def xclose(self, instrument_id, close_type,direction, volume,price):
"""
上期所区分平昨和平今
搞反的话就会被CTP直接拒绝. 如平昨来平当日仓,且无足够昨仓,就会报:综合交易平台：平昨仓位不足
"""
ref_id = self.inc_request_id()
close_flag = UType.OF_CloseToday if close_type == XCLOSE_TODAY else UType.OF_Close
req = UStruct.InputOrder(
InstrumentID = instrument_id,
Direction = self.to_ctp_direction(direction),
OrderRef = str(ref_id),
LimitPrice = price, #有个疑问，double类型如何保证舍入舍出，在服务器端取整?
VolumeTotalOriginal = volume,
OrderPriceType = UType.OPT_LimitPrice,
BrokerID = self._broker,
InvestorID = self._investor,
CombOffsetFlag = close_flag,
CombHedgeFlag = UType.HF_Speculation, #投机 5位字符, 但是只用到第0位
VolumeCondition = UType.VC_AV,
MinVolume = 1, #这个作用有点不确定, 有的文档设成0了
ForceCloseReason = UType.FCC_NotForceClose,
IsAutoSuspend = 1,
UserForceClose = 0,
TimeCondition = UType.TC_GFD,
)
ret = self.ReqOrderInsert(req, ref_id)
return ret
def formatOrder(traderSpi, inst, direc, open_close, volume, price):
orderp = ApiStruct.InputOrder(
InstrumentID=inst,
Direction=direc, # ApiStruct.D_Buy or ApiStruct.D_Sell
OrderRef=str(traderSpi.inc_request_id()),
LimitPrice=price,
VolumeTotalOriginal=volume,
OrderPriceType=ApiStruct.OPT_LimitPrice,
BrokerID=traderSpi.broker_id,
InvestorID=traderSpi.investor_id,
# BrokerID = '6868',
# InvestorID = '10000360',
UserID = traderSpi.investor_id,
CombOffsetFlag=open_close, # OF_Open, OF_Close, OF_CloseToday
CombHedgeFlag=ApiStruct.HF_Speculation,
VolumeCondition=ApiStruct.VC_AV,
MinVolume=1,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=1,
UserForceClose=0,
TimeCondition=ApiStruct.TC_GFD,
)
print orderp
return orderp
def xopen(self, instrument_id, direction, volume, price):
#print("spidelegate,xopen",instrument_id,volume,price,self)
ref_id = self.inc_request_id()
req = UStruct.InputOrder(
InstrumentID = instrument_id,
Direction = self.to_ctp_direction(direction),
OrderRef = str(ref_id),
LimitPrice = price, #有个疑问，double类型如何保证舍入舍出，在服务器端取整?
VolumeTotalOriginal = volume,
OrderPriceType = UType.OPT_LimitPrice,
ContingentCondition = UType.CC_Immediately,
BrokerID = self._broker,
InvestorID = self._investor,
CombOffsetFlag = UType.OF_Open, #开仓 5位字符, 但是只用到第0位
CombHedgeFlag = UType.HF_Speculation, #投机 5位字符, 但是只用到第0位
VolumeCondition = UType.VC_AV,
MinVolume = 1, #这个作用有点不确定, 有的文档设成0了
ForceCloseReason = UType.FCC_NotForceClose,
IsAutoSuspend = 1,
UserForceClose = 0,
TimeCondition = UType.TC_GFD,
)
ret = self.ReqOrderInsert(req, ref_id)
return ret
def OnRspQryInvestorPositionDetail(self, pInvestorPositionDetail, pRspInfo,
nRequestID, bIsLast):
if not pInvestorPositionDetail:
return
if self.api_type == 'close_all':
close_order = ApiStruct.InputOrder(
BrokerID=self.brokerID,
InvestorID=self.userID,
InstrumentID=pInvestorPositionDetail.InstrumentID,
OrderPriceType=ApiStruct.OPT_LimitPrice,
Direction=ApiStruct.D_Sell if pInvestorPositionDetail.Direction
== ApiStruct.D_Buy else ApiStruct.D_Buy,
VolumeTotalOriginal=pInvestorPositionDetail.Volume,
TimeCondition=ApiStruct.TC_GFD,
VolumeCondition=ApiStruct.VC_AV,
CombHedgeFlag=ApiStruct.HF_Speculation,
CombOffsetFlag=ApiStruct.OF_CloseToday,
LimitPrice=models.TickData.latest(
db, pInvestorPositionDetail.InstrumentID).last_price,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=False,
UserForceClose=False)
self.requestID += 1
self.ReqOrderInsert(close_order, self.requestID)
logger.info(
'Close remaining orders, instrument: {}, requestID={}'.format(
pInvestorPositionDetail.InstrumentID, self.requestID))
def xopen(self, instrument_id, direction, volume, price):
ref_id = self.inc_request_id()
'''
self.BrokerID = '' #经纪公司代码, char[11]
self.InvestorID = '' #投资者代码, char[13]
self.InstrumentID = '' #合约代码, char[31]
self.OrderRef = '' #报单引用, char[13]
self.UserID = '' #用户代码, char[16]
self.OrderPriceType = '' #报单价格条件, char
self.Direction = '' #买卖方向, char
self.CombOffsetFlag = '' #组合开平标志, char[5]
self.CombHedgeFlag = '' #组合投机套保标志, char[5]
self.LimitPrice = 'Price' #价格, double
self.VolumeTotalOriginal = 'Volume' #数量, int
self.TimeCondition = '' #有效期类型, char
self.GTDDate = 'Date' #GTD日期, char[9]
self.VolumeCondition = '' #成交量类型, char
self.MinVolume = 'Volume' #最小成交量, int
self.ContingentCondition = '' #触发条件, char
self.StopPrice = 'Price' #止损价, double
self.ForceCloseReason = '' #强平原因, char
self.IsAutoSuspend = 'Bool' #自动挂起标志, int
self.BusinessUnit = '' #业务单元, char[21]
self.RequestID = '' #请求编号, int
self.UserForceClose = 'Bool' #用户强评标志, int
self.IsSwapOrder = 'Bool' #互换单标志, int
'''
#print("spidelegate,xopen",str(ref_id).encode(encoding='utf-8', errors = 'strict'),self.to_ctp_direction(direction),instrument_id,volume,price,self._broker,self._investor,self)
print("spidelegate,xopen",str(ref_id).encode(encoding='utf-8', errors = 'strict'),UType.OF_Open,UType.HF_Speculation)
req = UStruct.InputOrder(
InstrumentID = instrument_id.encode(encoding='utf-8', errors = 'strict'),
Direction = self.to_ctp_direction(direction),
OrderRef = str(ref_id).encode(encoding='utf-8', errors = 'strict'),
LimitPrice = price, #有个疑问，double类型如何保证舍入舍出，在服务器端取整?
VolumeTotalOriginal = volume,
OrderPriceType = UType.OPT_LimitPrice,
ContingentCondition = UType.CC_Immediately,
BrokerID = self._broker,
InvestorID = self._investor,
CombOffsetFlag = UType.OF_Open, #开仓 5位字符, 但是只用到第0位
CombHedgeFlag = UType.HF_Speculation, #投机 5位字符, 但是只用到第0位
VolumeCondition = UType.VC_AV,
MinVolume = 1, #这个作用有点不确定, 有的文档设成0了
ForceCloseReason = UType.FCC_NotForceClose,
IsAutoSuspend = 1,
UserForceClose = 0,
TimeCondition = UType.TC_GFD,
)
ret = self.ReqOrderInsert(req, ref_id)
return ret
def close_orders_for_any_price(self):
orders = list()
if self.Position > 0:
orders.append(
ApiStruct.InputOrder(
BrokerID=self.BrokerID,
InvestorID=self.InvestorID,
InstrumentID=self.InstrumentID,
OrderPriceType=ApiStruct.OPT_AnyPrice,
Direction=self.CloseDirection,
VolumeTotalOriginal=self.Position,
TimeCondition=ApiStruct.TC_GFD,
VolumeCondition=ApiStruct.VC_AV,
CombHedgeFlag=self.HedgeFlag,
CombOffsetFlag=ApiStruct.OF_CloseToday,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=False,
UserForceClose=False))
return orders
def SendOrder(self, instrument, direction, offsetflag, volume, price):
'''发送报单'''
if offsetflag != ApiStruct.OF_Open:
#平仓则判定是否当下session持仓数量是否合法
with self.positionlock:
ind = (instrument, str(1 - int(direction))) #转换相反持仓信息index
if ind not in self.position or len(self.position[ind]) == 0:
self.logger.error('SendOrder[%s, %s]: not exist volume' %
ind)
return
else:
ans = 0
for i in self.position[ind]:
ans += i.Volume
if ans < volume:
self.logger.error(
'SendOrder[%s, %s]: No enough volume' % ind)
return
#下单
with self.maxorderreflock:
self.maxorderref += 1
pInputOrder = ApiStruct.InputOrder(
BrokerID=self.brokerid,
InvestorID=self.investorid,
InstrumentID=instrument,
OrderRef=str(self.maxorderref),
OrderPriceType=ApiStruct.OPT_LimitPrice,
Direction=direction,
CombOffsetFlag=offsetflag,
CombHedgeFlag=ApiStruct.HF_Speculation,
LimitPrice=price,
VolumeTotalOriginal=volume,
TimeCondition=ApiStruct.TC_GFD,
VolumeCondition=ApiStruct.VC_AV,
MinVolume=1,
ContingentCondition=ApiStruct.CC_Immediately,
)
self.IncReqid()
self.ReqOrderInsert(pInputOrder, self.requestid)
def close_orders_for_limited_price(self, db):
orders = list()
# if self.YdPosition > 0:
# orders.append(ApiStruct.InputOrder(
# BrokerID=self.BrokerID,
# InvestorID=self.InvestorID,
# InstrumentID=self.InstrumentID,
# OrderPriceType=ApiStruct.OPT_LimitPrice,
# Direction=self.CloseDirection,
# VolumeTotalOriginal=self.YdPosition,
# TimeCondition=ApiStruct.TC_GFD,
# VolumeCondition=ApiStruct.VC_AV,
# CombHedgeFlag=self.HedgeFlag,
# CombOffsetFlag=ApiStruct.OF_CloseYesterday,
# LimitPrice=TickData.latest(db, self.InstrumentID).last_price,
# ForceCloseReason=ApiStruct.FCC_NotForceClose,
# IsAutoSuspend=False,
# UserForceClose=False
# ))
if self.Position > 0:
orders.append(
ApiStruct.InputOrder(
BrokerID=self.BrokerID,
InvestorID=self.InvestorID,
InstrumentID=self.InstrumentID,
OrderPriceType=ApiStruct.OPT_LimitPrice,
Direction=self.CloseDirection,
VolumeTotalOriginal=self.Position,
TimeCondition=ApiStruct.TC_GFD,
VolumeCondition=ApiStruct.VC_AV,
CombHedgeFlag=self.HedgeFlag,
CombOffsetFlag=ApiStruct.OF_CloseToday,
LimitPrice=TickData.latest(db,
self.InstrumentID).last_price,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=False,
UserForceClose=False))
return orders
def followOrder():
# global orderList
from ctp_win32 import ApiStruct
# from Strategy import Strategy
# s = S = ApiStruct.D_Sell
# b = B = ApiStruct.D_Buy
# k = K = ApiStruct.OF_Open
# p = P = ApiStruct.OF_Close
# from colorama import init, Fore, Back, Style
# from TraderDelegate import TraderDelegate
# from tapy import cross, crossdown
# init()
try:
#读取账户信息
acinfo = shelve.open(msfile)
BROKER_ID = acinfo['BROKER_ID']
INVESTOR_ID = acinfo['INVESTOR_ID']
PASSWORD = acinfo['PASSWORD']
ADDR_MD = acinfo['ADDR_MD']
ADDR_TRADE = acinfo['ADDR_TRADE']
acinfo.close()
flacinfo = shelve.open(flfile)
flBROKER_ID = flacinfo['BROKER_ID']
flINVESTOR_ID = flacinfo['INVESTOR_ID']
flPASSWORD = flacinfo['PASSWORD']
flADDR_MD = flacinfo['ADDR_MD']
flADDR_TRADE = flacinfo['ADDR_TRADE']
flacinfo.close()
master_trade = TraderDelegate(broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
passwd=PASSWORD,
userProductInfo='webstock')
master_trade.Create(LOGS_DIR + BROKER_ID)
# T = {}
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
master_trade.SubscribePublicTopic(1)
master_trade.SubscribePrivateTopic(1)
master_trade.RegisterFront(ADDR_TRADE)
master_trade.Init()
print BROKER_ID, INVESTOR_ID
print u'主帐号登录完成。'
followTrader1 = TraderDelegate(broker_id=flBROKER_ID,
investor_id=flINVESTOR_ID,
passwd=flPASSWORD)
followTrader1.Create('f1')
followTrader1.RegisterFront(flADDR_TRADE)
followTrader1.SubscribePublicTopic(ApiStruct.TERT_QUICK)
followTrader1.SubscribePrivateTopic(ApiStruct.TERT_QUICK)
followTrader1.Init()
print u'跟单账号:', flINVESTOR_ID, u'登录完成。'
except IOError:
print IOError
return
while True:
try:
order_master = q_order_list.get(timeout=1)
q_order_list.task_done()
om = deepcopy(order_master)
# order_master = orderList[-1] if orderList else q_order_list.get()
if om.InvestorID == master_trade.investor_id:
print u'主帐号下单：'
print time.asctime(), u'下单时间:', om.InsertTime, u'帐号',om.InvestorID, u'合约:',om.InstrumentID,u'方向:',om.Direction,\
u'开平:',om.CombOffsetFlag
print u'数量：', om.VolumeTotalOriginal, u'价格：', om.LimitPrice
if om.InvestorID == followTrader1.investor_id:
print u'跟单账号下单：', om
# print str(j.FrontID)+str(j.SessionID).strip()+j.OrderRef,j.SequenceNo, j.BrokerOrderSeq, j.RequestID,j.OrderSysID,j.OrderStatus,j.OrderLocalID
# print j.InsertTime
# print '--'*50
# print order_master.InsertDate,
# print order_master.InsertTime,
# print order_master.StatusMsg.decode('gbk'),
# print order_master.OrderSource.decode('gbk')
# print order_master.BrokerID,
# print order_master.InvestorID
# print order_master.InstrumentID,
# print order_master.LimitPrice,
# print order_master.Direction,
# print order_master.CombOffsetFlag
# print order_master.CombHedgeFlag
# print order_master.OrderPriceType
# print order_master.RequestID
# print order_master.UserProductInfo
# print order_master.InvestorID, master_trade.investor_id
if order_master.InvestorID == master_trade.investor_id:
order = ApiStruct.InputOrder(
BrokerID=followTrader1.broker_id,
InvestorID=followTrader1.investor_id,
UserID=followTrader1.investor_id)
# order.BrokerID = followTrader1.broker_id
# order.InvestorID = followTrader1.investor_id
order.InstrumentID = order_master.InstrumentID
order.Direction = order_master.Direction
order.CombHedgeFlag = order_master.CombHedgeFlag
order.CombOffsetFlag = order_master.CombOffsetFlag
order.LimitPrice = order_master.LimitPrice
order.VolumeTotalOriginal = order_master.VolumeTotalOriginal
order.VolumeTotal = order_master.VolumeTotal
order.MinVolume = 1
order.OrderPriceType = order_master.OrderPriceType
order.OrderRef = order_master.OrderRef
# order.RequestID = order_master.RequestID
order.ForceCloseReason = ApiStruct.FCC_NotForceClose
order.IsAutoSuspend = 1
order.UserForceClose = 0
order.TimeCondition = ApiStruct.TC_GFD
order.VolumeCondition = ApiStruct.VC_AV
followTrader1.ReqOrderInsert(order, order_master.RequestID)
except Queue.Empty as e:
pass
def ReqOrderInsert2(self,
InstrumentID,
LimitPrice,
Volumes,
Direction=ApiStruct.D_Buy,
TimeCondition=ApiStruct.TC_IOC,
CombOffsetFlag=ApiStruct.OF_Open,
OrderPriceType='2'):
"""
OrderPriceType: #报单价格条件, char
OPT_AnyPrice = '1' #任意价
OPT_LimitPrice = '2' #限价
OPT_BestPrice = '3' #最优价
OPT_LastPrice = '4' #最新价
Direction:
D_Buy = '0' #买
D_Sell = '1' #卖
TimeCondition: #有效期类型, char
TC_IOC = '1' #立即完成，否则撤销
TC_GFS = '2' #本节有效
TC_GFD = '3' #当日有效
TC_GTD = '4' #指定日期前有效
TC_GTC = '5' #撤销前有效
TC_GFA = '6' #集合竞价有效
CombOffsetFlag：
OF_Open = '0' #开仓
OF_Close = '1' #平仓
OF_ForceClose = '2' #强平
OF_CloseToday = '3' #平今
OF_CloseYesterday = '4' #平昨
OF_ForceOff = '5' #强减
OF_LocalForceClose = '6' #本地强平
VolumeCondition: #成交量类型, char
VC_AV = '1' #任何数量
VC_MV = '2' #最小数量
VC_CV = '3' #全部数量
ContingentCondition： #触发条件, char
CC_Immediately = '1' #立即
CC_Touch = '2' #止损
CC_TouchProfit = '3' #止赢
CC_ParkedOrder = '4' #预埋单
ForceCloseReason： #强平原因, char
FCC_NotForceClose = '0' #非强平
FCC_LackDeposit = '1' #资金不足
FCC_ClientOverPositionLimit = '2' #客户超仓
FCC_MemberOverPositionLimit = '3' #会员超仓
FCC_NotMultiple = '4' #持仓非整数倍
FCC_Violation = '5' #违规
FCC_Other = '6' #其它
FCC_PersonDeliv = '7' #自然人临近交割
"""
self.request_id += 1
self.ReqOrderInsert(
ApiStruct.InputOrder(
BrokerID=self.broker_id,
InvestorID=self.investor_id,
InstrumentID=InstrumentID,
OrderRef='',
UserID='',
OrderPriceType=OrderPriceType,
Direction=Direction,
CombOffsetFlag=CombOffsetFlag,
LimitPrice=LimitPrice,
CombHedgeFlag='1',
VolumeTotalOriginal=Volumes,
TimeCondition=TimeCondition,
GTDDate='',
VolumeCondition='1',
MinVolume=0,
ContingentCondition='1',
StopPrice=0.0,
ForceCloseReason='0',
# IsAutoSuspend=0,
# BusinessUnit='',
# RequestID=0,
# UserForceClose=0,
# IsSwapOrder=0
),
self.request_id)
self.wait(InstrumentID, LimitPrice)
