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sgit_gateway.py
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sgit_gateway.py
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from pathlib import Path
import sys
import pytz
from datetime import datetime
from typing import Dict, List
from ..api import (
MdApi,
TdApi,
THOST_FTDC_OAS_Submitted,
THOST_FTDC_OAS_Accepted,
THOST_FTDC_OAS_Rejected,
THOST_FTDC_OST_NoTradeQueueing,
THOST_FTDC_OST_PartTradedQueueing,
THOST_FTDC_OST_AllTraded,
THOST_FTDC_OST_Canceled,
THOST_FTDC_D_Buy,
THOST_FTDC_D_Sell,
THOST_FTDC_PD_Long,
THOST_FTDC_PD_Short,
THOST_FTDC_OPT_LimitPrice,
THOST_FTDC_OPT_AnyPrice,
THOST_FTDC_OF_Open,
THOST_FTDC_OFEN_Close,
THOST_FTDC_OFEN_CloseYesterday,
THOST_FTDC_OFEN_CloseToday,
THOST_FTDC_PC_Futures,
THOST_FTDC_PC_Options,
THOST_FTDC_PC_SpotOption,
THOST_FTDC_PC_Combination,
THOST_FTDC_CP_CallOptions,
THOST_FTDC_CP_PutOptions,
THOST_FTDC_HF_Speculation,
THOST_FTDC_CC_Immediately,
THOST_FTDC_FCC_NotForceClose,
THOST_FTDC_TC_GFD,
THOST_FTDC_VC_AV,
THOST_FTDC_TC_IOC,
THOST_FTDC_VC_CV,
THOST_FTDC_AF_Delete
)
from vnpy.event.engine import Event
from vnpy.trader.constant import (
Direction,
Offset,
Exchange,
OrderType,
Product,
Status,
OptionType
)
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import (
TickData,
OrderData,
TradeData,
PositionData,
AccountData,
ContractData,
OrderRequest,
CancelRequest,
SubscribeRequest,
)
from vnpy.trader.utility import get_folder_path
from vnpy.trader.event import EVENT_TIMER
# 委托状态映射
STATUS_SGIT2VT: Dict[str, Status] = {
THOST_FTDC_OAS_Submitted: Status.SUBMITTING,
THOST_FTDC_OAS_Accepted: Status.SUBMITTING,
THOST_FTDC_OAS_Rejected: Status.REJECTED,
THOST_FTDC_OST_NoTradeQueueing: Status.NOTTRADED,
THOST_FTDC_OST_PartTradedQueueing: Status.PARTTRADED,
THOST_FTDC_OST_AllTraded: Status.ALLTRADED,
THOST_FTDC_OST_Canceled: Status.CANCELLED
}
# 多空方向映射
DIRECTION_VT2SGIT: Dict[Direction, str] = {
Direction.LONG: THOST_FTDC_D_Buy,
Direction.SHORT: THOST_FTDC_D_Sell
}
DIRECTION_SGIT2VT: Dict[str, Direction] = {v: k for k, v in DIRECTION_VT2SGIT.items()}
DIRECTION_SGIT2VT[THOST_FTDC_PD_Long] = Direction.LONG
DIRECTION_SGIT2VT[THOST_FTDC_PD_Short] = Direction.SHORT
# 委托类型映射
ORDERTYPE_VT2SGIT: Dict[OrderType, str] = {
OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
OrderType.MARKET: THOST_FTDC_OPT_AnyPrice
}
ORDERTYPE_SGIT2VT: Dict[str, OrderType] = {v: k for k, v in ORDERTYPE_VT2SGIT.items()}
# 开平方向映射
OFFSET_VT2SGIT: Dict[Offset, str] = {
Offset.OPEN: THOST_FTDC_OF_Open,
Offset.CLOSE: THOST_FTDC_OFEN_Close,
Offset.CLOSETODAY: THOST_FTDC_OFEN_CloseToday,
Offset.CLOSEYESTERDAY: THOST_FTDC_OFEN_CloseYesterday,
}
OFFSET_SGIT2VT: Dict[str, Offset] = {v: k for k, v in OFFSET_VT2SGIT.items()}
# 交易所映射
EXCHANGE_SGIT2VT: Dict[str, Exchange] = {
"CFFEX": Exchange.CFFEX,
"SHFE": Exchange.SHFE,
"CZCE": Exchange.CZCE,
"DCE": Exchange.DCE,
"INE": Exchange.INE,
"GOLD": Exchange.SGE,
"PAT": Exchange.SMART,
"LTS": Exchange.SMART,
"CME": Exchange.CME,
"LME": Exchange.LME,
"SGE": Exchange.SGE,
"HKEX": Exchange.HKFE,
}
# 产品类型映射
PRODUCT_SGIT2VT: Dict[str, Product] = {
THOST_FTDC_PC_Futures: Product.FUTURES,
THOST_FTDC_PC_Options: Product.OPTION,
THOST_FTDC_PC_SpotOption: Product.OPTION,
THOST_FTDC_PC_Combination: Product.SPREAD
}
# 期权类型映射
OPTIONTYPE_SGIT2VT: Dict[str, OptionType] = {
THOST_FTDC_CP_CallOptions: OptionType.CALL,
THOST_FTDC_CP_PutOptions: OptionType.PUT
}
# 其他常量
MAX_FLOAT: float = sys.float_info.max
CHINA_TZ = pytz.timezone("Asia/Shanghai")
# 全局缓存字典
symbol_exchange_map: Dict[str, Exchange] = {}
symbol_name_map: Dict[str, str] = {}
symbol_size_map: Dict[str, float] = {}
class SgitGateway(BaseGateway):
"""
vn.py用于对接飞鼠的接口。
"""
default_setting: Dict[str, str] = {
"用户名": "",
"密码": "",
"交易服务器": "",
"行情服务器": "",
"产品名称": "",
"授权编码": ""
}
exchanges: List[Exchange] = list(EXCHANGE_SGIT2VT.values())
def __init__(self, event_engine):
"""构造函数"""
super().__init__(event_engine, "SGIT")
self.td_api: "SgitTdApi" = SgitTdApi(self)
self.md_api: "SgitMdApi" = SgitMdApi(self)
def connect(self, setting: dict) -> None:
"""连接交易接口"""
userid: str = setting["用户名"]
password: str = setting["密码"]
td_address: str = setting["交易服务器"]
md_address: str = setting["行情服务器"]
appid: str = setting["产品名称"]
auth_code: str = setting["授权编码"]
if not td_address.startswith("tcp://"):
td_address: str = "tcp://" + td_address
if not md_address.startswith("tcp://"):
md_address: str = "tcp://" + md_address
self.td_api.connect(td_address, userid, password, auth_code, appid)
self.md_api.connect(md_address, userid, password)
self.init_query()
def subscribe(self, req: SubscribeRequest) -> None:
"""订阅行情"""
self.md_api.subscribe(req)
def send_order(self, req: OrderRequest) -> str:
"""委托下单"""
return self.td_api.send_order(req)
def cancel_order(self, req: CancelRequest) -> None:
"""委托撤单"""
self.td_api.cancel_order(req)
def query_account(self) -> None:
"""查询资金"""
self.td_api.query_account()
def query_position(self) -> None:
"""查询持仓"""
self.td_api.query_position()
def close(self) -> None:
"""关闭接口"""
self.td_api.close()
self.md_api.close()
def write_error(self, msg: str, error: dict) -> None:
"""输出错误信息日志"""
error_id: str = error["ErrorID"]
error_msg: str = error["ErrorMsg"]
msg: str = f"{msg},代码:{error_id},信息:{error_msg}"
self.write_log(msg)
def process_timer_event(self, event: Event) -> None:
"""定时事件处理"""
self.count += 1
if self.count < 2:
return
self.count: int = 0
func = self.query_functions.pop(0)
func()
self.query_functions.append(func)
def init_query(self) -> None:
"""初始化查询任务"""
self.count: int = 0
self.query_functions = [self.query_account, self.query_position]
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
class SgitMdApi(MdApi):
"""飞鼠行情API"""
def __init__(self, gateway: SgitGateway) -> None:
"""构造函数"""
super().__init__()
self.gateway: SgitGateway = gateway
self.gateway_name: str = gateway.gateway_name
self.reqid: int = 0
self.connect_status: bool = False
self.login_status: bool = False
self.subscribed: set = set()
self.userid: str = ""
self.password: str = ""
self.brokerid: str = ""
def onFrontConnected(self) -> None:
"""服务器连接成功回报"""
self.gateway.write_log("行情服务器连接成功")
self.login()
def onFrontDisconnected(self, reason: int) -> None:
"""服务器连接断开回报"""
self.login_status: bool = False
self.gateway.write_log(f"行情服务器连接断开,原因{reason}")
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""用户登录请求回报"""
if not error["ErrorID"]:
self.login_status: bool = True
self.gateway.write_log("行情服务器登录成功")
for symbol in self.subscribed:
self.subscribeMarketData(symbol)
else:
self.gateway.write_error("行情服务器登录失败", error)
def onRspError(self, error: dict, reqid: int, last: bool) -> None:
"""请求报错回报"""
self.gateway.write_error("行情接口报错", error)
def onRspSubMarketData(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""订阅行情回报"""
if not error or not error["ErrorID"]:
return
self.gateway.write_error("行情订阅失败", error)
def onRtnDepthMarketData(self, data: dict) -> None:
"""行情数据推送"""
symbol: str = data["InstrumentID"]
exchange: Exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
return
timestamp: str = f"{data['TradingDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
dt: datetime = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
dt: datetime = CHINA_TZ.localize(dt)
tick: TickData = TickData(
symbol=symbol,
exchange=exchange,
datetime=dt,
name=symbol_name_map[symbol],
volume=data["Volume"],
open_interest=data["OpenInterest"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=adjust_price(data["OpenPrice"]),
high_price=adjust_price(data["HighestPrice"]),
low_price=adjust_price(data["LowestPrice"]),
pre_close=adjust_price(data["PreClosePrice"]),
bid_price_1=adjust_price(data["BidPrice1"]),
ask_price_1=adjust_price(data["AskPrice1"]),
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name
)
if data["BidVolume2"] or data["AskVolume2"]:
tick.bid_price_2 = adjust_price(data["BidPrice2"])
tick.bid_price_3 = adjust_price(data["BidPrice3"])
tick.bid_price_4 = adjust_price(data["BidPrice4"])
tick.bid_price_5 = adjust_price(data["BidPrice5"])
tick.ask_price_2 = adjust_price(data["AskPrice2"])
tick.ask_price_3 = adjust_price(data["AskPrice3"])
tick.ask_price_4 = adjust_price(data["AskPrice4"])
tick.ask_price_5 = adjust_price(data["AskPrice5"])
tick.bid_volume_2 = adjust_price(data["BidVolume2"])
tick.bid_volume_3 = adjust_price(data["BidVolume3"])
tick.bid_volume_4 = adjust_price(data["BidVolume4"])
tick.bid_volume_5 = adjust_price(data["BidVolume5"])
tick.ask_volume_2 = adjust_price(data["AskVolume2"])
tick.ask_volume_3 = adjust_price(data["AskVolume3"])
tick.ask_volume_4 = adjust_price(data["AskVolume4"])
tick.ask_volume_5 = adjust_price(data["AskVolume5"])
self.gateway.on_tick(tick)
def connect(self, address: str, userid: str, password: str) -> None:
"""连接服务器"""
self.userid: str = userid
self.password: str = password
# 未连接状态下开始连接
if not self.connect_status:
path: Path = get_folder_path(self.gateway_name.lower())
self.createFtdcMdApi(str(path) + "\\Md")
self.registerFront(address)
self.init()
self.connect_status = True
# 已连接状态下立即登录
elif not self.login_status:
self.login()
def login(self) -> None:
"""用户登录"""
req: dict = {
"UserID": self.userid,
"Password": self.password,
"BrokerID": self.brokerid
}
self.reqid += 1
self.reqUserLogin(req, self.reqid)
def subscribe(self, req: SubscribeRequest) -> None:
"""订阅行情"""
if self.login_status:
self.subscribeMarketData(req.symbol)
self.subscribed.add(req.symbol)
def close(self) -> None:
"""关闭连接"""
if self.connect_status:
self.exit()
class SgitTdApi(TdApi):
"""飞鼠交易API"""
def __init__(self, gateway: SgitGateway) -> None:
"""构造函数"""
super().__init__()
self.gateway: SgitGateway = gateway
self.gateway_name: str = gateway.gateway_name
self.reqid: int = 0
self.order_ref: int = 0
self.connect_status: bool = False
self.login_status: bool = False
self.auth_status: bool = False
self.login_failed: bool = False
self.userid: str = ""
self.password: str = ""
self.brokerid: str = ""
self.auth_code: str = ""
self.appid: str = ""
self.product_info: str = ""
self.sge_investor: str = ""
self.order_data: List[dict] = []
self.trade_data: List[dict] = []
self.positions: Dict[str, PositionData] = {}
self.sysid_orderid_map: Dict[str, str] = {}
def onFrontConnected(self) -> None:
"""服务器连接成功回报"""
self.gateway.write_log("交易服务器连接成功")
if self.auth_code:
self.authenticate()
else:
self.login()
def onFrontDisconnected(self, reason: int) -> None:
"""服务器连接断开回报"""
self.login_status: bool = False
self.gateway.write_log(f"交易服务器连接断开,原因{reason}")
def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""用户授权验证回报"""
if not error['ErrorID']:
self.auth_status: bool = True
self.gateway.write_log("交易服务器授权验证成功")
self.login()
else:
self.gateway.write_error("交易服务器授权验证失败", error)
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""用户登录请求回报"""
if not error["ErrorID"]:
self.login_status: bool = True
self.gateway.write_log("交易服务器登录成功")
# 更新订单ref
if data["MaxOrderRef"]:
self.order_ref: int = max(self.order_ref, int(data["MaxOrderRef"]))
# 结算信息确认
req: dict = {
"BrokerID": self.brokerid,
"InvestorID": self.userid
}
self.reqid += 1
self.reqSettlementInfoConfirm(req, self.reqid)
else:
self.login_failed: bool = True
self.gateway.write_error("交易服务器登录失败", error)
def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""委托下单失败回报"""
if error["ErrorID"] == 0:
return
self.gateway.write_error("交易委托失败", error)
orderid: str = data["OrderRef"]
self.order_ref: int = max(self.order_ref, int(orderid))
symbol: str = data["InstrumentID"]
exchange: Exchange = symbol_exchange_map.get(symbol, None)
if not exchange:
return
order: OrderData = OrderData(
symbol=symbol,
exchange=exchange,
orderid=orderid,
direction=DIRECTION_SGIT2VT[data["Direction"]],
offset=OFFSET_SGIT2VT.get(data["CombOffsetFlag"], Offset.NONE),
price=data["LimitPrice"],
volume=data["VolumeTotalOriginal"],
status=Status.REJECTED,
gateway_name=self.gateway_name
)
self.gateway.on_order(order)
def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""委托撤单失败回报"""
if error["ErrorID"] != 0:
self.gateway.write_error("交易撤单失败", error)
def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""查询最大报单数量响应"""
pass
def onRspSettlementInfoConfirm(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""结算信息确认回报"""
self.gateway.write_log("结算信息确认成功")
self.reqid += 1
self.reqQryInstrument({}, self.reqid)
def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""持仓查询回报"""
if not data:
return
# 检查合约信息
if data["InstrumentID"] in symbol_exchange_map:
# 获取缓存持仓
key: str = f"{data['InstrumentID'], data['PosiDirection']}"
position: PositionData = self.positions.get(key, None)
if not position:
position: PositionData = PositionData(
symbol=data["InstrumentID"],
exchange=symbol_exchange_map[data["InstrumentID"]],
direction=DIRECTION_SGIT2VT[data["PosiDirection"]],
gateway_name=self.gateway_name
)
self.positions[key] = position
# 更新SHFE和INE持仓
if position.exchange in [Exchange.SHFE, Exchange.INE]:
if data["YdPosition"] and not data["TodayPosition"]:
position.yd_volume = data["Position"]
# 更新其他交易所持仓
else:
position.yd_volume = data["Position"] - data["TodayPosition"]
# 获得合约乘数,差价合约没有乘数
size: float = symbol_size_map.get(position.symbol, 0)
# 计算之前的持仓价
cost: float = position.price * position.volume * size
# 更新新的持仓数量
position.volume += data["Position"]
position.pnl += data["PositionProfit"]
# 计算持仓均价
if position.volume and size:
cost += data["PositionCost"] * data["Position"] * size
position.price = cost / (position.volume * size)
# 获取冻结量
if position.direction == Direction.LONG:
position.frozen += data["ShortFrozen"]
else:
position.frozen += data["LongFrozen"]
if last:
for position in self.positions.values():
self.gateway.on_position(position)
self.positions.clear()
def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""请求查询资金账户响应"""
if "AccountID" not in data:
return
account: AccountData = AccountData(
accountid=data["AccountID"],
balance=data["Balance"],
frozen=data["FrozenMargin"] + data["FrozenCash"] + data["FrozenCommission"],
gateway_name=self.gateway_name
)
account.available = data["Available"]
self.gateway.on_account(account)
def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""合约查询回报"""
if data:
product: Product = PRODUCT_SGIT2VT.get(data["ProductClass"], None)
contract: ContractData = ContractData(
symbol=data["InstrumentID"],
exchange=EXCHANGE_SGIT2VT[data["ExchangeID"]],
name=data["InstrumentName"],
product=product,
size=data["VolumeMultiple"],
pricetick=data["PriceTick"],
gateway_name=self.gateway_name
)
# 期权
if contract.product == Product.OPTION:
# 移除CZCE期权C/P后缀
if contract.exchange == Exchange.CZCE:
contract.option_portfolio = data["ProductID"][:-1]
else:
contract.option_portfolio = data["ProductID"]
contract.option_underlying = data["UnderlyingInstrID"]
contract.option_type = OPTIONTYPE_SGIT2VT.get(data["OptionsType"], None)
contract.option_strike = data["StrikePrice"]
contract.option_index = str(data["StrikePrice"])
contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d")
self.gateway.on_contract(contract)
symbol_exchange_map[contract.symbol] = contract.exchange
symbol_name_map[contract.symbol] = contract.name
symbol_size_map[contract.symbol] = contract.size
if last:
self.gateway.write_log("合约信息查询成功")
for data in self.order_data:
self.onRtnOrder(data)
self.order_data.clear()
for data in self.trade_data:
self.onRtnTrade(data)
self.trade_data.clear()
def onRtnOrder(self, data: dict) -> None:
"""订单更新推送"""
symbol: str = data["InstrumentID"]
exchange: Exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
self.order_data.append(data)
return
orderid: str = data["OrderRef"]
self.order_ref = max(self.order_ref, int(orderid))
timestamp: str = f"{data['InsertDate']} {data['InsertTime']}"
dt: datetime = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S")
dt: datetime = CHINA_TZ.localize(dt)
order: OrderData = OrderData(
symbol=symbol,
exchange=exchange,
orderid=orderid,
type=ORDERTYPE_SGIT2VT[data["OrderPriceType"]],
direction=DIRECTION_SGIT2VT[data["Direction"]],
offset=OFFSET_SGIT2VT[data["CombOffsetFlag"]],
price=data["LimitPrice"],
volume=data["VolumeTotalOriginal"],
traded=data["VolumeTraded"],
status=STATUS_SGIT2VT[data["OrderStatus"]],
datetime=dt,
gateway_name=self.gateway_name
)
self.gateway.on_order(order)
self.sysid_orderid_map[data["OrderSysID"]] = orderid
def onRtnTrade(self, data: dict) -> None:
"""成交更新推送"""
symbol: str = data["InstrumentID"]
exchange: Exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
self.trade_data.append(data)
return
orderid: str = self.sysid_orderid_map[data["OrderSysID"]]
timestamp: str = f"{data['TradeDate']} {data['TradeTime']}"
dt: datetime = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S")
dt: datetime = CHINA_TZ.localize(dt)
trade: TradeData = TradeData(
symbol=symbol,
exchange=exchange,
orderid=orderid,
tradeid=data["TradeID"],
direction=DIRECTION_SGIT2VT[data["Direction"]],
offset=OFFSET_SGIT2VT[data["OffsetFlag"]],
price=data["Price"],
volume=data["Volume"],
datetime=dt,
gateway_name=self.gateway_name
)
self.gateway.on_trade(trade)
def connect(
self,
address: str,
userid: str,
password: str,
auth_code: str,
appid: str
) -> None:
"""连接服务器"""
self.userid: str = userid
self.password: str = password
self.auth_code: str = auth_code
self.appid: str = appid
self.sge_investor: str = userid.replace("08", "06")
if not self.connect_status:
path: Path = get_folder_path(self.gateway_name.lower())
self.createFtdcTraderApi(str(path) + "\\Td")
self.subscribePrivateTopic(0)
self.subscribePublicTopic(0)
self.registerFront(address)
self.init()
self.connect_status: bool = True
else:
self.authenticate()
def authenticate(self) -> None:
"""发起授权验证"""
req: dict = {
"UserID": self.userid,
"BrokerID": self.brokerid,
"AuthCode": self.auth_code,
"AppID": self.appid
}
if self.product_info:
req["UserProductInfo"] = self.product_info
self.reqid += 1
self.reqAuthenticate(req, self.reqid)
def login(self) -> None:
"""用户登录"""
if self.login_failed:
return
req: dict = {
"UserID": self.userid,
"Password": self.password,
"BrokerID": self.brokerid,
"AppID": self.appid
}
if self.product_info:
req["UserProductInfo"] = self.product_info
self.reqid += 1
self.reqUserLogin(req, self.reqid)
def send_order(self, req: OrderRequest) -> str:
"""委托下单"""
if req.offset not in OFFSET_VT2SGIT:
self.gateway.write_log("请选择开平方向")
return ""
self.order_ref += 1
orderid: str = str(self.order_ref).rjust(12, "0")
sgit_req: dict = {
"InstrumentID": req.symbol,
"ExchangeID": req.exchange.value,
"LimitPrice": req.price,
"VolumeTotalOriginal": int(req.volume),
"OrderPriceType": ORDERTYPE_VT2SGIT.get(req.type, ""),
"Direction": DIRECTION_VT2SGIT.get(req.direction, ""),
"CombOffsetFlag": OFFSET_VT2SGIT.get(req.offset, ""),
"OrderRef": orderid,
"UserID": self.userid,
"BrokerID": self.brokerid,
"CombHedgeFlag": THOST_FTDC_HF_Speculation,
"ContingentCondition": THOST_FTDC_CC_Immediately,
"ForceCloseReason": THOST_FTDC_FCC_NotForceClose,
"IsAutoSuspend": 0,
"TimeCondition": THOST_FTDC_TC_GFD,
"VolumeCondition": THOST_FTDC_VC_AV,
"MinVolume": 1
}
# 不同交易所使用不同投资人id
if req.exchange == Exchange.SGE:
sgit_req["InvestorID"] = self.sge_investor
else:
sgit_req["InvestorID"] = self.userid
if req.type == OrderType.FAK:
sgit_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
sgit_req["TimeCondition"] = THOST_FTDC_TC_IOC
sgit_req["VolumeCondition"] = THOST_FTDC_VC_AV
elif req.type == OrderType.FOK:
sgit_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
sgit_req["TimeCondition"] = THOST_FTDC_TC_IOC
sgit_req["VolumeCondition"] = THOST_FTDC_VC_CV
self.reqid += 1
self.reqOrderInsert(sgit_req, self.reqid)
order: OrderData = req.create_order_data(orderid, self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def cancel_order(self, req: CancelRequest) -> None:
"""委托撤单"""
sgit_req: dict = {
"InstrumentID": req.symbol,
"ExchangeID": req.exchange.value,
"OrderRef": req.orderid,
"ActionFlag": THOST_FTDC_AF_Delete,
"BrokerID": self.brokerid,
"InvestorID": self.userid,
}
self.reqid += 1
self.reqOrderAction(sgit_req, self.reqid)
def query_account(self) -> None:
"""查询资金"""
self.reqid += 1
self.reqQryTradingAccount({}, self.reqid)
def query_position(self) -> None:
"""查询持仓"""
if not symbol_exchange_map:
return
self.reqid += 1
self.reqQryInvestorPosition({}, self.reqid)
def close(self) -> None:
"""关闭连接"""
if self.connect_status:
self.exit()
def adjust_price(price: float) -> float:
"""将异常的浮点数最大值(MAX_FLOAT)数据调整为0"""
if price == MAX_FLOAT:
price = 0
return price