def OnOrder(self, order=OrderField()):
"""委托响应"""
print('委托反应')
self.oid = self.GetLastOrder().OrderID
print('last order == ', self.GetLastOrder())
print('order id == ', self.oid)
print('cancel orderid == ', order.OrderID)
self.ReqCancel(self.oid)
def __OnRtnOrder(self, pOrder=CThostFtdcOrderField):
""""""
id = '{0}|{1}|{2}'.format(pOrder.getSessionID(), pOrder.getFrontID(),
pOrder.getOrderRef())
# of = OrderField()
of = self.DicOrderField.get(id)
if not of:
of = OrderField()
l = int(pOrder.getOrderRef())
of.Custom = l % 1000000
of.InstrumentID = pOrder.getInstrumentID()
of.InsertTime = pOrder.getInsertTime()
of.Direction = DirectType.Buy if DirectionType(pOrder.getDirection(
)) == DirectionType.Buy else DirectType.Sell
ot = OffsetFlagType(ord(pOrder.getCombOffsetFlag()[0]))
of.Offset = OffsetType.Open if ot == OffsetFlagType.Open else (
OffsetType.CloseToday
if ot == OffsetFlagType.CloseToday else OffsetType.Close)
of.Status = OrderStatus.Normal
of.StatusMsg = pOrder.getStatusMsg()
of.IsLocal = pOrder.getSessionID() == self.SessionID
of.LimitPrice = pOrder.getLimitPrice()
of.OrderID = id
of.Volume = pOrder.getVolumeTotalOriginal()
of.VolumeLeft = of.Volume
self.DicOrderField[id] = of
self.OnRtnOrder(of)
# _thread.start_new_thread(self.OnRtnOrder, (of,)) # call client OnRtnOrder event
elif pOrder.getOrderStatus() == OrderStatusType.Canceled:
of.Status = OrderStatus.Canceled
of.StatusMsg = pOrder.getStatusMsg()
if of.StatusMsg.find('被拒绝') >= 0:
info = InfoField()
info.ErrorID = -1
info.ErrorMsg = of.StatusMsg
self.OnRtnErrOrder(of, info)
else:
self.OnRtnCancel(of)
else:
if pOrder.getOrderSysID():
of.SysID = pOrder.getOrderSysID()
self.__dic_orderid_sysid[pOrder.getOrderSysID(
)] = id # 记录sysid与orderid关联,方便Trade时查找处理
def __OnRspOrder(self,
pInputOrder=CThostFtdcInputOrderField,
pRspInfo=CThostFtdcRspInfoField,
nRequestID=int,
bIsLast=bool):
""""""
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
id = '{0}|{1}|{2}'.format(self.SessionID, '0',
pInputOrder.getOrderRef())
of = self.DicOrderField.get(id)
if not of:
of = OrderField()
l = int(pInputOrder.getOrderRef())
of.Custom = l % 1000000
of.InstrumentID = pInputOrder.getInstrumentID()
of.InsertTime = time.strftime('%Y%M%d %H:%M:%S', time.localtime())
# 对direction需特别处理（具体见ctp_struct）
of.Direction = DirectType.Buy if DirectionType(
pInputOrder.getDirection(
)) == DirectionType.Buy else DirectType.Sell
ot = OffsetFlagType(ord(pInputOrder.getCombOffsetFlag()[0]))
of.Offset = OffsetType.Open if ot == OffsetFlagType.Open else (
OffsetType.CloseToday
if ot == OffsetFlagType.CloseToday else OffsetType.Close)
# of.Status = OrderStatus.Normal
# of.StatusMsg = f.getStatusMsg()
of.IsLocal = True
of.LimitPrice = pInputOrder.getLimitPrice()
of.OrderID = id
of.Volume = pInputOrder.getVolumeTotalOriginal()
of.VolumeLeft = of.Volume
self.DicOrderField[id] = of
of.Status = OrderStatus.Error
of.StatusMsg = '{0}:{1}'.format(info.ErrorID, info.ErrorMsg)
_thread.start_new_thread(self.OnRtnErrOrder, (of, info))
def OnErrCancel(self, order=OrderField(), info=InfoField()):
"""撤单错误"""
print('撤单错误')
print('strategy err cancel')
print(order)
def OnErrOrder(self, order=OrderField(), info=InfoField()):
"""委托错误"""
print('委托错误')
print('strategy err order')
print(order)
def OnErrCancel(self, order=OrderField(), info=InfoField()):
"""撤单错误"""
pass
def OnErrOrder(self, order=OrderField(), info=InfoField()):
"""委托错误"""
pass
def OnCancel(self, order=OrderField()):
"""撤单响应"""
pass
def OnOrder(self, order=OrderField()):
"""委托响应"""
pass
def _get_lastorder(self, stra):
"""获取最后一个委托"""
return OrderField()
def OnOrder(self, order=OrderField()):
"""委托响应"""
print('strategy order')
print(order)