def read_rtn():
dnj['tt']['pReadRTN'] = dnj_trade_common.get_currentTT()
# global dnj['cfg']
read_rtn_args = ["tail", "-f", "-n1", dnj['cfg']['filenamee_read_rtn']]
read_rtn = subprocess.Popen(read_rtn_args, bufsize=0, stdout=subprocess.PIPE, stderr=subprocess.STDOUT)
while True:
#buff1 = read_rtn.stdout.readline().decode("utf-8")
buff1 = read_rtn.stdout.readline()
tt_1 = dnj_trade_common.get_currentTT()
time_1 = tt_1['timestamp_micro']
if buff1 == '' and read_rtn.poll() != None:
continue
else:
parse_rtn(buff1)
def read_in_irr():
dnj['tt']['pReadInIrr'] = dnj_trade_common.get_currentTT()
# global dnj['cfg']
read_in_irr_args = ["tail", "-f", "-n1", dnj['cfg']['filenamee_write_result']]
sub_read_in_irr = subprocess.Popen(read_in_irr_args, bufsize=0, stdout=subprocess.PIPE, stderr=subprocess.STDOUT)
while True:
buff1 = sub_read_in_irr.stdout.readline().decode("utf-8").strip()
#buff1 = sub_read_in_irr.stdout.readline()
tt_1 = dnj_trade_common.get_currentTT()
time_1 = tt_1['timestamp_micro']
if buff1 == '' and sub_read_in_irr.poll() != None:
continue
else:
parse_in_irr(buff1)
def parse_rsp(line_this):
fields = str(line_this).split(",")
if len(fields) < 20:
# print("rsp <20")
return False
if int(fields[ 1]) < int(dnj['tt']['Dstart']["timestamp_micro"]):
# print ("rsp < Dstart")
return False
# trr12 OnRspOrderInsert 报单录入应答
if fields[2] == "trr12":
InputOrder_one = parse_trr12(fields)
if InputOrder_one:
dnj_trade_common.InputOrder[InputOrder_one['UserOrderLocalID']] = InputOrder_one.copy()
# trr13 OnRspOrderAction() 报单操作应答
if fields[2] == "trr13":
OrderAction_one = parse_trr13(fields)
if OrderAction_one:
dnj_trade_common.OrderAction[OrderAction_one['UserOrderActionLocalID']] = OrderAction_one.copy()
# trr35 OnRspQryOrder() 报单查询应答
if fields[2] == "trr35":
QueryOrder_one = parse_trr35(fields)
#pprint.pprint(fields)
if QueryOrder_one:
dnj_trade_common.QueryOrder[QueryOrder_one['UserOrderLocalID']] = QueryOrder_one.copy()
# trr39 OnRspQryInvestorAccount() 投资者资金账户查询应答 // much info
if fields[2] == "trr39":
InvestorAccount_one = parse_trr39(fields)
#pprint.pprint(fields)
if InvestorAccount_one:
for key, value in InvestorAccount_one.items():
dnj_trade_common.InvestorAccount[key] = value
# trr40 OnRspQryInstrument 合约查询应答
if fields[2] == "trr40":
Instrument_one = parse_trr40(fields)
#pprint.pprint(fields)
if Instrument_one:
dnj_trade_common.Instrument[Instrument_one['InstrumentID']] = Instrument_one.copy()
tt_last = dnj_trade_common.get_currentTT()
dnj_trade_common.rr_lastupdate['trr40'] = tt_last["timestamp_micro"]
# trr42 OnRspQryInvestorPosition 投资者持仓查询应答
if fields[2] == "trr42":
InvestorPosition_one = parse_trr42(fields)
#pprint.pprint(fields)
if InvestorPosition_one:
dnj_trade_common.InvestorPosition[InvestorPosition_one['InstrumentID']+","+InvestorPosition_one['Direction']] = InvestorPosition_one.copy()
tt_last = dnj_trade_common.get_currentTT()
dnj_trade_common.rr_lastupdate['trr42'] = tt_last["timestamp_micro"]
def form_tqq05(OrderSysID, UserOrderLocalID):
tt_now = dnj_trade_common.get_currentTT()
fields = []
# first 10 reserved fields
fields.append( tt_now["datentime_micro"] ) #0
fields.append( str(tt_now["timestamp_micro"]) ) #1, UserOrderLocalID (char [21]) (if needed)
fields.append( "tqq05" ) #2
fields.append( "ReqOrderAction()" ) #3
fields.append( "tcmd" ) #4
fields.append( "in" ) #5, co(console manual)/au(auto)/in(in.txt)
fields.append( "in001" ) #4
fields.append( tt_now["nRequestID"] ) #7 nRequestID (int), 1553[826774366]354
for x in range(12): # 12times (#8 - #19)
fields.append( "" )
# data start from [#20], 21st fields
fields.append( dnj['cfg']['gExchangeID'] ) # "CFFEX" ExchangeID ///交易所代码,必填字段（支持中金所、上期所、大商所、郑商所）
fields.append( OrderSysID ) # OrderSysID ///交易所系统报单编号（不为空按该字段操作，为空按本地报单编号操作） TUstpFtdcOrderSysIDType
fields.append( dnj['cfg']['gBrokerID'] ) # "0059" BrokerID ///经纪公司编号,必填字段
fields.append( dnj['cfg']['gInvestorID'] ) # "990407" InvestorID ///投资者编号,必填字段 （客户资金账户）
fields.append( dnj['cfg']['gUserID'] ) # "990407" UserID //用户代码,必填字段（飞马用户代码）
fields.append( str(tt_now["timestamp_micro"]) ) # UserOrderActionLocalID ///本次撤单Req的本地编号，必填字段 （需要保证按字典序递增） TUstpFtdcUserOrderLocalIDType # (直接用 timestamp, 一定比原來的 UserOrderLocalID 大)
fields.append( UserOrderLocalID ) # UserOrderLocalID ///被撤订单的本地报单编号 TUstpFtdcUserOrderLocalIDType
fields.append( '0' ) # "0" ActionFlag ///报单操作标志，必填字段（只支持删除） TUstpFtdcActionFlagType
fields.append( "~X~" ) # LimitPrice ///价格 （暂不支持，保留域） TUstpFtdcPriceType
fields.append( "~X~" ) # VolumeChange ///数量变化（暂不支持，保留域） TUstpFtdcVolumeType
fields.append( "~X~" ) # BusinessLocalID ///本地业务标识 TUstpFtdcBusinessLocalIDType
fields.append( dnj['cfg']['gClientID'] ) # "01568909" ClientID ///客户编码
return fields
def form_tqq19(InstrumentID):
# should clear InvestorPosition first
if InstrumentID == "":
dnj_trade_common.InvestorPosition.clear()
else:
key0 = InstrumentID + ",0"
key1 = InstrumentID + ",1"
if key0 in dnj_trade_common.InvestorPosition:
del dnj_trade_common.InvestorPosition[key0]
if key1 in dnj_trade_common.InvestorPosition:
del dnj_trade_common.InvestorPosition[key1]
tt_now = dnj_trade_common.get_currentTT()
fields = []
# first 10 reserved fields
fields.append( tt_now["datentime_micro"] ) #0
fields.append( str(tt_now["timestamp_micro"]) ) #1, UserOrderLocalID (char [21]) (if needed)
fields.append( "tqq19" ) #2
fields.append( "ReqQryInvestorPosition()" ) #3
fields.append( "tcmd" ) #4
fields.append( "in" ) #5, co(console manual)/au(auto)/in(in.txt)
fields.append( "in001" ) #4
fields.append( tt_now["nRequestID"] ) #7 nRequestID (int), 1553[826774366]354
for x in range(12): # 12times (#8 - #19)
fields.append( "" )
# data start from [#20], 21st fields
fields.append( dnj['cfg']['gBrokerID'] ) # "0059" BrokerID ///经纪公司编号,必填字段
fields.append( dnj['cfg']['gUserID'] ) # "990407" UserID //用户代码,必填字段（飞马用户代码）
fields.append( dnj['cfg']['gExchangeID'] ) # "CFFEX" ExchangeID ///交易所代码,必填字段（支持中金所、上期所、大商所、郑商所）
fields.append( dnj['cfg']['gInvestorID'] ) # "990407" InvestorID ///投资者编号,必填字段 （客户资金账户）
fields.append( InstrumentID ) # "" InstrumentID ///合约代码, 可以填寫 空字串 (回傳全部)
return fields
def form_tqq12(OrderSysID, InstrumentID, OrderStatus):
tt_now = dnj_trade_common.get_currentTT()
fields = []
# first 10 reserved fields
fields.append( tt_now["datentime_micro"] ) #0
fields.append( str(tt_now["timestamp_micro"]) ) #1, UserOrderLocalID (char [21]) (if needed)
fields.append( "tqq12" ) #2
fields.append( "ReqQryOrder()" ) #3
fields.append( "tcmd" ) #4
fields.append( "in" ) #5, co(console manual)/au(auto)/in(in.txt)
fields.append( "in001" ) #4
fields.append( tt_now["nRequestID"] ) #7 nRequestID (int), 1553[826774366]354
for x in range(12): # 12times (#8 - #19)
fields.append( "" )
# data start from [#20], 21st fields
fields.append( dnj['cfg']['gBrokerID'] ) # "0059" BrokerID ///经纪公司编号,必填字段
fields.append( dnj['cfg']['gUserID'] ) # "990407" UserID //用户代码,必填字段（飞马用户代码）
fields.append( "~X~" ) # ExchangeID ///交易所代码 TUstpFtdcExchangeIDType
fields.append( dnj['cfg']['gInvestorID'] ) # "990407" InvestorID ///投资者编号,必填字段 （客户资金账户）
fields.append( OrderSysID ) # "~X~" OrderSysID ///系统报单编号 TUstpFtdcOrderSysIDType
fields.append( InstrumentID ) # "~X~" InstrumentID ///合约代码 TUstpFtdcInstrumentIDType
fields.append( OrderStatus ) # "" OrderStatus ///报单状态 TUstpFtdcOrderStatusType
fields.append( "~X~" ) # OrderType ///委托类型 TUstpFtdcOrderTypeType
fields.append( "~X~" ) # ClientID ///客户编码 TUstpFtdcClientIDType
return fields
def read_rtn_mrr11():
dnj['tt']['pReadRTNmr11'] = dnj_trade_common.get_currentTT()
#global dnj['cfg']
read_rtn_mrr11_args = ["tail", "-f", "-n1", dnj['cfg']['filenamee_read_rtn_mrr11']]
read_rtn_mrr11 = subprocess.Popen(read_rtn_mrr11_args, bufsize=0, stdout=subprocess.PIPE, stderr=subprocess.STDOUT)
while True:
buff2 = read_rtn_mrr11.stdout.readline().decode("utf-8")
#buff2 = read_rtn_mrr11.stdout.readline()
if buff2 == '' and read_rtn_mrr11.poll() != None:
continue
else:
depdata_one = parse_mrr11(buff2)
if depdata_one:
dnj_trade_common.deptmarketdata[depdata_one['InstrumentID']] = depdata_one.copy()
tt_last = dnj_trade_common.get_currentTT()
dnj_trade_common.rr_lastupdate['mrr11'] = tt_last["timestamp_micro"]
terminal_update_mrr11(depdata_one);
def write_in(fields):
q_11 = dnj_trade_common.get_currentTT()
fields[11] = str(q_11["timestamp_micro"]);
str_app = ""
for idx in range(0, len(fields)):
#print (">%d:%s<" %(idx,fields[idx]))
str_app += fields[idx] + "," #0
# print(str_app)
if dnj_trade_common.fh_filenamee_write.closed:
dnj_trade_common.fh_filenamee_write = open(dnj['cfg']['filenamee_write'], "a")
# print (">>>>>>>>>>>>>>>>do a open: %s" %(dnj['cfg']['filenamee_write']))
dnj_trade_common.fh_filenamee_write.write(str_app + "\n")
dnj_trade_common.fh_filenamee_write.flush()
#dnj_trade_common.fh_filenamee_write.close()
q_12 = dnj_trade_common.get_currentTT()
#print ("%s (編號:%s) 全部p:%6d (mq前:%6d, mq t12-t11:%5d) (q12:%d [網路])" %(fields[2], fields[1], q_12["timestamp_micro"]-int(fields[1]), q_11["timestamp_micro"] - int(fields[1]), q_12["timestamp_micro"] - q_11["timestamp_micro"], q_12["timestamp_micro"]))
def read_rtn_trr22():
dnj['tt']['pReadRTNtrr22'] = dnj_trade_common.get_currentTT()
#global dnj['cfg']
read_rtn_trr22_args = ["tail", "-f", "-n1", dnj['cfg']['filenamee_read_rtn_trr22']]
read_rtn_trr22 = subprocess.Popen(read_rtn_trr22_args, bufsize=0, stdout=subprocess.PIPE, stderr=subprocess.STDOUT)
while True:
buff2 = read_rtn_trr22.stdout.readline().decode("utf-8")
#buff2 = read_rtn_trr22.stdout.readline()
if buff2 == '' and read_rtn_trr22.poll() != None:
continue
else:
xxx_one = parse_trr22(buff2)
def parse_in_irr (line_this):
#global tqq16_irr
fields = str(line_this).split(",")
#pprint.pprint(fields)
if fields[2] == "tqq16":
dnj_trade_common.tqq16_irr = int(fields[8])
tt_last = dnj_trade_common.get_currentTT()
dnj_trade_common.rr_lastupdate['in_irr'] = tt_last["timestamp_micro"]
dnj['check']['isJConnected'] = True
dnj['check']['isFConnected'] = True
if dnj_trade_common.tqq16_irr == -1:
dnj['check']['isFConnected'] = False
def terminal_main():
dnj['tt']['pTerminalMain'] = dnj_trade_common.get_currentTT()
print(chr(27) + "[2J") # clear the screen
# update option
# update trading
# updat balance
#print ("%d %d %d %d" %(len(Instrument.keys()), len(deptmarketdata.keys()), len(OrderAction.keys()), len(InputOrder.keys())))
#time.sleep(1)
# the inpu
while True:
line = get_input_str(28, 1)
sys.stdout.write("\x1b7\x1b[%d;%df%-30s\x1b8" %
(27, 1, "pre: " + line))
sys.stdout.write("\x1b7\x1b[%d;%df%-30s\x1b8" % (28, 1, "cmd: "))
sys.stdout.flush()
line = line.strip()
if line == "i":
msg = "b:bool s:dict c:path 1:IF1905 2:IH 3:IO 4:tqq19"
terminal_update_msg(29, 1, msg)
if line == "b":
msg = (
"Femas:%s J:%s mrr11:%s " %
(str(dnj['check']['isFConnected']),
str(dnj['check']['isJConnected']),
str(dnj['check']['isMrr11Coming'])))
terminal_update_msg(29, 1, msg)
if line == "s":
msg = ("%d %d %d %d %d" %
(len(dnj_trade_common.Instrument.keys()),
len(dnj_trade_common.deptmarketdata.keys()),
len(dnj_trade_common.OrderAction.keys()),
len(dnj_trade_common.InputOrder.keys()),
len(dnj_trade_common.InvestorAccount.keys())))
terminal_update_msg(29, 1, msg)
if line == "1":
write_in(form_tqq17("", "IF1905"))
if line == "2":
write_in(form_tqq17("", "IH"))
if line == "3":
write_in(form_tqq17("", "IO"))
if line == "4":
write_in(form_tqq19(""))
if line == "c":
msg = ("%s/%s" %
(dnj['cfg']['basenamee'], dnj['cfg']['datenamee']))
terminal_update_msg(29, 1, msg)
def check_connectivity():
write_in(form_tqq16()) # tqq16 ReqQryInvestorAccount()
tt_last = dnj_trade_common.get_currentTT()
if (tt_last["timestamp_micro"] -
dnj_trade_common.rr_lastupdate['in_irr']) > 10 * 1000000:
dnj['check']['isJConnected'] = False
else:
dnj['check']['isJConnected'] = True
if (tt_last["timestamp_micro"] -
dnj_trade_common.rr_lastupdate['mrr11']) > 5 * 1000000:
dnj['check']['isMrr11Coming'] = False
else:
dnj['check']['isMrr11Coming'] = True
def form_tqq04(InstrumentID, OrderPriceType, Direction, OffsetFlag, LimitPrice, Volume, TimeCondition, VolumeCondition):
tt_now = dnj_trade_common.get_currentTT()
fields = []
# first 10 reserved fields
fields.append( tt_now["datentime_micro"] ) #0
fields.append( str(tt_now["timestamp_micro"]) ) #1, UserOrderLocalID (char [21]) (if needed)
fields.append( "tqq04" ) #2
fields.append( "ReqOrderInsert()" ) #3
fields.append( "tcmd" ) #4
fields.append( "in" ) #5, co(console manual)/au(auto)/in(in.txt)
fields.append( "in001" ) #4
fields.append( tt_now["nRequestID"] ) #7 nRequestID (int), 1553[826774366]354
for x in range(12): # 12times (#8 - #19)
fields.append( "" )
# data start from [#20], 21st fields
fields.append( dnj['cfg']['gBrokerID'] ) # "0059" BrokerID ///经纪公司编号,必填字段
fields.append( dnj['cfg']['gExchangeID'] ) # "CFFEX" ExchangeID ///交易所代码,必填字段（支持中金所、上期所、大商所、郑商所）
fields.append( "~X~" ) # "" OrderSysID ///系统报单编号
fields.append( dnj['cfg']['gInvestorID'] ) # "990407" InvestorID ///投资者编号,必填字段 （客户资金账户）
fields.append( dnj['cfg']['gUserID'] ) # "990407" UserID //用户代码,必填字段（飞马用户代码）
fields.append( "~X~" ) # "" SeatNo ///指定下单席位编号（取值范围[1-N]，N为可用席位数目，超出范围的随机分配席位）
fields.append( InstrumentID ) # "IF1904" InstrumentID ///合约代码,必填字段
fields.append( str(tt_now["timestamp_micro"])) # "00001" UserOrderLocalID ///用户本地报单号,必填字段
fields.append( OrderPriceType ) # '3' OrderPriceType ///(option 只能 限价2, 不能 任意價格市价1) 报单价格条件,必填字段（支持市价1、限价2、五档价4 和最优价3）
fields.append( Direction ) # '0' Direction ///(# 0 买, 1 卖, 9 All) 买卖方向,必填字段
fields.append( OffsetFlag ) # '0' OffsetFlag ///开平标志,必填字段（中金所支持开仓0和平仓1，上期所支持开仓、平今和平昨）
fields.append( '1' ) # '1' HedgeFlag ///投机套保标志,必填字段（支持投机、套保、套利、做市商编码）
fields.append( LimitPrice ) # "500" LimitPrice ///价格,必填字段
fields.append( Volume ) # '1' Volume ///数量,必填字段
fields.append( TimeCondition ) # '3' TimeCondition ///有效期类型,必填字段（“立即完成，否则撤销”1 OR“当日有效”3）
fields.append( "~X~" ) # "" GTDDate ///GTD日期（暂不支持，保留域）
fields.append( VolumeCondition ) # '1' VolumeCondition ///成交量类型,必填字段（支持“任意数量 1” 和 “全部数量 3”）
fields.append( "~X~" ) # "" MinVolume ///最小成交量（暂不支持，保留域）
fields.append( "~X~" ) # "" StopPrice ///止损价（暂不支持，保留域）
fields.append( '0' ) # '0' ForceCloseReason ///强平原因，只支持”非强平” ? （暂不支持，保留域）
fields.append( "~X~" ) # "" IsAutoSuspend ///自动挂起标志（暂不支持，保留域）
fields.append( "~X~" ) # "" BusinessUnit ///业务单元（暂不支持，保留域）
fields.append( "self" ) # "self" UserCustom ///用户自定义域 64字节
fields.append( "~X~" ) # "" BusinessLocalID ///本地业务标识（暂不支持，保留域）
fields.append( "~X~" ) # "" ActionDay ///业务发生日期
fields.append( "~X~" ) # "" ArbiType ///策略类别（套利组合业务必填字段）
fields.append( dnj['cfg']['gClientID'] ) # "01568909" ClientID ///客户编码
return fields
def form_tqq16():
tt_now = dnj_trade_common.get_currentTT()
fields = []
# first 10 reserved fields
fields.append( tt_now["datentime_micro"] ) #0
fields.append( str(tt_now["timestamp_micro"]) ) #1, UserOrderLocalID (char [21]) (if needed)
fields.append( "tqq16" ) #2
fields.append( "ReqQryInvestorAccount()" ) #3
fields.append( "tcmd" ) #4
fields.append( "in" ) #5, co(console manual)/au(auto)/in(in.txt)
fields.append( "in001" ) #4
fields.append( tt_now["nRequestID"] ) #7 nRequestID (int), 1553[826774366]354
for x in range(12): # 12times (#8 - #19)
fields.append( "" )
# data start from [#20], 21st fields
fields.append( dnj['cfg']['gBrokerID'] ) # "0059" BrokerID ///经纪公司编号,必填字段
fields.append( dnj['cfg']['gUserID'] ) # "990407" UserID //用户代码,必填字段（飞马用户代码）
fields.append( dnj['cfg']['gInvestorID'] ) # "990407" InvestorID ///投资者编号,必填字段 （客户资金账户）
return fields
def form_tqq17(ProductID, InstrumentID):
tt_now = dnj_trade_common.get_currentTT()
fields = []
# first 10 reserved fields
fields.append( tt_now["datentime_micro"] ) #0
fields.append( str(tt_now["timestamp_micro"]) ) #1, UserOrderLocalID (char [21]) (if needed)
fields.append( "tqq17" ) #2
fields.append( "ReqQryInstrument()" ) #3
fields.append( "tcmd" ) #4
fields.append( "in" ) #5, co(console manual)/au(auto)/in(in.txt)
fields.append( "in001" ) #4
fields.append( tt_now["nRequestID"] ) #7 nRequestID (int), 1553[826774366]354
for x in range(12): # 12times (#8 - #19)
fields.append( "" )
# data start from [#20], 21st fields
fields.append( dnj['cfg']['gExchangeID'] )# 交易所代码,必填字段（支持中金所、上期所、大商所、郑商所）
fields.append( ProductID )# 产品代码
fields.append( InstrumentID )# 合约代码
return fields
"""
import time
import threading
import dnj_trade_common
from dnj_trade_read_spi import read_in_irr, read_rsp, read_rtn, read_rtn_trr22, read_rtn_mrr11
from dnj_trade_write_api import write_in, form_tqq12, form_tqq16, form_tqq19
from dnj_trade_terminal import terminal_main, terminal_update_msg, terminal_update_act_info, terminal_update_connectivity, print_time
from dnj_trade_strategy import strategy_main
dnj = dnj_trade_common.dnj
# program start
dnj['tt']['Dstart'] = dnj_trade_common.get_currentTT()
# should be load config
isLoadCFG = dnj_trade_common.load_cfg_init()
if not isLoadCFG:
print("error reading cfg")
sys.exit(0)
# print_time 子執行緒 (只是 print time, 和 keep connection)
t_print_time = threading.Thread(target=print_time)
t_print_time.start()
# read_in_irr 子執行緒 (這個可以當作 qq 的 log)
t_read_in_irr = threading.Thread(target=read_in_irr)
t_read_in_irr.start()
def strategy_main():
dnj['tt']['pStrategylMain'] = dnj_trade_common.get_currentTT()
global ta_IF, ta_IO_C, ta_IO_P, list_IO_aaa_C, list_IO_aaa_P
# make sure connection
# get IF* contracts, find the most recently (IF1095) (1095)
# from IF1095, today's quote (mrr11), find the "pivot", e.g. 4098
# get IO1095-*, find up/down 5 contracts near 4098 (for print)
t_update_ta_IF = 0
t_update_position = 0
while True:
tt_now = dnj_trade_common.get_currentTT()
# update_position_list()
# tqq19 ReqQryInvestorPosition() 投资者持仓查询请求
# expect: trr42 OnRspQryInvestorPosition 投资者持仓查询应答
if (tt_now["timestamp_micro"] - t_update_position) > 9 * 1000000:
YY_now = 18
for key, value in dnj_trade_common.InvestorPosition.items():
if not value["Position"] == "0":
msg = value[
"r_datentime_micro"] + " " + key + " Position:" + value[
"Position"]
terminal_update_msg(YY_now, 1, msg)
YY_now = YY_now + 1
write_in(form_tqq19(""))
t_update_position = tt_now["timestamp_micro"]
# time.sleep(1)
# update_IF_IO_list()
# update if/io target
update_IF_IO_list()
msg = ("%s IF:%s, IOC:%s, IOP:%s, listIOC:%d, listIOP:%d" %
(tt_now["datentime_micro"], ta_IF, ta_IO_C, ta_IO_P,
len(list_IO_aaa_C), len(list_IO_aaa_P)))
terminal_update_msg(16, 1, msg)
if (tt_now["timestamp_micro"] - t_update_ta_IF) > 10 * 59 * 1000000:
if dnj_trade_common.dnj['check']['isMrr11Coming']:
# tqq12 ReqQryOrder() 报单查询请求
# expect: trr35 OnRspQryOrder() 报单查询应答
write_in(form_tqq12("~X~", "~X~", "1"))
time.sleep(1)
write_in(form_tqq12("~X~", "~X~", "3"))
time.sleep(5)
# cancel all pending order
# YY_now = 10
for key, value in dnj_trade_common.QueryOrder.items():
# #define USTP_FTDC_OS_AllTraded '0' ///全部成交
# #define USTP_FTDC_OS_PartTradedQueueing '1' ///部分成交还在队列中
# #define USTP_FTDC_OS_PartTradedNotQueueing '2' ///部分成交不在队列中
# #define USTP_FTDC_OS_NoTradeQueueing '3' ///未成交还在队列中
# #define USTP_FTDC_OS_NoTradeNotQueueing '4' ///未成交不在队列中 (錯單)
# #define USTP_FTDC_OS_Canceled '5' ///撤单
# #define USTP_FTDC_OS_AcceptedNoReply '6' ///订单已报入交易所未应答
# msg = key + " OrderStatus:" + value['OrderStatus']
# terminal_update_msg(YY_now, 1, msg)
# YY_now = YY_now + 1
if value['OrderStatus'] == "1" or value[
'OrderStatus'] == "3":
write_in(form_tqq05("~X~", key))
## sell all
for key, value in dnj_trade_common.InvestorPosition.items():
# form_tqq04(InstrumentID, OrderPriceType, Direction, OffsetFlag, LimitPrice, Volume, TimeCondition, VolumeCondition):
# InstrumentID ///合约代码,必填字段
# OrderPriceType ///(option 只能 限价2, 不能 任意價格市价1) 报单价格条件,必填字段（支持市价1、限价2、五档价4 和最优价3）
# Direction ///(# 0 买, 1 卖, 9 All) 买卖方向,必填字段
# OffsetFlag ///开平标志,必填字段（中金所支持开仓0和平仓1，上期所支持开仓、平今和平昨）
# LimitPrice ///价格,必填字段
# Volume ///数量,必填字段
# TimeCondition ///有效期类型,必填字段（“立即完成，否则撤销”1 OR“当日有效”3）
# VolumeCondition ///成交量类型,必填字段（支持“任意数量 1” 和 “全部数量 3”）
if not value["Position"] == "0":
InstrumentID_pos = value['InstrumentID']
Direction_pos = value['Direction']
Position_pos = value['Position']
FrozenClosing_pos = value['FrozenClosing']
FrozenPosition_pos = value['FrozenPosition']
InstrumentID_order = InstrumentID_pos
OrderPriceType_order = "2"
Direction_order = "0" if Direction_pos == "1" else "1"
OffsetFlag_order = "1"
# LimitPrice_order
if InstrumentID_order.startswith("IO"): # option
if Direction_order == "1": # 1 卖 (這裡故意賣 低價)
LimitPrice_order = dnj_trade_common.Instrument[
InstrumentID_order]['LowerLimitPrice']
else: # 0 买 (這裡故意買 高價)
LimitPrice_order = dnj_trade_common.Instrument[
InstrumentID_order]['UpperLimitPrice']
else: # future, 市價 +/- 30.0 保護帶 (use 29.0)
if Direction_order == "1": # 1 卖 (這裡故意賣 低價)
LimitPrice_order = str(
float(dnj_trade_common.
deptmarketdata[InstrumentID_order]
['LastPrice']) - 29)
else: # 0 买 (這裡故意買 高價)
LimitPrice_order = str(
float(dnj_trade_common.
deptmarketdata[InstrumentID_order]
['LastPrice']) + 29)
Volume_order = str(
int(Position_pos) - int(FrozenClosing_pos) -
int(FrozenPosition_pos))
TimeCondition_order = "3"
VolumeCondition_order = "1"
write_in(
form_tqq04(InstrumentID_order,
OrderPriceType_order, Direction_order,
OffsetFlag_order, LimitPrice_order,
Volume_order, TimeCondition_order,
VolumeCondition_order))
# 上面的 sell 和 下面的 buy 會造成
# trr12,OnRspOrderInsert(),trsp,138,交易所返回:[订单触发自成交]
time.sleep(8 * 60)
# update if/io target
update_IF_IO_list()
msg = ("%s IF:%s, IOC:%s, IOP:%s, listIOC:%d, listIOP:%d" %
(tt_now["datentime_micro"], ta_IF, ta_IO_C, ta_IO_P,
len(list_IO_aaa_C), len(list_IO_aaa_P)))
terminal_update_msg(16, 1, msg)
# buy 2 lots, for: ta_IF, ta_IO_C, ta_IO_P
#for key in [ta_IF, ta_IO_C, ta_IO_P]:
# future 損失比較多, 先不要
for key in [ta_IO_C, ta_IO_P]:
# form_tqq04(InstrumentID, OrderPriceType, Direction, OffsetFlag, LimitPrice, Volume, TimeCondition, VolumeCondition):
# InstrumentID ///合约代码,必填字段
# OrderPriceType ///(option 只能 限价2, 不能 任意價格市价1) 报单价格条件,必填字段（支持市价1、限价2、五档价4 和最优价3）
# Direction ///(# 0 买, 1 卖, 9 All) 买卖方向,必填字段
# OffsetFlag ///开平标志,必填字段（中金所支持开仓0和平仓1，上期所支持开仓、平今和平昨）
# LimitPrice ///价格,必填字段
# Volume ///数量,必填字段
# TimeCondition ///有效期类型,必填字段（“立即完成，否则撤销”1 OR“当日有效”3）
# VolumeCondition ///成交量类型,必填字段（支持“任意数量 1” 和 “全部数量 3”）
InstrumentID_order = key
OrderPriceType_order = "2"
Direction_order = "0"
OffsetFlag_order = "0"
# LimitPrice_order
if InstrumentID_order.startswith("IO"): # option
if Direction_order == "1": # 1 卖 (這裡故意賣 低價)
LimitPrice_order = dnj_trade_common.Instrument[
InstrumentID_order]['LowerLimitPrice']
else: # 0 买 (這裡故意買 高價)
LimitPrice_order = dnj_trade_common.Instrument[
InstrumentID_order]['UpperLimitPrice']
else: # future, 市價 +/- 30.0 保護帶 (use 29.0)
if Direction_order == "1": # 1 卖 (這裡故意賣 低價)
LimitPrice_order = str(
float(dnj_trade_common.
deptmarketdata[InstrumentID_order]
['LastPrice']) - 29)
else: # 0 买 (這裡故意買 高價)
LimitPrice_order = str(
float(dnj_trade_common.
deptmarketdata[InstrumentID_order]
['LastPrice']) + 29)
Volume_order = "2"
TimeCondition_order = "3"
VolumeCondition_order = "1"
write_in(
form_tqq04(InstrumentID_order, OrderPriceType_order,
Direction_order, OffsetFlag_order,
LimitPrice_order, Volume_order,
TimeCondition_order, VolumeCondition_order))
# time
t_update_ta_IF = tt_now["timestamp_micro"]