def get_actionday(self):
# 取交易日历
req = ReqPackage()
req.Type = BarType.TradeDate
self.trading_days = self.get_data_zmq(req)
req.Type = BarType.Product
products = self.get_data_zmq(req)
proc_dict = {}
for p in products:
proc_dict[p['_id']] = p
req.Type = BarType.InstrumentInfo
insts = self.get_data_zmq(req)
for inst_proc in insts:
proc = proc_dict[inst_proc['ProductID']]
f = InstrumentField()
f.ExchangeID = proc['ExchangeID']
f.InstrumentID = inst_proc['_id']
f.PriceTick = proc['PriceTick']
f.ProductID = inst_proc['ProductID']
f.ProductType = proc['ProductType']
f.VolumeMultiple = proc['VolumeTuple']
if 'MAXLIMITORDERVOLUME' in proc:
f.MaxOrderVolume = proc['MAXLIMITORDERVOLUME']
self.instrument_info[inst_proc['_id']] = f
# 接口未登录,不计算Actionday
if self.TradingDay == '':
return
self.Actionday = self.TradingDay if self.trading_days.index(self.TradingDay) == 0 else self.trading_days[self.trading_days.index(self.TradingDay) - 1]
self.Actionday1 = (datetime.strptime(self.Actionday, '%Y%m%d') + timedelta(days=1)).strftime('%Y%m%d')
def _OnRspQryInstrument(self, pInstrument: CThostFtdcInstrumentField, pRspInfo: CThostFtdcRspInfoField, nRequestID: int, bIsLast: bool):
""""""
inst = InstrumentField()
inst.InstrumentID = pInstrument.getInstrumentID()
inst.ProductID = pInstrument.getProductID()
inst.ExchangeID = pInstrument.getExchangeID()
inst.VolumeMultiple = pInstrument.getVolumeMultiple()
inst.PriceTick = pInstrument.getPriceTick()
inst.MaxOrderVolume = pInstrument.getMaxLimitOrderVolume()
self.instruments[inst.InstrumentID] = inst
def get_actionday(self):
# 取交易日历
if self.cfg.engine_postgres:
conn = self.cfg.engine_postgres.raw_connection()
cursor = conn.cursor()
cursor.execute(
'select _id from future_config.trade_date where trading = 1')
self.trading_days = [c[0] for c in cursor.fetchall()]
else:
req = ReqPackage()
req.Type = BarType.TradeDate
self.trading_days = self.get_data_zmq(req)
req.Type = BarType.Product
products = self.get_data_zmq(req)
proc_dict = {}
for p in products:
proc_dict[p['_id']] = p
req.Type = BarType.InstrumentInfo
insts = self.get_data_zmq(req)
for inst_proc in insts:
proc = proc_dict[inst_proc['ProductID']]
f = InstrumentField()
f.ExchangeID = proc['ExchangeID']
f.InstrumentID = inst_proc['_id']
f.PriceTick = proc['PriceTick']
f.ProductID = inst_proc['ProductID']
f.ProductType = proc['ProductType']
f.VolumeMultiple = proc['VolumeTuple']
if 'MAXLIMITORDERVOLUME' in proc:
f.MaxOrderVolume = proc['MAXLIMITORDERVOLUME']
self.instrument_info[inst_proc['_id']] = f
# 接口未登录,不计算Actionday
if self.TradingDay == '':
return
self.Actionday = self.TradingDay if self.trading_days.index(
self.TradingDay) == 0 else self.trading_days[
self.trading_days.index(self.TradingDay) - 1]
self.Actionday1 = (datetime.strptime(self.Actionday, '%Y%m%d') +
timedelta(days=1)).strftime('%Y%m%d')