class Test:
def __init__(self):
self.Session = ''
dllpath = os.path.join(
os.path.split(os.path.realpath(__file__))[0], '..', 'dll')
self.q = Quote(
os.path.join(
dllpath, 'ctp_quote.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.t = Trade(
os.path.join(
dllpath, 'ctp_trade.' +
('dll' if 'Windows' in platform.system() else 'so')))
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: ctp.CThostFtdcRspUserLoginField,
info: ctp.CThostFtdcRspInfoField, req: int,
last: bool):
print(info)
self.q.SubscribeMarketData('rb1812')
def q_OnTick(self, tick: ctp.CThostFtdcMarketDataField):
f = tick
# print(tick)
if not self.ordered:
_thread.start_new_thread(self.Order, (f, ))
self.ordered = True
def Order(self, f: ctp.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=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 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 OnFrontDisconnected(self, reason: int):
print(reason)
def OnRspAuthenticate(
self, pRspAuthenticateField: ctp.CThostFtdcRspAuthenticateField,
pRspInfo: ctp.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: ctp.CThostFtdcRspUserLoginField,
info: ctp.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: ctp.CThostFtdcSettlementInfoConfirmField,
pRspInfo: ctp.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.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: ctp.CThostFtdcInstrumentStatusField):
print(pInstrumentStatus.getInstrumentStatus())
def OnRspOrderInsert(self, pInputOrder: ctp.CThostFtdcInputOrderField,
pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
print(pRspInfo)
print(pInputOrder)
print(pRspInfo.getErrorMsg())
def OnRtnOrder(self, pOrder: ctp.CThostFtdcOrderField):
print(pOrder)
if pOrder.getSessionID() == self.Session and pOrder.getOrderStatus(
) == ctp.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=ctp.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()
self.frontAddr = 'tcp://180.168.146.187:10000,tcp://180.168.146.187:10010'
self.broker = '9999'
self.investor = '008107'
self.pwd = '1'
self.t.RegisterFront(self.frontAddr.split(',')[0])
self.t.SubscribePrivateTopic(nResumeType=2) # quick
self.t.SubscribePrivateTopic(nResumeType=2)
self.t.Init()
class Trader:
def __init__(self, address, broker, investor, passwd):
self.Session = ''
dllpath = os.path.join(
os.path.split(os.path.realpath(__file__))[0], '..', 'dll')
self.t = Trade(
os.path.join(
dllpath, 'ctp_trade.' +
('dll' if 'Windows' in platform.system() else 'so')))
self.address = address
self.broker = broker
self.investor = investor
self.pwd = passwd
self.RelogEnable = True
self.req = 0
def OnFrontConnected(self):
if not self.RelogEnable:
return
print('connected', "-------------enter OnFrontConnected -----------")
self.t.ReqUserLogin(BrokerID=self.broker,
UserID=self.investor,
Password=self.pwd,
UserProductInfo='@haifeng')
def OnRspAuthenticate(
self, pRspAuthenticateField: ctp.CThostFtdcRspAuthenticateField,
pRspInfo: ctp.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')
# 交易接口-登陆响应
def OnRspUserLogin(self, rsp: ctp.CThostFtdcRspUserLoginField,
info: ctp.CThostFtdcRspInfoField, req: int, last: bool):
print(info.getErrorMsg(), "-------enter OnRspUserLogin--------")
if info.getErrorID() == 0:
self.Session = rsp.getSessionID()
# 交易接口-投资者结算结果确认
self.t.ReqSettlementInfoConfirm(BrokerID=self.broker,
InvestorID=self.investor)
else:
self.RelogEnable = False
# 交易接口-投资者结算结果确认应答
def OnRspSettlementInfoConfirm(
self,
pSettlementInfoConfirm: ctp.CThostFtdcSettlementInfoConfirmField,
pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
print(
pSettlementInfoConfirm,
"-------------enter OnRspSettlementInfoConfirm------------------")
batchInsertOrder(self)
# _thread.start_new_thread(self.StartQuote, ())
def OnRtnInstrumentStatus(
self, pInstrumentStatus: ctp.CThostFtdcInstrumentStatusField):
print(pInstrumentStatus.getInstrumentStatus(),
"---------enter OnRtnInstrumentStatus-------------")
# 报单录入应答
def OnRspOrderInsert(self, pInputOrder: ctp.CThostFtdcInputOrderField,
pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
print("---------报单应答---------")
print(pRspInfo)
print(pInputOrder)
print(pRspInfo.getErrorMsg())
#请求查询资金账户
def ReqQryTradingAccount(self):
print("---------enter ReqQryTradingAccount----------")
self.t.ReqQryTradingAccount(self.broker, self.investor)
#资金回报
def OnRspQryTradingAccount(
self, pTradingAccount: ctp.CThostFtdcTradingAccountField,
pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
print("--------enter OnRspQryTradingAccount--------")
print(
'OnRspQryTradingAccount:, pTradingAccount: CThostFtdcTradingAccountField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool'
)
print(pTradingAccount)
print(pRspInfo)
print(nRequestID)
print(bIsLast)
# 持仓查询请求
def ReqQryInvestorPosition(self):
print("-------ReqQryInvestorPosition----------")
self.t.ReqQryInvestorPosition(self.broker, self.investor)
#持仓回报
def OnRspQryInvestorPosition(
self, pInvestorPosition: ctp.CThostFtdcInvestorPositionField,
pRspInfo: ctp.CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
print("----------OnRspQryInvestorPosition-----------")
print(
'OnRspQryInvestorPosition:, pInvestorPosition: CThostFtdcInvestorPositionField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool'
)
print(pInvestorPosition)
print(pRspInfo)
print(nRequestID)
print(bIsLast)
# 报单回报
def OnRtnOrder(self, pOrder: ctp.CThostFtdcOrderField):
print("------OnRtnOrder----------")
print(pOrder)
# 合约
instrumentId = pOrder.getInstrumentID()
# 订单状态
orderStatus = pOrder.getOrderStatus()
# 成交数量
traderVolume = pOrder.getVolumeTraded()
# 剩余数量
remainVolume = pOrder.getVolumeTotal()
# 将每次返回的报单回报保存在traderDict
traderDict[instrumentId] = pOrder
# 如果全部成交完，从剩余中减去成交量
if orderStatus == ctp.OrderStatusType.AllTraded or orderStatus == ctp.OrderStatusType.PartTradedNotQueueing and orderStatus == ctp.OrderStatusType.Canceled:
OrderDict[instrumentId].remain = int(
OrderDict[instrumentId].remain) - traderVolume
del traderDict[instrumentId]
if len(traderDict.keys()) == 0:
batchInsertOrder(self)
def cancelAction(self, pOrder: ctp.CThostFtdcOrderField):
print("撤单")
if pOrder.getSessionID() == self.Session and pOrder.getOrderStatus(
) == ctp.OrderStatusType.NoTradeQueueing:
self.t.ReqOrderAction(self.broker,
self.investor,
InstrumentID=pOrder.getInstrumentID(),
OrderRef=pOrder.getOrderRef(),
FrontID=pOrder.getFrontID(),
SessionID=pOrder.getSessionID(),
ActionFlag=ctp.ActionFlagType.Delete)
# 报单
def Order(self, f: ctp.CThostFtdcMarketDataField, needVolume):
print("报单", "-----enter Order------------")
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,
LimitPrice=f.getLastPrice(),
VolumeTotalOriginal=needVolume,
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 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.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
self.t.OnRspQryInvestorPosition = self.OnRspQryInvestorPosition
self.t.OnRspQryTradingAccount = self.OnRspQryTradingAccount
# _thread.start_new_thread(self.Qry, ())
self.t.RegCB()
self.t.RegisterFront(self.address)
self.t.SubscribePrivateTopic(nResumeType=2) # quick
self.t.SubscribePrivateTopic(nResumeType=2)
self.t.Init()
class CtpTrade():
""""""
def __init__(self, dll_relative_path: str = 'dll'):
self.front_address = ''
self.investor = ''
self.password = ''
self.broker = ''
self.logined = False
self.tradingday = ''
self.instruments = {}
self.orders = {}
self.trades = {}
self.account: TradingAccount = None
self.positions = {}
self.instrument_status = {}
self._req = 0
self._session = ''
self._orderid_sysid = {}
self._posi = []
self.t = Trade(os.path.join(os.getcwd(), dll_relative_path, 'ctp_trade.' + ('dll' if 'Windows' in platform.system() else 'so')))
def _OnFrontConnected(self):
_thread.start_new_thread(self.OnConnected, (self,))
def _OnFrontDisconnected(self, nReason):
self.logined = False
print(nReason)
# 下午收盘后会不停断开再连接 4097错误
if nReason == 4097 or nReason == 4098:
_thread.start_new_thread(self._reconnect, ())
else:
_thread.start_new_thread(self.OnDisConnected, (self, nReason))
def _reconnect(self):
if sum([1 if stat == 'Continous' else 0 for exc, stat in self.instrument_status.items()]) == 0:
print(time.strftime('%Y%m%d %H:%M:%S', time.localtime()))
self.t.Release()
time.sleep(600)
self.ReqConnect(self.front_address)
# def _OnRspUserLogout(self, pUserLogout: CThostFtdcUserLogoutField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
# pass
def _OnRspUserLogin(self, pRspUserLogin: CThostFtdcRspUserLoginField(), pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
if pRspInfo.getErrorID() == 0:
self.session = pRspUserLogin.getSessionID()
self.tradingday = pRspUserLogin.getTradingDay()
self.t.ReqSettlementInfoConfirm(self.broker, self.investor)
elif self.logined:
_thread.start_new_thread(self._relogin, ())
else:
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
_thread.start_new_thread(self.OnUserLogin, (self, info))
def _relogin(self):
# 隔夜重连=>处理'初始化'错误
time.sleep(60 * 10)
self.t.ReqUserLogin(
BrokerID=self.broker,
UserID=self.investor,
Password=self.password,
UserProductInfo='@haifeng')
def _OnRspSettlementInfoConfirm(
self,
pSettlementInfoConfirm: CThostFtdcSettlementInfoConfirmField,
pRspInfo: CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool):
if not self.logined:
time.sleep(0.5)
"""查询合约/持仓/权益"""
_thread.start_new_thread(self._qry, ()) # 开启查询
def _qry(self):
"""查询帐号相关信息"""
# restart 模式, 待rtnorder 处理完毕后再进行查询,否则会造成position混乱
ord_cnt = 0
while True:
time.sleep(0.5)
if len(self.orders) == ord_cnt:
break
ord_cnt = len(self.orders)
self.t.ReqQryInstrument()
time.sleep(1.1)
self.t.ReqQryInvestorPosition(self.broker, self.investor)
time.sleep(1.1)
self.t.ReqQryTradingAccount(self.broker, self.investor)
time.sleep(1.1)
self.logined = True
info = InfoField()
info.ErrorID = 0
info.ErrorMsg = '正确'
_thread.start_new_thread(self.OnUserLogin, (self, info))
# 调用Release后程序异常退出,但不报错误:接口断开了仍然调用了查询指令
while self.logined:
"""查询持仓与权益"""
self.t.ReqQryInvestorPosition(self.broker, self.investor)
time.sleep(1.1)
if not self.logined:
return
self.t.ReqQryTradingAccount(self.broker, self.investor)
time.sleep(1.1)
def _OnRtnInstrumentStatus(self, pInstrumentStatus: CThostFtdcInstrumentStatusField):
if pInstrumentStatus.getInstrumentID() == '':
return
status = InstrumentStatus.Continous
if pInstrumentStatus.getInstrumentStatus() == InstrumentStatusType.Continous:
status = InstrumentStatus.Continous
elif pInstrumentStatus.getInstrumentStatus() == InstrumentStatusType.Closed:
status = InstrumentStatus.Closed
elif str(pInstrumentStatus.getInstrumentStatus()).startswith('Auction'):
status = InstrumentStatus.Auction
else:
status = InstrumentStatus.NoTrading
self.instrument_status[pInstrumentStatus.getInstrumentID()] = status
self.OnInstrumentStatus(self, pInstrumentStatus.getInstrumentID(), status)
# _thread.start_new_thread(self.OnInstrumentStatus, (self, pInstrumentStatus.getInstrumentID(), status))
def _OnRspQryInstrument(self, pInstrument: CThostFtdcInstrumentField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
inst = InstrumentField()
inst.InstrumentID = pInstrument.getInstrumentID()
inst.ProductID = pInstrument.getProductID()
inst.ExchangeID = pInstrument.getExchangeID()
inst.VolumeMultiple = pInstrument.getVolumeMultiple()
inst.PriceTick = pInstrument.getPriceTick()
inst.MaxOrderVolume = pInstrument.getMaxLimitOrderVolume()
self.instruments[inst.InstrumentID] = inst
def _OnRspQryPosition(self, pInvestorPosition: CThostFtdcInvestorPositionField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
if pInvestorPosition.getInstrumentID() != '': # 偶尔出现NULL的数据导致数据转换错误
self._posi.append(pInvestorPosition) # Struct(**f.__dict__)) #dict -> object
if bIsLast:
# 先排序再group才有效
self._posi = sorted(self._posi, key=lambda c: '{0}_{1}'.format(c.getInstrumentID(), DirectType.Buy if c.getPosiDirection() == PosiDirectionType.Long else DirectType.Sell))
# direction需从posidiction转换为dictiontype
for key, group in itertools.groupby(self._posi, lambda c: '{0}_{1}'.format(c.getInstrumentID(), 'Buy' if c.getPosiDirection() == PosiDirectionType.Long else 'Sell')):
pf = self.positions.get(key)
if not pf:
pf = PositionField()
self.positions[key] = pf
pf.Position = 0
pf.TdPosition = 0
pf.YdPosition = 0
pf.CloseProfit = 0
pf.PositionProfit = 0
pf.Commission = 0
pf.Margin = 0
pf.Price = 0
cost = 0.0
for g in group:
if not pf.InstrumentID:
pf.InstrumentID = g.getInstrumentID()
pf.Direction = DirectType.Buy if g.getPosiDirection() == PosiDirectionType.Long else DirectType.Sell
pf.Position += g.getPosition()
pf.TdPosition += g.getTodayPosition()
pf.YdPosition = pf.Position - pf.TdPosition
pf.CloseProfit += g.getCloseProfit()
pf.PositionProfit += g.getPositionProfit()
pf.Commission += g.getCommission()
pf.Margin += g.getUseMargin()
cost += g.OpenCost
# pf.Position <= 0 ? 0 : (g.Sum(n => n.PositionCost) / DicInstrumentField[pf.InstrumentID].VolumeMultiple / pf.Position);
vm = self.instruments[pf.InstrumentID].VolumeMultiple
pf.Price = 0 if pf.Position <= 0 else cost / vm / pf.Position
self._posi.clear()
def _OnRspQryAccount(self, pTradingAccount: CThostFtdcTradingAccountField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
if not self.account:
self.account = TradingAccount()
self.account.Available = pTradingAccount.getAvailable()
self.account.CloseProfit = pTradingAccount.getCloseProfit()
self.account.Commission = pTradingAccount.getCommission()
self.account.CurrMargin = pTradingAccount.getCurrMargin()
self.account.FrozenCash = pTradingAccount.getFrozenCash()
self.account.PositionProfit = pTradingAccount.getPositionProfit()
self.account.PreBalance = pTradingAccount.getPreBalance() + pTradingAccount.getDeposit() + pTradingAccount.getWithdraw()
self.account.Fund = self.account.PreBalance + pTradingAccount.getCloseProfit() + pTradingAccount.getPositionProfit() - pTradingAccount.getCommission()
self.account.Risk = 0 if self.account.Fund == 0 else self.account.CurrMargin / self.account.Fund
def _OnRtnOrder(self, pOrder: CThostFtdcOrderField):
""""""
id = '{0}|{1}|{2}'.format(pOrder.getSessionID(), pOrder.getFrontID(), pOrder.getOrderRef())
of = self.orders.get(id)
if not of:
of = OrderField()
if pOrder.getOrderRef().isdigit():
of.Custom = int(pOrder.getOrderRef()) % 1000000
of.InstrumentID = pOrder.getInstrumentID()
of.InsertTime = pOrder.getInsertTime()
of.Direction = DirectType.Buy if DirectionType(
pOrder.getDirection()
) == DirectionType.Buy else DirectType.Sell
ot = OffsetFlagType(ord(pOrder.getCombOffsetFlag()[0]))
of.Offset = OffsetType.Open if ot == OffsetFlagType.Open else (
OffsetType.CloseToday
if ot == OffsetFlagType.CloseToday else OffsetType.Close)
of.Status = OrderStatus.Normal
of.StatusMsg = pOrder.getStatusMsg()
of.IsLocal = pOrder.getSessionID() == self.session
of.LimitPrice = pOrder.getLimitPrice()
of.OrderID = id
of.Volume = pOrder.getVolumeTotalOriginal()
of.VolumeLeft = of.Volume
self.orders[id] = of
_thread.start_new_thread(self.OnOrder, (self, of))
elif pOrder.getOrderStatus() == OrderStatusType.Canceled:
of.Status = OrderStatus.Canceled
of.StatusMsg = pOrder.getStatusMsg()
if of.StatusMsg.find('被拒绝') >= 0:
info = InfoField()
info.ErrorID = -1
info.ErrorMsg = of.StatusMsg
_thread.start_new_thread(self.OnErrOrder, (self, of, info))
else:
_thread.start_new_thread(self.OnCancel, (self, of))
else:
if pOrder.getOrderSysID():
of.SysID = pOrder.getOrderSysID()
self._orderid_sysid[pOrder.getOrderSysID()] = id # 记录sysid与orderid关联,方便Trade时查找处理
def _OnRtnTrade(self, f):
""""""
tf = TradeField()
tf.Direction = DirectType.Buy if f.getDirection() == DirectionType.Buy else DirectType.Sell
tf.ExchangeID = f.getExchangeID()
tf.InstrumentID = f.getInstrumentID()
tf.Offset = OffsetType.Open if f.getOffsetFlag() == OffsetFlagType.Open else OffsetType.Close if f.getOffsetFlag(
) == OffsetFlagType.Close else OffsetType.CloseToday
tf.Price = f.getPrice()
tf.SysID = f.getOrderSysID()
tf.TradeID = f.getTradeID()
tf.TradeTime = f.getTradeTime()
tf.TradingDay = f.getTradingDay()
tf.Volume = f.getVolume()
self.trades[tf.TradeID] = tf
id = self._orderid_sysid[tf.SysID]
of = self.orders[id]
tf.OrderID = id # tradeid 与 orderid 关联
of.TradeTime = tf.TradeTime
of.AvgPrice = (of.AvgPrice * (of.Volume - of.VolumeLeft) + tf.Price *
tf.Volume) / (of.Volume - of.VolumeLeft + tf.Volume)
of.TradeVolume = tf.Volume
of.VolumeLeft -= tf.Volume
if of.VolumeLeft == 0:
of.Status = OrderStatus.Filled
of.StatusMsg = '全部成交'
else:
of.Status = OrderStatus.Partial
of.StatusMsg = '部分成交'
# 更新持仓 *****
if tf.Offset == OffsetType.Open:
key = '{0}_{1}'.format(tf.InstrumentID, tf.Direction)
pf = self.positions.get(key)
if not pf:
pf = PositionField()
self.positions[key] = pf
pf.InstrumentID = tf.InstrumentID
pf.Direction = tf.Direction
pf.Price = (pf.Price * pf.Position + tf.Price * tf.Volume) / (pf.Position + tf.Volume)
pf.TdPosition += tf.Volume
pf.Position += tf.Volume
else:
key = '{0}_{1}'.format(tf.InstrumentID, DirectType.Sell if tf.Direction == DirectType.Buy else DirectType.Buy)
pf = self.positions.get(key)
if pf: # 有可能出现无持仓的情况
if tf.Offset == OffsetType.CloseToday:
pf.TdPosition -= tf.Volume
else:
tdclose = min(pf.TdPosition, tf.Volume)
if pf.TdPosition > 0:
pf.TdPosition -= tdclose
pf.YdPosition -= max(0, tf.Volume - tdclose)
pf.Position -= tf.Volume
_thread.start_new_thread(self._onRtn, (of, tf))
def _onRtn(self, of, tf):
self.OnOrder(self, of)
self.OnTrade(self, tf)
def _OnRspOrder(self, pInputOrder: CThostFtdcInputOrderField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
id = '{0}|{1}|{2}'.format(self.session, '0', pInputOrder.getOrderRef())
of = self.orders.get(id)
if not of:
of = OrderField()
l = int(pInputOrder.getOrderRef())
of.Custom = l % 1000000
of.InstrumentID = pInputOrder.getInstrumentID()
of.InsertTime = time.strftime('%H:%M:%S', time.localtime())
# 对direction需特别处理（具体见ctp_struct）
of.Direction = DirectType.Buy if DirectionType(pInputOrder.getDirection()) == DirectionType.Buy else DirectType.Sell
ot = OffsetFlagType(ord(pInputOrder.getCombOffsetFlag()[0]))
of.Offset = OffsetType.Open if ot == OffsetFlagType.Open else (OffsetType.CloseToday if ot == OffsetFlagType.CloseToday else OffsetType.Close)
# of.Status = OrderStatus.Normal
# of.StatusMsg = f.getStatusMsg()
of.IsLocal = True
of.LimitPrice = pInputOrder.getLimitPrice()
of.OrderID = id
of.Volume = pInputOrder.getVolumeTotalOriginal()
of.VolumeLeft = of.Volume
self.orders[id] = of
of.Status = OrderStatus.Error
of.StatusMsg = '{0}:{1}'.format(info.ErrorID, info.ErrorMsg)
_thread.start_new_thread(self.OnErrOrder, (self, of, info))
def _OnErrOrder(self, pInputOrder: CThostFtdcInputOrderField, pRspInfo: CThostFtdcRspInfoField):
""""""
id = '{0}|{1}|{2}'.format(self.session, '0', pInputOrder.getOrderRef())
of = self.orders.get(id)
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
if of and of.IsLocal:
of.Status = OrderStatus.Error
of.StatusMsg = '{0}:{1}'.format(pRspInfo.getErrorID(), pRspInfo.getErrorMsg())
_thread.start_new_thread(self.OnErrOrder, (self, of, info))
def _OnRspOrderAction(self, pInputOrderAction: CThostFtdcInputOrderActionField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
id = "{0}|{1}|{2}".format(pInputOrderAction.getSessionID(), pInputOrderAction.getFrontID(), pInputOrderAction.getOrderRef())
if self.logined and id in self.orders:
info = InfoField()
info.ErrorID = pRspInfo.ErrorID
info.ErrorMsg = pRspInfo.ErrorMsg
_thread.start_new_thread(self.OnErrCancel, (self, self.orders[id], info))
def ReqConnect(self, front: str):
"""
连接交易前置
:param self:
:param front:str:
"""
self.t.CreateApi()
spi = self.t.CreateSpi()
self.t.RegisterSpi(spi)
self.t.OnFrontConnected = self._OnFrontConnected
self.t.OnRspUserLogin = self._OnRspUserLogin
self.t.OnFrontDisconnected = self._OnFrontDisconnected
# self.t.OnRspUserLogout = self._OnRspUserLogout
self.t.OnRspSettlementInfoConfirm = self._OnRspSettlementInfoConfirm
self.t.OnRtnOrder = self._OnRtnOrder
self.t.OnRtnTrade = self._OnRtnTrade
self.t.OnRspOrderInsert = self._OnRspOrder
self.t.OnErrRtnOrderInsert = self._OnErrOrder
self.t.OnRspOrderAction = self._OnRspOrderAction
self.t.OnRtnInstrumentStatus = self._OnRtnInstrumentStatus
self.t.OnRspQryInstrument = self._OnRspQryInstrument
self.t.OnRspQryTradingAccount = self._OnRspQryAccount
self.t.OnRspQryInvestorPosition = self._OnRspQryPosition
self.front_address = front
self.t.RegCB()
self.t.RegisterFront(front)
self.t.SubscribePrivateTopic(0) # restart 同步处理order trade
self.t.SubscribePublicTopic(0)
self.t.Init()
# self.t.Join()
def ReqUserLogin(self, user: str, pwd: str, broker: str):
"""
登录
:param self:
:param user:str:
:param pwd:str:
:param broker:str:
"""
self.broker = broker
self.investor = user
self.password = pwd
self.t.ReqUserLogin(BrokerID=broker, UserID=user, Password=pwd)
def ReqOrderInsert(self, pInstrument: str, pDirection: DirectType, pOffset: OffsetType, pPrice: float = 0.0, pVolume: int = 1, pType: OrderType = OrderType.Limit, pCustom: int = 0):
"""
委托
:param self:
:param pInstrument:str:
:param pDirection:DirectType:
:param pOffset:OffsetType:
:param pPrice:float=0.0:
:param pVolume:int=1:
:param pType:OrderType=OrderType.Limit:
"""
OrderPriceType = OrderPriceTypeType.AnyPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = 0.0
VolumeCondition = VolumeConditionType.AV
if pType == OrderType.Market: # 市价
OrderPriceType = OrderPriceTypeType.AnyPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = 0.0
VolumeCondition = VolumeConditionType.AV
elif pType == OrderType.Limit: # 限价
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.GFD
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.AV
elif pType == OrderType.FAK: # FAK
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.AV
elif pType == OrderType.FOK: # FOK
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.CV # 全部数量
self._req += 1
self.t.ReqOrderInsert(
BrokerID=self.broker,
InvestorID=self.investor,
InstrumentID=pInstrument,
OrderRef="%06d%06d" % (self._req, pCustom % 1000000),
UserID=self.investor,
# 此处ctp_enum与at_struct名称冲突
Direction=DirectionType.Buy
if pDirection == DirectType.Buy else DirectionType.Sell,
CombOffsetFlag=chr(OffsetFlagType.Open if pOffset == OffsetType.Open else (OffsetFlagType.CloseToday if pOffset == OffsetType.CloseToday else OffsetFlagType.Close)),
CombHedgeFlag=HedgeFlagType.Speculation.__char__(),
IsAutoSuspend=0,
ForceCloseReason=ForceCloseReasonType.NotForceClose,
IsSwapOrder=0,
ContingentCondition=ContingentConditionType.Immediately,
VolumeCondition=VolumeCondition,
MinVolume=1,
VolumeTotalOriginal=pVolume,
OrderPriceType=OrderPriceType,
TimeCondition=TimeCondition,
LimitPrice=LimitPrice,
)
def ReqOrderAction(self, OrderID: str):
"""
撤单
:param self:
:param OrderID:str:
"""
of = self.orders[OrderID]
if not of:
return -1
else:
pOrderId = of.OrderID
return self.t.ReqOrderAction(
self.broker,
self.investor,
OrderRef=pOrderId.split('|')[2],
FrontID=int(pOrderId.split('|')[1]),
SessionID=int(pOrderId.split('|')[0]),
InstrumentID=of.InstrumentID,
ActionFlag=ActionFlagType.Delete)
def ReqUserLogout(self):
"""
退出接口
:param self:
"""
self.logined = False
time.sleep(3)
self.t.ReqUserLogout(BrokerID=self.broker, UserID=self.investor)
self.t.RegisterSpi(None)
self.t.Release()
_thread.start_new_thread(self.OnDisConnected, (self, 0))
def OnConnected(self, obj):
"""
接口连接
:param self:
:param obj:
"""
print('=== OnConnected ==='.format(''))
def OnDisConnected(self, obj, reason: int):
"""
接口断开
:param self:
:param obj:
:param reason:int:
"""
print('=== OnDisConnected === \n{0}'.format(reason))
def OnUserLogin(self, obj, info: InfoField):
"""
登录响应
:param self:
:param obj:
:param info:InfoField:
"""
print('=== OnUserLogin === \n{0}'.format(info))
def OnOrder(self, obj, f: OrderField):
"""
委托响应
:param self:
:param obj:
:param f:OrderField:
"""
print('=== OnOrder === \n{0}'.format(f.__dict__))
def OnTrade(self, obj, f: TradeField):
"""
成交响应
:param self:
:param obj:
:param f:TradeField:
"""
print('=== OnTrade === \n{0}'.format(f.__dict__))
def OnCancel(self, obj, f: OrderField):
"""
撤单响应
:param self:
:param obj:
:param f:OrderField:
"""
print('=== OnCancel === \n{0}'.format(f.__dict__))
def OnErrCancel(self, obj, f: OrderField, info: InfoField):
"""
撤单失败
:param self:
:param obj:
:param f:OrderField:
:param info:InfoField:
"""
print('=== OnErrCancel ===\n{0}'.format(f.__dict__))
print(info)
def OnErrOrder(self, obj, f: OrderField, info: InfoField):
"""
委托错误
:param self:
:param obj:
:param f:OrderField:
:param info:InfoField:
"""
print('=== OnErrOrder ===\n{0}'.format(f.__dict__))
print(info)
def OnInstrumentStatus(self, obj, inst: str, status: InstrumentStatus):
"""
交易状态
:param self:
:param obj:
:param inst:str:
:param status:InstrumentStatus:
"""
print('{}:{}'.format(inst, str(status).strip().split('.')[1]))
class TdApi:
def __init__(self, userid, password, brokerid, RegisterFront, product_info,
app_id, auth_code):
# 初始化账号
self.t = Trade()
self.userid = userid
self.password = password
self.brokerid = brokerid
self.product_info = product_info
self.app_id = app_id
self.auth_code = auth_code
api = self.t.CreateApi()
spi = self.t.CreateSpi()
self.t.RegisterSpi(spi)
self.t.OnFrontConnected = self.onFrontConnected # 交易服务器登陆相应
self.t.OnFrontDisconnected = self.onFrontDisconnected
self.t.OnRspAuthenticate = self.onRspAuthenticate # 申请码检验
self.t.OnRspUserLogin = self.onRspUserLogin # 用户登陆
self.t.OnRspUserLogout = self.onRspUserLogout # 用户登出
self.t.OnRtnInstrumentStatus = self.onRtnInstrumentStatus
self.t.OnRspQryInstrument = self.onRspQryInstrument # 查询全部交易合约
self.t.OnRspSettlementInfoConfirm = self.onRspSettlementInfoConfirm # 结算单确认，显示登陆日期
self.t.OnRspQryTradingAccount = self.onRspQryTradingAccount # 查询账户
self.t.OnRtnOrder = self.onRtnOrder # 报单
self.t.OnRtnTrade = self.onRtnTrade # 成交
# self.t.OnRspParkedOrderInsert = self.onRspParkedOrderInsert
self.t.OnErrRtnOrderInsert = self.onErrRtnOrderInsert
self.t.OnRspQryDepthMarketData = self.onRspQryDepthMarketData # 查询涨跌停
self.t.RegCB()
self.t.RegisterFront(RegisterFront)
self.t.Init()
self.islogin = False
def onFrontConnected(self):
"""服务器连接"""
downLogProgram('交易服务器连接成功')
self.t.ReqAuthenticate(self.brokerid, self.userid, self.product_info,
self.auth_code, self.app_id)
def onFrontDisconnected(self, n):
downLogProgram('交易服务器连接断开')
def onRspAuthenticate(
self, pRspAuthenticateField: CThostFtdcRspAuthenticateField,
pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
downLogProgram('auth：{0}:{1}'.format(pRspInfo.getErrorID(),
pRspInfo.getErrorMsg()))
if pRspInfo.getErrorMsg() == '正确' or pRspInfo.getErrorMsg(
) == 'CTP:认证码错误，尽快获取正确的认证码。当前系统或者用户豁免终端认证，可以登录':
self.t.ReqUserLogin(BrokerID=self.brokerid,
UserID=self.userid,
Password=self.password,
UserProductInfo=self.product_info)
elif pRspInfo.getErrorMsg() == 'CTP:前置不活跃':
threading.Timer(60, self.t.ReqAuthenticate, [
self.brokerid, self.userid, self.product_info, self.auth_code,
self.app_id
]).start()
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
if error.getErrorID() == 0:
self.Investor = data.getUserID()
self.BrokerID = data.getBrokerID()
log = self.Investor + '交易服务器登陆成功'
self.islogin = True
self.t.ReqSettlementInfoConfirm(self.BrokerID,
self.Investor) # 对账单确认
self.t.ReqQryDepthMarketData()
downLogProgram(log)
else:
log = '交易服务器登陆回报，错误代码：' + str(error.getErrorID()) + \
', 错误信息：' + str(error.getErrorMsg())
downLogProgram(log)
if error.getErrorMsg() == 'CTP:客户端未认证': # 过 60 秒后，重新登陆一次
threading.Timer(60, self.t.ReqUserLogin, [
'', self.brokerid, self.userid, self.password,
self.product_info
]).start()
def onRspUserLogout(self, data, error, n, last):
if error.getErrorID() == 0:
log = '交易服务器登出成功'
self.islogin = False
else:
log = '交易服务器登出回报，错误代码：' + str(error.getErrorID()) + \
', 错误信息：' + str(error.getErrorMsg())
downLogProgram(log)
def onRtnInstrumentStatus(self, data):
pass
def onRspQryInstrument(self, data, error, n, last):
pass
def onRspSettlementInfoConfirm(self, data, error, n, last):
"""确认结算信息回报"""
downLogProgram('账号：{}, 日期：{}, 时间：{}'.format(data.getInvestorID(),
data.getConfirmDate(),
data.getConfirmTime()))
def getPosition(self):
self.checkPosition = False
downLogProgram("读取账号持仓情况")
self.t.ReqQryInvestorPosition(self.brokerid, self.userid)
def onRspQryTradingAccount(self, data, error, n, last):
"""资金账户查询回报"""
if error.getErrorID() == 0:
event = Event(type_=EVENT_ACCOUNT)
event.dict_['BrokerID'] = data.getBrokerID()
event.dict_['AccountID'] = data.getAccountID()
event.dict_['PreDeposit'] = data.getPreDeposit()
event.dict_['PreBalance'] = data.getPreBalance()
event.dict_['PreMargin'] = data.getPreMargin()
event.dict_['CurrMargin'] = data.getCurrMargin()
event.dict_['Available'] = data.getAvailable()
event.dict_['WithdrawQuota'] = data.getWithdrawQuota()
ee.put(event)
else:
log = ('账户查询回报，错误代码：' + str(error.getErrorID()) + ', 错误信息：' +
str(error.getErrorMsg()))
downLogProgram(log)
def getAccount(self):
self.t.ReqQryTradingAccount(self.brokerid, self.userid)
def onRtnOrder(self, data):
# 常规报单事件
if time(7) <= datetime.now().time() <= time(
8, 15): # # 判断 连接 断开 与 连接 重连 的问题
return
event = Event(type_=EVENT_ORDER)
event.dict_ = data.__dict__.copy()
ee.put(event)
def onRtnTrade(self, data):
"""成交回报"""
if time(7) <= datetime.now().time() <= time(8, 15):
return
event = Event(type_=EVENT_TRADE)
event.dict_ = data.__dict__.copy()
ee.put(event)
# 预下单，没有用了
def onRspParkedOrderInsert(self,
data=CThostFtdcParkedOrderField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
event = Event(type_=EVENT_ORDERPARK)
event.dict_['data'] = data._fields_
ee.put(event)
def onErrRtnOrderInsert(self, data, error):
"""发单错误回报（交易所）"""
if time(7) <= datetime.now().time() <= time(8, 15):
return
event = Event(type_=EVENT_ERROR)
event.dict_['OrderRef'] = data.getOrderRef()
event.dict_['InstrumentID'] = data.getInstrumentID()
event.dict_['Direction'] = data.getDirection()
event.dict_['CombOffsetFlag'] = data.getCombOffsetFlag()
event.dict_['VolumeTotalOriginal'] = data.getVolumeTotalOriginal()
event.dict_['LimitPrice'] = data.getLimitPrice()
event.dict_['ErrorMsg'] = error.getErrorMsg()
ee.put(event)
# region 下单操作
def sendorder(self,
instrumentid,
orderRef,
price,
vol,
direction,
offset,
OrderPriceType=TThostFtdcOrderPriceTypeType.
THOST_FTDC_OPT_LimitPrice):
goodsCode = getGoodsCode(instrumentid)
if goodsCode.split('.')[1] == 'SHF':
exChangeID = 'SHFE'
elif goodsCode.split('.')[1] == 'DCE':
exChangeID = 'DCE'
elif goodsCode.split('.')[1] == 'CZC':
exChangeID = 'CZCE'
elif goodsCode.split('.')[1] == 'CFE':
exChangeID = 'CFFEX'
elif goodsCode.split('.')[1] == 'INE':
exChangeID = 'INE'
self.t.ReqOrderInsert(
BrokerID=self.brokerid,
InvestorID=self.userid,
InstrumentID=instrumentid,
OrderRef=orderRef,
UserID=self.userid,
OrderPriceType=OrderPriceType,
Direction=direction,
CombOffsetFlag=offset,
CombHedgeFlag=chr(
TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation.value),
LimitPrice=price,
VolumeTotalOriginal=vol,
TimeCondition=TThostFtdcTimeConditionType.THOST_FTDC_TC_GFD,
VolumeCondition=TThostFtdcVolumeConditionType.THOST_FTDC_VC_AV,
MinVolume=1,
ForceCloseReason=TThostFtdcForceCloseReasonType.
THOST_FTDC_FCC_NotForceClose,
ContingentCondition=TThostFtdcContingentConditionType.
THOST_FTDC_CC_Immediately,
ExchangeID=exChangeID)
return orderRef
def buy(self, symbol, orderRef, price, vol): # 买开
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def sell(self, symbol, orderRef, price, vol): # 买平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def sellMarket(self, symbol, orderRef, vol): # 买平市
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorder(symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def sellToday(self, symbol, orderRef, price, vol): # 买平今
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def sellMarketToday(self, symbol, orderRef, vol): # 买平市
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorder(symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def short(self, symbol, orderRef, price, vol): # 卖开
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def cover(self, symbol, orderRef, price, vol): # 卖平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def coverMarket(self, symbol, orderRef, vol): # 卖平市
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorder(symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def coverToday(self, symbol, orderRef, price, vol): # 卖平今
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorder(symbol, orderRef, price, vol, direction, offset)
def coverMarketToday(self, symbol, orderRef, vol): # 卖平市
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorder(symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def cancelOrder(self, order):
"""撤单"""
self.t.ReqOrderAction(
BrokerID=self.brokerid,
InvestorID=self.userid,
OrderRef=order['OrderRef'],
FrontID=int(order['FrontID']),
SessionID=int(order['SessionID']),
OrderSysID=order['OrderSysID'],
ActionFlag=TThostFtdcActionFlagType.THOST_FTDC_AF_Delete,
ExchangeID=order["ExchangeID"],
InstrumentID=order['InstrumentID'])
# endregion
# region 预埋单
def sendorderPark(self,
instrumentid,
orderRef,
price,
vol,
direction,
offset,
OrderPriceType=TThostFtdcOrderPriceTypeType.
THOST_FTDC_OPT_LimitPrice):
goodsCode = getGoodsCode(instrumentid)
if goodsCode.split('.')[1] == 'SHF':
exChangeID = 'SHFE'
elif goodsCode.split('.')[1] == 'DCE':
exChangeID = 'DCE'
elif goodsCode.split('.')[1] == 'CZC':
exChangeID = 'CZCE'
elif goodsCode.split('.')[1] == 'CFE':
exChangeID = 'CFFEX'
elif goodsCode.split('.')[1] == 'INE':
exChangeID = 'INE'
self.t.ReqParkedOrderInsert(
BrokerID=self.brokerid,
InvestorID=self.userid,
InstrumentID=instrumentid,
OrderRef=orderRef,
UserID=self.userid,
OrderPriceType=OrderPriceType,
Direction=direction,
CombOffsetFlag=offset,
CombHedgeFlag=chr(
TThostFtdcHedgeFlagType.THOST_FTDC_HF_Speculation.value),
LimitPrice=price,
VolumeTotalOriginal=vol,
TimeCondition=TThostFtdcTimeConditionType.THOST_FTDC_TC_GFD,
VolumeCondition=TThostFtdcVolumeConditionType.THOST_FTDC_VC_AV,
MinVolume=1,
ForceCloseReason=TThostFtdcForceCloseReasonType.
THOST_FTDC_FCC_NotForceClose,
ContingentCondition=TThostFtdcContingentConditionType.
THOST_FTDC_CC_Immediately,
ExchangeID=exChangeID)
return orderRef
def buyPark(self, symbol, orderRef, price, vol): # 多开
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def sellPark(self, symbol, orderRef, price, vol): # 多平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def sellMarketPark(self, symbol, orderRef, vol): # 多平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorderPark(
symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def selltodayPark(self, symbol, orderRef, price, vol): # 平今多
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def shortPark(self, symbol, orderRef, price, vol): # 卖开空开
direction = TThostFtdcDirectionType.THOST_FTDC_D_Sell
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Open.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def coverPark(self, symbol, orderRef, price, vol): # 空平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def coverMarketPark(self, symbol, orderRef, vol): # 空平
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_Close.value)
self.sendorderPark(
symbol, orderRef, 0, vol, direction, offset,
TThostFtdcOrderPriceTypeType.THOST_FTDC_OPT_AnyPrice)
def covertodayPark(self, symbol, orderRef, price, vol): # 平今空
direction = TThostFtdcDirectionType.THOST_FTDC_D_Buy
offset = chr(TThostFtdcOffsetFlagType.THOST_FTDC_OF_CloseToday.value)
self.sendorderPark(symbol, orderRef, price, vol, direction, offset)
def cancelOrderPark(self, order): # 预撤单
self.t.ReqParkedOrderAction(
BrokerID=self.brokerid,
InvestorID=self.userid,
OrderRef=order['OrderRef'],
FrontID=int(order['FrontID']),
SessionID=int(order['SessionID']),
OrderSysID=order['OrderSysID'],
ActionFlag=TThostFtdcActionFlagType.THOST_FTDC_AF_Delete,
ExchangeID=order["ExchangeID"],
InstrumentID=order['InstrumentID'])
def onRspQryDepthMarketData(self, data, error, n, last): #获取tick数据操作
icon = filter(lambda x: x.isalpha(), data.getInstrumentID())
icon = ''.join(list(icon))
event = Event(type_=EVENT_INSTRUMENT)
event.dict_['InstrumentID'] = data.getInstrumentID()
event.dict_['ProductID'] = icon
event.dict_['OpenInterest'] = data.getOpenInterest()
event.dict_['last'] = last
# 主力合约的涨停版
if event.dict_['InstrumentID'] in listInstrument:
# 可以避免多线程下数据的混乱
if dictInstrumentUpDownPrice.get(event.dict_['InstrumentID'],
[0, 0]) == [0, 0]:
dictInstrumentUpDownPrice[event.dict_['InstrumentID']] = [
data.getUpperLimitPrice(),
data.getLowerLimitPrice()
]
ee.put(event)