def ReqorderfieldInsert(tradeapi):
print ("ReqOrderInsert Start")
orderfield=api.CThostFtdcInputOrderField()
orderfield.BrokerID=BROKERID
orderfield.InstrumentID=INSTRUMENTID
orderfield.UserID=USERID
orderfield.InvestorID=USERID
orderfield.Direction=DIRECTION
orderfield.LimitPrice=PRICE
orderfield.VolumeTotalOriginal=VOLUME
orderfield.OrderPriceType=api.THOST_FTDC_OPT_LimitPrice
orderfield.ContingentCondition = api.THOST_FTDC_CC_Immediately
orderfield.TimeCondition = api.THOST_FTDC_TC_GFD
orderfield.VolumeCondition = api.THOST_FTDC_VC_AV
orderfield.CombHedgeFlag="1"
orderfield.CombOffsetFlag=OFFSET
orderfield.GTDDate=""
orderfield.OrderRef="1"
orderfield.MinVolume = 0
orderfield.ForceCloseReason = api.THOST_FTDC_FCC_NotForceClose
orderfield.IsAutoSuspend = 0
tradeapi.ReqOrderInsert(orderfield,0)
print ("ReqOrderInsert End")
def ReqorderfieldInsert(tradeapi):
print "ReqOrderInsert Start"
orderfield = api.CThostFtdcInputOrderField()
orderfield.BrokerID = "8000"
orderfield.InstrumentID = "rb2005"
orderfield.UserID = "000005"
orderfield.InvestorID = "000005"
orderfield.Direction = api.THOST_FTDC_D_Sell
orderfield.LimitPrice = 52050
orderfield.VolumeTotalOriginal = 1
orderfield.OrderPriceType = api.THOST_FTDC_OPT_LimitPrice
orderfield.ContingentCondition = api.THOST_FTDC_CC_Immediately
orderfield.TimeCondition = api.THOST_FTDC_TC_GFD
orderfield.VolumeCondition = api.THOST_FTDC_VC_AV
orderfield.CombHedgeFlag = "1"
orderfield.CombOffsetFlag = "0"
orderfield.GTDDate = ""
orderfield.orderfieldRef = "1"
orderfield.MinVolume = 0
orderfield.ForceCloseReason = api.THOST_FTDC_FCC_NotForceClose
orderfield.IsAutoSuspend = 0
tradeapi.ReqOrderInsert(orderfield, 0)
print "ReqOrderInsert End"
def order(self, code, side, amount, price):
# 下单，简单化处理，1秒内CTP没有成交，视为废单
assert side in ['long', 'short'], 'side should be long or short !'
while self.lock == True or self.position is None:
time.sleep(0.1)
order = tdapi.CThostFtdcInputOrderField()
order.BrokerID = BROKERID
order.ExchangeID = self.contract.loc[code, 'exchange'] # 交易所代码
order.InstrumentID = code # 合约代码
order.UserID = USERID
order.InvestorID = USERID
order.Direction = tdapi.THOST_FTDC_D_Buy if side == 'long' else tdapi.THOST_FTDC_D_Sell # 多空
order.LimitPrice = price # 下单价格
order.VolumeTotalOriginal = abs(amount) # 下单数量
order.OrderPriceType = tdapi.THOST_FTDC_OPT_LimitPrice # 市价单、限价单
order.ContingentCondition = tdapi.THOST_FTDC_CC_Immediately # 立即成交，否则作废
order.TimeCondition = tdapi.THOST_FTDC_TC_GFD
order.VolumeCondition = tdapi.THOST_FTDC_VC_AV
order.CombHedgeFlag = "1" # 投机套保标志
order.CombOffsetFlag = '0' if amount > 0 else '1' # '0'开仓,'1'平仓,'3'平今,'4'平昨
order.GTDDate = ""
order.orderfieldRef = "1"
order.MinVolume = 0
order.ForceCloseReason = tdapi.THOST_FTDC_FCC_NotForceClose
order.IsAutoSuspend = 0
# 上期所需要区分平今仓和平昨仓
if self.contract.loc[code,
'exchange'] == 'SHFE' and amount < 0 and abs(
amount) > self.position.loc[code,
'yd_amount']:
new_amount = int(self.position.loc[code, 'yd_amount'])
order.VolumeTotalOriginal = new_amount
order.CombOffsetFlag = '4'
self.api.ReqOrderInsert(order, 0)
_order = GatewayOrder(code=code,
amount=new_amount,
side='short',
action='close',
price=price)
self.orderList.append(_order)
new_amount = int(
abs(amount) - self.position.loc[code, 'yd_amount'])
order.VolumeTotalOriginal = new_amount
order.CombOffsetFlag = '3'
self.api.ReqOrderInsert(order, 0)
_order = GatewayOrder(code=code,
amount=new_amount,
side='short',
action='close',
price=price)
self.orderList.append(_order)
else:
self.api.ReqOrderInsert(order, 0)
_order = GatewayOrder(code=code,
amount=amount,
side=side,
action='open' if amount > 0 else 'close',
price=price)
self.orderList.append(_order)