def connect(self, username: str, password: str, host: str, port: int,
auth_code: str):
"""
Starting connection to TAP server.
"""
# General API setting
path = get_folder_path(self.gateway_name.lower())
SetITapTradeAPIDataPath(str(path))
SetITapTradeAPILogLevel(APILOGLEVEL_NONE)
# Create API object
info = TapTradeAPIApplicationInfo()
info.AuthCode = auth_code
info.KeyOperationLogPath = str(path)
self.api, iResult = CreateITapTradeAPI(info)
if not self.api:
self.gateway.write_log("交易API初始化失败")
return
# Set server address and port
self.api.SetAPINotify(self)
self.api.SetHostAddress(host, port, False)
# Start connection
login_auth = TapAPITradeLoginAuth()
login_auth.UserNo = username
login_auth.Password = password
login_auth.ISModifyPassword = APIYNFLAG_NO
self.api.Login(login_auth)
class TradeApi(ITapTradeAPINotify):
"""
Implementation of TAP trade api.
"""
def __init__(self, gateway: TapGateway):
""""""
super().__init__()
self.gateway = gateway
self.gateway_name = gateway.gateway_name
self.api = None
self.account_no = "" # required when sending order request
self.cancel_reqs = {
} # waiting cancel order requests before OrderNo received
# for mapping relationship between TAP OrderNo and ClientOrderNo
self.sys_local_map = {}
self.local_sys_map = {}
self.sys_server_map = {}
def OnConnect(self):
"""
Callback when connection is established with TAP server.
"""
self.gateway.write_log("交易服务器连接成功")
def OnRspLogin(self, errorCode: int, info: TapAPITradeLoginRspInfo):
"""
Callback of login request.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"交易服务器登录失败：{error_to_str(errorCode)}")
else:
self.gateway.write_log("交易服务器登录成功")
def OnAPIReady(self, code: int):
"""
Callback when API is ready for sending requests or queries.
"""
self.api.QryCommodity()
def OnRspQryCommodity(
self,
sessionID: int,
errorCode: int,
isLast: str,
info: TapAPICommodityInfo,
):
"""
Callback of commodity query with size and pricetick data.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log("查询交易品种信息失败")
return
commodity_info = CommodityInfo(name=info.CommodityEngName,
size=int(info.ContractSize),
pricetick=info.CommodityTickSize)
commodity_infos[info.CommodityNo] = commodity_info
if isLast == "Y":
self.gateway.write_log("查询交易品种信息成功")
self.api.QryContract(None)
def OnRspQryContract(self, sessionID: int, errorCode: int, isLast: str,
info: TapAPITradeContractInfo):
"""
Callback of contract query with detailed contract data.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log("查询交易合约信息失败")
return
exchange = EXCHANGE_TAP2VT.get(info.ExchangeNo, None)
commodity_info = commodity_infos.get(info.CommodityNo, None)
if not info or not exchange or not commodity_info:
return
if info.CommodityType == "F":
symbol = info.CommodityNo + info.ContractNo1
if commodity_info.name:
name = f"{commodity_info.name} {info.ContractNo1}"
else:
name = symbol
contract = ContractData(symbol=symbol,
exchange=exchange,
name=name,
product=Product.FUTURES,
size=commodity_info.size,
pricetick=commodity_info.pricetick,
net_position=True,
gateway_name=self.gateway.gateway_name)
self.gateway.on_contract(contract)
contract_info = ContractInfo(
name=contract.name,
exchange_no=info.ExchangeNo,
contract_no=info.ContractNo1,
commodity_type=info.CommodityType,
commodity_no=info.CommodityNo,
)
contract_infos[(contract.symbol,
contract.exchange)] = contract_info
if isLast == "Y":
self.gateway.write_log("查询交易合约信息成功")
self.query_account()
def OnRspQryAccount(self, sessionID: int, errorCode: int, isLast: str,
info: TapAPIAccountInfo):
"""
Callback of account number query.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询账号信息失败")
return
req = TapAPIFundReq()
req.AccountNo = info.AccountNo
self.api.QryFund(req)
def OnRspQryFund(self, sessionID: int, errorCode: int, isLast: str,
info: TapAPIFundData):
"""Callback of account fund query"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询资金信息失败")
return
self.update_account(info)
if isLast == "Y":
self.gateway.write_log("查询资金信息成功")
self.query_position()
def OnRtnFund(self, info: TapAPIFundData):
"""
Callback of account fund update.
"""
self.update_account(info)
def OnRspQryPositionSummary(self, sessionID: int, errorCode: int,
isLast: str, info: TapAPIPositionSummary):
"""
Callback of position summary query.
Position summary reflects the sum of positions on each contract.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询持仓信息失败")
return
if info:
self.update_position(info)
if isLast == "Y":
self.gateway.write_log(f"查询持仓信息成功")
self.query_order()
def OnRtnPositionSummary(self, info: TapAPIPositionSummary):
"""
Callback of position summary update.
"""
self.update_position(info)
def OnRspQryOrder(self, sessionID: int, errorCode: int, isLast: str,
info: TapAPIOrderInfo):
"""
Callback of today's order query.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询委托信息失败")
return
if info:
self.update_order(info)
if isLast == "Y":
self.gateway.write_log(f"查询委托信息成功")
self.query_trade()
def OnRtnOrder(self, info: TapAPIOrderInfoNotice):
"""
Callback of order update.
"""
if info.ErrorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"委托下单失败：{error_to_str(info.ErrorCode)}")
if info.OrderInfo:
self.update_order(info.OrderInfo)
def OnRspQryFill(self, sessionID: int, errorCode: int, isLast: str,
info: TapAPIFillInfo):
"""
Callback of today's order fill (trade) query.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询成交信息失败")
return
if info:
self.update_trade(info)
if isLast == "Y":
self.gateway.write_log(f"查询成交信息成功")
def OnRtnFill(self, info: TapAPIFillInfo):
"""
Callback of trade update.
"""
self.update_trade(info)
def OnRspOrderAction(self, sessionID: int, errorCode: int,
info: TapAPIOrderActionRsp):
"""
Callback of order action (cancel/amend) request.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"委托操作失败：{error_to_str(errorCode)}")
return
def update_account(self, info: TapAPIFundData):
"""
Convert TAP fund data structure into AccountData event and push it.
"""
self.account_no = info.AccountNo
account = AccountData(accountid=info.AccountNo,
balance=info.Balance,
frozen=info.Balance - info.Available,
gateway_name=self.gateway_name)
self.gateway.on_account(account)
def update_position(self, info: TapAPIPositionSummary):
"""
Convert TAP position summary structure into PositionData event and push it.
"""
position = PositionData(symbol=info.CommodityNo + info.ContractNo,
exchange=EXCHANGE_TAP2VT.get(
info.ExchangeNo, None),
direction=DIRECTION_TAP2VT[info.MatchSide],
volume=info.PositionQty,
price=info.PositionPrice,
gateway_name=self.gateway_name)
self.gateway.on_position(position)
def update_order(self, info: TapAPIOrderInfo):
"""
Convert TAP order data structure into OrderData event and push it.
"""
self.local_sys_map[info.ClientOrderNo] = info.OrderNo
self.sys_local_map[info.OrderNo] = info.ClientOrderNo
self.sys_server_map[info.OrderNo] = info.ServerFlag
order = OrderData(symbol=info.CommodityNo + info.ContractNo,
exchange=EXCHANGE_TAP2VT.get(info.ExchangeNo, None),
orderid=info.ClientOrderNo,
type=ORDERTYPE_TAP2VT.get(info.OrderType,
info.OrderType),
direction=DIRECTION_TAP2VT[info.OrderSide],
price=info.OrderPrice,
volume=info.OrderQty,
traded=info.OrderMatchQty,
status=STATUS_TAP2VT.get(info.OrderState,
Status.SUBMITTING),
time=info.OrderInsertTime,
gateway_name=self.gateway_name)
self.gateway.on_order(order)
# Send waiting cancel request to server
if info.ClientOrderNo in self.cancel_reqs:
req = self.cancel_reqs.pop(info.ClientOrderNo)
self.cancel_order(req)
def update_trade(self, info: TapAPIFillInfo):
"""
Convert TAP fill data structure into TradeData event and push it.
"""
orderid = self.sys_local_map[info.OrderNo]
trade = TradeData(symbol=info.CommodityNo + info.ContractNo,
exchange=EXCHANGE_TAP2VT.get(info.ExchangeNo, None),
orderid=orderid,
tradeid=info.MatchNo,
direction=DIRECTION_TAP2VT[info.MatchSide],
price=info.MatchPrice,
volume=info.MatchQty,
time=info.MatchDateTime,
gateway_name=self.gateway_name)
self.gateway.on_trade(trade)
def connect(self, username: str, password: str, host: str, port: int,
auth_code: str):
"""
Starting connection to TAP server.
"""
# General API setting
path = get_folder_path(self.gateway_name.lower())
SetITapTradeAPIDataPath(str(path))
SetITapTradeAPILogLevel(APILOGLEVEL_NONE)
# Create API object
info = TapTradeAPIApplicationInfo()
info.AuthCode = auth_code
info.KeyOperationLogPath = str(path)
self.api, iResult = CreateITapTradeAPI(info)
if not self.api:
self.gateway.write_log("交易API初始化失败")
return
# Set server address and port
self.api.SetAPINotify(self)
self.api.SetHostAddress(host, port, False)
# Start connection
login_auth = TapAPITradeLoginAuth()
login_auth.UserNo = username
login_auth.Password = password
login_auth.ISModifyPassword = APIYNFLAG_NO
self.api.Login(login_auth)
def send_order(self, req: OrderRequest):
"""
Send new order to TAP server.
"""
contract_info = contract_infos.get((req.symbol, req.exchange), None)
if not contract_info:
self.write_log(f"找不到匹配的合约：{req.symbol}和{req.exchange.value}")
return ""
if req.type not in ORDERTYPE_VT2TAP:
self.write_log(f"不支持的委托类型: {req.type.value}")
return ""
order_req = TapAPINewOrder()
order_req.ExchangeNo = contract_info.exchange_no
order_req.CommodityNo = contract_info.commodity_no
order_req.CommodityType = contract_info.commodity_type
order_req.ContractNo = contract_info.contract_no
order_req.OrderType = ORDERTYPE_VT2TAP[req.type]
order_req.OrderSide = DIRECTION_VT2TAP[req.direction]
order_req.OrderPrice = req.price
order_req.OrderQty = int(req.volume)
order_req.AccountNo = self.account_no
retv, session_id, order_id = self.api.InsertOrder(order_req)
order = req.create_order_data(order_id, self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def cancel_order(self, req: CancelRequest):
"""
Cancel an existing order.
If LocalOrderNo/OrderNo map is not ready yet (from query or update callback),
the cancel request will be put into cancel_reqs dict waiting.
"""
order_no = self.local_sys_map.get(req.orderid, "")
if not order_no:
self.cancel_reqs[req.orderid] = req
return
server_flag = self.sys_server_map[order_no]
cancel_req = TapAPIOrderCancelReq()
cancel_req.OrderNo = order_no
cancel_req.ServerFlag = server_flag
self.api.CancelOrder(cancel_req)
def query_account(self):
"""
Query account number data (and account fund data will be auto queried in callback).
"""
req = TapAPIAccQryReq()
self.api.QryAccount(req)
def query_position(self):
"""
Query position summary.
"""
req = TapAPIPositionQryReq()
self.api.QryPositionSummary(req)
def query_order(self):
"""
Query today order data.
"""
req = TapAPIOrderQryReq()
self.api.QryOrder(req)
def query_trade(self):
"""
Query today trade data.
"""
req = TapAPIFillQryReq()
self.api.QryFill(req)
def close(self):
"""
Release TAP API resources.
"""
if self.api:
self.api.SetAPINotify(None)
FreeITapTradeAPI(self.api)
self.api = None