def prepare(self):
"""创建 trade/quote
1. dll load
2. 实例化
3. 回调函数句柄替换
"""
self.con_path = '{}{}{}'.format(
QA.QASetting.QALocalize.cache_path, os.sep, 'at_ctp')
os.makedirs(self.con_path, exist_ok=True)
self.trade_con_path = '{}{}{}'.format(
self.con_path, os.sep, self.investor)
os.makedirs(self.trade_con_path, exist_ok=True)
self.dllpath = os.path.join(
QA.QASetting.QALocalize.bin_path, 'py_ctp_at')
self.q = Quote(os.path.join(self.dllpath, 'ctp_quote.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.t = Trade(os.path.join(self.dllpath, 'ctp_trade.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.t.CreateApi(self.trade_con_path)
t_spi = self.t.CreateSpi()
self.t.RegisterSpi(t_spi)
self.q.CreateApi(self.con_path)
q_spi = self.q.CreateSpi()
self.q.RegisterSpi(q_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
self.t.OnRspQryInvestorPosition = self.OnRspQryInvestorPosition
self.t.OnRspQryTradingAccount = self.OnRspQryTradingAccount
self.t.OnRspQryInvestor = self.OnRspQryInvestor
self.t.OnRspQryTradingCode = self.OnRspQryTradingCode
self.t.OnRspQryInstrumentMarginRate = self.OnRspQryInstrumentMarginRate
self.t.OnRspQryInstrumentCommissionRate = self.OnRspQryInstrumentCommissionRate
self.t.OnRspQryExchange = self.OnRspQryExchange
self.t.OnRspQryProduct = self.OnRspQryProduct
self.t.OnRspQryInstrument = self.OnRspQryInstrument
self.t.OnRspQryDepthMarketData = self.OnRspQryDepthMarketData
self.t.OnErrRtnOrderInsert = self.OnErrRtnOrderInsert
self.t.OnErrRtnOrderAction = self.OnErrRtnOrderAction
self.q.OnFrontConnected = self.q_OnFrontConnected
self.q.OnRspUserLogin = self.q_OnRspUserLogin
self.q.OnRtnDepthMarketData = self.q_OnTick
self.t.RegCB()
self.q.RegCB()
def __init__(self):
self.front_addr = self.investor = self.pwd = self.broker = self.product_info = self.app_id = self.auth_code = ''
self.Session = ''
self.q = Quote()
self.t = Trade()
self.req = 0
self.ordered = False
self.RelogEnable = True
class QA_ATBroker(QA_Broker):
def __init__(self, investor='008107', pwd='1', broker='9999', front_md='tcp://180.168.146.187:10031', front_td='tcp://180.168.146.187:10030'):
self.req = 0
self.ordered = False
self.needAuth = False
self.RelogEnable = True
self.broker = broker
self.investor = investor
self.pwd = pwd
self.front_md = front_md
self.front_td = front_td
self.prepare()
self.market_data = []
self.min_t = 0
self._trading_code = []
self.pro = producer.publisher(exchange='ctp')
self.subscribed_code = []
@property
def trading_code(self):
return set(self._trading_code)
def prepare(self):
"""创建 trade/quote
1. dll load
2. 实例化
3. 回调函数句柄替换
"""
self.con_path = '{}{}{}'.format(
QA.QASetting.QALocalize.cache_path, os.sep, 'at_ctp')
os.makedirs(self.con_path, exist_ok=True)
self.trade_con_path = '{}{}{}'.format(
self.con_path, os.sep, self.investor)
os.makedirs(self.trade_con_path, exist_ok=True)
self.dllpath = os.path.join(
QA.QASetting.QALocalize.bin_path, 'py_ctp_at')
self.q = Quote(os.path.join(self.dllpath, 'ctp_quote.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.t = Trade(os.path.join(self.dllpath, 'ctp_trade.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.t.CreateApi(self.trade_con_path)
t_spi = self.t.CreateSpi()
self.t.RegisterSpi(t_spi)
self.q.CreateApi(self.con_path)
q_spi = self.q.CreateSpi()
self.q.RegisterSpi(q_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
self.t.OnRspQryInvestorPosition = self.OnRspQryInvestorPosition
self.t.OnRspQryTradingAccount = self.OnRspQryTradingAccount
self.t.OnRspQryInvestor = self.OnRspQryInvestor
self.t.OnRspQryTradingCode = self.OnRspQryTradingCode
self.t.OnRspQryInstrumentMarginRate = self.OnRspQryInstrumentMarginRate
self.t.OnRspQryInstrumentCommissionRate = self.OnRspQryInstrumentCommissionRate
self.t.OnRspQryExchange = self.OnRspQryExchange
self.t.OnRspQryProduct = self.OnRspQryProduct
self.t.OnRspQryInstrument = self.OnRspQryInstrument
self.t.OnRspQryDepthMarketData = self.OnRspQryDepthMarketData
self.t.OnErrRtnOrderInsert = self.OnErrRtnOrderInsert
self.t.OnErrRtnOrderAction = self.OnErrRtnOrderAction
self.q.OnFrontConnected = self.q_OnFrontConnected
self.q.OnRspUserLogin = self.q_OnRspUserLogin
self.q.OnRtnDepthMarketData = self.q_OnTick
self.t.RegCB()
self.q.RegCB()
def q_OnFrontConnected(self):
QA.QA_util_log_info('connected')
self.login()
def q_OnRspUserLogin(self, rsp: ctp.CThostFtdcRspUserLoginField, info: ctp.CThostFtdcRspInfoField, req: int, last: bool):
QA.QA_util_log_info('==============userlogin')
QA.QA_util_log_info(info)
# self.q.SubscribeMarketData('rb1901')
self.subscribe(['rb1905'])
def q_OnRtnDepthMarketData(self, pDepthMarketData: ctp.CThostFtdcDepthMarketDataField):
QA.QA_util_log_info(
'OnRtnDepthMarketData:, pDepthMarketData: CThostFtdcDepthMarketDataField')
QA.QA_util_log_info(pDepthMarketData)
def subscribe(self, code):
if isinstance(code, list):
for item in code:
try:
self.q.SubscribeMarketData(item)
self.subscribed_code.append(item)
except:
pass
elif isinstance(code, str):
self.subscribe([code])
def OnFrontConnected(self):
if not self.RelogEnable:
return
QA.QA_util_log_info('connected')
if self.needAuth:
self.t.ReqAuthenticate(
# broker / investor / userProductionInfo / AuthCode
self.broker, self.investor, '@yutiansut', '8MTL59FK1QGLKQW2')
else:
self.t.ReqUserLogin(BrokerID=self.broker, UserID=self.investor,
Password=self.pwd, UserProductInfo='@yutiansut')
def OnFrontDisconnected(self, reason: int):
QA.QA_util_log_info(reason)
def OnRspAuthenticate(self, pRspAuthenticateField: ctp.CThostFtdcRspAuthenticateField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
QA.QA_util_log_info('auth：{0}:{1}'.format(
pRspInfo.getErrorID(), pRspInfo.getErrorMsg()))
self.t.ReqUserLogin(BrokerID=self.broker, UserID=self.investor,
Password=self.pwd, UserProductInfo='@yutiansut')
def OnRspUserLogin(self, rsp: ctp.CThostFtdcRspUserLoginField, info: ctp.CThostFtdcRspInfoField, req: int, last: bool):
QA.QA_util_log_info(info.getErrorMsg()) # CTP:正确小于2种字符:请注意修改
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):
"""确认成交信息
"""
QA.QA_util_log_info('settlementInfo')
QA.QA_util_log_info(pSettlementInfoConfirm)
"""
example of settlementInfoConfirm
BrokerID = '9999', InvestorID = '106184', ConfirmDate = '20181116', ConfirmTime = '19:41:14', SettlementID = 0, AccountID = '', CurrencyID = ''
"""
_thread.start_new_thread(self.StartQuote, ())
def OnErrRtnOrderInsert(self, pInputOrder: ctp.CThostFtdcInputOrderField, pRspInfo: ctp.CThostFtdcRspInfoField):
QA.QA_util_log_info(
'OnErrRtnOrderInsert:, pInputOrder: CThostFtdcInputOrderField, pRspInfo: CThostFtdcRspInfoField')
QA.QA_util_log_info(pInputOrder)
QA.QA_util_log_info(pRspInfo)
def OnErrRtnOrderAction(self, pOrderAction: ctp.CThostFtdcOrderActionField, pRspInfo: ctp.CThostFtdcRspInfoField):
QA.QA_util_log_info(
'OnErrRtnOrderAction:, pOrderAction: CThostFtdcOrderActionField, pRspInfo: CThostFtdcRspInfoField')
QA.QA_util_log_info(pOrderAction)
QA.QA_util_log_info(pRspInfo)
def OnRtnInstrumentStatus(self, pInstrumentStatus: ctp.CThostFtdcInstrumentStatusField):
# QA.QA_util_log_info('instrumentStatus')
# QA.QA_util_log_info(str(pInstrumentStatus))
"""
SHFE: 上期所返回的是rb
其他交易所返回的是具体合约
"""
self._trading_code.append(
str(pInstrumentStatus.InstrumentID, encoding='utf-8'))
def OnRspOrderInsert(self, pInputOrder: ctp.CThostFtdcInputOrderField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
QA.QA_util_log_info('ON_RSP_Order_INSERT')
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(pInputOrder)
QA.QA_util_log_info(pRspInfo.getErrorMsg())
QA.QA_util_log_info(bIsLast)
def OnRspQryInvestorPosition(self, pInvestorPosition: ctp.CThostFtdcInvestorPositionField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
"""[summary]
Arguments:
pInvestorPosition {ctp.CThostFtdcInvestorPositionField} -- [description]
pRspInfo {ctp.CThostFtdcRspInfoField} -- [description]
nRequestID {int} -- [description]
bIsLast {bool} -- [description]
InstrumentID = 'cs1909',合约代码
BrokerID = '9999', 经纪公司代码
InvestorID = '106184', 投资者代码
PosiDirection = PosiDirectionType.Short, 持仓多空方向
HedgeFlag = HedgeFlagType.Speculation, 投机套保标志
PositionDate = PositionDateType.Today, 持仓日期
YdPosition = 1, 上日持仓
Position = 1, 今日持仓
LongFrozen = 0, 多头冻结
ShortFrozen = 0, 空头冻结
LongFrozenAmount = 0.0,开多仓冻结金额
ShortFrozenAmount = 0.0, 开空仓冻结金额
OpenVolume = 0, 开仓量
CloseVolume = 0, 平仓量
OpenAmount = 0.0, 开仓金额
CloseAmount = 0.0, 平仓金额
PositionCost = 24870.0, 持仓成本
PreMargin = 0.0,上次占用的保证金
UseMargin = 1243.5, 占用的保证金
FrozenMargin = 0.0,冻结的保证金
FrozenCash = 0.0, 冻结的资金
FrozenCommission = 0.0,冻结的手续费
CashIn = 0.0, 资金差额
Commission = 0.0,手续费
CloseProfit = 0.0, 平仓盈亏
PositionProfit = 30.0,持仓盈亏
PreSettlementPrice = 2487.0, 上次结算价
SettlementPrice = 2484.0,本次结算价
TradingDay = '20181116', 交易日
SettlementID = 1,结算编号
OpenCost = 25080.0, 开仓成本
ExchangeMargin = 1243.5, 交易所保证金
CombPosition = 0,组合成交形成的持仓
CombLongFrozen = 0,组合多头冻结
CombShortFrozen = 0, 组合空头冻结
CloseProfitByDate = 0.0,逐日盯市平仓盈亏
CloseProfitByTrade = 0.0, 逐笔对冲平仓盈亏
TodayPosition = 0, 今日持仓
MarginRateByMoney = 0.0, 保证金率
MarginRateByVolume = 0.0, 保证金率(按手数)
StrikeFrozen = 0, 执行冻结
StrikeFrozenAmount = 0.0, 执行冻结金额
AbandonFrozen = 0, 放弃执行冻结
ExchangeID = '', 交易所代码
YdStrikeFrozen = 0, 执行冻结的昨仓
InvestUnitID = ''投资单元代码
"""
QA.QA_util_log_info(
'OnRspQryInvestorPosition:, pInvestorPosition: CThostFtdcInvestorPositionField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(pInvestorPosition)
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRspQryTradingAccount(self, pTradingAccount: ctp.CThostFtdcTradingAccountField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
"""[summary]
Arguments:
pTradingAccount {ctp.CThostFtdcTradingAccountField} -- [description]
pRspInfo {ctp.CThostFtdcRspInfoField} -- [description]
nRequestID {int} -- [description]
bIsLast {bool} -- [description]
BrokerID = '9999', 经纪公司代码
AccountID = '106184',投资者帐号
PreMortgage = 0.0, 上次质押金额
PreCredit = 0.0, 上次信用额度
PreDeposit = 1442538.31, 上次存款额
PreBalance = 1443781.81, 上次结算准备金
PreMargin = 1243.5, 上次占用的保证金
InterestBase = 0.0, 利息基数
Interest = 0.0, 利息收入
Deposit = 0.0, 入金金额
Withdraw = 0.0, 出金金额
FrozenMargin = 96536.0, 冻结的保证金
FrozenCash = 0.0, 冻结的资金
FrozenCommission = 107.4538, 冻结的手续费
CurrMargin = 1243.5, 当前保证金总额
CashIn = 0.0, 资金差额
Commission = 0.0, 手续费
CloseProfit = 0.0,平仓盈亏
PositionProfit = 30.0, 持仓盈亏
Balance = 1443811.81, 期货结算准备金
Available = 1345894.8562,可用资金
WithdrawQuota = 1076715.8849600002,可取资金
Reserve = 0.0,基本准备金
TradingDay = '20181116', 交易日
SettlementID = 1,结算编号
Credit = 0.0, 信用额度
Mortgage = 0.0, 质押金额
ExchangeMargin = 1243.5, 交易所保证金
DeliveryMargin = 0.0, 投资者交割保证金
ExchangeDeliveryMargin = 0.0,交易所交割保证金
ReserveBalance = 0.0, 保底期货结算准备金
CurrencyID = 'CNY', 币种代码
PreFundMortgageIn = 0.0, 上次货币质入金额
PreFundMortgageOut = 0.0, 上次货币质出金额
FundMortgageIn = 0.0,货币质入金额
FundMortgageOut = 0.0, 货币质出金额
FundMortgageAvailable = 0.0, 货币质押余额
MortgageableFund = 1076715.8849600002,可质押货币金额
SpecProductMargin = 0.0, 特殊产品占用保证金
SpecProductFrozenMargin = 0.0, 特殊产品冻结保证金
SpecProductCommission = 0.0, 特殊产品手续费
SpecProductFrozenCommission = 0.0,特殊产品冻结手续费
SpecProductPositionProfit = 0.0, 特殊产品持仓盈亏
SpecProductCloseProfit = 0.0, 特殊产品平仓盈亏
SpecProductPositionProfitByAlg = 0.0, 根据持仓盈亏算法计算的特殊产品持仓盈亏
SpecProductExchangeMargin = 0.0, 特殊产品交易所保证金
BizType = BizTypeType., 业务类型
FrozenSwap = 0.0,延时换汇冻结金额
RemainSwap = 0.0剩余换汇额度
"""
QA.QA_util_log_info(
'OnRspQryTradingAccount:, pTradingAccount: CThostFtdcTradingAccountField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(pTradingAccount)
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRspQryInvestor(self, pInvestor: ctp.CThostFtdcInvestorField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
"""[summary]
Arguments:
pInvestor {ctp.CThostFtdcInvestorField} -- [description]
pRspInfo {ctp.CThostFtdcRspInfoField} -- [description]
nRequestID {int} -- [description]
bIsLast {bool} -- [description]
("InvestorID", c_char*13),
# 经纪公司代码
("BrokerID", c_char*11),
# 投资者分组代码
("InvestorGroupID", c_char*13),
# 投资者名称
("InvestorName", c_char*81),
# 证件类型
("IdentifiedCardType", c_char),
# 证件号码
("IdentifiedCardNo", c_char*51),
# 是否活跃
("IsActive", c_int32),
# 联系电话
("Telephone", c_char*41),
# 通讯地址
("Address", c_char*101),
# 开户日期
("OpenDate", c_char*9),
# 手机
("Mobile", c_char*41),
# 手续费率模板代码
("CommModelID", c_char*13),
# 保证金率模板代码
("MarginModelID", c_char*13),
"""
QA.QA_util_log_info(
'OnRspQryInvestor:, pInvestor: CThostFtdcInvestorField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(pInvestor)
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRspQryTradingCode(self, pTradingCode: ctp.CThostFtdcTradingCodeField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
QA.QA_util_log_info(
'OnRspQryTradingCode:, pTradingCode: CThostFtdcTradingCodeField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(pTradingCode)
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRspQryInstrumentMarginRate(self, pInstrumentMarginRate: ctp.CThostFtdcInstrumentMarginRateField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
QA.QA_util_log_info(
'OnRspQryInstrumentMarginRate:, pInstrumentMarginRate: CThostFtdcInstrumentMarginRateField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(pInstrumentMarginRate)
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRspQryInstrumentCommissionRate(self, pInstrumentCommissionRate: ctp.CThostFtdcInstrumentCommissionRateField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
QA.QA_util_log_info(
'OnRspQryInstrumentCommissionRate:, pInstrumentCommissionRate: CThostFtdcInstrumentCommissionRateField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(pInstrumentCommissionRate)
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRspQryExchange(self, pExchange: ctp.CThostFtdcExchangeField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
QA.QA_util_log_info(
'OnRspQryExchange:, pExchange: CThostFtdcExchangeField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(pExchange)
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRspQryProduct(self, pProduct: ctp.CThostFtdcProductField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
QA.QA_util_log_info(
'OnRspQryProduct:, pProduct: CThostFtdcProductField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(pProduct)
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRspQryInstrument(self, pInstrument: ctp.CThostFtdcInstrumentField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
QA.QA_util_log_info(
'OnRspQryInstrument:, pInstrument: CThostFtdcInstrumentField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(str(pInstrument))
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRspQryDepthMarketData(self, pDepthMarketData: ctp.CThostFtdcDepthMarketDataField, pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
QA.QA_util_log_info('DEPTH MARKET')
QA.QA_util_log_info(
'OnRspQryDepthMarketData:, pDepthMarketData: CThostFtdcDepthMarketDataField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool')
QA.QA_util_log_info(pDepthMarketData)
QA.QA_util_log_info(pRspInfo)
QA.QA_util_log_info(nRequestID)
QA.QA_util_log_info(bIsLast)
def OnRtnOrder(self, pOrder: ctp.CThostFtdcOrderField):
QA.QA_util_log_info('===ON_RTN_ORDE===')
QA.QA_util_log_info(pOrder)
QA.QA_util_log_info(pOrder.getOrderStatus())
QA.QA_util_log_info('===END_RTN_ORDE===')
# if pOrder.getSessionID() == self.Session and pOrder.getOrderStatus() == ctp.OrderStatusType.NoTradeQueueing:
# QA.QA_util_log_info("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 tick_handle(self, tick: ctp.CThostFtdcMarketDataField):
z = vars(tick)
if isinstance(z, dict):
z = json.dumps(z)
# print(z)
self.pro.pub(z)
else:
print(z)
# self.market_data.append(pd.DataFrame([vars(tick)]))
# df = pd.concat(self.market_data)
# df = df.assign(datetime=df.ActionDay.apply(str)+' ' +
# df.UpdateTime.apply(str) + ' ' + df.UpdateMillisec.apply(str), code=df.InstrumentID).set_index(['datetime', 'code'])
# df = df.replace(1.7976931348623157e+308, np.nan).dropna(axis='columns')
# self.min_t += 1
# if self.min_t % 10 == 0:
# QA.QA_util_log_info(df)
# QA.QA_util_log_info(threading.enumerate())
def q_OnTick(self, tick: ctp.CThostFtdcMarketDataField):
self.tick_handle(tick)
#f = tick
"""
TradingDay = '20181113', InstrumentID = 'rb1901', ExchangeID = '',
ExchangeInstID = '', LastPrice = 3878.0, PreSettlementPrice = 3869.0, PreClosePrice = 3848.0,
PreOpenInterest = 2500080.0, OpenPrice = 3850.0, HighestPrice = 3895.0, LowestPrice = 3835.0,
Volume = 2100784, Turnover = 81223915140.0, OpenInterest = 2450594.0, ClosePrice = 1.7976931348623157e+308,
SettlementPrice = 1.7976931348623157e+308, UpperLimitPrice = 4139.0, LowerLimitPrice = 3598.0,
PreDelta = 0.0, CurrDelta = 1.7976931348623157e+308, UpdateTime = '04:05:21', UpdateMillisec = 500,
BidPrice1 = 3877.0, BidVolume1 = 506, AskPrice1 = 3878.0, AskVolume1 = 228,
BidPrice2 = 1.7976931348623157e+308, BidVolume2 = 0, AskPrice2 = 1.7976931348623157e+308, AskVolume2 = 0,
BidPrice3 = 1.7976931348623157e+308, BidVolume3 = 0, AskPrice3 = 1.7976931348623157e+308, AskVolume3 = 0,
BidPrice4 = 1.7976931348623157e+308, BidVolume4 = 0, AskPrice4 = 1.7976931348623157e+308, AskVolume4 = 0,
BidPrice5 = 1.7976931348623157e+308, BidVolume5 = 0, AskPrice5 = 1.7976931348623157e+308, AskVolume5 = 0,
AveragePrice = 38663.62041028492, ActionDay = '20181113'
"""
# QA.QA_util_log_info(self.trading_code)
#_thread.start_new_thread(self.tick_handle, (tick,))
# if not self.ordered:
# _thread.start_new_thread(self.Order, (f,))
# self.ordered = True
def StartQuote(self):
self.q.CreateApi(self.con_path)
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.front_md)
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 Order(self, f: ctp.CThostFtdcMarketDataField):
QA.QA_util_log_info("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 login(self):
self.q.ReqUserLogin(BrokerID=self.broker,
UserID=self.investor, Password=self.pwd)
def query_orders(self):
pass
def query_deal(self):
pass
def query_positions(self):
pass
def receive_order(self):
pass
def run(self):
self.t.RegisterFront(self.front_td)
"""
registerFront==> onConnectFront ==> reqUserLogin
ReqQryTradingAccount(self.broker, self.investor)
ReqQryInvestorPosition(self.broker, self.investor)
==> OnUserLogin ==>SubscribeMarketData(RB1901)
==> OnRtnDepthMarketData ==>q_OnTick
==> order ==> ReqOrderInsert ==> OnRspOrderInsert 报单已提交
==> OnRtnOrder 未成交==> ReqOrderAction(撤单)
==> OnRtnOrder 已撤单
"""
self.t.SubscribePrivateTopic(nResumeType=2) # quick
# self.t.SubscribePrivateTopic(nResumeType=2)
self.t.Init()
self.t.ReqQryDepthMarketData('rb1905', 'SHFE')
self.t.ReqQryTradingAccount(self.broker, self.investor)
self.Qry()
# print(self.t.orders)
#self.t.ReqQryInvestor(self.broker, self.investor)
sleep(1.1)
self.t.ReqQryInvestorPosition(self.broker, self.investor)
input()
self.t.Release()
def __init__(self):
self.q = Quote()
self.inst_tick = {}
self.logined = False
class CtpQuote(object):
""""""
def __init__(self):
self.q = Quote()
self.inst_tick = {}
self.logined = False
def ReqConnect(self, pAddress: str):
"""连接行情前置
:param pAddress:
"""
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 user:
:param pwd:
:param broker:
"""
self.q.ReqUserLogin(BrokerID=broker, UserID=user, Password=pwd)
def ReqSubscribeMarketData(self, pInstrument: str):
"""订阅合约行情
:param pInstrument:
"""
self.q.SubscribeMarketData(pInstrument)
def ReqUserLogout(self):
"""退出接口(正常退出,不会触发OnFrontDisconnected)"""
self.q.Release()
# 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()
self.logined = False
threading.Thread(target=self.OnDisConnected, args=(self, 0)).start()
def _OnFrontConnected(self):
""""""
threading.Thread(target=self.OnConnected, args=(self,)).start()
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()
self.logined = False
threading.Thread(target=self.OnDisConnected, args=(self, reason)).start()
def _OnRspUserLogin(self, pRspUserLogin: CThostFtdcRspUserLoginField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
self.logined = True
threading.Thread(target=self.OnUserLogin, args=(self, info)).start()
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()
tick.UpperLimitPrice = pDepthMarketData.getUpperLimitPrice()
tick.LowerLimitPrice = pDepthMarketData.getLowerLimitPrice()
tick.PreOpenInterest = pDepthMarketData.getPreOpenInterest()
# 用线程会导入多数据入库时报错
# threading.Thread(target=self.OnTick, (self, tick))
self.OnTick(self, tick)
def OnDisConnected(self, obj, error: int):
""""""
print(f'=== [QUOTE] OnDisConnected===\nerror: {str(error)}')
def OnConnected(self, obj):
""""""
print('=== [QUOTE] OnConnected ===')
def OnUserLogin(self, obj, info: InfoField):
""""""
print(f'=== [QUOTE] OnUserLogin ===\n{info}')
def OnTick(self, obj, f: Tick):
""""""
print(f'=== [QUOTE] OnTick ===\n{f.__dict__}')
class Test:
def __init__(self):
self.front_addr = self.investor = self.pwd = self.broker = self.product_info = self.app_id = self.auth_code = ''
self.Session = ''
self.q = Quote()
self.t = Trade()
self.req = 0
self.ordered = 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: CThostFtdcRspUserLoginField,
info: CThostFtdcRspInfoField, req: int, last: bool):
print(info.__str__)
self.q.SubscribeMarketData('rb1905')
def q_OnTick(self, tick: CThostFtdcMarketDataField):
f = tick
# print(tick)
if not self.ordered:
_thread.start_new_thread(self.Order, (f, ))
self.ordered = True
def Order(self, f: 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=TThostFtdcOrderPriceTypeType.
THOST_FTDC_OPT_LimitPrice,
Direction=TThostFtdcDirectionType.THOST_FTDC_D_Buy,
CombOffsetFlag=chr(
TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open.value),
CombHedgeFlag=chr(
TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation.value),
LimitPrice=f.getLastPrice() - 50,
VolumeTotalOriginal=1,
TimeCondition=TThostFtdcTimeConditionType.THOST_FTDC_TC_GFD,
# GTDDate=''
VolumeCondition=TThostFtdcVolumeConditionType.THOST_FTDC_VC_AV,
MinVolume=1,
ContingentCondition=TThostFtdcContingentConditionType.
THOST_FTDC_CC_Immediately,
StopPrice=0,
ForceCloseReason=TThostFtdcForceCloseReasonType.
THOST_FTDC_FCC_NotForceClose,
IsAutoSuspend=0,
IsSwapOrder=0,
UserForceClose=0)
def OnFrontConnected(self):
if not self.RelogEnable:
return
print('connected')
self.t.ReqAuthenticate(self.broker, self.investor, self.product_info,
self.app_id, self.auth_code)
def OnFrontDisconnected(self, reason: int):
print(reason)
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: CThostFtdcRspUserLoginField,
info: 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: CThostFtdcSettlementInfoConfirmField,
pRspInfo: 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.front_addr.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):
print(pInstrumentStatus.getInstrumentStatus())
def OnRspOrderInsert(self, pInputOrder: CThostFtdcInputOrderField,
pRspInfo: CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
print('OnRspOrderInsert')
print(pRspInfo)
print(pInputOrder)
def OnRtnOrder(self, pOrder: CThostFtdcOrderField):
print(pOrder)
if pOrder.getSessionID() == self.Session and pOrder.getOrderStatus(
) == TThostFtdcOrderStatusType.THOST_FTDC_OST_NoTradeNotQueueing:
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**
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()
# 配置帐号信息
self.front_addr = 'tcp://180.168.146.187:13030,tcp://180.168.146.187:13040'
self.broker = '9999'
self.investor = ''
self.pwd = ''
self.product_info = ''
self.app_id = ''
self.auth_code = ''
self.t.RegisterFront(self.front_addr.split(',')[0])
self.t.SubscribePrivateTopic(nResumeType=2) # quick
self.t.SubscribePrivateTopic(nResumeType=2)
self.t.Init()