def onFrontConnected(self):
"""
Connect response, deal with front server connection.
"""
logger.info('[onFrontConnected] connection status = True.')
self.connection_status = True
self.login()
def connect(self,
user_id=None,
password=None,
broker_id=None,
address=None):
"""
Initialize connect.
Args:
user_id(string): user id.
password(string): password.
broker_id(string): broker id.
address(string): address.
"""
logger.info('[connect] user_id: {}, broker_id: {}, address: {}'.format(
user_id, broker_id, address))
self.user_id = user_id or self.user_id
self.password = password or self.password
self.broker_id = broker_id or self.broker_id
self.address = address or self.address
if not self.connection_status:
path = get_temp_path(self.__class__.__name__ + '_')
self.createFtdcMdApi(path)
self.registerFront(self.address)
# 初始化连接，成功会调用onFrontConnected
self.init()
# 若已经连接但尚未登录，则进行登录
else:
if not self.login_status:
self.login()
time.sleep(0.1)
def onErrRtnOrderAction(self, data, error):
"""
Response of cancel order error message.
Args:
data(dict): response data
error(dict): error data
"""
logger.info('[onErrRspOrderAction] {}'.format(data))
def query_account(self):
"""
Query the basic information of account.
"""
logger.info('[query_account] broker_id: {}, user_id: {}.'
''.format(str(self.broker_id), str(self.user_id)))
request = {'BrokerID': self.broker_id, 'InvestorID': self.user_id}
self.reqQryTradingAccount(request, self.request_id)
time.sleep(0.1)
def onRtnTrade(self, data):
"""
Trade response information.
Args:
data(dict): response data.
"""
response = TradeResponse.from_ctp(data)
logger.info('[onRtnTrade] {}'.format(response))
def onRspOrderAction(self, data, error, n, last):
"""
Response of cancel order message.
Args:
data(dict): response data
error(dict): error data
n(unused): unused
last(unused): unused
"""
logger.info('[onRspOrderAction] {}'.format(data))
def query_positions(self):
"""
Query positions information.
"""
logger.info('[query_positions] broker_id: {}, user_id: {}.'
''.format(str(self.broker_id), str(self.user_id)))
request = {
'BrokerID': self.broker_id,
'InvestorID': self.user_id,
}
self.reqQryInvestorPosition(request, self.request_id)
def onRspSettlementInfoConfirm(self, data, error, n, last):
"""
Response of the settlement confirming information of account.
Args:
data(dict): response data
error(dict): error data
n(unused): unused
last(unused): unused
"""
response = SettlementConfirmResponse.from_ctp(data)
logger.info('[onRspSettlementInfoConfirm] {}'.format(response))
def subscribe(self, symbols):
"""
Subscribe market data.
Args:
symbols(string or list): subscribe symbol.
"""
logger.info('[subscribe] symbols: {}'.format(symbols))
symbols = [symbols] if isinstance(symbols, basestring) else symbols
if self.login_status:
for symbol in symbols:
self.subscribeMarketData(str(symbol))
self.subscribed_symbols |= set(symbols)
time.sleep(0.1)
def send_order(self, order):
"""
Send order to CTP, only support limit price order.
Args:
order(obj): order obj
Returns:
string: order id
"""
order_id = order.order_id
order_type = order.order_type
limit_price = float(
order.price) if order_type != 'market' else float(0)
if order_type == 'limit' and limit_price <= 0:
logger.info(
'[send_order] error, order_id: {}, limit price is zero.'.
format(order_id))
return None
direction, offset_flag = DIRECTION_OFFSET_MAP.get(
(order.direction, order.offset_flag), ('1', '1'))
assert order_id, 'Invalid order id.'
request = dict()
request['InstrumentID'] = order.symbol
request['LimitPrice'] = limit_price
request['VolumeTotalOriginal'] = abs(order.order_amount)
request['OrderPriceType'] = ORDER_TYPE_MAP.get(order_type, '1')
request['Direction'] = direction
request['CombOffsetFlag'] = offset_flag
request['OrderRef'] = str(order_id)
request['InvestorID'] = str(self.user_id)
request['UserID'] = str(self.user_id)
request['BrokerID'] = str(self.broker_id)
request['CombHedgeFlag'] = defineDict[
'THOST_FTDC_HF_Speculation'] # 投机单
request['ContingentCondition'] = defineDict[
'THOST_FTDC_CC_Immediately'] # 立即发单
request['ForceCloseReason'] = defineDict[
'THOST_FTDC_FCC_NotForceClose'] # 非强平
request['IsAutoSuspend'] = 0 # 非自动挂起
request['TimeCondition'] = defineDict['THOST_FTDC_TC_GFD'] # 今日有效
request['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV'] # 任意成交量
request['MinVolume'] = 1 # 最小成交量为1
logger.info(
'[send_order] request_id: {}, order_id: {}, request: {}'.format(
self.request_id, order_id, request))
self.reqOrderInsert(request, self.request_id)
return order_id
def login(self):
"""
Request for logging in.
"""
if self.login_failed:
return
if self.user_id and self.password and self.broker_id:
logger.info('[login] user_id: {},'
'broker_id: {}, '
'address: {}'.format(self.user_id, self.broker_id,
self.address))
request = dict()
request['UserID'] = self.user_id
request['Password'] = self.password
request['BrokerID'] = self.broker_id
self.reqUserLogin(request, self.request_id)
def connect(self,
user_id=None,
password=None,
broker_id=None,
address=None,
auth_code=None,
user_product_info=None):
"""
Initialize connect.
Args:
user_id(string): user id.
password(string): password.
broker_id(string): broker id.
address(string): address.
auth_code(string): authentication code
user_product_info(string): product info
Returns:
"""
self.user_id = user_id or self.user_id
self.password = password or self.password
self.broker_id = broker_id or self.broker_id
self.address = address or self.address
self.auth_code = auth_code or self.auth_code
self.user_product_info = user_product_info or self.user_product_info
logger.info('[connect] user_id: {}, broker_id: {}, address: {}'.format(
self.user_id, self.broker_id, self.address))
if not self.connection_status:
path = get_temp_path(self.__class__.__name__ + '_')
self.createFtdcTraderApi(path)
# 设置数据同步模式为推送从今日开始所有数据
# need set 1 when trading.
self.subscribePrivateTopic(1)
self.subscribePublicTopic(1)
self.registerFront(self.address)
self.init()
else:
if self.requireAuthentication and not self.auth_status:
self.authenticate()
elif not self.login_status:
self.login()
time.sleep(0.1)
def onRspQryTradingAccount(self, data, error, n, last):
"""
Response of the basic information of account.
Args:
data(dict): response data
error(dict): error data
n(unused): unused
last(unused): unused
"""
response = AccountResponse.from_ctp(data)
parameters = {
'account_response': response,
}
self.event_engine.publish(EventType.event_deal_with_account,
**parameters)
logger.info('[onRspQryTradingAccount] {}'.format(response))
def onRspQryInvestorPosition(self, data, error, n, last):
"""
Response of the current position information of account.
Args:
data(dict): response data
error(dict): error data
n(unused): unused
last(unused): unused
"""
response = PositionResponse.from_ctp(data)
parameters = {
'position_response': response,
}
self.event_engine.publish(EventType.event_deal_with_position,
**parameters)
logger.info('[onRspQryInvestorPosition] {}'.format(response))
def settlement_confirm(self):
"""
Request for settlement confirming.
"""
if self.user_id and self.password and self.broker_id:
logger.info('[settlement_confirm] user_id: {},'
'broker_id: {}, '
'address: {}'.format(self.user_id, self.broker_id,
self.address))
request = {
'UserID': self.user_id,
'Password': self.password,
'BrokerID': self.broker_id
}
self.reqSettlementInfoConfirm(request,
self._generate_next_request_id())
time.sleep(0.1)
def login(self):
"""
Request for logging in.
"""
if self.login_failed:
return
if self.user_id and self.password and self.broker_id:
logger.info('[login] user_id: {},'
'broker_id: {}, '
'address: {}'.format(self.user_id, self.broker_id,
self.address))
request = {
'UserID': self.user_id,
'Password': self.password,
'BrokerID': self.broker_id
}
self.reqUserLogin(request, self._generate_next_request_id())
self.settlement_confirm()
def authenticate(self):
"""
Request for authenticate.
"""
if self.user_id and self.broker_id and self.auth_code and self.user_product_info:
logger.info('[authenticate] user_id: {},'
'broker_id: {}, '
'auth_code: {},'
'user_product_info'.format(self.user_id,
self.broker_id,
self.auth_code,
self.user_product_info))
req = dict()
req['UserID'] = self.user_id
req['BrokerID'] = self.broker_id
req['AuthCode'] = self.auth_code
req['UserProductInfo'] = self.user_product_info
self.request_id += 1
self.reqAuthenticate(req, self.request_id)
def onRspUserLogin(self, data, error, n, last):
"""
Login response, deal with user login.
Args:
data(dict): response data
error(dict): error data
n(unused): unused
last(unused): unused
"""
if error['ErrorID'] == 0:
logger.info('[onRspUserLogin] succeed. '
'front_id: {}, session_id: {}'.format(
str(data['FrontID']), str(data['SessionID'])))
self.front_id = str(data['FrontID'])
self.session_id = str(data['SessionID'])
self.login_status = True
else:
# 标识登录失败，防止用错误信息连续重复登录
self.login_failed = True
def authenticate(self):
"""
Request for authenticate.
"""
if self.user_id and self.broker_id and self.auth_code and self.user_product_info:
logger.info('[authenticate] user_id: {},'
'broker_id: {}, '
'auth_code: {},'
'user_product_info'.format(self.user_id,
self.broker_id,
self.auth_code,
self.user_product_info))
request = {
'UserID': self.user_id,
'BrokerID': self.broker_id,
'AuthCode': self.auth_code,
'UserProductInfo': self.user_product_info
}
self.request_id += 1
self.reqAuthenticate(request, self.request_id)
time.sleep(0.1)
