def submitOrder(self,
unifiedSymbol,
orderPriceType,
direction,
offsetFlag,
accountId,
price,
volume,
originOrderId=None,
sync=True):
if self.initSwitch and self.tradingSwitch:
submitOrderReq = SubmitOrderReqField()
submitOrderReq.contract.CopyFrom(
ClientTradeCacheService.getContractByUnifiedSymbol(
unifiedSymbol))
submitOrderReq.direction = direction
submitOrderReq.offsetFlag = offsetFlag
submitOrderReq.orderPriceType = orderPriceType
submitOrderReq.timeCondition = TimeConditionEnum.TC_GFD
submitOrderReq.price = price
submitOrderReq.minVolume = 1
submitOrderReq.stopPrice = 0.0
submitOrderReq.volumeCondition = VolumeConditionEnum.VC_AV
submitOrderReq.contingentCondition = ContingentConditionEnum.CC_Immediately
submitOrderReq.hedgeFlag = HedgeFlagEnum.HF_Speculation
submitOrderReq.forceCloseReason = ForceCloseReasonEnum.FCR_NotForceClose
submitOrderReq.volume = volume
account = ClientTradeCacheService.getAccountByAccountId(accountId)
submitOrderReq.gatewayId = account.gatewayId
submitOrderReq.accountCode = account.code
submitOrderReq.currency = account.currency
if originOrderId is None:
submitOrderReq.originOrderId = str(uuid.uuid4())
else:
submitOrderReq.originOrderId = originOrderId
self.originOrderIdSet.add(submitOrderReq.originOrderId)
logger.info("策略%s提交定单 %s", MessageToJson(submitOrderReq),
self.strategyId)
if sync:
orderId = RpcClientApiService.submitOrder(submitOrderReq,
sync=True)
return orderId
else:
RpcClientApiService.submitOrder(submitOrderReq, sync=False)
return None
else:
logger.error("策略尚未初始化或未处于交易状态")
return None
def onGetAccountListRsp(rpcGetAccountListRsp):
reqId = rpcGetAccountListRsp.commonRsp.reqId
if reqId in RpcClientRspHandler.waitReqIdSet:
RpcClientRspHandler.rpcGetAccountListRspDict[
reqId] = rpcGetAccountListRsp
else:
logger.info("直接丢弃的回报,请求ID:%s", reqId)
if rpcGetAccountListRsp.account:
for tmpAccount in rpcGetAccountListRsp.account:
ClientTradeCacheService.storeAccount(tmpAccount)
def onGetTickListRsp(rpcGetTickListRsp):
reqId = rpcGetTickListRsp.commonRsp.reqId
if reqId in RpcClientRspHandler.waitReqIdSet:
RpcClientRspHandler.rpcGetTickListRspDict[
reqId] = rpcGetTickListRsp
else:
logger.info("直接丢弃的回报,请求ID:%s", reqId)
if rpcGetTickListRsp.tick:
for tmpTick in rpcGetTickListRsp.tick:
ClientTradeCacheService.storeTick(tmpTick)
def onGetOrderListRsp(rpcGetOrderListRsp):
reqId = rpcGetOrderListRsp.commonRsp.reqId
if reqId in RpcClientRspHandler.waitReqIdSet:
RpcClientRspHandler.rpcGetOrderListRspDict[
reqId] = rpcGetOrderListRsp
else:
logger.info("直接丢弃的回报,请求ID:%s", reqId)
if rpcGetOrderListRsp.order:
for tmpOrder in rpcGetOrderListRsp.order:
ClientTradeCacheService.storeOrder(tmpOrder)
def onGetPositionListRsp(rpcGetPositionListRsp):
reqId = rpcGetPositionListRsp.commonRsp.reqId
if reqId in RpcClientRspHandler.waitReqIdSet:
RpcClientRspHandler.rpcGetPositionListRspDict[
reqId] = rpcGetPositionListRsp
else:
logger.info("直接丢弃的回报,请求ID:%s", reqId)
if rpcGetPositionListRsp.position:
for tmpPosition in rpcGetPositionListRsp.position:
ClientTradeCacheService.storePosition(tmpPosition)
def onGetOrderListRsp(rpcGetOrderListRsp):
reqId = rpcGetOrderListRsp.commonRsp.reqId
RpcClientRspHandler.__waitReqIdSetLock.acquire()
RpcClientRspHandler.__rpcGetOrderListRspDictLock.acquire()
try:
if reqId in RpcClientRspHandler.__waitReqIdSet:
RpcClientRspHandler.__rpcGetOrderListRspDict[
reqId] = rpcGetOrderListRsp
else:
logger.info("直接丢弃的回报,请求ID:%s", reqId)
finally:
RpcClientRspHandler.__waitReqIdSetLock.release()
RpcClientRspHandler.__rpcGetOrderListRspDictLock.release()
if rpcGetOrderListRsp.order:
ClientTradeCacheService.storeOrderList(rpcGetOrderListRsp.order)
def unsubscribe(self, unifiedSymbol, gatewayId=None):
logger.info("策略%s取消订阅合约%s", self.strategyId, unifiedSymbol)
contract = ClientTradeCacheService.getContractByUnifiedSymbol(
unifiedSymbol)
if contract is not None:
if unifiedSymbol in self.subscribedUnifiedSymbolSet:
self.subscribedUnifiedSymbolSet.remove(unifiedSymbol)
RpcClientApiService.unsubscribe(contract, gatewayId, sync=True)
else:
logger.error("策略%s退订行情错误,未能找到合约%s", self.strategyId, unifiedSymbol)
def subscribe(self, unifiedSymbol, gatewayId=None):
logger.info("策略%s订阅合约%s", self.strategyId, unifiedSymbol)
contract = ClientTradeCacheService.getContractByUnifiedSymbol(
unifiedSymbol)
if contract is not None:
self.subscribedUnifiedSymbolSet.add(unifiedSymbol)
if gatewayId is not None:
contract.gatewayId = gatewayId
else:
contract.gatewayId = ""
RpcClientApiService.subscribe(contract, None, sync=True)
else:
logger.error("策略%s订阅行情错误,未能找到合约%s", self.strategyId, unifiedSymbol)
def onRpcOrderListRtn(rpcOrderListRtn):
for order in rpcOrderListRtn.order:
ClientTradeCacheService.storeOrder(order)
StrategyEngine.onOrder(order)
def onRpcAccountListRtn(rpcAccountListRtn):
for account in rpcAccountListRtn.account:
ClientTradeCacheService.storeAccount(account)
def onRpcTickRtn(rpcTickRtn):
ClientTradeCacheService.storeTick(rpcTickRtn.tick)
StrategyEngine.onTick(rpcTickRtn.tick)
def onRpcOrderRtn(rpcOrderRtn):
ClientTradeCacheService.storeOrder(rpcOrderRtn.order)
StrategyEngine.onOrder(rpcOrderRtn.order)
def onRpcAccountRtn(rpcAccountRtn):
ClientTradeCacheService.storeAccount(rpcAccountRtn.account)
def onRpcContractRtn(rpcContractRtn):
ClientTradeCacheService.storeContract(rpcContractRtn.contract)
def onRpcPositionRtn(rpcPositionRtn):
ClientTradeCacheService.storePosition(rpcPositionRtn.position)
def onRpcTradeRtn(rpcTradeRtn):
ClientTradeCacheService.storeTrade(rpcTradeRtn.trade)
StrategyEngine.onTrade(rpcTradeRtn.trade)
def onRpcTradeListRtn(rpcTradeListRtn):
for trade in rpcTradeListRtn.trade:
ClientTradeCacheService.storeTrade(trade)
StrategyEngine.onTrade(trade)
def onRpcContractListRtn(rpcContractListRtn):
for contract in rpcContractListRtn.contract:
ClientTradeCacheService.storeContract(contract)
def onRpcPositionListRtn(rpcPositionListRtn):
for position in rpcPositionListRtn.position:
ClientTradeCacheService.storePosition(position)
def onRpcTickListRtn(rpcTickListRtn):
for tick in rpcTickListRtn.tick:
ClientTradeCacheService.storeTick(tick)
def onRpcTickListRtn(rpcTickListRtn):
ClientTradeCacheService.storeTickList(rpcTickListRtn.tick)
