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 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()