def process_rtn_order(self):
try:
last_rtn_order_index = len(self.rtn_order_list)
for rtn_order in self.rtn_order_list[self.last_rtn_order_index:last_rtn_order_index]:
# 未成交
if rtn_order['OrderStatus'] == OrderStatus_NoTradeQueueing:
pass
# 全部成交
elif rtn_order['OrderStatus'] == OrderStatus_AllTraded or rtn_order['OrderStatus'] == OrderStatus_PartTradedQueueing:
self.on_order_traded(rtn_order)
# 撤单成功
elif rtn_order['OrderStatus'] == OrderStatus_Canceled:
if rtn_order['InstrumentID'] in self.action_num_dict.keys():
self.action_num_dict[rtn_order['InstrumentID']] += 1
else:
self.action_num_dict[rtn_order['InstrumentID']] = 1
self.on_order_action(rtn_order)
# 委托失败
elif rtn_order['OrderSubmitStatus'] == OrderSubmitStatus_InsertRejected:
self.on_order_insert_fail(rtn_order)
# 撤单失败
elif rtn_order['OrderSubmitStatus'] == OrderSubmitStatus_CancelRejected:
self.on_order_action_fail(rtn_order)
self.write_log(to_str(rtn_order['StatusMsg']), rtn_order)
self.last_rtn_order_index = last_rtn_order_index
except Exception as err_msg:
self.write_log('process_rtn_order', err_msg.__doc__)
def OnRtnDepthMarketData(self, pDepthMarketData):
try:
for key in pDepthMarketData.keys():
pDepthMarketData[key] = to_str(pDepthMarketData[key])
# 写入行情
self.csv_writer[pDepthMarketData['InstrumentID']].writerow(pDepthMarketData)
# 刷新缓冲区
self.csv_file_dict[pDepthMarketData['InstrumentID']].flush()
except Exception as err_msg:
self.write_log(err_msg, pDepthMarketData)
def init_extra(self):
self.csv_file_dict = {}
self.csv_writer = {}
# 深度行情结构体字段名列表
header = list(DepthMarketDataField().to_dict())
for instrument_id in self.instrument_id_list:
instrument_id = to_str(instrument_id)
# file object
file_dir = os.path.join(self.page_dir, f'{instrument_id}-{to_str(self.GetTradingDay())}.csv')
self.csv_file_dict[instrument_id] = open(file_dir, 'a', newline='')
# writer object
self.csv_writer[instrument_id] = csv.DictWriter(self.csv_file_dict[instrument_id], header)
# 写入表头
self.csv_writer[instrument_id].writeheader()
self.csv_file_dict[instrument_id].flush()
