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fish
Commit 5d31a0df by rongjun
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init

parent c11e6569
Showing with 694 additions and 5 deletions
apps/market/views.py
# coding=utf8
import traceback
from datetime import datetime
from decimal import Decimal
from django.db import IntegrityError
from django.http.response import HttpResponse
from apps.task.models import Task
from apps.task.models import Task, TaskNotify
from core.utils.email import send
from django_q.tasks import async_task
from core.utils import log as logger
def cta(timestamp, last_price, task):
......@@ -12,19 +15,22 @@ def cta(timestamp, last_price, task):
_type = task.get('type')
max_val = Decimal(task.get('max_val'))
min_val = Decimal(task.get('min_val'))
style = ''
style = None
point = ''
point_val = None
over = False
if _type == 'A':
if max_val == min_val:
if last_price > min_val:
style = '突破'
point = '预值'
point_val = min_val
over = True
else:
if last_price < min_val:
style = '回调'
point = '突破原点'
point_val = min_val
over = True
m = max_val - min_val
p1 = min_val + m * Decimal('0.333')
......@@ -32,20 +38,24 @@ def cta(timestamp, last_price, task):
if last_price >= p1:
style = '突破'
point = '0.333'
point_val = p1
if last_price >= p2:
style = '突破'
point = '0.382'
point_val = p2
over = True
if _type == 'D':
if max_val == min_val:
if last_price < min_val:
style = '突破'
point = '预值'
point_val = min_val
over = True
else:
if last_price > max_val:
style = '回调'
point = '突破原点'
point_val = max_val
over = True
m = max_val - min_val
p1 = max_val - m * Decimal('0.333')
......@@ -53,9 +63,11 @@ def cta(timestamp, last_price, task):
if last_price <= p1:
style = '突破'
point = '0.333'
point_val = p1
if last_price <= p2:
style = '突破'
point = '0.382'
point_val = p2
over = True
_title = '【{}{}】的提醒'
_content = '【{}】，镜像空间【{}-{}】，预期趋势【{}】；在【{}】【{}】点位为【{}】'
......@@ -63,9 +75,17 @@ def cta(timestamp, last_price, task):
title = _title.format(style, point)
content = _content.format(task.get('name'), task.get('max_val'), task.get('min_val'), task.get('type'), times,
style, last_price)
if over:
Task.remove_task(task)
send(title, content, task.get('emails'))
if style:
try:
TaskNotify.objects.create(task_id=task.get('id'), point=point_val)
if over:
Task.remove_task(task)
send(title, content, task.get('emails'))
except IntegrityError:
pass
except Exception as e:
trace = traceback.format_exc()
logger.error(trace)
def push(request):
......
apps/task/models.py
......@@ -47,3 +47,12 @@ class Task(BaseModel):
def remove_task(task):
Task.objects.filter(pk=int(task.get('id'))).update(active=False)
Task.set_active_list(task.get('instrument'))
class TaskNotify(BaseModel):
task_id = models.IntegerField()
point = models.CharField(max_length=200)
class Meta:
ordering = ['-id']
unique_together = ('task_id', 'point')
\ No newline at end of file
fish/test_PyCTP.py 0 → 100644
# -*- coding: utf-8 -*-
"""
Created on Sat Jul 30 17:19:21 2016
@author: zhuolin
"""
import sys
import threading
import PyCTP
import time
import requests
class PyCTP_Market_API(PyCTP.CThostFtdcMdApi):
TIMEOUT = 30
__RequestID = 0
__isLogined = False
def __IncRequestID(self):
""" 自增并返回请求ID """
# self.__RequestID += 1
return self.__RequestID
def setInvestorID(self, InvestorID):
self.__InvestorID = InvestorID
return self.__InvestorID
def Connect(self, frontAddr):
""" 连接前置服务器 """
self.RegisterSpi(self)
self.RegisterFront(frontAddr)
self.Init()
self.__rsp_Connect = dict(event=threading.Event())
self.__rsp_Connect['event'].clear()
return 0 if self.__rsp_Connect['event'].wait(self.TIMEOUT) else -4
def Login(self, BrokerID, UserID, Password):
""" 用户登录请求 """
reqUserLogin = dict(BrokerID=BrokerID
, UserID=UserID
, Password=Password)
self.__rsp_Login = dict(event=threading.Event()
, RequestID=self.__IncRequestID())
ret = self.ReqUserLogin(reqUserLogin, self.__rsp_Login['RequestID'])
if ret == 0:
self.__rsp_Login['event'].clear()
if self.__rsp_Login['event'].wait(self.TIMEOUT):
if self.__rsp_Login['ErrorID'] == 0:
self.__isLogined = True
self.__BrokerID = BrokerID
self.__UserID = UserID
self.__Password = Password
else:
sys.stderr.write(str(self.__rsp_Login['ErrorMsg'], encoding='gb2312'))
return self.__rsp_Login['ErrorID']
else:
return -4
return ret
def Logout(self):
""" 登出请求 """
reqUserLogout = dict(BrokerID=self.__BrokerID
, UserID=self.__UserID)
self.__rsp_Logout = dict(event=threading.Event()
, RequestID=self.__IncRequestID())
ret = self.ReqUserLogout(reqUserLogout, self.__rsp_Logout['RequestID'])
if ret == 0:
self.__rsp_Logout['event'].clear()
if self.__rsp_Logout['event'].wait(self.TIMEOUT):
if self.__rsp_Logout['ErrorID'] == 0:
self.__isLogined = False
return self.__rsp_Logout['ErrorID']
else:
return -4
return ret
def SubMarketData(self, InstrumentID):
""" 订阅行情 """
self.__rsp_SubMarketData = dict(results=[], ErrorID=0, event=threading.Event(), RequestID=self.__IncRequestID())
ret = self.SubscribeMarketData(InstrumentID, len(InstrumentID))
if ret == 0:
self.__rsp_SubMarketData['event'].clear()
if self.__rsp_SubMarketData['event'].wait(self.TIMEOUT):
if self.__rsp_SubMarketData['ErrorID'] != 0:
return self.__rsp_SubMarketData['ErrorID']
return self.__rsp_SubMarketData['results']
else:
return -4
return ret
def UnSubMarketData(self, InstrumentID):
""" 退订行情 """
self.__rsp_UnSubMarketData = dict(results=[], ErrorID=0, event=threading.Event(),
RequestID=self.__IncRequestID())
ret = self.UnSubscribeMarketData(InstrumentID, len(InstrumentID))
if ret == 0:
self.__rsp_UnSubMarketData['event'].clear()
if self.__rsp_UnSubMarketData['event'].wait(self.TIMEOUT):
if self.__rsp_UnSubMarketData['ErrorID'] != 0:
return self.__rsp_UnSubMarketData['ErrorID']
return self.__rsp_UnSubMarketData['results']
else:
return -4
return ret
def OnFrontConnected(self):
""" 当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。 """
self.__rsp_Connect['event'].set()
def OnFrontDisconnected(self, nReason):
""" 当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。
nReason 错误原因
0x1001 网络读失败
0x1002 网络写失败
0x2001 接收心跳超时
0x2002 发送心跳失败
0x2003 收到错误报文
"""
sys.stderr.write('前置连接中断: %s' % hex(nReason))
# 登陆状态时掉线, 自动重登陆
# if self.__isLogined:
# self.__Inst_Interval()
# sys.stderr.write('自动登陆: %d' % self.Login(self.__BrokerID, self.__UserID, self.__Password))
def OnRspUserLogin(self, RspUserLogin, RspInfo, RequestID, IsLast):
""" 登录请求响应 """
if RequestID == self.__rsp_Login['RequestID'] and IsLast:
# self.__BrokerID = RspUserLogin['BrokerID']
# self.__UserID = RspUserLogin['UserID']
self.__SystemName = RspUserLogin['SystemName']
self.__TradingDay = RspUserLogin['TradingDay']
self.__DCETime = RspUserLogin['DCETime']
self.__SessionID = RspUserLogin['SessionID']
self.__MaxOrderRef = RspUserLogin['MaxOrderRef']
self.__INETime = RspUserLogin['INETime']
self.__LoginTime = RspUserLogin['LoginTime']
self.__FrontID = RspUserLogin['FrontID']
self.__FFEXTime = RspUserLogin['FFEXTime']
self.__CZCETime = RspUserLogin['CZCETime']
self.__SHFETime = RspUserLogin['SHFETime']
self.__rsp_Login.update(RspInfo)
self.__rsp_Login['event'].set()
def OnRspUserLogout(self, RspUserLogout, RspInfo, RequestID, IsLast):
""" 登出请求响应 """
if RequestID == self.__rsp_Logout['RequestID'] and IsLast:
self.__rsp_Logout.update(RspInfo)
self.__rsp_Logout['event'].set()
def OnRspError(self, RspInfo, RequestID, IsLast):
""" 错误信息 """
sys.stderr.write(repr(([RspInfo['ErrorID'], str(RspInfo['ErrorMsg'], encoding='gb2312')], RequestID, IsLast)))
def OnRspSubMarketData(self, SpecificInstrument, RspInfo, RequestID, IsLast):
""" 订阅行情应答 """
if RequestID == self.__rsp_SubMarketData['RequestID']:
if RspInfo is not None:
self.__rsp_SubMarketData.update(RspInfo)
if SpecificInstrument is not None:
self.__rsp_SubMarketData['results'].append(SpecificInstrument)
if IsLast:
self.__rsp_SubMarketData['event'].set()
def OnRspUnSubMarketData(self, SpecificInstrument, RspInfo, RequestID, IsLast):
""" 取消订阅行情应答 """
if RequestID == self.__rsp_UnSubMarketData['RequestID']:
if RspInfo is not None:
self.__rsp_UnSubMarketData.update(RspInfo)
if SpecificInstrument is not None:
self.__rsp_UnSubMarketData['results'].append(SpecificInstrument)
if IsLast:
self.__rsp_UnSubMarketData['event'].set()
def OnRtnDepthMarketData(self, DepthMarketData):
""" 行情推送 """
pass
class PyCTP_Trader_API(PyCTP.CThostFtdcTraderApi):
TIMEOUT = 30
__RequestID = 0
__isLogined = False
def __IncRequestID(self):
""" 自增并返回请求ID """
self.__RequestID += 1
return self.__RequestID
def __IncOrderRef(self):
""" 递增报单引用 """
OrderRef = bytes('%012d' % self.__OrderRef, 'gb2312')
self.__OrderRef += 1
return OrderRef
def setInvestorID(self, InvestorID):
self.__InvestorID = InvestorID
return self.__InvestorID
def Connect(self, frontAddr):
""" 连接前置服务器 """
self.RegisterSpi(self)
self.SubscribePrivateTopic(PyCTP.THOST_TERT_RESUME)
self.SubscribePublicTopic(PyCTP.THOST_TERT_RESUME)
self.RegisterFront(frontAddr)
self.Init()
self.__rsp_Connect = dict(event=threading.Event())
self.__rsp_Connect['event'].clear()
return 0 if self.__rsp_Connect['event'].wait(self.TIMEOUT) else -4
def Login(self, BrokerID, UserID, Password):
""" 用户登录请求 """
reqUserLogin = dict(BrokerID=BrokerID
, UserID=UserID
, Password=Password)
self.__rsp_Login = dict(event=threading.Event()
, RequestID=self.__IncRequestID())
ret = self.ReqUserLogin(reqUserLogin, self.__rsp_Login['RequestID'])
if ret == 0:
self.__rsp_Login['event'].clear()
if self.__rsp_Login['event'].wait(self.TIMEOUT):
if self.__rsp_Login['ErrorID'] == 0:
self.__isLogined = True
self.__Password = Password
else:
sys.stderr.write(str(self.__rsp_Login['ErrorMsg'], encoding='gb2312'))
return self.__rsp_Login['ErrorID']
else:
return -4
return ret
def Logout(self):
""" 登出请求 """
reqUserLogout = dict(BrokerID=self.__BrokerID
, UserID=self.__UserID)
self.__rsp_Logout = dict(event=threading.Event()
, RequestID=self.__IncRequestID())
ret = self.ReqUserLogout(reqUserLogout, self.__rsp_Logout['RequestID'])
if ret == 0:
self.__rsp_Logout['event'].clear()
if self.__rsp_Logout['event'].wait(self.TIMEOUT):
if self.__rsp_Logout['ErrorID'] == 0:
self.__isLogined = False
return self.__rsp_Logout['ErrorID']
else:
return -4
return ret
def QryInstrument(self, ExchangeID=b'', InstrumentID=b''):
""" 查询和约 """
QryInstrument = dict(ExchangeID=ExchangeID
, InstrumentID=InstrumentID)
self.__rsp_QryInstrument = dict(event=threading.Event()
, RequestID=self.__IncRequestID()
, results=[]
, ErrorID=0)
ret = self.ReqQryInstrument(QryInstrument, self.__rsp_QryInstrument['RequestID'])
if ret == 0:
self.__rsp_QryInstrument['event'].clear()
if self.__rsp_QryInstrument['event'].wait(self.TIMEOUT):
if self.__rsp_QryInstrument['ErrorID'] != 0:
return self.__rsp_QryInstrument['ErrorID']
return self.__rsp_QryInstrument['results']
else:
return -4
return ret
def QryInstrumentMarginRate(self, InstrumentID):
""" 请求查询合约保证金率 """
QryInstrumentMarginRate = dict(BrokerID=self.__BrokerID
, InvestorID=self.__InvestorID
, InstrumentID=InstrumentID)
self.__rsp_QryInstrumentMarginRate = dict(results=[]
, RequestID=self.__IncRequestID()
, ErrorID=0
, event=threading.Event())
ret = self.ReqQryInstrumentMarginRate(QryInstrumentMarginRate, self.__rsp_QryInstrumentMarginRate['RequestID'])
if ret == 0:
self.__rsp_QryInstrumentMarginRate['event'].clear()
if self.__rsp_QryInstrumentMarginRate['event'].wait(self.TIMEOUT):
if self.__rsp_QryInstrumentMarginRate['ErrorID'] != 0:
return self.__rsp_QryInstrumentMarginRate['ErrorID']
return self.__rsp_QryInstrumentMarginRate['results']
else:
return -4
return ret
def QryInstrumentCommissionRate(self, InstrumentID):
""" 请求查询合约手续费率 """
QryInstrumentCommissionRate = dict(BrokerID=self.__BrokerID, InvestorID=self.__InvestorID,
InstrumentID=InstrumentID)
self.__rsp_QryInstrumentCommissionRate = dict(results=[]
, RequestID=self.__IncRequestID()
, ErrorID=0
, event=threading.Event())
ret = self.ReqQryInstrumentCommissionRate(QryInstrumentCommissionRate,
self.__rsp_QryInstrumentCommissionRate['RequestID'])
if ret == 0:
self.__rsp_QryInstrumentCommissionRate['event'].clear()
if self.__rsp_QryInstrumentCommissionRate['event'].wait(self.TIMEOUT):
if self.__rsp_QryInstrumentCommissionRate['ErrorID'] != 0:
return self.__rsp_QryInstrumentCommissionRate['ErrorID']
return self.__rsp_QryInstrumentCommissionRate['results']
else:
return -4
return ret
def QryInvestorPosition(self, InstrumentID=b''):
""" 请求查询投资者持仓 """
QryInvestorPositionFiel = dict(BrokerID=self.__BrokerID, InvestorID=self.__InvestorID,
InstrumentID=InstrumentID)
self.__rsp_QryInvestorPosition = dict(results=[], RequestID=self.__IncRequestID(), ErrorID=0,
event=threading.Event())
ret = self.ReqQryInvestorPosition(QryInvestorPositionFiel, self.__rsp_QryInvestorPosition['RequestID'])
if ret == 0:
self.__rsp_QryInvestorPosition['event'].clear()
if self.__rsp_QryInvestorPosition['event'].wait(self.TIMEOUT):
if self.__rsp_QryInvestorPosition['ErrorID'] != 0:
return self.__rsp_QryInvestorPosition['ErrorID']
return self.__rsp_QryInvestorPosition['results']
else:
return -4
return ret
def QryTradingAccount(self):
""" 请求查询资金账户 """
QryTradingAccountField = dict(BrokerID=self.__BrokerID, InvestorID=self.__InvestorID)
self.__rsp_QryTradingAccount = dict(results=[], RequestID=self.__IncRequestID(), ErrorID=0,
event=threading.Event())
ret = self.ReqQryTradingAccount(QryTradingAccountField, self.__rsp_QryTradingAccount['RequestID'])
if ret == 0:
self.__rsp_QryTradingAccount['event'].clear()
if self.__rsp_QryTradingAccount['event'].wait(self.TIMEOUT):
if self.__rsp_QryTradingAccount['ErrorID'] != 0:
return self.__rsp_QryTradingAccount['ErrorID']
return self.__rsp_QryTradingAccount['results']
else:
return -4
return ret
def QryInvestor(self):
""" 请求查询投资者 """
InvestorField = dict(BrokerID=self.__BrokerID, InvestorID=self.__InvestorID)
self.__rsp_QryInvestor = dict(results=[], RequestID=self.__IncRequestID(), ErrorID=0, event=threading.Event())
ret = self.ReqQryInvestor(InvestorField, self.__rsp_QryInvestor['RequestID'])
if ret == 0:
self.__rsp_QryInvestor['event'].clear()
if self.__rsp_QryInvestor['event'].wait(self.TIMEOUT):
if self.__rsp_QryInvestor['ErrorID'] != 0:
return self.__rsp_QryInvestor['ErrorID']
return self.__rsp_QryInvestor['results']
else:
return -4
return ret
def QryExchange(self, ExchangeID=b''):
""" 请求查询交易所 """
QryExchangeField = dict(ExchangeID=ExchangeID)
self.__rsp_QryExchange = dict(results=[], RequestID=self.__IncRequestID(), ErrorID=0, event=threading.Event())
ret = self.ReqQryExchange(QryExchangeField, self.__rsp_QryExchange['RequestID'])
if ret == 0:
self.__rsp_QryExchange['event'].clear()
if self.__rsp_QryExchange['event'].wait(self.TIMEOUT):
if self.__rsp_QryExchange['ErrorID'] != 0:
return self.__rsp_QryExchange['ErrorID']
return self.__rsp_QryExchange['results']
else:
return -4
return ret
def QryDepthMarketData(self, InstrumentID):
""" 请求查询行情 """
QryDepthMarketData = dict(InstrumentID=InstrumentID)
self.__rsp_QryDepthMarketData = dict(results=[], RequestID=self.__IncRequestID(), ErrorID=0,
event=threading.Event())
ret = self.ReqQryDepthMarketData(QryDepthMarketData, self.__rsp_QryDepthMarketData['RequestID'])
if ret == 0:
self.__rsp_QryDepthMarketData['event'].clear()
if self.__rsp_QryDepthMarketData['event'].wait(self.TIMEOUT):
if self.__rsp_QryDepthMarketData['ErrorID'] != 0:
return self.__rsp_QryDepthMarketData['ErrorID']
return self.__rsp_QryDepthMarketData['results']
else:
return -4
return ret
def OrderInsert(self, InstrumentID, Action, Direction, Volume, Price):
""" 开平仓(限价挂单)申报 """
InputOrder = {}
InputOrder['BrokerID'] = self.__BrokerID # 经纪公司代码
InputOrder['InvestorID'] = self.__InvestorID # 投资者代码
InputOrder['InstrumentID'] = InstrumentID # 合约代码
InputOrder['OrderRef'] = self.__IncOrderRef() # 报单引用
InputOrder['UserID'] = self.__UserID # 用户代码
InputOrder['OrderPriceType'] = PyCTP.THOST_FTDC_OPT_LimitPrice # 报单价格条件:限价
InputOrder['Direction'] = Direction # 买卖方向
InputOrder['CombOffsetFlag'] = Action # 组合开平标志
InputOrder['CombHedgeFlag'] = PyCTP.THOST_FTDC_HF_Speculation # 组合投机套保标志:投机
InputOrder['LimitPrice'] = Price # 价格
InputOrder['VolumeTotalOriginal'] = Volume # 数量
InputOrder['TimeCondition'] = PyCTP.THOST_FTDC_TC_GFD # 有效期类型:当日有效
InputOrder['VolumeCondition'] = PyCTP.THOST_FTDC_VC_AV # 成交量类型:任意数量
InputOrder['MinVolume'] = Volume # 最小成交量
InputOrder['ContingentCondition'] = PyCTP.THOST_FTDC_CC_Immediately # 触发条件:立即
InputOrder['ForceCloseReason'] = PyCTP.THOST_FTDC_FCC_NotForceClose # 强平原因:非强平
self.__rsp_OrderInsert = dict(FrontID=self.__FrontID
, SessionID=self.__SessionID
, InputOrder=InputOrder
, RequestID=self.__IncRequestID()
, event=threading.Event())
ret = self.ReqOrderInsert(InputOrder, self.__rsp_OrderInsert['RequestID'])
if ret == 0:
self.__rsp_OrderInsert['event'].clear()
if self.__rsp_OrderInsert['event'].wait(self.TIMEOUT):
if self.__rsp_OrderInsert['ErrorID'] != 0:
sys.stderr.write(str(self.__rsp_OrderInsert['ErrorMsg'], encoding='gb2312'))
return self.__rsp_OrderInsert['ErrorID']
return self.__rsp_OrderInsert.copy()
else:
return -4
return ret
def OnFrontConnected(self):
""" 当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。 """
self.__rsp_Connect['event'].set()
def OnFrontDisconnected(self, nReason):
""" 当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。
nReason 错误原因
0x1001 网络读失败
0x1002 网络写失败
0x2001 接收心跳超时
0x2002 发送心跳失败
0x2003 收到错误报文
"""
sys.stderr.write('前置连接中断: %s' % hex(nReason))
# 登陆状态时掉线, 自动重登陆
# if self.__isLogined:
# self.__Inst_Interval()
# sys.stderr.write('自动登陆: %d' % self.Login(self.__BrokerID, self.__UserID, self.__Password))
def OnRspUserLogin(self, RspUserLogin, RspInfo, RequestID, IsLast):
""" 登录请求响应 """
if RequestID == self.__rsp_Login['RequestID'] and IsLast:
self.__BrokerID = RspUserLogin['BrokerID']
self.__UserID = RspUserLogin['UserID']
self.__SystemName = RspUserLogin['SystemName']
self.__TradingDay = RspUserLogin['TradingDay']
self.__DCETime = RspUserLogin['DCETime']
self.__SessionID = RspUserLogin['SessionID']
self.__MaxOrderRef = RspUserLogin['MaxOrderRef']
self.__OrderRef = int(self.__MaxOrderRef) # 初始化报单引用
self.__INETime = RspUserLogin['INETime']
self.__LoginTime = RspUserLogin['LoginTime']
self.__FrontID = RspUserLogin['FrontID']
self.__FFEXTime = RspUserLogin['FFEXTime']
self.__CZCETime = RspUserLogin['CZCETime']
self.__SHFETime = RspUserLogin['SHFETime']
self.__rsp_Login.update(RspInfo)
self.__rsp_Login['event'].set()
def OnRspUserLogout(self, RspUserLogout, RspInfo, RequestID, IsLast):
""" 登出请求响应 """
if RequestID == self.__rsp_Logout['RequestID'] and IsLast:
self.__rsp_Logout.update(RspInfo)
self.__rsp_Logout['event'].set()
def OnRspQryInstrument(self, Instrument, RspInfo, RequestID, IsLast):
""" 请求查询合约响应 """
if RequestID == self.__rsp_QryInstrument['RequestID']:
if RspInfo is not None:
self.__rsp_QryInstrument.update(RspInfo)
if Instrument is not None:
self.__rsp_QryInstrument['results'].append(Instrument)
if IsLast:
self.__rsp_QryInstrument['event'].set()
def OnRspQryInstrumentMarginRate(self, InstrumentMarginRate, RspInfo, RequestID, IsLast):
""" 请求查询合约保证金率响应 """
if RequestID == self.__rsp_QryInstrumentMarginRate['RequestID']:
if RspInfo is not None:
self.__rsp_QryInstrumentMarginRate.update(RspInfo)
if InstrumentMarginRate is not None:
self.__rsp_QryInstrumentMarginRate['results'].append(InstrumentMarginRate)
if IsLast:
self.__rsp_QryInstrumentMarginRate['event'].set()
def OnRspQryInstrumentCommissionRate(self, InstrumentCommissionRate, RspInfo, RequestID, IsLast):
""" 请求查询合约手续费率响应 """
if RequestID == self.__rsp_QryInstrumentCommissionRate['RequestID']:
if RspInfo is not None:
self.__rsp_QryInstrumentCommissionRate.update(RspInfo)
if InstrumentCommissionRate is not None:
self.__rsp_QryInstrumentCommissionRate['results'].append(InstrumentCommissionRate)
if IsLast:
self.__rsp_QryInstrumentCommissionRate['event'].set()
def OnRspQryInvestorPosition(self, InvestorPosition, RspInfo, RequestID, IsLast):
""" 请求查询投资者持仓响应 """
if RequestID == self.__rsp_QryInvestorPosition['RequestID']:
if RspInfo is not None:
self.__rsp_QryInvestorPosition.update(RspInfo)
if InvestorPosition is not None:
self.__rsp_QryInvestorPosition['results'].append(InvestorPosition)
if IsLast:
self.__rsp_QryInvestorPosition['event'].set()
def OnRspQryTradingAccount(self, TradingAccount, RspInfo, RequestID, IsLast):
""" 请求查询资金账户响应 """
if RequestID == self.__rsp_QryTradingAccount['RequestID']:
if RspInfo is not None:
self.__rsp_QryTradingAccount.update(RspInfo)
if TradingAccount is not None:
self.__rsp_QryTradingAccount['results'].append(TradingAccount)
if IsLast:
self.__rsp_QryTradingAccount['event'].set()
def OnRspQryInvestor(self, Investor, RspInfo, RequestID, IsLast):
""" 请求查询投资者响应 """
if RequestID == self.__rsp_QryInvestor['RequestID']:
if RspInfo is not None:
self.__rsp_QryInvestor.update(RspInfo)
if Investor is not None:
self.__rsp_QryInvestor['results'].append(Investor)
if IsLast:
self.__rsp_QryInvestor['event'].set()
def OnRspQryExchange(self, Exchange, RspInfo, RequestID, IsLast):
""" 请求查询交易所响应 """
if RequestID == self.__rsp_QryExchange['RequestID']:
if RspInfo is not None:
self.__rsp_QryExchange.update(RspInfo)
if Exchange is not None:
self.__rsp_QryExchange['results'].append(Exchange)
if IsLast:
self.__rsp_QryExchange['event'].set()
def OnRspQryDepthMarketData(self, DepthMarketData, RspInfo, RequestID, IsLast):
""" 请求查询交易所响应 """
if RequestID == self.__rsp_QryDepthMarketData['RequestID']:
if RspInfo is not None:
self.__rsp_QryDepthMarketData.update(RspInfo)
if DepthMarketData is not None:
self.__rsp_QryDepthMarketData['results'].append(DepthMarketData)
if IsLast:
self.__rsp_QryDepthMarketData['event'].set()
def OnRspOrderInsert(self, InputOrder, RspInfo, RequestID, IsLast):
""" 报单录入请求响应 """
print('OnRspOrderInsert:', InputOrder, RspInfo, RequestID, IsLast)
if self.__rsp_OrderInsert['RequestID'] == RequestID \
and self.__rsp_OrderInsert['InputOrder']['OrderRef'] == InputOrder['OrderRef']:
if RspInfo is not None and RspInfo['ErrorID'] != 0:
self.__rsp_OrderInsert.update(RspInfo)
self.__rsp_OrderInsert['event'].set()
def OnRtnOrder(self, Order):
print(Order)
pass
def OnErrRtnOrderAction(self, OrderAction, RspInfo):
""" 报单操作错误回报 """
print('OnErrRtnOrderAction:', OrderAction, RspInfo)
# if not self.__rsp_OrderInsert['event'].is_set() and OrderAction['OrderActionStatus'] == PyCTP.THOST_FTDC_OST_Canceled:
# self.__rsp_OrderInsert['ErrorID'] = 79
# self.__rsp_OrderInsert['ErrorMsg'] = bytes('CTP:发送报单操作失败', 'gb2312')
# self.__rsp_OrderInsert['event'].set()
def OnRtnTradingNotice(self, TradingNoticeInfo):
""" 交易通知 """
print('OnRtnTradingNotice:', TradingNoticeInfo)
pass
class PyCTP_Trader(PyCTP_Trader_API):
def OnRtnExecOrder(self, ExecOrder):
print('OnRtnExecOrder:', ExecOrder)
pass
class PyCTP_Market(PyCTP_Market_API):
data = []
def OnRtnDepthMarketData(self, DepthMarketData):
import datetime
tick = dict(InstrumentID=str(DepthMarketData['InstrumentID'], 'gb2312')
, time=datetime.datetime.strptime(
str(DepthMarketData['ActionDay'] + DepthMarketData['UpdateTime'], 'gb2312'), '%Y%m%d%H:%M:%S').replace(
microsecond=DepthMarketData['UpdateMillisec'] * 1000)
, last=DepthMarketData['LastPrice']
, volume=DepthMarketData['Volume']
, amount=DepthMarketData['Turnover']
, position=DepthMarketData['OpenInterest']
, ask1=DepthMarketData['AskPrice1']
, bid1=DepthMarketData['BidPrice1']
, asize1=DepthMarketData['AskVolume1']
, bsize1=DepthMarketData['BidVolume1'])
self.data.append(tick)
print(tick, '\n')
dt = datetime.datetime.strptime(str(DepthMarketData['ActionDay'] + DepthMarketData['UpdateTime'], 'gb2312'),
'%Y%m%d%H:%M:%S').replace(microsecond=DepthMarketData['UpdateMillisec'] * 1000)
un_time = str(time.mktime(dt.timetuple()))
i = str(DepthMarketData['InstrumentID'], 'gb2312')
p = str(DepthMarketData['LastPrice'])
url = 'http://127.0.0.1:8250/market/push/?data={},{},{}'.format(un_time, i, p)
ret = requests.get(url)
print(ret.text)
def __main__():
import os
import time
BrokerID = b'9999'
UserID = b'000300'
Password = b'123456789'
ExchangeID = b'SHFE'
InstrumentID = b'cu1610'
trader = PyCTP_Trader.CreateFtdcTraderApi(b'_tmp_t_')
market = PyCTP_Market.CreateFtdcMdApi(b'_tmp_m_')
# print('连接前置', trader.Connect(b'tcp://180.168.146.187:10000'))
print('连接前置', market.Connect(b'tcp://180.168.146.187:10010'))
# print('账号登陆', trader.Login(BrokerID, UserID, Password))
print('账号登陆', market.Login(BrokerID, UserID, Password))
# print('投资者代码', trader.setInvestorID(UserID))
# time.sleep(1.0)
# print('查询交易所', trader.QryExchange())
# time.sleep(1.0)
# print('查询投资者', trader.QryInvestor())
# time.sleep(1.0)
# print('查询资金账户', trader.QryTradingAccount())
# time.sleep(1.0)
# print('查询合约', trader.QryInstrument(ExchangeID, InstrumentID))
# time.sleep(1.0)
# print('合约手续费率', trader.QryInstrumentCommissionRate(InstrumentID))
# time.sleep(1.0)
# print('合约保证金率', trader.QryInstrumentMarginRate(InstrumentID))
# time.sleep(1.0)
# print('投资者持仓', trader.QryInvestorPosition())
# time.sleep(1.0)
# print('查询行情', trader.QryDepthMarketData(InstrumentID))
# time.sleep(1.0)
il = ['zn1810','zn1811','zn1812','zn1901','zn1902','zn1903','zn1904','zn1905','zn1906','zn1907','zn1908','zn1909',
'rb1810','rb1811','rb1812','rb1901','rb1902','rb1903','rb1904','rb1905','rb1906','rb1907','rb1908','rb1909',
'pp1810','pp1811','pp1812','pp1901','pp1902','pp1903','pp1904','pp1905','pp1906','pp1907','pp1908','pp1909',]
print('订阅行情:', market.SubMarketData(il))
while True:
if input('enter q exit:') == 'q':
break
print('退订行情:', market.UnSubMarketData([InstrumentID]))
# print('账号登出', trader.Logout())
print('账号登出', market.Logout())
if __name__ == '__main__':
__main__()
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