def onQueryOptionAuctionInfo(self, data: dict, error: dict, reqid: int,
last: bool, session: int) -> None:
""""""
if not data or not data["ticker"]:
return
contract = ContractData(
symbol=data["ticker"],
exchange=MARKET_XTP2VT[data["security_id_source"]],
name=data["symbol"],
product=Product.OPTION,
size=data["contract_unit"],
min_volume=data["qty_unit"],
pricetick=data["price_tick"],
gateway_name=self.gateway_name)
contract.option_portfolio = data["underlying_security_id"] + "_O"
contract.option_underlying = (data["underlying_security_id"] + "-" +
str(data["delivery_month"]))
contract.option_type = OPTIONTYPE_XTP2VT.get(data["call_or_put"], None)
contract.option_strike = data["exercise_price"]
contract.option_index = str(data["exercise_price"])
contract.option_expiry = datetime.strptime(str(data["delivery_day"]),
"%Y%m%d")
contract.option_index = get_option_index(contract.option_strike,
data["contract_id"])
self.gateway.on_contract(contract)
if last:
self.gateway.write_log("期权信息查询成功")
def onRspQryInstrument(self, data: dict, error: dict, reqid: int,
last: bool):
"""
Callback of instrument query.
"""
product = PRODUCT_DA2VT.get(data["CommodityType"], None)
if product:
contract = ContractData(
symbol=data["CommodityCode"],
exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
name=data["ContractFName"],
product=product,
size=data["ProductDot"] / data["UpperTick"],
pricetick=data["UpperTick"],
gateway_name=self.gateway_name)
if product == Product.OPTION:
contract.option_type = OPTIONTYPE_DA2VT[data["OptionType"]]
contract.option_strike = to_float(data["OptionStrikePrice"])
contract.option_expiry = datetime.strptime(
data["LastTradeDay"], "%Y%m%d")
symbol_name_map[contract.vt_symbol] = contract.name
symbol_currency_map[contract.symbol] = data["CommodityFCurrencyNo"]
self.gateway.on_contract(contract)
if last:
self.gateway.write_log("合约信息查询成功")
def on_query_instrument(self, packet: dict):
""""""
currency = self.reqid_currency_map[packet["id"]]
for d in packet["result"]:
contract = ContractData(
symbol=d["instrument_name"],
exchange=Exchange.DERIBIT,
name=d["instrument_name"],
product=PRODUCT_DERIBIT2VT[d["kind"]],
pricetick=d["tick_size"],
size=d["contract_size"],
min_volume=d["min_trade_amount"],
net_position=True,
history_data=False,
gateway_name=self.gateway_name,
)
if contract.product == Product.OPTION:
contract.option_portfolio = d["base_currency"]
contract.option_strike = d["strike"]
contract.option_index = str(d["strike"])
contract.option_underlying = d["base_currency"]
contract.option_type = OPTIONTYPE_DERIBIT2VT[d["option_type"]]
contract.option_expiry = datetime.fromtimestamp(
d["expiration_timestamp"] / 1000)
self.gateway.on_contract(contract)
self.gateway.write_log(f"{currency}合约信息查询成功")
def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
"""
Callback of instrument query.
"""
product = PRODUCT_SOPT2VT.get(data["ProductClass"], None)
if product:
contract = ContractData(
symbol=data["InstrumentID"],
exchange=EXCHANGE_SOPT2VT[data["ExchangeID"]],
name=data["InstrumentName"],
product=product,
size=data["VolumeMultiple"],
pricetick=data["PriceTick"],
gateway_name=self.gateway_name
)
# For option only
if contract.product == Product.OPTION:
contract.option_portfolio = data["UnderlyingInstrID"] + "_O"
contract.option_underlying = (
data["UnderlyingInstrID"]
+ "-"
+ str(data["DeliveryYear"])
+ str(data["DeliveryMonth"]).rjust(2, "0")
)
contract.option_type = OPTIONTYPE_SOPT2VT.get(data["OptionsType"], None)
contract.option_strike = data["StrikePrice"]
contract.option_index = str(data["StrikePrice"])
contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d")
contract.option_index = get_option_index(
contract.option_strike, data["InstrumentCode"]
)
self.gateway.on_contract(contract)
symbol_exchange_map[contract.symbol] = contract.exchange
symbol_name_map[contract.symbol] = contract.name
symbol_size_map[contract.symbol] = contract.size
if last:
self.gateway.write_log("合约信息查询成功")
for data in self.order_data:
self.onRtnOrder(data)
self.order_data.clear()
for data in self.trade_data:
self.onRtnTrade(data)
self.trade_data.clear()
def onRspQryInstrument(self, data: dict, error: dict, reqid: int,
last: bool):
"""
Callback of instrument query.
"""
if data:
product = PRODUCT_SGIT2VT.get(data["ProductClass"], None)
contract = ContractData(
symbol=data["InstrumentID"],
exchange=EXCHANGE_SGIT2VT[data["ExchangeID"]],
name=data["InstrumentName"],
product=product,
size=data["VolumeMultiple"],
pricetick=data["PriceTick"],
gateway_name=self.gateway_name)
# For option only
if contract.product == Product.OPTION:
# Remove C/P suffix of CZCE option product name
if contract.exchange == Exchange.CZCE:
contract.option_portfolio = data["ProductID"][:-1]
else:
contract.option_portfolio = data["ProductID"]
contract.option_underlying = data["UnderlyingInstrID"]
contract.option_type = OPTIONTYPE_SGIT2VT.get(
data["OptionsType"], None)
contract.option_strike = data["StrikePrice"]
contract.option_index = str(data["StrikePrice"])
contract.option_expiry = datetime.strptime(
data["ExpireDate"], "%Y%m%d")
self.gateway.on_contract(contract)
symbol_exchange_map[contract.symbol] = contract.exchange
symbol_name_map[contract.symbol] = contract.name
symbol_size_map[contract.symbol] = contract.size
if last:
self.gateway.write_log("合约信息查询成功")
for data in self.order_data:
self.onRtnOrder(data)
self.order_data.clear()
for data in self.trade_data:
self.onRtnTrade(data)
self.trade_data.clear()
def OnRspQrySecurity(
self,
data: dict,
error: dict,
reqid: int,
last: bool
) -> None:
"""
Callback of instrument query.
"""
if last:
self.gateway.write_log("合约信息查询成功")
if not data:
return
contract = ContractData(
gateway_name=self.gateway.gateway_name,
symbol=data["SecurityID"],
exchange=EXCHANGE_TORA2VT[bytes.decode(data["ExchangeID"])],
name=data["SecurityName"],
product=PRODUCT_TORA2VT.get(bytes.decode(data["ProductID"]), Product.EQUITY),
size=data["VolumeMultiple"],
pricetick=data["PriceTick"],
min_volume=data["MinLimitOrderBuyVolume"],
stop_supported=False,
net_position=True,
history_data=False,
)
contract.option_portfolio = data["UnderlyingSecurityID"] + "_O"
contract.option_underlying = (
data["UnderlyingSecurityID"]
+ "-"
+ str(data["LastDate"])
)
contract.option_type = OPTIONTYPE_TORA2VT[bytes.decode(
data["OptionsType"])]
contract.option_strike = data["StrikePrice"]
contract.option_expiry = datetime.strptime(
str(data["LastDate"]), "%Y%m%d"
)
contract.option_index = get_option_index(
contract.option_strike, data["ExchSecurityID"]
)
self.gateway.on_contract(contract)
def onRspQryInstrument(self, data: dict, error: dict, reqid: int,
last: bool):
"""
Callback of instrument query.
"""
# Femas gateway provides no ProductClass data, so need to determine
# product type using following logic.
option_type = OPTIONTYPE_FEMAS2VT.get(data["OptionsType"], None)
if option_type:
product = Product.OPTION
elif data["InstrumentID_2"]:
product = Product.SPREAD
else:
product = Product.FUTURES
contract = ContractData(symbol=data["InstrumentID"],
exchange=EXCHANGE_FEMAS2VT[data["ExchangeID"]],
name=data["InstrumentName"],
size=data["VolumeMultiple"],
pricetick=data["PriceTick"],
product=product,
gateway_name=self.gateway_name)
if product == Product.OPTION:
# Remove C/P suffix of CZCE option product name
if contract.exchange == Exchange.CZCE:
contract.option_portfolio = data["ProductID"][:-1]
else:
contract.option_portfolio = data["ProductID"]
contract.option_underlying = data["UnderlyingInstrID"]
contract.option_type = OPTIONTYPE_FEMAS2VT.get(
data["OptionsType"], None)
contract.option_strike = data["StrikePrice"]
contract.option_index = str(data["StrikePrice"])
contract.option_expiry = datetime.strptime(data["ExpireDate"],
"%Y%m%d")
self.gateway.on_contract(contract)
symbol_exchange_map[contract.symbol] = contract.exchange
symbol_name_map[contract.symbol] = contract.name
symbol_size_map[contract.symbol] = contract.size
if last:
self.gateway.write_log("合约信息查询成功")
def on_query_contract(self, data: List[Dict[str, str]]) -> None:
""""""
if not data:
self.gateway.write_log("合约信息查询失败")
return
# Process option contract
for d in data:
contract = ContractData(
symbol=d["option_code"],
exchange=EXCHANGE_HSOPTION2VT[d["exchange_type"]],
name=d["option_name"],
size=int(float(d["amount_per_hand"])),
pricetick=float(d["opt_price_step"]),
product=Product.OPTION,
gateway_name=self.gateway_name
)
contract.option_portfolio = d["stock_code"] + "_O"
contract.option_underlying = (
d["stock_code"]
+ "-"
+ str(d["end_date"])
)
contract.option_type = OPTIONTYPE_HSOPTION2VT[d["option_type"]]
contract.option_strike = float(d["exercise_price"])
contract.option_expiry = datetime.strptime(d["end_date"], "%Y%m%d")
contract.option_index = get_option_index(
contract.option_strike, d["optcontract_id"]
)
self.gateway.on_contract(contract)
symbol_exchange_map[contract.symbol] = contract.exchange
symbol_name_map[contract.symbol] = contract.name
if len(data) == 1000:
position_str = d["position_str"]
self.query_contract(position_str)
else:
self.gateway.write_log("合约信息查询成功")
self.query_order()
def onRspQryInstrument(self, data: dict, error: dict, reqid: int,
last: bool):
"""
Callback of instrument query.
"""
product = PRODUCT_MINI2VT.get(data.get("ProductClass", None), None)
if product:
contract = ContractData(
symbol=data["InstrumentID"],
exchange=EXCHANGE_MINI2VT[data["ExchangeID"]],
name=data["InstrumentName"],
product=product,
size=data["VolumeMultiple"],
pricetick=data["PriceTick"],
gateway_name=self.gateway_name)
# For option only
if contract.product == Product.OPTION:
contract.option_underlying = data["UnderlyingInstrID"],
contract.option_type = OPTIONTYPE_MINI2VT.get(
data["OptionsType"], None),
contract.option_strike = data["StrikePrice"],
contract.option_expiry = datetime.strptime(
data["ExpireDate"], "%Y%m%d"),
self.gateway.on_contract(contract)
symbol_exchange_map[contract.symbol] = contract.exchange
symbol_name_map[contract.symbol] = contract.name
symbol_size_map[contract.symbol] = contract.size
if last:
self.gateway.write_log(" contract information inquiry succeed ")
for data in self.order_data:
self.onRtnOrder(data)
self.order_data.clear()
for data in self.trade_data:
self.onRtnTrade(data)
self.trade_data.clear()
def onRspQryInstrument(self, data: dict, error: dict, reqid: int,
last: bool):
"""
Callback of instrument query.
"""
product = PRODUCT_CTP2VT.get(data["ProductClass"], None)
if product:
contract = ContractData(
symbol=data["InstrumentID"],
exchange=EXCHANGE_CTP2VT[data["ExchangeID"]],
name=data["InstrumentName"],
product=product,
size=data["VolumeMultiple"],
pricetick=data["PriceTick"], # 合约最小价格变动
max_order_volume=data["MaxLimitOrderVolume"], # 限价单次最大委托量
gateway_name=self.gateway_name)
#手续费数据合并到contract
for symbol in self.commission_data.keys():
if symbol == contract.symbol:
contract.open_commission_ratio = self.commission_data[
symbol]['OpenRatioByMoney'] #开仓手续费率
contract.open_commission = self.commission_data[symbol][
'OpenRatioByVolume'] #开仓手续费
contract.close_commission_ratio = self.commission_data[
symbol]['CloseRatioByMoney'] #平仓手续费率
contract.close_commission = self.commission_data[symbol][
'CloseRatioByVolume'] #平仓手续费
contract.close_commission_today_ratio = self.commission_data[
symbol]['CloseTodayRatioByMoney'] #平今手续费率
contract.close_commission_today = self.commission_data[
symbol]['CloseTodayRatioByVolume'] #平今手续费
elif remain_alpha(symbol) == remain_alpha(contract.symbol):
contract.open_commission_ratio = self.commission_data[
symbol]['OpenRatioByMoney'] #开仓手续费率
contract.open_commission = self.commission_data[symbol][
'OpenRatioByVolume'] #开仓手续费
contract.close_commission_ratio = self.commission_data[
symbol]['CloseRatioByMoney'] #平仓手续费率
contract.close_commission = self.commission_data[symbol][
'CloseRatioByVolume'] #平仓手续费
contract.close_commission_today_ratio = self.commission_data[
symbol]['CloseTodayRatioByMoney'] #平今手续费率
contract.close_commission_today = self.commission_data[
symbol]['CloseTodayRatioByVolume'] #平今手续费
#保证金数据合并到contract
for symbol in self.margin_ratio_data.keys():
if symbol == contract.symbol:
contract.margin_ratio = max(
self.margin_ratio_data[symbol]
['LongMarginRatioByMoney'],
self.margin_ratio_data[symbol]
['ShortMarginRatioByMoney']) #合约保证金比率
elif remain_alpha(symbol) == remain_alpha(contract.symbol):
contract.margin_ratio = max(
self.margin_ratio_data[symbol]
['LongMarginRatioByMoney'],
self.margin_ratio_data[symbol]
['ShortMarginRatioByMoney']) #合约保证金比率
# For option only
if contract.product == Product.OPTION:
# Remove C/P suffix of CZCE option product name
if contract.exchange == Exchange.CZCE:
contract.option_portfolio = data["ProductID"][:-1]
else:
contract.option_portfolio = data["ProductID"]
contract.option_underlying = data["UnderlyingInstrID"]
contract.option_type = OPTIONTYPE_CTP2VT.get(
data["OptionsType"], None)
contract.option_strike = data["StrikePrice"]
contract.option_index = str(data["StrikePrice"])
contract.option_expiry = datetime.strptime(
data["ExpireDate"], "%Y%m%d")
self.gateway.on_contract(contract)
symbol_exchange_map[contract.symbol] = contract.exchange
symbol_name_map[contract.symbol] = contract.name
symbol_size_map[contract.symbol] = contract.size
if last:
self.contract_inited = True
self.gateway.write_log("合约信息查询成功")
for data in self.order_data:
self.onRtnOrder(data)
self.order_data.clear()
for data in self.trade_data:
self.onRtnTrade(data)
self.trade_data.clear()
