# Connection and Server ##############################################################
# EClientSocket
# eConnect
# eDisconnect ---> connectionClosed
# isConnected
# setServerLogLevel
# reqCurrentTime ---> currentTime self.current_Time
# serverVersion
# TwsConnectionTime
# ---> error
###################################################################################'''
print "Testing Connection and Server Group \n"
print tws.isConnected()
tws.setServerLogLevel(5)
tws.reqCurrentTime()
print "Server Version " + str(tws.serverVersion())
print "TWS Connection Time %s " % tws.TwsConnectionTime()
# Executions #########################################################################
# reqExecutions ---> execDetails self.exec_Details_reqId
# self.exec_Details_contract
# self.exec_Details_execution
# ---> execDetailsEnd self.exec_DetailsEnd_flag
# ---> commissionReport self.commission_Report
###################################################################################'''
print "Testing Executions Group \n"
order_id = []
tws.reqIds(1)
while not order_id:
time.sleep(0.1)
class IbGateway(VtGateway):
"""IB接口"""
#----------------------------------------------------------------------
def __init__(self, eventEngine, gatewayName='IB'):
"""Constructor"""
super(IbGateway, self).__init__(eventEngine, gatewayName)
self.host = EMPTY_STRING # 连接地址
self.port = EMPTY_INT # 连接端口
self.clientId = EMPTY_INT # 用户编号
self.tickerId = 0 # 订阅行情时的代码编号
self.tickDict = {} # tick快照字典，key为tickerId，value为VtTickData对象
self.orderId = 0 # 订单编号
self.orderDict = {} # 报单字典，key为orderId，value为VtOrderData对象
self.accountDict = {} # 账户字典
self.connected = False # 连接状态
self.wrapper = IbWrapper(self) # 回调接口
self.connection = EClientSocket(self.wrapper) # 主动接口
#----------------------------------------------------------------------
def connect(self):
"""连接"""
# 载入json文件
fileName = self.gatewayName + '_connect.json'
fileName = os.getcwd() + '/ibGateway/' + fileName
try:
f = file(fileName)
except IOError:
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'读取连接配置出错，请检查'
self.onLog(log)
return
# 解析json文件
setting = json.load(f)
try:
self.host = str(setting['host'])
self.port = int(setting['port'])
self.clientId = int(setting['clientId'])
except KeyError:
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'连接配置缺少字段，请检查'
self.onLog(log)
return
# 发起连接
self.connection.eConnect(self.host, self.port, self.clientId)
# 查询服务器时间
self.connection.reqCurrentTime()
# 请求账户数据主推更新
self.connection.reqAccountUpdates(True, '')
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
"""订阅行情"""
# 订阅行情
self.tickerId += 1
contract = Contract()
contract.m_symbol = str(subscribeReq.symbol)
contract.m_exchange = exchangeMap.get(subscribeReq.exchange, '')
contract.m_secType = productClassMap.get(subscribeReq.productClass, '')
contract.m_currency = currencyMap.get(subscribeReq.currency, '')
contract.m_expiry = subscribeReq.expiry
contract.m_strike = subscribeReq.strikePrice
contract.m_right = optionTypeMap.get(subscribeReq.optionType, '')
self.connection.reqMktData(self.tickerId, contract, '', False)
# 创建Tick对象并保存到字典中
tick = VtTickData()
tick.symbol = subscribeReq.symbol
tick.exchange = subscribeReq.exchange
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
tick.gatewayName = self.gatewayName
self.tickDict[self.tickerId] = tick
#----------------------------------------------------------------------
def sendOrder(self, orderReq):
"""发单"""
# 增加报单号1，最后再次进行查询
# 这里双重设计的目的是为了防止某些情况下，连续发单时，nextOrderId的回调推送速度慢导致没有更新
self.orderId += 1
# 创建合约对象
contract = Contract()
contract.m_symbol = str(orderReq.symbol)
contract.m_exchange = exchangeMap.get(orderReq.exchange, '')
contract.m_secType = productClassMap.get(orderReq.productClass, '')
contract.m_currency = currencyMap.get(orderReq.currency, '')
contract.m_expiry = orderReq.expiry
contract.m_strike = orderReq.strikePrice
contract.m_right = optionTypeMap.get(orderReq.optionType, '')
# 创建委托对象
order = Order()
order.m_orderId = self.orderId
order.m_clientId = self.clientId
order.m_action = directionMap.get(orderReq.direction, '')
order.m_lmtPrice = orderReq.price
order.m_totalQuantity = orderReq.volume
order.m_orderType = priceTypeMap.get(orderReq.priceType, '')
# 发送委托
self.connection.placeOrder(self.orderId, contract, order)
# 查询下一个有效编号
self.connection.reqIds(1)
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
"""撤单"""
self.connection.cancelOrder(cancelOrderReq.orderID)
#----------------------------------------------------------------------
def qryAccount(self):
"""查询账户资金"""
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'IB接口账户信息提供主推更新，无需查询'
self.onLog(log)
#----------------------------------------------------------------------
def qryPosition(self):
"""查询持仓"""
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'IB接口持仓信息提供主推更新，无需查询'
self.onLog(log)
#----------------------------------------------------------------------
def close(self):
"""关闭"""
self.connection.eDisconnect()
# Connection and Server ##############################################################
# EClientSocket
# eConnect
# eDisconnect ---> connectionClosed
# isConnected
# setServerLogLevel
# reqCurrentTime ---> currentTime self.current_Time
# serverVersion
# TwsConnectionTime
# ---> error
###################################################################################'''
print "Testing Connection and Server Group \n"
print tws.isConnected()
tws.setServerLogLevel(5)
tws.reqCurrentTime()
print "Server Version " + str(tws.serverVersion())
print "TWS Connection Time %s " % tws.TwsConnectionTime()
# Executions #########################################################################
# reqExecutions ---> execDetails self.exec_Details_reqId
# self.exec_Details_contract
# self.exec_Details_execution
# ---> execDetailsEnd self.exec_DetailsEnd_flag
# ---> commissionReport self.commission_Report
###################################################################################'''
print "Testing Executions Group \n"
