def qryPosition(self, InstrumentID=''):
self.requestid += 1
if InstrumentID:
req = ApiStruct.QryInvestorPosition(BrokerID=self.broker_id,
InvestorID=self.investor_id,
InstrumentID=InstrumentID)
else:
req = ApiStruct.QryInvestorPosition(BrokerID=self.broker_id,
InvestorID=self.investor_id)
self.ReqQryInvestorPosition(req, self.requestid)
def user_login(self, broker_id, investor_id, passwd):
req = ApiStruct.ReqUserLogin(BrokerID=broker_id,
UserID=investor_id,
Password=passwd)
self.requestid += 1
r = self.ReqUserLogin(req, self.requestid)
def ReqOrderInsert(self, order, request_id):
'''报单录入请求, 需要调用成交函数'''
logging.info(u'报单')
oid = order.OrderRef
trade = ApiStruct.Trade(
InstrumentID=order.InstrumentID,
Direction=order.Direction,
Price=order.LimitPrice,
Volume=order.VolumeTotalOriginal,
OrderRef=oid,
TradeID=oid,
OrderSysID=oid,
BrokerOrderSeq=oid,
OrderLocalID=oid,
TradeTime=time.strftime('%H%M%S'), #只有备案作用
)
if order.CombOffsetFlag == ApiStruct.OF_Open: #开仓. 为方便起见,假设都是股指
self.available -= order.LimitPrice * 300 * 0.17
else:
self.available += order.LimitPrice * 300 * 0.17
fl_open = strategy.MAX_OPEN_OVERFLOW * 0.2
fl_close = strategy.MAX_CLOSE_OVERFLOW * 0.2
if order.CombOffsetFlag == ApiStruct.OF_Open:
trade.Price += -fl_open if order.Direction == ApiStruct.D_Buy else fl_open
else:
trade.Price += -fl_close if order.Direction == ApiStruct.D_Buy else fl_close
self.myagent.rtn_trade(trade)
def xcancel(self,instrument_id,exchange_id,order_sys_id,front_id,session_id,order_ref):
"""
当以RESTART方式订阅流时,会收到之前的委托/成交回报. 在委托回报中,有各委托单状态
如果撤单的时候数据对不上号,就会有 撤单找不到相应报单 的错误
撤单请求返回的OnRtnOrder是被撤单的这个pOrder的委托响应的状态更新,不会有单独的撤单OnRtnOrder
该OnRtnOrder中, front_id,session_id等都对应到被撤的那个pOrder
如果是重新登陆,那么发出撤单命令的这个session_id和OnRtnOrder响应中的session_id是不一样的
"""
self.logger.info('SPI_XC:取消命令')
ref_id = self.inc_request_id()
#orderActionRef是一个可有可无的值,设置错了也无关紧要
req = UStruct.InputOrderAction(
InstrumentID = instrument_id,
BrokerID = self._broker,
InvestorID = self._investor,
ActionFlag = UType.AF_Delete,
OrderActionRef = ref_id, # 这需要一个int,真TM矛盾, OrderRef是一个String
#OrderActionRef = order_ref, # 这个ref无关紧要,根据文档,应当是ref_id
)
if exchange_id: #已设置,则采用Exchange_id+orderSysID方式. 这两种方式均可撤当日任意单
req.ExchangeID = exchange_id
req.OrderSysID = order_sys_id
else: #采用frontID + sessionID + orderRef标识的方式. 这两种方式均可撤当日任意单
#这个分支的测试 必须在OnRtnOrder第一次Callback时才能触发. 需要在该回调中测试
req.FrontID = front_id
req.SessionID = session_id
req.OrderRef = str(order_ref)
ret= self.ReqOrderAction(req,self.inc_request_id())
return ret
def xclose(self, instrument_id, close_type,direction, volume,price):
"""
上期所区分平昨和平今
搞反的话就会被CTP直接拒绝. 如平昨来平当日仓,且无足够昨仓,就会报:综合交易平台：平昨仓位不足
"""
ref_id = self.inc_request_id()
close_flag = UType.OF_CloseToday if close_type == XCLOSE_TODAY else UType.OF_Close
req = UStruct.InputOrder(
InstrumentID = instrument_id,
Direction = self.to_ctp_direction(direction),
OrderRef = str(ref_id),
LimitPrice = price, #有个疑问，double类型如何保证舍入舍出，在服务器端取整?
VolumeTotalOriginal = volume,
OrderPriceType = UType.OPT_LimitPrice,
BrokerID = self._broker,
InvestorID = self._investor,
CombOffsetFlag = close_flag,
CombHedgeFlag = UType.HF_Speculation, #投机 5位字符, 但是只用到第0位
VolumeCondition = UType.VC_AV,
MinVolume = 1, #这个作用有点不确定, 有的文档设成0了
ForceCloseReason = UType.FCC_NotForceClose,
IsAutoSuspend = 1,
UserForceClose = 0,
TimeCondition = UType.TC_GFD,
)
ret = self.ReqOrderInsert(req, ref_id)
return ret
def xopen(self, instrument_id, direction, volume, price):
#print("spidelegate,xopen",instrument_id,volume,price,self)
ref_id = self.inc_request_id()
req = UStruct.InputOrder(
InstrumentID = instrument_id,
Direction = self.to_ctp_direction(direction),
OrderRef = str(ref_id),
LimitPrice = price, #有个疑问，double类型如何保证舍入舍出，在服务器端取整?
VolumeTotalOriginal = volume,
OrderPriceType = UType.OPT_LimitPrice,
ContingentCondition = UType.CC_Immediately,
BrokerID = self._broker,
InvestorID = self._investor,
CombOffsetFlag = UType.OF_Open, #开仓 5位字符, 但是只用到第0位
CombHedgeFlag = UType.HF_Speculation, #投机 5位字符, 但是只用到第0位
VolumeCondition = UType.VC_AV,
MinVolume = 1, #这个作用有点不确定, 有的文档设成0了
ForceCloseReason = UType.FCC_NotForceClose,
IsAutoSuspend = 1,
UserForceClose = 0,
TimeCondition = UType.TC_GFD,
)
ret = self.ReqOrderInsert(req, ref_id)
return ret
def fetch_trading_account(self):
#获取资金帐户
logging.info('A:获取资金帐户..')
req = UStruct.QryTradingAccount(BrokerID=self._broker, InvestorID=self._investor)
ref_id = self.inc_request_id()
ret = self.ReqQryTradingAccount(req, ref_id)
return ret,ref_id
def fetch_instruments_by_exchange(self, exchange_id):
'''不能单独用exchange_id,因此没有意义
'''
req = ApiStruct.QryInstrument(ExchangeID=exchange_id, )
self.requestid += 1
r = self.ReqQryInstrument(req, self.requestid)
print u'A:查询合约, 函数发出返回值:%s' % r
def user_login(self):
self.logger.info('TD:trader to login')
req = UStruct.ReqUserLogin(BrokerID=self._broker, UserID=self._investor, Password=self._passwd)
ref_id = self.inc_request_id()
ret = self.ReqUserLogin(req, ref_id)
self.logger.info('TD:trader to login, issued')
return ret
def formatOrder(traderSpi, inst, direc, open_close, volume, price):
orderp = ApiStruct.InputOrder(
InstrumentID=inst,
Direction=direc, # ApiStruct.D_Buy or ApiStruct.D_Sell
OrderRef=str(traderSpi.inc_request_id()),
LimitPrice=price,
VolumeTotalOriginal=volume,
OrderPriceType=ApiStruct.OPT_LimitPrice,
BrokerID=traderSpi.broker_id,
InvestorID=traderSpi.investor_id,
# BrokerID = '6868',
# InvestorID = '10000360',
UserID = traderSpi.investor_id,
CombOffsetFlag=open_close, # OF_Open, OF_Close, OF_CloseToday
CombHedgeFlag=ApiStruct.HF_Speculation,
VolumeCondition=ApiStruct.VC_AV,
MinVolume=1,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=1,
UserForceClose=0,
TimeCondition=ApiStruct.TC_GFD,
)
print orderp
return orderp
def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
"""登录请求响应"""
if pRspInfo.ErrorID == 0:
self.front_id = pRspUserLogin.FrontID
self.session_id = pRspUserLogin.SessionID
self.is_login = True
self.logger.info("CtpMiniTrader Login Successfully:{}".format(
pRspInfo.ErrorMsg.decode("gbk")))
self.shfe_time = pRspUserLogin.SHFETime
self.dce_time = pRspUserLogin.DCETime
self.czce_time = pRspUserLogin.CZCETime
self.ffex_time = pRspUserLogin.FFEXTime
self.ine_time = pRspUserLogin.INETime
self.login_time = pRspUserLogin.LoginTime
req = ApiStruct.QrySettlementInfoConfirm(
BrokerID=self.broker_id,
InvestorID=self.investor_id,
)
self.ReqSettlementInfoConfirm(req, self.request_id)
# 否则，推送错误信息
else:
self.logger.error("error_id: {}, error_msg:{}".format(
pRspInfo.ErrorID, pRspInfo.ErrorMsg.decode('gbk')))
# 在某些情况下，会出现无法自动连接
# 这里我们手动进行一下重连
time.sleep(60)
self.connect(self.user_id, self.password, self.broker_id,
self.trade_front)
def OnFrontConnected(self):
logger.info('Market OnFrontConnected: Login...')
req = ApiStruct.ReqUserLogin(BrokerID=self.brokerID,
UserID=self.userID,
Password=self.password)
self.requestID += 1
self.ReqUserLogin(req, self.requestID)
def OnRspQryInvestorPositionDetail(self, pInvestorPositionDetail, pRspInfo,
nRequestID, bIsLast):
if not pInvestorPositionDetail:
return
if self.api_type == 'close_all':
close_order = ApiStruct.InputOrder(
BrokerID=self.brokerID,
InvestorID=self.userID,
InstrumentID=pInvestorPositionDetail.InstrumentID,
OrderPriceType=ApiStruct.OPT_LimitPrice,
Direction=ApiStruct.D_Sell if pInvestorPositionDetail.Direction
== ApiStruct.D_Buy else ApiStruct.D_Buy,
VolumeTotalOriginal=pInvestorPositionDetail.Volume,
TimeCondition=ApiStruct.TC_GFD,
VolumeCondition=ApiStruct.VC_AV,
CombHedgeFlag=ApiStruct.HF_Speculation,
CombOffsetFlag=ApiStruct.OF_CloseToday,
LimitPrice=models.TickData.latest(
db, pInvestorPositionDetail.InstrumentID).last_price,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=False,
UserForceClose=False)
self.requestID += 1
self.ReqOrderInsert(close_order, self.requestID)
logger.info(
'Close remaining orders, instrument: {}, requestID={}'.format(
pInvestorPositionDetail.InstrumentID, self.requestID))
def OnFrontConnected(self):
print('OnFrontConnected: Login...')
req = ApiStruct.ReqUserLogin(BrokerID=self.brokerID,
UserID=self.userID,
Password=self.password)
self.requestID += 1
self.ReqUserLogin(req, self.requestID)
def Login(self, brokerid, investorid, password):
'''登陆行情端'''
UserInfo = ApiStruct.ReqUserLogin(BrokerID=brokerid,
UserID=investorid,
Password=password)
self.IncReqid()
self.ReqUserLogin(UserInfo, self.requestid)
def fetch_instrument_marginrate(self, instrument_id):
req = ApiStruct.QryInstrumentMarginRate(
BrokerID=self.cuser.broker_id,
InvestorID=self.cuser.investor_id,
InstrumentID=instrument_id,
HedgeFlag=ApiStruct.HF_Speculation)
r = self.trader.ReqQryInstrumentMarginRate(req, self.inc_request_id())
logging.info('A:查询保证金率, 函数发出返回值:%s' % r)
def fetch_investor_position(self, instrument_id):
#获取合约的当前持仓
logging.info('A:获取合约%s的当前持仓..' % (instrument_id, ))
req = UStruct.QryInvestorPosition(BrokerID=self._broker, InvestorID=self._investor, InstrumentID=instrument_id)
ref_id = self.inc_request_id()
ret = self.ReqQryInvestorPosition(req, self.ref_id)
#logging.info('A:查询持仓, 函数发出返回值:%s' % rP)
return ret,ref_id
def query_settlement_info(self):
#不填日期表示取上一天结算单, 并在响应函数中确认
self.logger.info('TD:取上一日结算单信息并确认, BrokerID=%s, investorID=%s' % (self._broker, self._investor))
req = UStruct.QrySettlementInfo(BrokerID=self._broker, InvestorID=self._investor, TradingDay='')
#time.sleep(1) #避免流控, 因为此时ticks未必已经开始动作, 故不采用macro_command_queue方式. 这里因为不再查询结算单是否已确认, 所以已经没有流控限制
ref_id = self.inc_request_id()
ret = self.ReqQrySettlementInfo(req, ref_id)
return ret
def QryMarketData(self, instrument):
ok = self.settlementevent.wait(5)
if ok:
Instrument = ApiStruct.QryDepthMarketData(instrument)
self.requestid += 1
self.ReqQryDepthMarketData(Instrument, self.requestid)
else:
self.logger.error('QryMarketData timeout')
def fetch_instrument(self, instrument_id):
req = UStruct.QryInstrument(
InstrumentID=instrument_id,
)
ref_id = self.inc_request_id()
ret = self.ReqQryInstrument(req, self.inc_request_id())
logging.info('A:查询合约, 函数发出返回值:%s' % ret)
return ret
def user_login(self):
self.logger.info('TD:trader to login')
#req = UStruct.ReqUserLogin(BrokerID=self._broker.encode(encoding='utf-8', errors = 'strict'), UserID=self._investor.encode(encoding='utf-8', errors = 'strict'), Password=self._passwd.encode(encoding='utf-8', errors = 'strict'))
req = UStruct.ReqUserLogin(BrokerID=self._broker, UserID=self._investor, Password=self._passwd)
ref_id = self.inc_request_id()
ret = self.ReqUserLogin(req, ref_id)
self.logger.info('TD:trader to login, issued')
return ret
def fetch_investor_position(self, instrument_id):
#获取合约的当前持仓
print u'A:获取合约%s的当前持仓..' % (instrument_id, )
req = ApiStruct.QryInvestorPosition(BrokerID=self.broker_id,
InvestorID=self.investor_id,
InstrumentID=instrument_id)
self.requestid += 1
r = self.ReqQryInvestorPosition(req, self.requestid)
def fetch_trading_account(self):
#获取资金帐户
print u'A:获取资金帐户..'
req = ApiStruct.QryTradingAccount(BrokerID=self.broker_id,
InvestorID=self.investor_id)
self.requestid += 1
r = self.ReqQryTradingAccount(req, self.requestid)
def req_user_login(self):
"""连接服务器"""
# 如果填入了用户名密码等，则登录
if self.user_id and self.password and self.broker_id:
req = ApiStruct.ReqUserLogin(BrokerID=self.broker_id,
UserID=self.user_id,
Password=self.password)
self.req_id += 1
self.ReqUserLogin(req, self.req_id)
def OnFrontConnected(self):
"""
当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。
"""
print('OnFrontConnected: Login...')
req = ApiStruct.ReqUserLogin(
BrokerID=self.broker_id, UserID=self.user_id, Password=self.password)
self.request_id += 1
self.ReqUserLogin(req, self.request_id)
def QryInstrumentMarginRate(self, instrument):
pQryInstrumentMarginRate = ApiStruct.QryInstrumentMarginRate(
BrokerID=self.userinfo.BrokerID,
InvestorID=self.userinfo.UserID,
InstrumentID=instrument,
HedgeFlag=ApiStruct.HF_Speculation)
self.IncReqid()
self.ReqQryInstrumentMarginRate(pQryInstrumentMarginRate,
self.requestid)
def fetch_instrument_marginrate(self, instrument_id):
req = ApiStruct.QryInstrumentMarginRate(
BrokerID=self.broker_id,
InvestorID=self.investor_id,
InstrumentID=instrument_id,
HedgeFlag=ApiStruct.HF_Speculation)
self.requestid += 1
r = self.ReqQryInstrumentMarginRate(req, self.requestid)
print u'A:查询保证金率%s, 函数发出返回值:%s' % (instrument_id, r)
def OnFrontConnected(self):
log.info('客户端与交易后台建立连接成功, 开始登录')
user_login_args = ApiStruct.ReqUserLogin(UserID=self.user,
Password=self.password,
BrokerID=self.broker)
ret = self.ReqUserLogin(user_login_args, next(self.request_id))
if ret == 0:
log.info('登录信息发送成功，等待返回')
def ReqUserLogin(self, pReqUserLoginField, nRequestID):
'''用户登录请求'''
self.logger.info("TAStub-ROI:%s" % (str(pReqUserLoginField), ))
rul = UStruct.RspUserLogin(BrokerID=self._broker_id,
FrontID=self._front_id,
SessionID=self._session_id,
MaxOrderRef=self._init_order_ref,
TradingDay=self._trading_day)
self.OnRspUserLogin(rul, self._suceessRspInfo, nRequestID, True)
def ReqQryInstrumentMarginRate(self, pQryInstrumentMarginRate, nRequestID):
'''请求查询合约保证金率'''
#print("query marginrate:",pQryInstrumentMarginRate.InstrumentID)
im = UStruct.InstrumentMarginRate(
InstrumentID=pQryInstrumentMarginRate.InstrumentID,
LongMarginRatioByMoney=0.1,
ShortMarginRatioByMoney=0.1)
self.OnRspQryInstrumentMarginRate(im, self._suceessRspInfo, nRequestID,
True)