class MdApi:
"""
Demo中的行情API封装
封装后所有数据自动推送到事件驱动引擎中，由其负责推送到各个监听该事件的回调函数上
对用户暴露的主动函数包括:
登陆 login
订阅合约 subscribe
"""
#----------------------------------------------------------------------
def __init__(self, eventEngine):
"""
API对象的初始化函数
"""
# 事件引擎，所有数据都推送到其中，再由事件引擎进行分发
self.__eventEngine = eventEngine
self.q = Quote()
# 请求编号，由api负责管理
self.__reqid = 0
# 以下变量用于实现连接和重连后的自动登陆
self.__userid = ''
self.__password = ''
self.__brokerid = ''
def login(self):
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.RegCB()
self.q.RegisterFront('tcp://180.168.146.187:10010')
self.q.Init()
def onFrontConnected(self):
"""服务器连接"""
event = Event(type_=EVENT_LOG)
event.dict_['log'] = ('行情服务器连接成功')
self.__eventEngine.put(event)
class MdApi:
"""
Demo中的行情API封装
封装后所有数据自动推送到事件驱动引擎中，由其负责推送到各个监听该事件的回调函数上
对用户暴露的主动函数包括:
登陆 login
订阅合约 subscribe
"""
#----------------------------------------------------------------------
def __init__(self, eventEngine):
"""
API对象的初始化函数
"""
# 事件引擎，所有数据都推送到其中，再由事件引擎进行分发
self.__eventEngine = eventEngine
self.q = Quote()
# 请求编号，由api负责管理
self.__reqid = 0
# 以下变量用于实现连接和重连后的自动登陆
self.__userid = cf.userid
self.__password = cf.password
self.__brokerid = cf.brokerid
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.OnRspUserLogin = self.onRspUserLogin # 用户登陆
self.q.OnFrontDisconnected = self.onFrontDisconnected
self.q.OnRspError = self.onRspError
self.q.OnRspSubMarketData = self.OnRspSubMarketData
self.q.OnRtnDepthMarketData = self.onRtnDepthMarketData
self.q.OnRspUserLogout = self.OnRspUserLogout
self.q.RegCB()
self.login_status = False #登录状态
def login(self):
if self.login_status == False:
self.q.RegisterFront('tcp://180.168.146.187:10010')
self.q.Init()
def logout(self):
if self.login_status == True:
self.q.ReqUserLogout(self.__brokerid, self.__userid)
def release(self):
self.q.Release()
self.q = None
def put_log_event(self, log): # log事件注册
event = Event(type_=EVENT_LOG)
event.dict_['log'] = log
self.__eventEngine.put(event)
def onFrontConnected(self):
"""服务器连接"""
lc.loger.info(threading.current_thread())
self.put_log_event('行情服务器连接成功')
time.sleep(3)
self.q.ReqUserLogin(BrokerID=self.__brokerid,
UserID=self.__userid,
Password=self.__password)
def onFrontDisconnected(self, n):
"""服务器断开"""
lc.loger.info(threading.current_thread())
self.put_log_event('行情服务器连接断开')
time.sleep(3)
self.login_status = False
def onRspError(self, error, n, last):
"""错误回报"""
log = '行情错误回报，错误代码：' + str(error.__dict__['ErrorID']) + '错误信息：' + +str(
error.__dict__['ErrorMsg'])
self.put_log_event(log)
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
if error.__dict__['ErrorID'] == 0:
self.login_status = True
log = '行情服务器登陆成功'
else:
self.login_status = False
log = '登陆回报，错误代码：' + str(
error.__dict__['ErrorID']) + ', 错误信息：' + str(
error.__dict__['ErrorMsg'])
self.put_log_event(log)
def OnRspUserLogout(self, data, error, n, last):
"""登出回报"""
lc.loger.info(threading.current_thread())
if error.__dict__['ErrorID'] == 0:
self.login_status = False
log = '行情服务器登出成功'
else:
self.login_status = True
log = '登出回报，错误代码：' + str(
error.__dict__['ErrorID']) + ', 错误信息：' + str(
error.__dict__['ErrorMsg'])
self.put_log_event(log)
def OnRspSubMarketData(self, data, info, n, last):
pass
def onRtnDepthMarketData(self, data):
"""行情推送"""
# 特定合约行情事件
#lc.loger.info(threading.current_thread())
#lc.loger.info("get")
event2 = Event(type_=(EVENT_MARKETDATA_CONTRACT +
data.__dict__['InstrumentID']))
event2.dict_['data'] = data.__dict__
self.__eventEngine.put(event2)
# ----------------------------------------------------------------------
def subscribe(self, instrumentid):
"""订阅合约"""
self.q.SubscribeMarketData(pInstrumentID=instrumentid)
def unsubscribe(self, instrumentid):
"""退订合约"""
self.q.UnSubscribeMarketData(pInstrumentID=instrumentid)
class CtpQuote(QuoteAdapter):
""""""
def __init__(self):
super().__init__()
self.q = Quote()
def ReqConnect(self, pAddress=''):
self.q.CreateApi()
spi = self.q.CreateSpi()
self.q.RegisterSpi(spi)
self.q.OnFrontConnected = self.__OnFrontConnected
self.q.OnRspUserLogin = self.__OnRspUserLogin
self.q.OnRtnDepthMarketData = self.__OnRtnDepthMarketData
self.q.RegCB()
self.q.RegisterFront(pAddress)
self.q.Init()
def ReqUserLogin(self, user='', pwd='', broker=''):
self.q.ReqUserLogin(BrokerID=broker, UserID=user, Password=pwd)
def ReqSubscribeMarketData(self, pInstrument=''):
self.q.SubscribeMarketData(pInstrument)
def __OnFrontConnected(self):
""""""
_thread.start_new_thread(self.OnFrontConnected, ())
def __OnRspUserLogin(self,
pRspUserLogin=CThostFtdcRspUserLoginField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
""""""
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
self.IsLogin = True
_thread.start_new_thread(self.OnRspUserLogin, (info, ))
def __OnRtnDepthMarketData(self,
pDepthMarketData=CThostFtdcDepthMarketDataField
):
""""""
tick = Tick()
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()
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')
self.DicTick[tick.Instrument] = tick
_thread.start_new_thread(self.OnRtnTick, (tick, ))
# self.OnRtnTick(tick)
def OnFrontDisConnected(self, error=0):
""""""
pass
def OnRspUserLogin(self, info=InfoField):
""""""
pass
# ----------------------------------------------------------------------
def OnRtnTick(self, field=Tick):
""""""
pass
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 MdApi:
"""
Demo中的行情API封装
封装后所有数据自动推送到事件驱动引擎中，由其负责推送到各个监听该事件的回调函数上
对用户暴露的主动函数包括:
登陆 login
订阅合约行情 subscribe
行情数据导向rabbitmq
"""
logging.getLogger().setLevel(logging.INFO)
#----------------------------------------------------------------------
def __init__(self):
"""
API对象的初始化函数
"""
self.q = Quote()
# 请求编号，由api负责管理
self.__reqid = 0
# 以下变量用于实现连接和重连后的自动登陆
self.__userid = '123'
self.__password = '******'
self.__brokerid = '9999'
def login(self):
api = self.q.CreateApi()
spi = self.q.CreateSpi()
self.q.RegisterSpi(spi)
self.q.OnFrontConnected = self.onFrontConnected # 行情服务器登陆相应
self.q.OnRspUserLogin = self.onRspUserLogin # 用户登陆
self.q.OnRspSubMarketData=self.onRspSubMarketData #tick返回调用
self.q.OnRtnDepthMarketData = self.onRtnDepthMarketData
self.q.RegCB()
self.q.RegisterFront('tcp://180.168.146.187:10010')
self.q.Init()
def onFrontConnected(self):
"""服务器连接"""
logging.info("行情服务器连接成功")
self.q.ReqUserLogin(BrokerID=self.__brokerid, UserID=self.__userid, Password=self.__password) #登录请求
def onRspUserLogin(self, data, error, n, last): #登录请求返回信息
"""登陆回报"""
if error.__dict__['ErrorID'] == 0:
log = '行情服务器登陆成功'
self.subscribe('IF1809')
else:
log = '登陆回报，错误代码：' + str(error.__dict__['ErrorID']) + ', 错误信息：' + str(error.__dict__['ErrorMsg'])
logging.info(log)
def onRspSubMarketData(self, data, info, n, last):
pass
def onRtnDepthMarketData(self, data):
"""行情推送"""
# 特定合约行情事件
event = Event(type_=EVENT_MARKETDATA_CONTRACT)
event.symbol= data.__dict__['InstrumentID']
event.dict_['data'] = data.__dict__
print(event.dict_['data'])
def subscribe(self, instrumentid):
"""订阅合约"""
self.q.SubscribeMarketData(pInstrumentID=instrumentid)
def unsubscribe(self, instrumentid):
"""退订合约"""
self.q.UnSubscribeMarketData(pInstrumentID=instrumentid)
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 MdApi:
def __init__(self, ee):
self.ee = ee
self.list_account = ['申万实盘', '中证实盘', '国泰君安实盘', '广发实盘', '中国国际实盘']
self.list_server_brokerid = ["88888", "66666", "7090", "9000", "8090"]
self.list_server_investorid = [
"8701000683", "830300035", "28900528", "886810370", "33305188"
]
self.list_server_password = [
"600467", "600467", "600467", "600467", "600467"
]
self.list_server_address = [
"tcp://180.168.212.51:41213", "tcp://ctp1-md7.citicsf.com:41213",
"tcp://180.169.75.21:41213", "tcp://116.228.246.81:41213",
"tcp://180.168.102.193:41213"
]
self.choice = 0
self.userid = self.list_server_investorid[self.choice]
self.password = self.list_server_password[self.choice]
self.brokerid = self.list_server_brokerid[self.choice]
self.address = self.list_server_address[self.choice]
# 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()
self.islogin = False # 判断是否登陆成功
def onFrontConnected(self):
"""服务器连接"""
putLogEvent(self.ee, '行情服务器连接成功')
self.q.ReqUserLogin(BrokerID=self.brokerid,
UserID=self.userid,
Password=self.password)
def onFrontDisconnected(self, n):
"""服务器断开"""
putLogEvent(self.ee, '行情服务器连接断开')
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
if error.__dict__['ErrorID'] == 0:
log = '行情服务器登陆成功'
self.islogin = True
else:
log = '行情服务器登陆回报，错误代码：' + str(error.__dict__['ErrorID']) + \
', 错误信息：' + str(error.__dict__['ErrorMsg'])
putLogEvent(self.ee, log)
def onRspUserLogout(self, data, error, n, last):
if error.__dict__['ErrorID'] == 0:
log = '行情服务器登出成功'
self.islogin = False
else:
log = '行情服务器登出回报，错误代码：' + str(error.__dict__['ErrorID']) + \
', 错误信息：' + str(error.__dict__['ErrorMsg'])
putLogEvent(self.ee, log)
def onRspError(self, error, n, last):
"""错误回报"""
log = '行情错误回报，错误代码：' + str(error.__dict__['ErrorID']) \
+ '错误信息：' + + str(error.__dict__['ErrorMsg'])
putLogEvent(self.ee, log)
def onRspSubMarketData(self, data, info, n, last):
pass
def onRtnDepthMarketData(self, data):
"""行情推送"""
event = Event(type_=EVENT_MARKETDATA_CONTRACT)
event.dict_['data'] = data.__dict__
self.ee.put(event)
class Test:
def __init__(self, args):
print(dt.datetime.today(), '---- __init__ ----')
# self.rootdir = os.path.abspath(os.path.join(os.getcwd(), os.pardir))
self.rootdir = os.getcwd()
# parse command line input args
self.ProductClass2 = list() if args.product is None else [
x.upper() for x in args.product
]
self.ExchangeID2 = list() if args.exchange is None else [
x.upper() for x in args.exchange
]
self.ProductID2 = list() if args.underlying is None else [
x.upper() for x in args.underlying
]
account = 'real_eb1' if args.account is None else args.account[0]
self.mongodb = 'mongodb2' if args.mongodb is None else args.mongodb[0]
# print(self.ProductClass2)
# print(self.ExchangeID2)
# print(self.ProductID2)
# print(account)
# print(mongodb)
# ctp connection, current path is '...\PyCtp'
config = SafeConfigParser()
ctp_path = os.path.join(os.path.abspath('..'), 'PyShare', 'config',
'ctp_connection.ini')
config.read(ctp_path)
self.BrokerID = config.get(account, 'BrokerID')
self.UserID = config.get(account, 'UserID')
self.Password = config.get(account, 'Password')
self.q_ip = config.get(account, 'q_ip')
self.t_ip = config.get(account, 't_ip')
self.Session = ''
self.q = Quote()
self.t = Trade()
self.contract = list()
self.contractdf = pd.DataFrame()
self.TradingDay = ''
# create connection to mongodb, make sure it is primary connection
mongo_path = os.path.join(os.path.abspath('..'), 'PyShare', 'config',
'mongodb_connection.ini')
self.mdb = Mongo.MongoDB(mongo_path)
# run mongodb connection after user login confirmed, e.g., q_OnRspUserLogin(), OnRspUserLogin()
# mdb_connection_result = self.mdb.connect(mongodb)
# ----------------- quote related method -----------------
def q_OnFrontConnected(self):
print(dt.datetime.today(), '---- q_OnFrontConnected ----')
# when q_ip is reached, start user login, can be anonymous
# self.q.ReqUserLogin(BrokerID=self.BrokerID, UserID=self.UserID, Password=self.Password)
self.q.ReqUserLogin()
def q_OnFrontDisconnected(self, nReason=int):
print(dt.datetime.today(), '---- q_OnFrontDisconnected ----')
# time.sleep(60)
def q_OnRspUserLogin(self,
pRspUserLogin=CThostFtdcRspUserLoginField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
print(dt.datetime.today(), '---- q_OnRspUserLogin ----')
# print(pRspUserLogin)
# print(pRspInfo)
# print(nRequestID)
# print(bIsLast)
if pRspInfo.getErrorID() == 0:
print('OnRspUserLogin Successful', pRspInfo)
self.mdb.connect(self.mongodb)
self.TradingDay = pRspUserLogin.getTradingDay()
self.contractdf = pd.read_csv(
os.path.join(self.rootdir, 'contract.csv'))
# print(self.contractdf)
ff = pd.Series.repeat(pd.Series([True]), self.contractdf.shape[0])
p_idx = ff if len(
self.ProductClass2
) == 0 else self.contractdf['ProductClass2'].isin(
self.ProductClass2)
e_idx = ff if len(self.ExchangeID2
) == 0 else self.contractdf['ExchangeID2'].isin(
self.ExchangeID2)
u_idx = ff if len(
self.ProductID2) == 0 else self.contractdf['ProductID2'].isin(
self.ProductID2)
idx = [a and b and c for a, b, c in zip(p_idx, e_idx, u_idx)]
gg = self.contractdf.loc[idx]
print('ProductClass', self.ProductClass2)
print('Exchange', self.ExchangeID2)
print('Underlying', self.ProductID2)
print('TradingDay', self.TradingDay)
print(dt.datetime.today(), '---- total number of selected symbol',
gg.shape[0], '----')
if (not any(idx)):
input('no matched symbols, press enter key to exit')
sys.exit(2)
else:
print(dt.datetime.today(), '---- SubscribeMarketData ----')
for index, row in gg.iterrows():
# print(row['InstrumentID'], row['Symbol'])
# ** create index in mongodb for faster query, removed, using single python script instead **
# self.mdb.create_index_once(row['Symbol'], 'TradingDay', True)
# case sensitive, e.g., IF1612 is not the same as if1612
self.q.SubscribeMarketData(row['InstrumentID'])
print(dt.datetime.today(),
'---- SubscribeMarketData finished ----')
else:
print('OnRspUserLogin Error', pRspInfo)
def q_OnRtnDepthMarketData(self,
pDepthMarketData=CThostFtdcDepthMarketDataField
):
# print(dt.datetime.today(), '---- q_OnRtnDepthMarketData ----')
# print(pDepthMarketData)
tk = pDepthMarketData
# ExchangeID --> ExchangeID2, InstrumentID --> Instrumentid2, e.g., Symbol = 'SHFE.CU1612'
kk = self.contractdf.loc[self.contractdf['InstrumentID'] ==
tk.getInstrumentID()]
cc = kk['Symbol'].values.tolist()[0]
# convert TradingDay='20161115' to TradingDay='2016-11-15' format, e.g., _id = 2016-11-15 13:26:00
# dt.datetime.strptime(tk.getTradingDay(),'%Y%m%d').strftime('%Y-%m-%d')
# ' '.join([dt.datetime.today().strftime('%Y-%m-%d'), tk.getUpdateTime()])
# dt.datetime.today().strftime('%Y-%m-%d %H:%M:%S.%f')
# 'TradingDay':dt.datetime.strptime(tk.getTradingDay(),'%Y%m%d').strftime('%Y-%m-%d'), 'UpdateTime':tk.getUpdateTime(), 'UpdateMillisec':tk.getUpdateMillisec()
# self.TradingDay = pRspUserLogin.getTradingDay(), use TradingDay from pRspUserLogin
# print(self.TradingDay, tk.getTradingDay())
CTPTIME = pytz.timezone('Asia/Shanghai').localize(
dt.datetime.strptime(
' '.join([
tk.getTradingDay(),
tk.getUpdateTime(),
str(tk.getUpdateMillisec())
]), '%Y%m%d %H:%M:%S %f'))
sdd = {
'_id': dt.datetime.utcnow(),
'BID': tk.getBidPrice1(),
'ASK': tk.getAskPrice1(),
'BVOL': int(tk.getBidVolume1()),
'AVOL': int(tk.getAskVolume1()),
'LAST': tk.getLastPrice(),
'VOLUME': int(tk.getVolume()),
'OI': int(tk.getOpenInterest()),
'TradingDay': self.TradingDay,
'CTPTIME': CTPTIME
}
if sdd['BID'] > 1e32 and sdd['ASK'] > 1e32 and sdd[
'BVOL'] == 0 and sdd['AVOL'] == 0:
# do not record these points
print('U', end='', flush=True)
else:
# price used for charting
print('x', end='', flush=True)
if sdd['BVOL'] > 0:
sdd['PRICE'] = sdd['BID']
else:
if sdd['AVOL'] > 0:
sdd['PRICE'] = sdd['ASK']
else:
if sdd['VOLUME'] > 0:
sdd['PRICE'] = sdd['LAST']
else:
sdd['PRICE'] = tk.getPreSettlementPrice()
# check if a collection exists, upsert = update + insert, trust the latest data is the correct data, even if the previous data maybe correct
result = self.mdb.upsert_dict(cc, sdd, '_id')
def q_OnRspSubMarketData(
self,
pSpecificInstrument=CThostFtdcSpecificInstrumentField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
# print(dt.datetime.today(), '---- q_OnRspSubMarketData ----')
# print(pSpecificInstrument)
# print(pRspInfo)
# print(nRequestID)
# print(bIsLast)
pass
def StartQuote(self):
print(dt.datetime.today(), '---- CTP Quote ----')
api = self.q.CreateApi()
spi = self.q.CreateSpi()
self.q.RegisterSpi(spi)
self.q.OnFrontConnected = self.q_OnFrontConnected
self.q.OnFrontDisconnected = self.q_OnFrontDisconnected
self.q.OnRspUserLogin = self.q_OnRspUserLogin
# market data subscription and return depth data
self.q.OnRtnDepthMarketData = self.q_OnRtnDepthMarketData
self.q.OnRspSubMarketData = self.q_OnRspSubMarketData
# initiate connection to quote server
self.q.RegCB()
self.q.RegisterFront(self.q_ip)
self.q.Init()
self.q.Join()
# ----------------- trade related method -----------------
def OnFrontConnected(self):
print(dt.datetime.today(), '---- OnFrontConnected ----')
self.t.ReqUserLogin(BrokerID=self.BrokerID,
UserID=self.UserID,
Password=self.Password)
def OnFrontDisconnected(self, nReason=int):
print(dt.datetime.today(), '---- OnFrontDisconnected ----')
# time.sleep(60)
def OnRspUserLogin(self,
pRspUserLogin=CThostFtdcRspUserLoginField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
print(dt.datetime.today(), '---- OnRspUserLogin ----')
# print(pRspUserLogin)
# print(pRspInfo)
# print(nRequestID)
# print(bIsLast)
if pRspInfo.getErrorID() == 0:
print('OnRspUserLogin Successful', pRspInfo)
self.mdb.connect(self.mongodb)
self.Session = pRspUserLogin.getSessionID()
self.t.ReqSettlementInfoConfirm(BrokerID=self.BrokerID,
InvestorID=self.UserID)
self.TradingDay = pRspUserLogin.getTradingDay()
else:
print('OnRspUserLogin Error', pRspInfo)
def OnRspUserLogout(self,
pUserLogout=CThostFtdcUserLogoutField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
print(dt.datetime.today(), '---- OnRspUserLogout ----')
# print(pUserLogout)
# print(pRspInfo)
# print(nRequestID)
# print(bIsLast)
def OnRtnOrder(self, pOrder=CThostFtdcOrderField):
# print(dt.datetime.today(), '---- OnRtnOrder ----')
# print(pOrder)
pass
def OnErrRtnOrderInsert(self,
pInputOrder=CThostFtdcInputOrderField,
pRspInfo=CThostFtdcRspInfoField):
# print(dt.datetime.today(), '---- OnErrRtnOrderInsert ----')
# print(pInputOrder)
# print(pRspInfo)
pass
def OnErrRtnOrderAction(self,
pOrderAction=CThostFtdcOrderActionField,
pRspInfo=CThostFtdcRspInfoField):
# print(dt.datetime.today(), '---- OnErrRtnOrderAction ----')
# print(pOrderAction)
# print(pRspInfo)
pass
def OnRtnTrade(self, pTrade=CThostFtdcTradeField):
# print(dt.datetime.today(), '---- OnRtnTrade ----')
# print(pTrade)
pass
def OnRtnQueryBankBalanceByFuture(
self, pNotifyQueryAccount=CThostFtdcNotifyQueryAccountField):
# print(dt.datetime.today(), '---- OnRtnQueryBankBalanceByFuture ----')
# print(pNotifyQueryAccount)
pass
def OnRtnFromBankToFutureByFuture(self,
pRspTransfer=CThostFtdcRspTransferField):
# print(dt.datetime.today(), '---- OnRtnFromBankToFutureByFuture ----')
# print(pRspTransfer)
pass
def OnRtnFromFutureToBankByFuture(self,
pRspTransfer=CThostFtdcRspTransferField):
# print(dt.datetime.today(), '---- OnRtnFromFutureToBankByFuture ----')
# print(pRspTransfer)
pass
def OnRtnTradingNotice(self,
pTradingNoticeInfo=CThostFtdcTradingNoticeInfoField
):
# print(dt.datetime.today(), '---- OnRtnTradingNotice ----')
# print(pTradingNoticeInfo)
pass
def OnRtnInstrumentStatus(self,
pInstrumentStatus=CThostFtdcInstrumentStatusField
):
# print(dt.datetime.today(), '---- OnRtnInstrumentStatus ----')
# print(pInstrumentStatus)
pass
def OnRspSettlementInfoConfirm(
self,
pSettlementInfoConfirm=CThostFtdcSettlementInfoConfirmField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
print(dt.datetime.today(), '---- OnRspSettlementInfoConfirm ----')
# print(pSettlementInfoConfirm)
# print(pRspInfo)
# print(nRequestID)
# print(bIsLast)
self.t.ReqQryInstrument()
def OnRspQryInstrument(self,
pInstrument=CThostFtdcInstrumentField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
# print(dt.datetime.today(), '---- OnRspQryInstrument ----')
# if pInstrument.getInstrumentID()=='SR709C7000' or pInstrument.getInstrumentID()=='m1709-P-2800':
# print(pInstrument)
# print(pRspInfo)
# print(nRequestID)
# print(bIsLast)
# StartQuote after getting all the contract information, ctp InstrumentID has a mixture of upper and lower case
# contract definition, * is not used
# exchange, underlying, contract, expiration
# [base]: base_exchange, base_underlying(*), base_contract
# [pricing]: pricing_exchange, pricing_underlying(*), pricing_contract
# [hedging]: hedging_exchange, hedging_underlying(*), hedging_contract
mm = [
pInstrument.getInstrumentID(),
pInstrument.getExchangeID(),
pInstrument.getProductID(),
str(pInstrument.getProductClass()).split('.')[1],
pInstrument.getExchangeID(),
pInstrument.getUnderlyingInstrID()
]
nn = [x.upper() for x in mm]
tt = [pInstrument.getPriceTick(), pInstrument.getExpireDate()]
self.contract.append(mm + nn + tt)
if bIsLast:
print(dt.datetime.today(),
'---- OnRspQryInstrument Completed ----')
self.contractdf = pd.DataFrame(
self.contract,
columns=[
'InstrumentID', 'ExchangeID', 'ProductID', 'ProductClass',
'UnderlyingExchangeID', 'UnderlyingInstrID',
'InstrumentID2', 'ExchangeID2', 'ProductID2',
'ProductClass2', 'UnderlyingExchangeID2',
'UnderlyingInstrID2', 'PriceTick', 'ExpireDate'
])
sg = self.contractdf[['ExchangeID2', 'InstrumentID2']]
self.contractdf['Symbol'] = [
'.'.join(x) for x in sg.values.tolist()
]
# change CZCE SRC and SRP underlying symbol to SR_O, may extend this list in the future
idx = [
row['ExchangeID2'] == 'CZCE'
and row['ProductID2'] in ['SRC', 'SRP']
for index, row in self.contractdf.iterrows()
]
self.contractdf.loc[idx, 'ProductID'] = 'SR_O'
self.contractdf.loc[idx, 'ProductID2'] = 'SR_O'
# export to a csv file, so it can be read by market data quote functions
self.contractdf.to_csv(os.path.join(self.rootdir, 'contract.csv'),
index=False)
self.contract = list()
print(dt.datetime.today(), '---- total number of ctp symbol',
self.contractdf.shape[0], '----')
# self.StartQuote()
def Run(self):
print(dt.datetime.today(), '---- CTP Trade ----')
api = self.t.CreateApi()
spi = self.t.CreateSpi()
self.t.RegisterSpi(spi)
# rewrite default api interface
self.t.OnFrontConnected = self.OnFrontConnected
self.t.OnFrontDisconnected = self.OnFrontDisconnected
self.t.OnRspUserLogin = self.OnRspUserLogin
self.t.OnRspUserLogout = self.OnRspUserLogout
# have to confirm settlement result before moving to the next step
# run self.StartQuote() after settlement information is confirmed
self.t.OnRspSettlementInfoConfirm = self.OnRspSettlementInfoConfirm
# order related
self.t.OnRtnOrder = self.OnRtnOrder
self.t.OnErrRtnOrderInsert = self.OnErrRtnOrderInsert
self.t.OnErrRtnOrderAction = self.OnErrRtnOrderAction
self.t.OnRtnTrade = self.OnRtnTrade
# FCM bank transfer, trading notice
self.t.OnRtnQueryBankBalanceByFuture = self.OnRtnQueryBankBalanceByFuture
self.t.OnRtnFromBankToFutureByFuture = self.OnRtnFromBankToFutureByFuture
self.t.OnRtnFromFutureToBankByFuture = self.OnRtnFromFutureToBankByFuture
self.t.OnRtnTradingNotice = self.OnRtnTradingNotice
# get underlying (a.k.a instrument) status
self.t.OnRtnInstrumentStatus = self.OnRtnInstrumentStatus
# return contract information
self.t.OnRspQryInstrument = self.OnRspQryInstrument
# initiate connection to trade server
self.t.RegCB()
self.t.RegisterFront(self.t_ip)
self.t.Init()
self.t.Join()
