class Test:
def __init__(self):
"""初始化 运行的目录下需要创建log目录"""
"""交易前置"""
self.front_trade = ''
# 行情前置
self.front_quote = ''
self.investor = ''
self.pwd = ''
self.broker = ''
self.TradingDay = ''
# self.log = open('orders.csv', 'w')
# self.log.write('') # 清空内容
self.stra_instances = []
self.Session = ''
self.q = Quote()
self.t = Trade()
self.req = 0
self.ordered = False
self.needAuth = False
def q_OnFrontConnected(self):
print('connected')
self.q.ReqUserLogin(BrokerID=self.broker,
UserID=self.investor,
Password=self.pwd)
def q_OnRspUserLogin(self, rsp, info, req, last):
print(info)
self.q.SubscribeMarketData('rb1805')
def q_OnRspSubMarketData(
self,
pSpecificInstrument=CThostFtdcSpecificInstrumentField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
pass
def q_OnTick(self, tick):
f = CThostFtdcMarketDataField()
f = tick
if not self.ordered:
print(tick)
_thread.start_new_thread(self.Order, (f, ))
self.ordered = True
def Order(self, f):
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=OrderPriceTypeType.LimitPrice,
Direction=DirectionType.Buy,
CombOffsetFlag=OffsetFlagType.Open.__char__(),
CombHedgeFlag=HedgeFlagType.Speculation.__char__(),
LimitPrice=f.getLastPrice() - 50,
VolumeTotalOriginal=1,
TimeCondition=TimeConditionType.GFD,
# GTDDate=''
VolumeCondition=VolumeConditionType.AV,
MinVolume=1,
ContingentCondition=ContingentConditionType.Immediately,
StopPrice=0,
ForceCloseReason=ForceCloseReasonType.NotForceClose,
IsAutoSuspend=0,
IsSwapOrder=0,
UserForceClose=0)
def OnFrontConnected(self):
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 OnRspAuthenticate(self,
pRspAuthenticateField=CThostFtdcRspAuthenticateField,
pRspInfo=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, info, req, last):
print(info)
i = CThostFtdcRspInfoField()
i = info
if i.getErrorID() == 0:
self.Session = rsp.getSessionID()
self.t.ReqSettlementInfoConfirm(BrokerID=self.broker,
InvestorID=self.investor)
def OnRspSettlementInfoConfirm(
self,
pSettlementInfoConfirm=CThostFtdcSettlementInfoConfirmField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
_thread.start_new_thread(self.StartQuote, ())
_thread.start_new_thread(self.Qry, ())
def StartQuote(self):
print('start quote')
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.OnRspSubMarketData = self.q_OnRspSubMarketData
self.q.RegCB()
self.q.RegisterFront(self.front_quote)
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=CThostFtdcInstrumentStatusField
):
pass
def OnRspOrderInsert(self,
pInputOrder=CThostFtdcInputOrderField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
print(pRspInfo)
print(pInputOrder)
print(pRspInfo.getErrorMsg())
def OnRtnOrder(self, pOrder=CThostFtdcOrderField):
# print(pOrder)
if pOrder.getSessionID() == self.Session and pOrder.getOrderStatus(
) == 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=ActionFlagType.Delete)
def OnRspInstrument(self, instrument, rspinfo, nreq, last):
pass
def OnRspPosition(self,
pInvestorPosition=CThostFtdcInvestorPositionField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
pass
def OnRspAccount(self,
pTradingAccount=CThostFtdcTradingAccountField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
pass
def CTPRun(self,
front_trade='tcp://180.168.146.187:10000',
front_quote='tcp://180.168.146.187:10010',
broker='9999',
investor='008109',
pwd='1'):
""""""
self.front_trade = front_trade
self.front_quote = front_quote
self.broker = broker
self.investor = investor
self.pwd = pwd
self.t.CreateApi()
spi = self.t.CreateSpi()
self.t.SubscribePrivateTopic(2)
self.t.SubscribePublicTopic(2)
self.t.RegisterSpi(spi)
self.t.OnFrontConnected = self.OnFrontConnected
self.t.OnRspUserLogin = self.OnRspUserLogin
self.t.OnRspSettlementInfoConfirm = self.OnRspSettlementInfoConfirm
self.t.OnRspQryInstrument = self.OnRspInstrument
self.t.OnRtnInstrumentStatus = self.OnRtnInstrumentStatus
self.t.OnRtnOrder = self.OnRtnOrder
self.t.OnRspQryInvestorPosition = self.OnRspPosition
self.t.OnRspQryTradingAccount = self.OnRspAccount
# self.t.OnRtnTrade = self.OnRtnTrade
# self.t.OnRtnCancel = self.OnRtnCancel
# self.t.OnRtnErrOrder = self.OnRtnErrOrder
self.t.RegCB()
self.t.RegisterFront(self.front_trade)
self.t.Init()
class Test:
def __init__(self):
self.Session = ''
self.q = Quote()
self.t = Trade()
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, info, req, last):
print(info)
#insts = create_string_buffer(b'cu', 5)
self.q.SubscribeMarketData('rb1810')
def q_OnTick(self, tick):
f = CThostFtdcMarketDataField()
f = tick
#print(tick)
if not self.ordered:
_thread.start_new_thread(self.Order, (f, ))
self.ordered = True
def Order(self, f):
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=OrderPriceTypeType.LimitPrice,
Direction=DirectionType.Buy,
CombOffsetFlag=OffsetFlagType.Open.__char__(),
CombHedgeFlag=HedgeFlagType.Speculation.__char__(),
LimitPrice=f.getLastPrice() - 50,
VolumeTotalOriginal=1,
TimeCondition=TimeConditionType.GFD,
#GTDDate=''
VolumeCondition=VolumeConditionType.AV,
MinVolume=1,
ContingentCondition=ContingentConditionType.Immediately,
StopPrice=0,
ForceCloseReason=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 OnRspAuthenticate(self,
pRspAuthenticateField=CThostFtdcRspAuthenticateField,
pRspInfo=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, info, req, last):
i = CThostFtdcRspInfoField()
i = info
print(i.getErrorMsg())
if i.getErrorID() == 0:
self.Session = rsp.getSessionID()
self.t.ReqSettlementInfoConfirm(BrokerID=self.broker,
InvestorID=self.investor)
else:
self.RelogEnable = False
def OnRspSettlementInfoConfirm(
self,
pSettlementInfoConfirm=CThostFtdcSettlementInfoConfirmField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
#print(pSettlementInfoConfirm)
_thread.start_new_thread(self.StartQuote, ())
def StartQuote(self):
api = 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=CThostFtdcInstrumentStatusField
):
pass
def OnRspOrderInsert(self,
pInputOrder=CThostFtdcInputOrderField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
print(pRspInfo)
print(pInputOrder)
print(pRspInfo.getErrorMsg())
def OnRtnOrder(self, pOrder=CThostFtdcOrderField):
#print(pOrder)
if pOrder.getSessionID() == self.Session and pOrder.getOrderStatus(
) == 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=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**
api = self.t.CreateApi()
spi = self.t.CreateSpi()
self.t.RegisterSpi(spi)
self.t.OnFrontConnected = self.OnFrontConnected
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 = '008105'
self.pwd = '1'
self.t.RegisterFront(self.frontAddr.split(',')[0])
self.t.SubscribePrivateTopic(nResumeType=2) #quick
self.t.SubscribePrivateTopic(nResumeType=2)
self.t.Init()
self.t.Join()
class CtpTrade(TradeAdapter):
""""""
def __init__(self):
super().__init__()
self._req = 0
'''防止重连时启用太多查询线程'''
self.qryStart = False
self.__dic_orderid_sysid = {}
self.__posi = []
self.t = Trade()
def __qry(self):
"""查询帐号相关信息"""
self.qryStart = True
# restart 模式, 待rtnorder 处理完毕后再进行查询,否则会造成position混乱
ord_cnt = 0
while True:
time.sleep(0.5)
if len(self.DicOrderField) == ord_cnt:
break
ord_cnt = len(self.DicOrderField)
self.t.ReqQryInstrument()
time.sleep(1.1)
while not self.Account or self.IsLogin:
"""查询持仓与权益"""
time.sleep(1.1)
self.t.ReqQryInvestorPosition(self.BrokerID, self.Investor)
time.sleep(1.1)
self.t.ReqQryTradingAccount(self.BrokerID, self.Investor)
def __OnFrontConnected(self):
self.OnFrontConnected()
def __OnFrontDisconnected(self, nReason):
self.IsLogin = False
self.OnFrontDisConnected(nReason)
def __OnRspUserLogin(self,
pRspUserLogin=CThostFtdcRspUserLoginField(),
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
self.Investor = pRspUserLogin.getUserID()
self.BrokerID = pRspUserLogin.getBrokerID()
self.SessionID = pRspUserLogin.getSessionID()
self.TradingDay = pRspUserLogin.getTradingDay()
if pRspInfo.getErrorID() != 0:
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
self.OnRspUserLogin(info)
else:
self.t.ReqSettlementInfoConfirm(self.BrokerID, self.Investor)
if not self.qryStart:
time.sleep(0.5)
"""查询持仓与权益"""
_thread.start_new_thread(self.__qry, ()) # 开启查询
def __OnRspQryInstrument(self,
pInstrument=CThostFtdcInstrumentField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
""""""
inst = InstrumentField()
inst.InstrumentID = pInstrument.getInstrumentID()
inst.ProductID = pInstrument.getProductID()
inst.ExchangeID = pInstrument.getExchangeID()
inst.VolumeMultiple = pInstrument.getVolumeMultiple()
inst.PriceTick = pInstrument.getPriceTick()
inst.MaxOrderVolume = pInstrument.getMaxLimitOrderVolume()
self.DicInstrument[inst.InstrumentID] = inst
def __OnRspQryAccount(self,
pTradingAccount=CThostFtdcTradingAccountField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
""""""
if not self.Account:
self.Account = TradingAccount()
self.Account.Available = pTradingAccount.getAvailable()
self.Account.CloseProfit = pTradingAccount.getCloseProfit()
self.Account.Commission = pTradingAccount.getCommission()
self.Account.CurrMargin = pTradingAccount.getCurrMargin()
self.Account.FrozenCash = pTradingAccount.getFrozenCash()
self.Account.PositionProfit = pTradingAccount.getPositionProfit()
self.Account.PreBalance = pTradingAccount.getPreBalance(
) + pTradingAccount.getDeposit() + pTradingAccount.getWithdraw()
self.Account.Fund = self.Account.PreBalance + pTradingAccount.getCloseProfit(
) + pTradingAccount.getPositionProfit(
) - pTradingAccount.getCommission()
self.Account.Risk = self.Account.CurrMargin / self.Account.Fund
if not self.IsLogin:
self.IsLogin = True
info = InfoField()
info.ErrorID = 0
info.ErrorMsg = '正确'
self.OnRspUserLogin(info)
def __OnRspQryPosition(self,
pInvestorPosition=CThostFtdcInvestorPositionField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
""""""
if pInvestorPosition.getInstrumentID() != '': # 偶尔出现NULL的数据导致数据转换错误
self.__posi.append(
pInvestorPosition) # Struct(**f.__dict__)) #dict -> object
if bIsLast:
# 先排序再group才有效
self.__posi = sorted(
self.__posi,
key=lambda c: '{0}_{1}'.format(
c.getInstrumentID(), DirectType.Buy if c.getPosiDirection(
) == PosiDirectionType.Long else DirectType.Sell))
# direction需从posidiction转换为dictiontype
for key, group in itertools.groupby(
self.__posi, lambda c: '{0}_{1}'.format(
c.getInstrumentID(), DirectType.Buy
if c.getPosiDirection() == PosiDirectionType.Long else
DirectType.Sell)):
pf = self.DicPositionField.get(key)
if not pf:
pf = PositionField()
self.DicPositionField[key] = pf
pf.Position = 0
pf.TdPosition = 0
pf.YdPosition = 0
pf.CloseProfit = 0
pf.PositionProfit = 0
pf.Commission = 0
pf.Margin = 0
pf.Price = 0
cost = 0.0
for g in group:
if not pf.InstrumentID:
pf.InstrumentID = g.getInstrumentID()
pf.Direction = DirectType.Buy if g.getPosiDirection(
) == PosiDirectionType.Long else DirectType.Sell
pf.Position += g.getPosition()
pf.TdPosition += g.getTodayPosition()
pf.YdPosition = pf.Position - pf.TdPosition
pf.CloseProfit += g.getCloseProfit()
pf.PositionProfit += g.getPositionProfit()
pf.Commission += g.getCommission()
pf.Margin += g.getUseMargin()
cost += g.OpenCost
# pf.Position <= 0 ? 0 : (g.Sum(n => n.PositionCost) / DicInstrumentField[pf.InstrumentID].VolumeMultiple / pf.Position);
vm = self.DicInstrument[pf.InstrumentID].VolumeMultiple
pf.Price = 0 if pf.Position <= 0 else cost / vm / pf.Position
self.__posi.clear()
def __OnRtnOrder(self, pOrder=CThostFtdcOrderField):
""""""
id = '{0}|{1}|{2}'.format(pOrder.getSessionID(), pOrder.getFrontID(),
pOrder.getOrderRef())
# of = OrderField()
of = self.DicOrderField.get(id)
if not of:
of = OrderField()
l = int(pOrder.getOrderRef())
of.Custom = l % 1000000
of.InstrumentID = pOrder.getInstrumentID()
of.InsertTime = pOrder.getInsertTime()
of.Direction = DirectType.Buy if DirectionType(pOrder.getDirection(
)) == DirectionType.Buy else DirectType.Sell
ot = OffsetFlagType(ord(pOrder.getCombOffsetFlag()[0]))
of.Offset = OffsetType.Open if ot == OffsetFlagType.Open else (
OffsetType.CloseToday
if ot == OffsetFlagType.CloseToday else OffsetType.Close)
of.Status = OrderStatus.Normal
of.StatusMsg = pOrder.getStatusMsg()
of.IsLocal = pOrder.getSessionID() == self.SessionID
of.LimitPrice = pOrder.getLimitPrice()
of.OrderID = id
of.Volume = pOrder.getVolumeTotalOriginal()
of.VolumeLeft = of.Volume
self.DicOrderField[id] = of
self.OnRtnOrder(of)
# _thread.start_new_thread(self.OnRtnOrder, (of,)) # call client OnRtnOrder event
elif pOrder.getOrderStatus() == OrderStatusType.Canceled:
of.Status = OrderStatus.Canceled
of.StatusMsg = pOrder.getStatusMsg()
if of.StatusMsg.find('被拒绝') >= 0:
info = InfoField()
info.ErrorID = -1
info.ErrorMsg = of.StatusMsg
self.OnRtnErrOrder(of, info)
else:
self.OnRtnCancel(of)
else:
if pOrder.getOrderSysID():
of.SysID = pOrder.getOrderSysID()
self.__dic_orderid_sysid[pOrder.getOrderSysID(
)] = id # 记录sysid与orderid关联,方便Trade时查找处理
# _thread.start_new_thread(self.OnRtnOrder, (of,))
def __OnRtnTrade(self, f):
""""""
tf = TradeField()
tf.Direction = DirectType.Buy if f.getDirection(
) == DirectionType.Buy else DirectType.Sell
tf.ExchangeID = f.getExchangeID()
tf.InstrumentID = f.getInstrumentID()
tf.Offset = OffsetType.Open if f.getOffsetFlag(
) == OffsetFlagType.Open else OffsetType.Close if f.getOffsetFlag(
) == OffsetFlagType.Close else OffsetType.CloseToday
tf.Price = f.getPrice()
tf.SysID = f.getOrderSysID()
tf.TradeID = f.getTradeID()
tf.TradeTime = f.getTradeTime()
tf.TradingDay = f.getTradingDay()
tf.Volume = f.getVolume()
self.DicTradeField[tf.TradeID] = tf
id = self.__dic_orderid_sysid[tf.SysID]
of = self.DicOrderField[id]
tf.OrderID = id # tradeid 与 orderid 关联
of.TradeTime = tf.TradeTime
# of.AvgPrice = (of.AvgPrice * (of.Volume - of.VolumeLeft) + pTrade.Price * pTrade.Volume) / (of.Volume - of.VolumeLeft + pTrade.Volume);
of.AvgPrice = (of.AvgPrice *
(of.Volume - of.VolumeLeft) + tf.Price * tf.Volume) / (
of.Volume - of.VolumeLeft + tf.Volume)
of.TradeVolume = tf.Volume
of.VolumeLeft -= tf.Volume
if of.VolumeLeft == 0:
of.Status = OrderStatus.Filled
of.StatusMsg = '全部成交'
else:
of.Status = OrderStatus.Partial
of.StatusMsg = '部分成交'
# 更新持仓 *****
if tf.Offset == OffsetType.Open:
key = '{0}_{1}'.format(tf.InstrumentID, tf.Direction)
pf = self.DicPositionField.get(key)
if not pf:
pf = PositionField()
self.DicPositionField[key] = pf
pf.InstrumentID = tf.InstrumentID
pf.Direction = tf.Direction
pf.Price = (pf.Price * pf.Position +
tf.Price * tf.Volume) / (pf.Position + tf.Volume)
pf.TdPosition += tf.Volume
pf.Position += tf.Volume
else:
key = '{0}_{1}'.format(
tf.InstrumentID, DirectType.Sell
if tf.Direction == DirectType.Buy else DirectType.Buy)
pf = self.DicPositionField.get(key)
if pf: # 有可能出现无持仓的情况
if tf.Offset == OffsetType.CloseToday:
pf.TdPosition -= tf.Volume
else:
tdclose = min(pf.TdPosition, tf.Volume)
if pf.TdPosition > 0:
pf.TdPosition -= tdclose
pf.YdPosition -= max(0, tf.Volume - tdclose)
pf.Position -= tf.Volume
_thread.start_new_thread(self.__onRtn, (of, tf))
# _thread.start_new_thread(self.OnRtnOrder, (of,))
# _thread.start_new_thread(self.OnRtnTrade, (tf,))
def __onRtn(self, of, tf):
self.OnRtnOrder(of)
self.OnRtnTrade(tf)
def __OnRspOrder(self,
pInputOrder=CThostFtdcInputOrderField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
""""""
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
id = '{0}|{1}|{2}'.format(self.SessionID, '0',
pInputOrder.getOrderRef())
of = self.DicOrderField.get(id)
if not of:
of = OrderField()
l = int(pInputOrder.getOrderRef())
of.Custom = l % 1000000
of.InstrumentID = pInputOrder.getInstrumentID()
of.InsertTime = time.strftime('%Y%M%d %H:%M:%S', time.localtime())
# 对direction需特别处理（具体见ctp_struct）
of.Direction = DirectType.Buy if DirectionType(
pInputOrder.getDirection(
)) == DirectionType.Buy else DirectType.Sell
ot = OffsetFlagType(ord(pInputOrder.getCombOffsetFlag()[0]))
of.Offset = OffsetType.Open if ot == OffsetFlagType.Open else (
OffsetType.CloseToday
if ot == OffsetFlagType.CloseToday else OffsetType.Close)
# of.Status = OrderStatus.Normal
# of.StatusMsg = f.getStatusMsg()
of.IsLocal = True
of.LimitPrice = pInputOrder.getLimitPrice()
of.OrderID = id
of.Volume = pInputOrder.getVolumeTotalOriginal()
of.VolumeLeft = of.Volume
self.DicOrderField[id] = of
of.Status = OrderStatus.Error
of.StatusMsg = '{0}:{1}'.format(info.ErrorID, info.ErrorMsg)
_thread.start_new_thread(self.OnRtnErrOrder, (of, info))
def __OnErrOrder(self,
pInputOrder=CThostFtdcInputOrderField,
pRspInfo=CThostFtdcRspInfoField):
""""""
id = '{0}|{1}|{2}'.format(self.SessionID, '0',
pInputOrder.getOrderRef())
of = self.DicOrderField.get(id)
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
if of and of.IsLocal:
of.Status = OrderStatus.Error
of.StatusMsg = '{0}:{1}'.format(pRspInfo.getErrorID(),
pRspInfo.getErrorMsg())
_thread.start_new_thread(self.OnRtnErrOrder, (of, info))
def __OnRspOrderAction(self,
pInputOrderAction=CThostFtdcInputOrderActionField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
id = "{0}|{1}|{2}".format(pInputOrderAction.getSessionID(),
pInputOrderAction.getFrontID(),
pInputOrderAction.getOrderRef())
if self.IsLogin and id in self.DicOrderField:
info = InfoField()
info.ErrorID = pRspInfo.ErrorID
info.ErrorMsg = pRspInfo.ErrorMsg
self.OnErrCancel(self.DicOrderField[id], info)
def __OnRtnInstrumentStatus(
self, pInstrumentStatus=CThostFtdcInstrumentStatusField):
self.DicInstrumentStatus[pInstrumentStatus.getInstrumentID(
)] = pInstrumentStatus.getInstrumentStatus()
_thread.start_new_thread(self.OnRtnInstrumentStatus,
(pInstrumentStatus.getInstrumentID(),
pInstrumentStatus.getInstrumentStatus()))
def __OnRspSettlementInfoConfirm(
self,
pSettlementInfoConfirm=CThostFtdcSettlementInfoConfirmField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
pass
def ReqConnect(self, pAddress=''):
self.t.CreateApi()
spi = self.t.CreateSpi()
self.t.SubscribePrivateTopic(0) # restart 同步处理order trade
self.t.SubscribePublicTopic(0)
self.t.RegisterSpi(spi)
self.t.OnFrontConnected = self.__OnFrontConnected
self.t.OnRspUserLogin = self.__OnRspUserLogin
self.t.OnFrontDisconnected = self.__OnFrontDisconnected
self.t.OnRspSettlementInfoConfirm = self.__OnRspSettlementInfoConfirm
self.t.OnRtnOrder = self.__OnRtnOrder
self.t.OnRtnTrade = self.__OnRtnTrade
self.t.OnRspOrderInsert = self.__OnRspOrder
self.t.OnErrRtnOrderInsert = self.__OnErrOrder
self.t.OnRspOrderAction = self.__OnRspOrderAction
self.t.OnRtnInstrumentStatus = self.__OnRtnInstrumentStatus
self.t.OnRspQryInstrument = self.__OnRspQryInstrument
self.t.OnRspQryTradingAccount = self.__OnRspQryAccount
self.t.OnRspQryInvestorPosition = self.__OnRspQryPosition
self.t.RegCB()
self.t.RegisterFront(pAddress)
self.t.Init()
# self.t.Join()
def ReqUserLogin(self, user, pwd, broker):
self.t.ReqUserLogin(BrokerID=broker, UserID=user, Password=pwd)
def ReqOrderInsert(self,
pInstrument='',
pDirection=DirectType,
pOffset=OffsetType,
pPrice=0.0,
pVolume=1,
pType=OrderType.Limit,
pCustom=0):
""""""
OrderPriceType = OrderPriceTypeType.AnyPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = 0.0
VolumeCondition = VolumeConditionType.AV
for case in switch(pType):
if case(OrderType.Market): # 市价
OrderPriceType = OrderPriceTypeType.AnyPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = 0.0
VolumeCondition = VolumeConditionType.AV
break
if case(OrderType.Limit): # 限价
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.GFD
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.AV
break
if case(OrderType.FAK): # FAK
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.AV
break
if case(OrderType.FOK): # FOK
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.CV # 全部数量
break
self._req += 1
self.t.ReqOrderInsert(
BrokerID=self.BrokerID,
InvestorID=self.Investor,
InstrumentID=pInstrument,
OrderRef="%06d%06d" % (self._req, pCustom % 1000000),
UserID=self.Investor,
# 此处ctp_enum与at_struct名称冲突
Direction=DirectionType.Buy
if pDirection == DirectType.Buy else DirectionType.Sell,
CombOffsetFlag=chr(
OffsetFlagType.Open if pOffset == OffsetType.Open else (
OffsetFlagType.CloseToday if pOffset ==
OffsetType.CloseToday else OffsetFlagType.Close)),
CombHedgeFlag=HedgeFlagType.Speculation.__char__(),
IsAutoSuspend=0,
ForceCloseReason=ForceCloseReasonType.NotForceClose,
IsSwapOrder=0,
ContingentCondition=ContingentConditionType.Immediately,
VolumeCondition=VolumeCondition,
MinVolume=1,
VolumeTotalOriginal=pVolume,
OrderPriceType=OrderPriceType,
TimeCondition=TimeCondition,
LimitPrice=LimitPrice,
)
def ReqOrderAction(self, OrderID=''):
""""""
of = self.DicOrderField[OrderID]
if not of:
return -1
else:
pOrderId = of.OrderID
return self.t.ReqOrderAction(self.BrokerID,
self.Investor,
OrderRef=pOrderId.split('|')[2],
FrontID=int(pOrderId.split('|')[1]),
SessionID=int(pOrderId.split('|')[0]),
InstrumentID=of.InstrumentID,
ActionFlag=ActionFlagType.Delete)
def Release(self):
self.t.RegisterSpi(None)
self.t.Release()
def OnFrontConnected(self):
"""接口连接"""
pass
def OnFrontDisConnected(self, error=0):
"""接口断开"""
pass
def OnRspUserLogin(self, info=InfoField):
"""登录响应"""
pass
def OnRtnOrder(self, f=OrderField):
"""委托返回"""
pass
def OnRtnTrade(self, f=TradeField):
"""成交返回"""
pass
def OnRtnCancel(self, f=OrderField):
"""撤单响应"""
pass
def OnErrCancel(self, f=OrderField, info=InfoField):
"""撤单失败"""
pass
def OnRtnErrOrder(self, f=OrderField, info=InfoField):
"""委托错误响应"""
print(f)
print(info)
def OnRtnInstrumentStatus(self, inst, status):
pass
