class TdApi:
"""
Demo中的交易API封装
主动函数包括：
login 登陆
getInstrument 查询合约信息
getAccount 查询账号资金
getInvestor 查询投资者
getPosition 查询持仓
sendOrder 发单
cancelOrder 撤单
"""
#----------------------------------------------------------------------
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.t = Trade()
# 请求编号，由api负责管理
self.__reqid = 0
# 报单编号，由api负责管理
self.__orderref = 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.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.RegCB()
self.t.RegisterFront('tcp://180.168.146.187:10000')
self.t.Init()
def onFrontConnected(self):
"""服务器连接"""
event = Event(type_=EVENT_LOG)
event.dict_['log'] = ('交易服务器连接成功')
self.__eventEngine.put(event)
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 TdApi:
"""
Demo中的交易API封装
主动函数包括：
login 登陆
getInstrument 查询合约信息
getAccount 查询账号资金
getInvestor 查询投资者
getPosition 查询持仓
sendOrder 发单
cancelOrder 撤单
"""
#----------------------------------------------------------------------
def __init__(self):
"""API对象的初始化函数"""
self.t = Trade()
# 请求编号，由api负责管理
self.__reqid = 0
# 报单编号，由api负责管理
self.__orderref = 0
# 以下变量用于实现连接和重连后的自动登陆
self.__userid = '099829'
self.__password = '******'
self.__brokerid = '9999'
def login(self):
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.OnRspUserLogin = self.onRspUserLogin # 用户登陆
self.t.OnRtnInstrumentStatus = self.OnRtnInstrumentStatus #这个函数在合约交易状态发生改变时会被调用（会通知当前交易所状态变化开市，休市，闭市时）
self.t.RegCB()
self.t.RegisterFront('tcp://180.168.146.187:10000') #注册前置地址
self.t.Init() #初始化接口线程
def onFrontConnected(self):
"""交易服务器连接"""
logging.info("交易服务器连接成功") #也可以直接print("交易服务器连接成功")
self.t.ReqUserLogin(BrokerID=self.__brokerid, UserID=self.__userid, Password=self.__password)
#返回onRspUserLogin和OnRtnInstrumentStatus两个回报，
def OnRtnInstrumentStatus(self, data): #合约的情况，pass不处理信息
pass
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
if error.__dict__['ErrorID'] == 0:
self.Investor = data.__dict__['UserID']
self.BrokerID = data.__dict__['BrokerID']
log = data.__dict__['UserID'] + '交易服务器登陆成功'
#self.t.ReqSettlementInfoConfirm(self.BrokerID, self.Investor) # 对账单确认，现在时注销状态
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)
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 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
class TdApi:
"""
Demo中的交易API封装
主动函数包括：
login 登陆
getInstrument 查询合约信息
getAccount 查询账号资金
getInvestor 查询投资者
getPosition 查询持仓
sendOrder 发单
cancelOrder 撤单
"""
#----------------------------------------------------------------------
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.t = Trade()
# 请求编号，由api负责管理
self.__reqid = 0
# 报单编号，由api负责管理
self.__orderref = random.randrange(start=1000,
stop=9000,
step=random.randint(10, 100))
self.SessionID = None
self.FrontID = None
# 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.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.OnRspUserLogin = self.onRspUserLogin # 用户登陆
self.t.OnErrRtnOrderInsert = self.onErrRtnOrderInsert
self.t.OnRspUserLogout = self.OnRspUserLogout
self.t.OnRtnInstrumentStatus = self.OnRtnInstrumentStatus
self.t.OnFrontDisconnected = self.onFrontDisconnected
self.t.OnRspSettlementInfoConfirm = self.onRspSettlementInfoConfirm # 结算单确认
self.t.OnRspQryInstrument = self.onRspQryInstrument # 查询全部交易合约
self.t.OnRspQryDepthMarketData = self.onRspQryDepthMarketData # tick截面数据
self.t.OnRspQryInvestorPosition = self.onRspQryInvestorPosition #查询持仓
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.OnRspQryInstrumentMarginRate = self.OnRspQryInstrumentMarginRate #获取保证金率
#——————错误事件
self.t.OnRspOrderInsert = self.onRspOrderInsert
self.t.OnRspOrderAction = self.onRspOrderAction
self.t.OnRspError = self.onRspError
self.t.RegCB()
self.login_status = False #登录状态
def login(self):
if self.login_status == False:
self.t.RegisterFront('tcp://180.168.146.187:10000')
self.t.Init()
def logout(self):
if self.login_status == True:
self.t.ReqUserLogout(self.__brokerid, self.__userid)
def release(self):
self.t.Release()
self.t = 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('交易服务器连接成功')
time.sleep(3)
self.t.ReqUserLogin(BrokerID=self.__brokerid,
UserID=self.__userid,
Password=self.__password)
def OnRtnInstrumentStatus(self, data):
pass
def onFrontDisconnected(self, n):
"""服务器断开"""
lc.loger.info(threading.current_thread())
self.put_log_event('交易服务器连接断开')
self.login_status = False
time.sleep(3)
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
if error.__dict__['ErrorID'] == 0:
self.Investor = data.__dict__['UserID']
self.BrokerID = data.__dict__['BrokerID']
self.FrontID = data.__dict__['FrontID']
self.SessionID = data.__dict__['SessionID']
self.__orderref = int(data.__dict__['MaxOrderRef'])
lc.loger.info(data.__dict__)
self.login_status = True
log = data.__dict__['UserID'] + '交易服务器登陆成功'
self.t.ReqSettlementInfoConfirm(self.BrokerID,
self.Investor) # 对账单确认
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 = '交易服务器登出成功'
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 onRspSettlementInfoConfirm(self, data, error, n, last):
"""确认结算信息回报"""
log = '结算信息确认完成'
self.put_log_event(log)
time.sleep(1)
self.getInstrument() # 查询合约资料
#self.short('rb1801',4422,1)
#self.sell('rb1801',4431,1)
#self.getPosition()
def onRspQryInstrument(self, data, error, n, last):
"""
合约查询回报
由于该回报的推送速度极快，因此不适合全部存入队列中处理，
选择先储存在一个本地字典中，全部收集完毕后再推送到队列中
（由于耗时过长目前使用其他进程读取）
"""
if error.__dict__['ErrorID'] == 0:
event = Event(type_=EVENT_INSTRUMENT)
event.dict_['data'] = data.__dict__
event.dict_['last'] = last
self.__eventEngine.put(event)
if last == True:
time.sleep(2)
self.t.ReqQryDepthMarketData() # 查询合约截面数据
else:
log = '合约投资者回报，错误代码：' + str(
error.__dict__['ErrorID']) + ', 错误信息：' + str(
error.__dict__['ErrorMsg'])
self.put_log_event(log)
def onRspQryDepthMarketData(self, data, error, n, last):
# 常规行情事件
event = Event(type_=EVENT_MARKETDATA)
event.dict_['data'] = data.__dict__
event.dict_['last'] = last
self.__eventEngine.put(event)
def getInstrumentMarginRate(self, instrumentID):
self.t.ReqQryInstrumentMarginRate(
BrokerID=self.__brokerid,
InvestorID=self.__userid,
InstrumentID=instrumentID) # 查询合约保证金率
def OnRspQryInstrumentMarginRate(self, data, error, n, last):
# 合约保证金
event = Event(type_=EVENT_INSTRUMENT_MAGIN_RATE)
event.dict_['data'] = data.__dict__
event.dict_['last'] = last
self.__eventEngine.put(event)
def onRspQryInvestorPosition(self, data, error, n, last):
"""持仓查询回报"""
if error.__dict__['ErrorID'] == 0:
event = Event(type_=EVENT_POSITION)
event.dict_['data'] = data.__dict__
event.dict_['last'] = last
self.__eventEngine.put(event)
else:
log = ('持仓查询回报，错误代码：' + str(error.__dict__['ErrorID']) +
', 错误信息：' + str(error.__dict__['ErrorMsg']))
self.put_log_event(log)
# ----------------------------------------------------------------------
def onRspQryTradingAccount(self, data, error, n, last):
"""资金账户查询回报"""
if error.__dict__['ErrorID'] == 0:
event = Event(type_=EVENT_ACCOUNT)
event.dict_['data'] = data.__dict__
self.__eventEngine.put(event)
else:
log = ('账户查询回报，错误代码：' + str(error.__dict__['ErrorID']) +
', 错误信息：' + str(error.__dict__['ErrorMsg']))
self.put_log_event(log)
def onRtnTrade(self, data):
"""成交回报"""
# 常规成交事件
event1 = Event(type_=EVENT_TRADE)
event1.dict_['data'] = data.__dict__
self.__eventEngine.put(event1)
def onRtnOrder(self, data):
"""报单回报"""
# 更新最大报单编号
newref = data.__dict__['OrderRef']
self.__orderref = max(self.__orderref, int(newref))
# 常规报单事件
event1 = Event(type_=EVENT_ORDER)
event1.dict_['data'] = data.__dict__
self.__eventEngine.put(event1)
def onRspOrderInsert(self, data, error, n, last):
"""发单错误（柜台）"""
log = data.__dict__['InstrumentID'] + ' 发单错误回报，错误代码：' + str(
error.__dict__['ErrorID']) + ', 错误信息：' + str(
error.__dict__['ErrorMsg'])
# self.put_log_event(log)
lc.loger_order.info('onRspOrderInsert')
lc.loger_error.info(log)
lc.loger_order.info(data.__dict__)
def onErrRtnOrderInsert(self, data, error):
"""发单错误回报（交易所）"""
log = data.__dict__['InstrumentID'] + '发单错误回报，错误代码：' + str(
error.__dict__['ErrorID']) + ', 错误信息：' + str(
error.__dict__['ErrorMsg'])
# self.put_log_event(log)
lc.loger_error.info('onErrRtnOrderInsert')
lc.loger_error.info(log)
lc.loger_error.info(data.__dict__)
def onRspError(self, error, n, last):
"""错误回报"""
log = '交易错误回报，错误代码：' + str(
error.__dict__['ErrorID']) + ', 错误信息：' + str(
error.__dict__['ErrorMsg'])
# self.put_log_event(log)
lc.loger_error.info('onRspError')
lc.loger_error.info(log)
lc.loger_error.info(error.__dict__)
# ----------------------------------------------------------------------
def onRspOrderAction(self, data, error, n, last):
"""撤单错误（柜台）"""
log = '撤单错误回报，错误代码：' + str(
error.__dict__['ErrorID']) + ', 错误信息：' + str(
error.__dict__['ErrorMsg'])
# self.put_log_event(log)
lc.loger_error.info('onRspOrderAction')
lc.loger_error.info(log)
lc.loger_error.info(data.__dict__)
# ----------------------------------------------------------------------
def onErrRtnOrderAction(self, data, error):
"""撤单错误回报（交易所）"""
event = Event(type_=EVENT_LOG)
log = data['合约代码'] + ' 撤单错误回报，错误代码：' + str(
error.__dict__['ErrorID']) + ', 错误信息：' + str(
error.__dict__['ErrorMsg'])
event.dict_['log'] = log
# self.__eventEngine.put(event)
lc.loger_error.info('onErrRtnOrderAction')
lc.loger_error.info(log)
lc.loger_error.info(data.__dict__)
def getInstrument(self):
"""查询合约"""
self.__reqid = self.__reqid + 1
self.t.ReqQryInstrument()
def getAccount(self):
"""查询账户"""
self.__reqid = self.__reqid + 1
self.t.ReqQryTradingAccount(self.__brokerid, self.__userid)
# ----------------------------------------------------------------------
def getPosition(self):
"""查询持仓"""
self.__reqid = self.__reqid + 1
self.t.ReqQryInvestorPosition(self.__brokerid, self.__userid)
def sendorder(self, instrumentid, price, vol, direction, offset):
"""发单"""
self.__reqid = self.__reqid + 1
self.__orderref = self.__orderref + 1
# 限价
self.t.ReqOrderInsert(
BrokerID=self.__brokerid,
InvestorID=self.__userid,
InstrumentID=instrumentid,
OrderRef='{0:>12}'.format(self.__orderref),
UserID=self.__userid,
OrderPriceType=OrderPriceTypeType.LimitPrice,
Direction=direction,
CombOffsetFlag=offset,
CombHedgeFlag=HedgeFlagType.Speculation.__char__(),
LimitPrice=price,
VolumeTotalOriginal=vol,
TimeCondition=TimeConditionType.GFD,
VolumeCondition=VolumeConditionType.AV,
MinVolume=1,
ForceCloseReason=ForceCloseReasonType.NotForceClose,
ContingentCondition=ContingentConditionType.Immediately)
return self.__orderref
# 返回订单号，便于某些算法进行动态管理
# OrderPriceType--LimitPrice 限价单
# CombHedgeFlag--投机套保标记，默认投机单Speculation
# TimeConditionType是一个有效期类型类型#当日有效--GFD
# VolumeConditionType是一个成交量类型类型#任何数量--VolumeConditionType.AV
# ContingentConditionType是一个触发条件类型，#立即ContingentConditionType.Immediately
def buy(self, symbol, price, vol): # 买开多开
direction = DirectionType.Buy
offset = OffsetFlagType.Open.__char__()
self.sendorder(symbol, price, vol, direction, offset)
def sell(self, symbol, price, vol): # 多平
direction = DirectionType.Sell
offset = OffsetFlagType.Close.__char__()
self.sendorder(symbol, price, vol, direction, offset)
def selltoday(self, symbol, price, vol): # 平今多
direction = DirectionType.Sell
offset = OffsetFlagType.CloseToday.__char__()
self.sendorder(symbol, price, vol, direction, offset)
def short(self, symbol, price, vol): # 卖开空开
direction = DirectionType.Sell
offset = OffsetFlagType.Open.__char__()
self.sendorder(symbol, price, vol, direction, offset)
def cover(self, symbol, price, vol): # 空平
direction = DirectionType.Buy
offset = OffsetFlagType.Close.__char__()
self.sendorder(symbol, price, vol, direction, offset)
def covertoday(self, symbol, price, vol): # 平今空
direction = DirectionType.Buy
offset = OffsetFlagType.CloseToday.__char__()
self.sendorder(symbol, price, vol, direction, offset)
# ----------------------------------------------------------------------
# tmp["合约代码"] = var["InstrumentID"]
# tmp["交易所代码"] = var["ExchangeID"]
# tmp["报单引用"] = var["OrderRef"]
# tmp["买卖方向"] = var["Direction"]
# tmp["组合开平标志"] = var["CombOffsetFlag"]
# tmp["价格"] = var["LimitPrice"]
# tmp["数量"] = var["VolumeTotalOriginal"]
# tmp["请求编号"] = var["RequestID"]
# tmp["本地报单编号"] = var["OrderLocalID"]
# tmp["报单编号"] = var["OrderSysID"]
# tmp["今成交数量"] = var["VolumeTraded"]
# tmp["剩余数量"] = var["VolumeTotal"]
# tmp["报单日期"] = var["InsertDate"]
# tmp["委托时间"] = var["InsertTime"]
# tmp["前置编号"] = var["FrontID"]
# tmp["会话编号"] = var["SessionID"]
# tmp["状态信息"] = var["StatusMsg"]
# tmp["序号"] = var["SequenceNo"]
def cancelOrder(self, order):
"""撤单"""
# lc.loger.info(order)
self.__reqid = self.__reqid + 1
self.t.ReqOrderAction(BrokerID=self.__brokerid,
InvestorID=self.__userid,
OrderRef=order['OrderLocalID'],
FrontID=int(order['FrontID']),
SessionID=int(order['SessionID']),
OrderSysID=order['OrderSysID'],
ActionFlag=ActionFlagType.Delete,
ExchangeID=order["ExchangeID"],
InstrumentID=order['InstrumentID'])
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()
