInvestor(req, self.requestid)
if r == 0: print u"请求查询投资者: 成功\n"
else: print u"请求查询投资者: 失败\n"
def Req_QrySettlementInfoConfirm(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcSettlementInfoField()
req.BrokerID = broker_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQrySettlementInfoConfirm(req, self.requestid)
if r == 0: print u"请求查询结算信息确认: 成功\n"
else: print u"请求查询结算信息确认: 失败\n"
def Req_QryCFMMCTradingAccountKey(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcQryCFMMCTradingAccountKeyField()
req.BrokerID = broker_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQryCFMMCTradingAccountKey(req, self.requestid)
if r == 0: print u"请求查询保证金监管系统经纪公司资金账户密钥: 成功\n"
else: print u"请求查询保证金监管系统经纪公司资金账户密钥: 失败\n"
def Req_QryEWarrantOffset(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcQryEWarrantOffsetField()
req.BrokerID = broker_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQryEWarrantOffset(req, self.requestid)
if r == 0: print u"请求查询仓单折抵信息: 成功\n"
else: print u"请求查询仓单折抵信息: 失败\n"
def Req_QryInvestorPositionCombineDetail(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcQryInvestorPositionCombineDetailField()
req.BrokerID = broker_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQryInvestorPositionCombineDetail(req, self.requestid)
if r == 0: print u"请求查询投资者持仓明细: 成功\n"
else: print u"请求查询投资者持仓明细: 失败\n"
def Req_QueryMaxOrderVolume(self, broker_id, investor_id, instrument_id):
req = KSUserApiStruct.CThostFtdcQueryMaxOrderVolumeField()
req.BrokerID = broker_id
req.InvestorID = investor_id
req.InstrumentID = instrument_id
self.requestid += 1
r = self.api.ReqQueryMaxOrderVolume(req, self.requestid)
if r == 0: print u"请求查询最大报单数量: 成功\n"
else: print u"请求查询最大报单数量: 失败\n"
def Req_QryTransferSerial(self, broker_id, investor_id):
req = KSUserApiStruct.CThostFtdcQryTransferSerialField()
req.AccountID = investor_id
req.BrokerID = broker_id
#银行代码
req.BankID = "5"
self.requestid += 1
r = self.api.ReqQryTransferSerial(req, self.requestid)
if r == 0: print u"请求查询转帐流水: 成功\n"
else: print u"请求查询转帐流水: 失败\n"
def Req_QryTrade(self, broker_id, investor_id, instrument_id):
req = KSUserApiStruct.CThostFtdcQryTradeField()
req.BrokerID = broker_id
req.ExchangeID = investor_id
req.InstrumentID = instrument_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQryTrade(req, self.requestid)
if r == 0: print u"交易查询请求: 成功\n"
else: print u"交易查询请求: 失败\n"
def Req_TradingAccountPasswordUpdate(self, broker_id, investor_id, passwd):
req = KSUserApiStruct.CThostFtdcTradingAccountPasswordUpdateField()
req.BrokerID = broker_id
req.AccountID = investor_id
req.OldPassword = passwd
req.NewPassword = passwd
self.requestid += 1
r = self.api.ReqTradingAccountPasswordUpdate(req, self.requestid)
if r == 0: print u"资金账户口令更新请求: 成功\n"
else: print u"资金账户口令更新请求: 失败\n"
def Req_QryInstrumentMarginRate(self, broker_id, investor_id,
instrument_id):
req = KSUserApiStruct.CThostFtdcQryInstrumentMarginRateField()
req.BrokerID = broker_id
req.InstrumentID = instrument_id
req.InvestorID = investor_id
self.requestid += 1
r = self.api.ReqQryInstrumentMarginRate(req, self.requestid)
if r == 0: print u"请求查询合约保证金率: 成功\n"
else: print u"请求查询合约保证金率: 失败\n"
def Req_UserPasswordUpdate(self, broker_id, investor_id, passwd):
req = KSUserApiStruct.CThostFtdcUserPasswordUpdateField()
req.BrokerID = broker_id
req.UserID = investor_id
req.OldPassword = passwd
req.NewPassword = passwd
self.requestid += 1
r = self.api.ReqUserPasswordUpdate(req, self.requestid)
if r == 0: print u"用户口令变更请求: 成功\n"
else: print u"用户口令变更请求: 失败\n"
def OnRtnOrder(self, pOrder):
print 'ks_OnRtnOrder:', repr(pOrder)
#插入报单数据库
'''
connection=pymongo.Connection('localhost',27017)
db=connection.commodityTrading
res={"CombOffsetFlag":pOrder.CombOffsetFlag,"CombHedgeFlag":pOrder.CombHedgeFlag,"InstrumentID":pOrder.InstrumentID,"OrderPriceType":pOrder.OrderPriceType,"Direction":pOrder.Direction,"OrderRef":pOrder.OrderRef,"LimitPrice":pOrder.LimitPrice,"VolumeTotalOriginal":pOrder.VolumeTotalOriginal,"RequestID":pOrder.RequestID,"InsertTime":pOrder.InsertTime,"InsertDate":pOrder.InsertDate}
db.RtnOrder.insert(res)
'''
#报单操作请求
pOrder = KSUserApiStruct.CThostFtdcOrderField()
if pOrder.OrderStatus == KSUserApiType.THOST_FTDC_OST_NoTradeQueueing and int(
str(pOrder.OrderSysID)) != 0:
ord = KSUserApiStruct.CThostFtdcInputOrderActionField()
# broker id
ord.BrokerID = self.broker_id
# investor ID
ord.InvestorID = self.investor_id
# order action refernce
ord.OrderActionRef = 000000000001
# order reference
ord.OrderRef = pOrder.OrderRef # *必传1
# front id
ord.FrontID = pOrder.FrontID # *必传2
# session id
ord.SessionID = pOrder.SessionID # *必传3
# 或者
# exchange ID
ord.ExchangeID = pOrder.ExchangeID # *必传1
# action order ID
ord.OrderSysID = pOrder.OrderSysID # *必传2
# action order num(unavailable yet)
ord.VolumeChange = 0
# instrument ID
ord.InstrumentID = pOrder.InstrumentID
# user id
ord.UserID = investor_id
self.requestid
r = self.api.ReqOrderAction(ord, self.requestid)
if r == 0: print u"报单操作请求: 成功\n"
else: print u"报单操作请求: 失败\n"
def Req_OrderInsert(self, broker_id, investor_id):
data = KSUserApiStruct.CThostFtdcInputOrderField()
#经纪公司代码
data.BrokerID = broker_id
#投资者代码
data.InvestorID = investor_id
#合约代码
data.InstrumentID = "IF1312" #instrument_id
#报单引用
data.OrderRef = "9"
#报单价格条件: 限价
data.OrderPriceType = KSUserApiType.THOST_FTDC_OPT_LimitPrice
#买卖方向:
data.Direction = KSUserApiType.THOST_FTDC_D_Buy
#组合开平标志: 开仓
data.CombOffsetFlag = KSUserApiType.THOST_FTDC_OF_Open
#组合投机套保标志
data.CombHedgeFlag = KSUserApiType.THOST_FTDC_HF_Speculation
#价格
data.LimitPrice = 2450
#数量: 1
data.VolumeTotalOriginal = 1
#有效期类型: 当日有效
data.TimeCondition = KSUserApiType.THOST_FTDC_TC_GFD
#成交量类型: 任何数量
data.VolumeCondition = KSUserApiType.THOST_FTDC_VC_AV
#最小成交量: 0
data.MinVolume = 0
#触发条件: 立即
data.ContingentCondition = KSUserApiType.THOST_FTDC_CC_Immediately
#强平原因: 非强平
data.ForceCloseReason = KSUserApiType.THOST_FTDC_FCC_NotForceClose
#自动挂起标志: 否
data.IsAutoSuspend = 0
#请求编号
data.RequestID = self.requestid
#用户强评标志: 否
data.UserForceClose = 0
self.requestid += 1
print repr(data)
r = self.api.ReqOrderInsert(data, self.requestid)
if r == 0: print u"报单录入请求: 成功\n"
else: print u"报单录入请求: 失败\n"
def inputOrderField(self, broker_id, investor_id, instrument_id, volume,
limitPrice, orderPriceType, direction, combOffSetFlag,
combHedgeFlag):
data = KSUserApiStruct.CThostFtdcInputOrderField()
#经纪公司代码
data.BrokerID = broker_id
#投资者代码
data.InvestorID = investor_id
#合约代码
data.InstrumentID = instrument_id
#instrument_id
#报单引用
data.OrderRef = self.orderRef
#报单价格条件: 限价
data.OrderPriceType = orderPriceType
#买卖方向:
data.Direction = direction
#组合开平标志: 开仓
data.CombOffsetFlag = combOffSetFlag
#组合投机套保标志
data.CombHedgeFlag = combHedgeFlag
#价格
data.LimitPrice = limitPrice
#数量: 1
data.VolumeTotalOriginal = volume
#有效期类型: 当日有效
data.TimeCondition = KSUserApiType.THOST_FTDC_TC_GFD
#成交量类型: 任何数量
data.VolumeCondition = KSUserApiType.THOST_FTDC_VC_AV
#最小成交量: 0
data.MinVolume = 0
#触发条件: 立即
data.ContingentCondition = KSUserApiType.THOST_FTDC_CC_Immediately
#强平原因: 非强平
data.ForceCloseReason = KSUserApiType.THOST_FTDC_FCC_NotForceClose
#自动挂起标志: 否
data.IsAutoSuspend = 0
#请求编号
self.spi.requestid += 1
data.RequestID = self.spi.requestid
#用户强评标志: 否
data.UserForceClose = 0
#用户强评标志: 否
data.UserForceClose = 0
#continue to insert to the table of tradingRecord
connection = pymongo.Connection('localhost', 27017)
db = connection.commodityTrading
res = {
"InvestorID": data.InvestorID,
"BrokerID": data.BrokerID,
"StrategyName": self.strategyName,
"OrderRef": self.orderRef,
"TradingDay": self.tradingDay,
"Volume": data.VolumeTotalOriginal,
"InstrumentID": data.InstrumentID,
"Direction": data.Direction,
"OrderPriceType": data.OrderPriceType,
"CombOffsetFlag": data.CombOffsetFlag
}
db.tradingRecord.insert(res)
return data
def ks_spi_init():
user = KSTraderApi.CreateKSTraderApi("log_cos")
#global spi
spi = myTraderSpi(instruments="IF1303",
broker_id="6A89B428",
investor_id="80006",
passwd="123456")
user.RegisterSpi(spi)
user.SubscribePublicTopic(2)
user.SubscribePrivateTopic(2)
user.RegisterFront("tcp://10.253.117.107:13153")
user.Init()
time.sleep(3)
cosspi = myCosSpi(broker_id="6A89B428",
investor_id="80006",
passwd="123456")
cosapi = user.LoadExtApi(cosspi, "KSCosApi")
#条件单录入请求
req = KSUserApiStruct.CTKSConditionalOrderInitInsert()
#print req
req.BrokerID = "6A89B428"
req.ExchangeID = "CFFEX"
req.InvestorID = "80006"
req.InstrumentID = "IF1303"
req.Direction = '0'
req.CombOffsetFlag = '0'
req.CombHedgeFlag = '1'
req.VolumeTotalOriginal = 2
req.LimitPrice = 200
req.OrderPriceType = '1'
req.ConditionalType = '1'
req.ConditionalPrice = 300
req.TriggeredTimes = 2
req.OrderType = '1'
req.ActiveTime = "142010"
req.InActiveTime = "162010"
req.CurrencyID = "RMB"
#print req
requestid = 1
requestid += 1
r = cosapi.ReqInitInsertConditionalOrder(req, requestid)
if r == 0: print "ReqInitInsertConditionalOrder succeed\n"
else: print "ReqInitInsertConditionalOrder failed\n"
#条件单查询请求
req = KSUserApiStruct.CTKSConditionalOrderQuery(BrokerID="6A89B428",
InvestorID="80006")
print req
requestid += 1
r = cosapi.ReqQueryConditionalOrder(req, requestid)
if r == 0: print "ReqQueryConditionalOrder succeed\n"
else: print "ReqQueryConditionalOrder failed\n"
#条件单修改请求
req = KSUserApiStruct.CTKSConditionalOrderModify()
print req
req.BrokerID = "6A89B428"
req.ExchangeID = "CFFEX"
req.InvestorID = "80006"
req.ConditionalOrderID = 16
req.InstrumentID = "IF1303"
req.Direction = '1'
req.CombOffsetFlag = '3'
req.CombHedgeFlag = '1'
req.VolumeTotalOriginal = 9
req.LimitPrice = 1000
req.OrderPriceType = '1'
req.ConditionalType = '1'
req.ConditionalPrice = 3000
req.TriggeredTimes = 10
req.OrderType = '1'
requestid += 1
r = cosapi.ReqModifyConditionalOrder(req, requestid)
if r == 0: print "ReqModifyConditionalOrder succeed\n"
else: print "ReqModifyConditionalOrder failed\n"
#条件单删除请求
req = KSUserApiStruct.CTKSConditionalOrderRemove(BrokerID="6A89B428",
InvestorID="80006",
ConditionalOrderID=5)
print req
requestid += 1
r = cosapi.ReqRemoveConditionalOrder(req, requestid)
if r == 0: print "ReqRemoveConditionalOrder succeed\n"
else: print "ReqRemoveConditionalOrder failed\n"
#条件单暂停或激活请求
req = KSUserApiStruct.CTKSConditionalOrderStateAlter()
print req
req.BrokerID = "6A89B428"
req.InvestorID = "80006"
req.ConditionalOrderID = 18
req.ConditionalOrderStateAlter = '0'
requestid += 1
r = cosapi.ReqStateAlterConditionalOrder(req, requestid)
if r == 0: print "ReqStateAlterConditionalOrder succeed\n"
else: print "ReqStateAlterConditionalOrder failed\n"
#选择条件单请求
req = KSUserApiStruct.CTKSConditionalOrderSelect()
print req
req.BrokerID = "6A89B428"
req.InvestorID = "80006"
req.ConditionalOrderID = 2
req.SelectResult = KSUserApiType.KSCOS_Select_AGAIN
requestid += 1
r = cosapi.ReqSelectConditionalOrder(req, requestid)
if r == 0: print "ReqSelectConditionalOrder succeed\n"
else: print "ReqSelectConditionalOrder failed\n"
#止损止盈单录入请求
req = KSUserApiStruct.CTKSProfitAndLossOrderInsert()
print req
req.BrokerID = "6A89B428"
req.ExchangeID = "CFFEX"
req.InvestorID = "80006"
req.OrderLocalID = '6'
req.StopLossPrice = 2100
req.TakeProfitPrice = 2500
req.BusinessUnit = "cffex"
req.TriggeredTimes = 2
req.CloseMode = '1'
req.FiguresPrice = 0.2
req.OffsetValue = '0'
req.SpringType = '1'
req.CurrencyID = "RMB"
requestid += 1
r = cosapi.ReqInsertProfitAndLossOrder(req, requestid)
if r == 0: print "ReqInsertProfitAndLossOrder succeed\n"
else: print "ReqInsertProfitAndLossOrder failed\n"
#止损止盈单修改请求
req = KSUserApiStruct.CTKSProfitAndLossOrderModify()
print req
req.BrokerID = "6A89B428"
req.InvestorID = "80006"
req.ProfitAndLossOrderID = 9
req.StopLossPrice = 2999
req.TakeProfitPrice = 3999
req.CloseMode = '1'
req.FiguresPrice = 0.2
req.OffsetValue = '0'
req.SpringType = '1'
req.TriggeredTimes = 30
requestid += 1
r = cosapi.ReqModifyProfitAndLossOrder(req, requestid)
if r == 0: print "ReqModifyProfitAndLossOrder succeed\n"
else: print "ReqModifyProfitAndLossOrder failed\n"
#止损止盈单删除请求
req = KSUserApiStruct.CTKSProfitAndLossOrderRemove()
print req
req.BrokerID = "6A89B428"
req.InvestorID = "80006"
req.ProfitAndLossOrderID = 2
req.OrderLocalID = "8"
req.ExchangeID = "CFFEX"
req.BusinessUnit = "cffex"
requestid = 1
requestid += 1
r = cosapi.ReqRemoveProfitAndLossOrder(req, requestid)
if r == 0: print "ReqRemoveProfitAndLossOrder succeed\n"
else: print "ReqRemoveProfitAndLossOrder failed\n"
time.sleep(3)