class Test:
def __init__(self):
self.Session = ''
dllpath = os.path.join(os.path.abspath(os.path.dirname(__file__)),
'lib')
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 TdApi:
def __init__(self, userid, password, brokerid, RegisterFront, product_info,
app_id, auth_code):
# 初始化账号
self.t = Trade()
self.userid = userid
self.password = password
self.brokerid = brokerid
self.product_info = product_info
self.app_id = app_id
self.auth_code = auth_code
api = self.t.CreateApi()
spi = self.t.CreateSpi()
self.t.RegisterSpi(spi)
self.t.OnFrontConnected = self.onFrontConnected # 交易服务器登陆相应
self.t.OnFrontDisconnected = self.onFrontDisconnected
self.t.OnRspAuthenticate = self.onRspAuthenticate # 申请码检验
self.t.OnRspUserLogin = self.onRspUserLogin # 用户登陆
self.t.OnRspUserLogout = self.onRspUserLogout # 用户登出
self.t.OnRtnInstrumentStatus = self.onRtnInstrumentStatus
self.t.OnRspQryInstrument = self.onRspQryInstrument # 查询全部交易合约
self.t.OnRspSettlementInfoConfirm = self.onRspSettlementInfoConfirm # 结算单确认，显示登陆日期
self.t.OnRspQryTradingAccount = self.onRspQryTradingAccount # 查询账户
self.t.OnRtnOrder = self.onRtnOrder # 报单
self.t.OnRtnTrade = self.onRtnTrade # 成交
# self.t.OnRspParkedOrderInsert = self.onRspParkedOrderInsert
self.t.OnErrRtnOrderInsert = self.onErrRtnOrderInsert
self.t.OnRspQryDepthMarketData = self.onRspQryDepthMarketData # 查询涨跌停
self.t.RegCB()
self.t.RegisterFront(RegisterFront)
self.t.Init()
self.islogin = False
def onFrontConnected(self):
"""服务器连接"""
downLogProgram('交易服务器连接成功')
self.t.ReqAuthenticate(self.brokerid, self.userid, self.product_info,
self.auth_code, self.app_id)
def onFrontDisconnected(self, n):
downLogProgram('交易服务器连接断开')
def onRspAuthenticate(
self, pRspAuthenticateField: CThostFtdcRspAuthenticateField,
pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
downLogProgram('auth：{0}:{1}'.format(pRspInfo.getErrorID(),
pRspInfo.getErrorMsg()))
if pRspInfo.getErrorMsg() == '正确' or pRspInfo.getErrorMsg(
) == 'CTP:认证码错误，尽快获取正确的认证码。当前系统或者用户豁免终端认证，可以登录':
self.t.ReqUserLogin(BrokerID=self.brokerid,
UserID=self.userid,
Password=self.password,
UserProductInfo=self.product_info)
elif pRspInfo.getErrorMsg() == 'CTP:前置不活跃':
threading.Timer(60, self.t.ReqAuthenticate, [
self.brokerid, self.userid, self.product_info, self.auth_code,
self.app_id
]).start()
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
if error.getErrorID() == 0:
self.Investor = data.getUserID()
self.BrokerID = data.getBrokerID()
log = self.Investor + '交易服务器登陆成功'
self.islogin = True
self.t.ReqSettlementInfoConfirm(self.BrokerID,
self.Investor) # 对账单确认
self.t.ReqQryDepthMarketData()
downLogProgram(log)
else:
log = '交易服务器登陆回报，错误代码：' + str(error.getErrorID()) + \
', 错误信息：' + str(error.getErrorMsg())
downLogProgram(log)
if error.getErrorMsg() == 'CTP:客户端未认证': # 过 60 秒后，重新登陆一次
threading.Timer(60, self.t.ReqUserLogin, [
'', self.brokerid, self.userid, self.password,
self.product_info
]).start()
def onRspUserLogout(self, data, error, n, last):
if error.getErrorID() == 0:
log = '交易服务器登出成功'
self.islogin = False
else:
log = '交易服务器登出回报，错误代码：' + str(error.getErrorID()) + \
', 错误信息：' + str(error.getErrorMsg())
downLogProgram(log)
def onRtnInstrumentStatus(self, data):
pass
def onRspQryInstrument(self, data, error, n, last):
pass
def onRspSettlementInfoConfirm(self, data, error, n, last):
"""确认结算信息回报"""
downLogProgram('账号：{}, 日期：{}, 时间：{}'.format(data.getInvestorID(),
data.getConfirmDate(),
data.getConfirmTime()))
def getPosition(self):
self.checkPosition = False
downLogProgram("读取账号持仓情况")
self.t.ReqQryInvestorPosition(self.brokerid, self.userid)
def onRspQryTradingAccount(self, data, error, n, last):
"""资金账户查询回报"""
if error.getErrorID() == 0:
event = Event(type_=EVENT_ACCOUNT)
event.dict_['BrokerID'] = data.getBrokerID()
event.dict_['AccountID'] = data.getAccountID()
event.dict_['PreDeposit'] = data.getPreDeposit()
event.dict_['PreBalance'] = data.getPreBalance()
event.dict_['PreMargin'] = data.getPreMargin()
event.dict_['CurrMargin'] = data.getCurrMargin()
event.dict_['Available'] = data.getAvailable()
event.dict_['WithdrawQuota'] = data.getWithdrawQuota()
ee.put(event)
else:
log = ('账户查询回报，错误代码：' + str(error.getErrorID()) + ', 错误信息：' +
str(error.getErrorMsg()))
downLogProgram(log)
def getAccount(self):
self.t.ReqQryTradingAccount(self.brokerid, self.userid)
def onRtnOrder(self, data):
# 常规报单事件
if time(7) <= datetime.now().time() <= time(
8, 15): # # 判断 连接 断开 与 连接 重连 的问题
return
event = Event(type_=EVENT_ORDER)
event.dict_ = data.__dict__.copy()
ee.put(event)
def onRtnTrade(self, data):
"""成交回报"""
if time(7) <= datetime.now().time() <= time(8, 15):
return
event = Event(type_=EVENT_TRADE)
event.dict_ = data.__dict__.copy()
ee.put(event)
# 预下单，没有用了
def onRspParkedOrderInsert(self,
data=CThostFtdcParkedOrderField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
event = Event(type_=EVENT_ORDERPARK)
event.dict_['data'] = data._fields_
ee.put(event)
def onErrRtnOrderInsert(self, data, error):
"""发单错误回报（交易所）"""
if time(7) <= datetime.now().time() <= time(8, 15):
return
event = Event(type_=EVENT_ERROR)
event.dict_['OrderRef'] = data.getOrderRef()
event.dict_['InstrumentID'] = data.getInstrumentID()
event.dict_['Direction'] = data.getDirection()
event.dict_['CombOffsetFlag'] = data.getCombOffsetFlag()
event.dict_['VolumeTotalOriginal'] = data.getVolumeTotalOriginal()
event.dict_['LimitPrice'] = data.getLimitPrice()
event.dict_['ErrorMsg'] = error.getErrorMsg()
ee.put(event)
# region 下单操作
def sendorder(self,
instrumentid,
orderRef,
price,
vol,
direction,
offset,
OrderPriceType=TThostFtdcOrderPriceTypeType.
THOST_FTDC_OPT_LimitPrice):
goodsCode = getGoodsCode(instrumentid)
if goodsCode.split('.')[1] == 'SHF':
exChangeID = 'SHFE'
elif goodsCode.split('.')[1] == 'DCE':
exChangeID = 'DCE'
elif goodsCode.split('.')[1] == 'CZC':
exChangeID = 'CZCE'
elif goodsCode.split('.')[1] == 'CFE':
exChangeID = 'CFFEX'
elif goodsCode.split('.')[1] == 'INE':
exChangeID = 'INE'
self.t.ReqOrderInsert(
BrokerID=self.brokerid,
InvestorID=self.userid,
InstrumentID=instrumentid,
OrderRef=orderRef,
UserID=self.userid,
OrderPriceType=OrderPriceType,
Direction=direction,
CombOffsetFlag=offset,
CombHedgeFlag=chr(
TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation.value),
LimitPrice=price,
VolumeTotalOriginal=vol,
TimeCondition=TThostFtdcTimeConditionType.THOST_FTDC_TC_GFD,
VolumeCondition=TThostFtdcVolumeConditionType.THOST_FTDC_VC_AV,
MinVolume=1,
ForceCloseReason=TThostFtdcForceCloseReasonType.
THOST_FTDC_FCC_NotForceClose,
ContingentCondition=TThostFtdcContingentConditionType.
THOST_FTDC_CC_Immediately,
ExchangeID=exChangeID)
return orderRef
def buy(self, symbol, orderRef, price, vol): # 买开
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def sell(self, symbol, orderRef, price, vol): # 买平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def sellMarket(self, symbol, orderRef, vol): # 买平市
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorder(symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def sellToday(self, symbol, orderRef, price, vol): # 买平今
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def sellMarketToday(self, symbol, orderRef, vol): # 买平市
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorder(symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def short(self, symbol, orderRef, price, vol): # 卖开
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def cover(self, symbol, orderRef, price, vol): # 卖平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def coverMarket(self, symbol, orderRef, vol): # 卖平市
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorder(symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def coverToday(self, symbol, orderRef, price, vol): # 卖平今
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def coverMarketToday(self, symbol, orderRef, vol): # 卖平市
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorder(symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def cancelOrder(self, order):
"""撤单"""
self.t.ReqOrderAction(
BrokerID=self.brokerid,
InvestorID=self.userid,
OrderRef=order['OrderRef'],
FrontID=int(order['FrontID']),
SessionID=int(order['SessionID']),
OrderSysID=order['OrderSysID'],
ActionFlag=TThostFtdcActionFlagType.THOST_FTDC_AF_Delete,
ExchangeID=order["ExchangeID"],
InstrumentID=order['InstrumentID'])
# endregion
# region 预埋单
def sendorderPark(self,
instrumentid,
orderRef,
price,
vol,
direction,
offset,
OrderPriceType=TThostFtdcOrderPriceTypeType.
THOST_FTDC_OPT_LimitPrice):
goodsCode = getGoodsCode(instrumentid)
if goodsCode.split('.')[1] == 'SHF':
exChangeID = 'SHFE'
elif goodsCode.split('.')[1] == 'DCE':
exChangeID = 'DCE'
elif goodsCode.split('.')[1] == 'CZC':
exChangeID = 'CZCE'
elif goodsCode.split('.')[1] == 'CFE':
exChangeID = 'CFFEX'
elif goodsCode.split('.')[1] == 'INE':
exChangeID = 'INE'
self.t.ReqParkedOrderInsert(
BrokerID=self.brokerid,
InvestorID=self.userid,
InstrumentID=instrumentid,
OrderRef=orderRef,
UserID=self.userid,
OrderPriceType=OrderPriceType,
Direction=direction,
CombOffsetFlag=offset,
CombHedgeFlag=chr(
TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation.value),
LimitPrice=price,
VolumeTotalOriginal=vol,
TimeCondition=TThostFtdcTimeConditionType.THOST_FTDC_TC_GFD,
VolumeCondition=TThostFtdcVolumeConditionType.THOST_FTDC_VC_AV,
MinVolume=1,
ForceCloseReason=TThostFtdcForceCloseReasonType.
THOST_FTDC_FCC_NotForceClose,
ContingentCondition=TThostFtdcContingentConditionType.
THOST_FTDC_CC_Immediately,
ExchangeID=exChangeID)
return orderRef
def buyPark(self, symbol, orderRef, price, vol): # 多开
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def sellPark(self, symbol, orderRef, price, vol): # 多平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def sellMarketPark(self, symbol, orderRef, vol): # 多平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorderPark(
symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def selltodayPark(self, symbol, orderRef, price, vol): # 平今多
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def shortPark(self, symbol, orderRef, price, vol): # 卖开空开
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def coverPark(self, symbol, orderRef, price, vol): # 空平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def coverMarketPark(self, symbol, orderRef, vol): # 空平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorderPark(
symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def covertodayPark(self, symbol, orderRef, price, vol): # 平今空
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def cancelOrderPark(self, order): # 预撤单
self.t.ReqParkedOrderAction(
BrokerID=self.brokerid,
InvestorID=self.userid,
OrderRef=order['OrderRef'],
FrontID=int(order['FrontID']),
SessionID=int(order['SessionID']),
OrderSysID=order['OrderSysID'],
ActionFlag=TThostFtdcActionFlagType.THOST_FTDC_AF_Delete,
ExchangeID=order["ExchangeID"],
InstrumentID=order['InstrumentID'])
def onRspQryDepthMarketData(self, data, error, n, last): #获取tick数据操作
icon = filter(lambda x: x.isalpha(), data.getInstrumentID())
icon = ''.join(list(icon))
event = Event(type_=EVENT_INSTRUMENT)
event.dict_['InstrumentID'] = data.getInstrumentID()
event.dict_['ProductID'] = icon
event.dict_['OpenInterest'] = data.getOpenInterest()
event.dict_['last'] = last
# 主力合约的涨停版
if event.dict_['InstrumentID'] in listInstrument:
# 可以避免多线程下数据的混乱
if dictInstrumentUpDownPrice.get(event.dict_['InstrumentID'],
[0, 0]) == [0, 0]:
dictInstrumentUpDownPrice[event.dict_['InstrumentID']] = [
data.getUpperLimitPrice(),
data.getLowerLimitPrice()
]
ee.put(event)