class Quoter:
def __init__(self, address, broker, investor, passwd):
self.Session = ''
dllpath = os.path.join(
os.path.split(os.path.realpath(__file__))[0], '..', 'dll')
self.q = Quote(
os.path.join(
dllpath, 'ctp_quote.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.address = address
self.broker = broker
self.investor = investor
self.pwd = passwd
def q_OnFrontConnected(self):
print('connected', "---------enter q_OnFrontConnected-----------")
# 行情-用户登陆请求
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, "------enter q_OnRspUserLogin--------")
for temp_future in OrderDict.keys():
self.q.SubscribeMarketData(temp_future)
def q_OnTick(self, tick: ctp.CThostFtdcMarketDataField):
print("----enter q_OnTick---------", tick.getUpdateTime(),
tick.getInstrumentID(), tick.getLastPrice())
instrustmentId = tick.getInstrumentID()
OrderDict[instrustmentId].lastPrice = tick.getLastPrice()
OrderDict[instrustmentId].attr = tick
print(OrderDict[instrustmentId].lastPrice)
def StartQuote(self):
print("----------enter StartQuote-----------")
# 初始化行情线程，new api,new spi,spi注册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()
# 设置行情前置地址
self.q.RegisterFront(self.address)
# 连接运行
self.q.Init()
class Test:
def __init__(self):
self.Session = ''
dllpath = os.path.join(
os.path.split(os.path.realpath(__file__))[0], '..', 'dll')
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 MdApi:
def __init__(self, userid, password, brokerid, RegisterFront):
# 登陆的账户与密码
self.userid = userid
self.password = password
self.brokerid = brokerid
self.address = RegisterFront
# 创建Quote对象
self.q = Quote()
api = self.q.CreateApi()
spi = self.q.CreateSpi()
self.q.RegisterSpi(spi)
self.q.OnFrontConnected = self.onFrontConnected # 交易服务器登陆相应
self.q.OnFrontDisconnected = self.onFrontDisconnected
self.q.OnRspUserLogin = self.onRspUserLogin # 用户登陆
self.q.OnRspUserLogout = self.onRspUserLogout # 用户登出
self.q.OnRspError = self.onRspError
self.q.OnRspSubMarketData = self.onRspSubMarketData
self.q.OnRtnDepthMarketData = self.onRtnDepthMarketData
self.q.RegCB()
self.q.RegisterFront(self.address)
self.q.Init()
def onFrontConnected(self):
"""服务器连接"""
self.q.ReqUserLogin(BrokerID=self.brokerid,
UserID=self.userid,
Password=self.password)
def onFrontDisconnected(self, n):
"""服务器断开"""
downLogProgram('行情服务器连接断开')
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
if error.getErrorID() == 0:
downLogProgram('行情服务器登陆成功，订阅主力合约')
for instrument in listInstrument:
goodsCode = getGoodsCode(instrument)
if goodsCode in setTheGoodsCode: # 如果在交易的品种上，则可以订阅该合约
self.q.SubscribeMarketData(instrument)
else:
log = '行情服务器登陆回报，错误代码：' + str(error.getErrorID()) + \
', 错误信息：' + str(error.getErrorMsg())
downLogProgram(log)
def onRspUserLogout(self, data, error, n, last):
if error.getErrorID() == 0:
log = '行情服务器登出成功'
else:
log = '行情服务器登出回报，错误代码：' + str(error.getErrorID()) + \
', 错误信息：' + str(error.getErrorMsg())
downLogProgram(log)
def onRspError(self, error, n, last):
"""错误回报"""
log = '行情错误回报，错误代码：' + str(error.getErrorID()) \
+ '错误信息：' + + str(error.getErrorMsg())
downLogProgram(log)
def onRspSubMarketData(self, data, info, n, last):
pass
def onRtnDepthMarketData(self, data):
"""行情推送"""
event = Event(type_=EVENT_TICK)
event.dict_['InstrumentID'] = data.getInstrumentID()
event.dict_['LastPrice'] = data.getLastPrice()
event.dict_['TradingDay'] = data.getTradingDay()
event.dict_['UpdateTime'] = data.getUpdateTime()
event.dict_['UpdateMillisec'] = data.getUpdateMillisec()
event.dict_['AskPrice1'] = data.getAskPrice1()
event.dict_['BidPrice1'] = data.getBidPrice1()
ee.put(event)
class CtpQuote(object):
""""""
def __init__(self, dll_relative_path: str = 'dll'):
self.q = Quote(
os.path.join(
os.getcwd(), dll_relative_path, 'ctp_quote.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.inst_tick = {}
self.logined = False
def ReqConnect(self, pAddress: str):
"""
连接行情前置
:param self:
:param pAddress:str:
"""
self.q.CreateApi()
spi = self.q.CreateSpi()
self.q.RegisterSpi(spi)
self.q.OnFrontConnected = self._OnFrontConnected
self.q.OnFrontDisconnected = self._OnFrontDisConnected
self.q.OnRspUserLogin = self._OnRspUserLogin
self.q.OnRtnDepthMarketData = self._OnRtnDepthMarketData
self.q.OnRspSubMarketData = self._OnRspSubMarketData
self.q.RegCB()
self.q.RegisterFront(pAddress)
self.q.Init()
def ReqUserLogin(self, user: str, pwd: str, broker: str):
"""
登录
:param self:
:param user:str:
:param pwd:str:
:param broker:str:
"""
self.q.ReqUserLogin(BrokerID=broker, UserID=user, Password=pwd)
def ReqSubscribeMarketData(self, pInstrument: str):
"""
订阅合约行情
:param self:
:param pInstrument:str:
"""
self.q.SubscribeMarketData(pInstrument)
def ReqUserLogout(self):
"""
退出接口
:param self:
"""
self.q.Release()
_thread.start_new_thread(self.OnDisConnected, (self, 0))
def _OnFrontConnected(self):
""""""
_thread.start_new_thread(self.OnConnected, (self, ))
def _OnFrontDisConnected(self, reason: int):
""""""
# 确保隔夜或重新登录时的第1个tick不被发送到客户端
self.inst_tick.clear()
_thread.start_new_thread(self.OnDisConnected, (self, reason))
def _OnRspUserLogin(self, pRspUserLogin: CThostFtdcRspUserLoginField,
pRspInfo: CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
""""""
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
self.logined = True
_thread.start_new_thread(self.OnUserLogin, (self, info))
def _OnRspSubMarketData(
self, pSpecificInstrument: CThostFtdcSpecificInstrumentField,
pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
pass
def _OnRtnDepthMarketData(
self, pDepthMarketData: CThostFtdcDepthMarketDataField):
""""""
tick: Tick = None
# 这个逻辑交由应用端处理更合理 ==> 第一个tick不送给客户端(以处理隔夜早盘时收到夜盘的数据的问题)
inst = pDepthMarketData.getInstrumentID()
if inst not in self.inst_tick:
tick = Tick()
self.inst_tick[inst] = tick
else:
tick = self.inst_tick[inst]
tick.AskPrice = pDepthMarketData.getAskPrice1()
tick.AskVolume = pDepthMarketData.getAskVolume1()
tick.AveragePrice = pDepthMarketData.getAveragePrice()
tick.BidPrice = pDepthMarketData.getBidPrice1()
tick.BidVolume = pDepthMarketData.getBidVolume1()
tick.Instrument = pDepthMarketData.getInstrumentID()
tick.LastPrice = pDepthMarketData.getLastPrice()
tick.OpenInterest = pDepthMarketData.getOpenInterest()
tick.Volume = pDepthMarketData.getVolume()
# 用tradingday替代Actionday不可取
# day = pDepthMarketData.getTradingDay()
# str = day + ' ' + pDepthMarketData.getUpdateTime()
# if day is None or day == ' ':
# str = time.strftime('%Y%m%d %H:%M:%S', time.localtime())
# tick.UpdateTime = str # time.strptime(str, '%Y%m%d %H:%M:%S')
tick.UpdateTime = pDepthMarketData.getUpdateTime()
tick.UpdateMillisec = pDepthMarketData.getUpdateMillisec()
# 用线程会导入多数据入库时报错
# _thread.start_new_thread(self.OnTick, (self, tick))
self.OnTick(self, tick)
def OnDisConnected(self, obj, error: int):
""""""
print('disconnected: ' + str(error))
def OnConnected(self, obj):
""""""
print('connected')
def OnUserLogin(self, obj, info: InfoField):
""""""
print(info)
def OnTick(self, obj, f: Tick):
""""""
print(f.__dict__)