├── .gitignore ├── LICENSE ├── MultipleAccountUpdater ├── MultipleAccountUpdater.py ├── config.json ├── log │ └── deleteme ├── py_ctp │ ├── __init__.py │ ├── ctp_api.py │ ├── ctp_data_type.py │ ├── eventEngine.py │ ├── thosttraderapi.dll │ └── vnctptd.pyd └── tradeDate.json └── README.md /.gitignore: -------------------------------------------------------------------------------- 1 | # Windows: 2 | Thumbs.db 3 | ehthumbs.db 4 | Desktop.ini 5 | 6 | # Python: 7 | *.py[cod] 8 | *.so 9 | *.egg 10 | *.egg-info 11 | dist 12 | build 13 | 14 | # My configurations: -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- 1 | The MIT License (MIT) 2 | 3 | Copyright (c) 2015 Zhang Li 4 | 5 | Permission is hereby granted, free of charge, to any person obtaining a copy 6 | of this software and associated documentation files (the "Software"), to deal 7 | in the Software without restriction, including without limitation the rights 8 | to use, copy, modify, merge, publish, distribute, sublicense, and/or sell 9 | copies of the Software, and to permit persons to whom the Software is 10 | furnished to do so, subject to the following conditions: 11 | 12 | The above copyright notice and this permission notice shall be included in all 13 | copies or substantial portions of the Software. 14 | 15 | THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR 16 | IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, 17 | FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE 18 | AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER 19 | LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, 20 | OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE 21 | SOFTWARE. -------------------------------------------------------------------------------- /MultipleAccountUpdater/MultipleAccountUpdater.py: -------------------------------------------------------------------------------- 1 | # encoding: UTF-8 2 | ''' 3 | 读取账户资金、持仓、委托信息，保存至本地 4 | 加入守护者进程，自动开关 5 | 支持多账户 6 | ''' 7 | import multiprocessing 8 | from PyQt5.QtWidgets import QApplication 9 | from datetime import datetime, time 10 | import json 11 | import os 12 | import logging 13 | from py_ctp.ctp_api import * 14 | from py_ctp.eventEngine import * 15 | import functools 16 | 17 | # 配置日志 18 | path = 'log/Log{date}'.format(date=datetime.now().strftime('%Y-%m-%d')) 19 | logging.basicConfig(filename=path, level=logging.INFO) 20 | 21 | 22 | ONEDRIVE_DIR = 'C:/OneDrive/' # 存放生成的记录的目录 23 | # ONEDRIVE_DIR = 'X:/db_werobot/' 24 | # 设置文件 25 | CONFIG_FILE = 'config.json' 26 | # 时间 27 | NIGHT_START = time(20, 47) # 夜盘开盘 28 | # NIGHT_END = time(23, 59, 59) 29 | # MORNING_START = time(0, 0) # 夜盘跨过0点，分两段 30 | MORNING_END = time(2, 31) 31 | DAY_START = time(8, 47) # 日盘开盘 32 | DAY_END = time(15, 35) # 日盘收盘 33 | 34 | def stand_alone(func): 35 | ''' 36 | 装饰器 37 | 如果已经有实例在跑则退出 38 | :return: 39 | ''' 40 | @functools.wraps(func) 41 | def f(*args,**kwargs): 42 | import socket 43 | try: 44 | # 全局属性，否则变量会在方法退出后被销毁 45 | global soket_bind 46 | soket_bind = socket.socket() 47 | host = socket.gethostname() 48 | soket_bind.bind((host, 7788)) 49 | except: 50 | print('已经运行一个实例，不能重复打开') 51 | return None 52 | return func(*args,**kwargs) 53 | return f 54 | 55 | @stand_alone 56 | class MainEngine: 57 | """主引擎，负责对API的调度""" 58 | #---------------------------------------------------------------------- 59 | def __init__(self, config): 60 | """Constructor""" 61 | self.ee = EventEngine() # 创建事件驱动引擎 62 | self.ee.start() # 启动事件驱动引擎 63 | self.userID = '' # 账号 64 | self.password = '' # 密码 65 | self.brokerID = '' # 经纪商代码 66 | self.TdIp = '' # 交易服务器地址 67 | 68 | self.set_up(config) # 设置账号 69 | 70 | # 循环查询持仓和账户相关 71 | self.todayBalance = [] 72 | self.countGet = 0 # 查询延时计数 73 | self.lastGet = 'Position' # 上次查询的性质，先查询账户 74 | # 统计净值 75 | self.navCalculated = False 76 | self.navComfirmed = False 77 | 78 | #持仓和账户、委托 79 | self.ee.register((EVENT_START + self.userID), self.startReq) # 开始查询 80 | self.ee.register((EVENT_ACCOUNT + self.userID), self.account) 81 | self.ee.register(EVENT_POSITION + self.userID, self.position) 82 | self.ee.register((EVENT_ORDER + self.userID), self.updateOrder) 83 | self.ee.register(EVENT_LOG, self.print_log) 84 | self.td = CtpTdApi(self, self.ee) # 创建交易API接口 85 | #持仓、账户、委托、净值数据 86 | self.dict_account ={} 87 | self.dict_position ={} 88 | self.orderDict ={} 89 | self.workingOrderDict = {} 90 | self.nav = {} 91 | 92 | self.clear_history() # 开启软件时清空一次委托记录 93 | 94 | def __del__(self): 95 | self.ee.unregister(EVENT_TIMER, self.getAccountPosition) 96 | self.ee.unregister(EVENT_ACCOUNT + self.userID, self.account) 97 | self.ee.unregister(EVENT_POSITION + self.userID, self.position) 98 | self.ee.unregister(EVENT_ORDER + self.userID, self.updateOrder) 99 | self.ee.stop() # 停止事件驱动引擎 100 | #---------------------------------------------------------------------- 101 | def login(self): 102 | """登陆""" 103 | self.td.connect(self.userID, self.password, self.brokerID, self.TdIp) 104 | self.put_log('用户%s已登录' % self.userID) 105 | # 登录时清空委托列表 106 | self.orderDict = {} 107 | #---------------------------------------------------------------------- 108 | def print_log(self, event): 109 | log = event.dict_['log'] 110 | print(log) 111 | t = datetime.now().strftime('%Y-%m-%d %H:%M:%S ') 112 | log = ''.join([t, log]) 113 | logging.info(log) 114 | #---------------------------------------------------------------------- 115 | def put_log(self, log): 116 | event = Event() 117 | event.dict_['log'] = log 118 | event.type_ = EVENT_LOG 119 | self.ee.put(event) 120 | #---------------------------------------------------------------------- 121 | def set_up(self, config): 122 | '''set up args''' 123 | self.userID = config['userID'] # 账号 124 | self.password = config['password'] # 密码 125 | self.brokerID = config['brokerID'] # 经纪商代码 126 | self.TdIp = config['TdIp'] # 交易服务器地址 127 | 128 | # 当天重启软件时载入之前的资金记录，顺便加在这里 /摊手 129 | try: 130 | path = os.path.join(ONEDRIVE_DIR, self.userID + '/balance.json') 131 | with open(path, 'r', encoding="utf-8") as f: 132 | historyBalance = json.load(f) 133 | except FileNotFoundError: 134 | return 135 | if len(historyBalance) > 0: 136 | lastUpdatetime = historyBalance[0]['updateTime'] 137 | lastUpdatetime = datetime.strptime(lastUpdatetime, '%Y-%m-%d_%H:%M:%S') 138 | t = datetime.now() 139 | if t - lastUpdatetime < timedelta(hours=6): # 如果当天出错或重启，不清空盘中资金的数据 140 | self.todayBalance = historyBalance 141 | #---------------------------------------------------------------------- 142 | def startReq(self, event): 143 | self.ee.register(EVENT_TIMER, self.getAccountPosition) # 定时器事件，循环查询 144 | self.ee.unregister(EVENT_START + self.userID, self.startReq) 145 | self.put_log(''.join([self.userID, '开始查询'])) 146 | #---------------------------------------------------------------------- 147 | def clear_history(self): 148 | self.save_nontrade() 149 | self.save_order() 150 | 151 | def save_balance(self): 152 | path = os.path.join(ONEDRIVE_DIR, self.userID + '/balance.json') 153 | with open(path, 'w', encoding="utf-8") as f: 154 | jsonD = json.dumps(self.todayBalance, indent=4) 155 | f.write(jsonD) 156 | def save_order(self): 157 | path = os.path.join(ONEDRIVE_DIR, self.userID + '/order.json') 158 | with open(path, 'w', encoding="utf-8") as f: 159 | data = json.dumps(self.orderDict, indent=4) 160 | f.write(data) 161 | def save_nontrade(self): 162 | path = os.path.join(ONEDRIVE_DIR, self.userID + '/nontrade.json') 163 | with open(path, 'w', encoding="utf-8") as f: 164 | data = json.dumps(self.workingOrderDict, indent=4) 165 | f.write(data) 166 | def save_nav(self): 167 | path = os.path.join(ONEDRIVE_DIR, self.userID + '/nav.json') 168 | with open(path, 'w', encoding="utf-8") as f: 169 | data = json.dumps(self.nav, indent=4) 170 | f.write(data) 171 | #---------------------------------------------------------------------- 172 | def getAccountPosition(self, event): 173 | """循环查询账户和持仓""" 174 | self.countGet += 1 175 | # 每n秒发一次查询 176 | if self.countGet > 8: 177 | self.countGet = 0 # 清空计数 178 | 179 | if self.lastGet == 'Account': 180 | self.getPosition() 181 | self.lastGet = 'Position' 182 | else: 183 | self.getAccount() 184 | self.lastGet = 'Account' 185 | # ---------------------------------------------------------------------- 186 | def account(self, event):# 处理账户事件数据 187 | var = event.dict_['data'] 188 | balance = int(var["Balance"]) 189 | dw = int(var["Deposit"] - var["Withdraw"]) 190 | # 保存权益，供收盘时自动发送净值 191 | t = datetime.now().time() 192 | # 只记录有交易的时间段 193 | trading = time(20, 59) < t < time(23, 59, 59) or time(0, 0) < t < time(1, 31) or time(8, 59) < t < time(11, 31) or time(13, 29)< t < time(15, 1) 194 | if trading: 195 | updateTime = datetime.now().strftime('%Y-%m-%d_%H:%M:%S') 196 | data = { 197 | 'balance': balance, 198 | 'updateTime': updateTime, 199 | 'DepositWithdraw': dw, 200 | } 201 | self.todayBalance.append(data) 202 | self.save_balance() 203 | 204 | onClose = time(15, 1) < t < time(15, 2) 205 | onComfirm = time(15, 31) < t < time(15, 32) 206 | if onComfirm: 207 | # 停止出入金后确认出入金情况 208 | self.todayBalance[-1]['DepositWithdraw'] = dw 209 | self.save_balance() 210 | 211 | if onClose and not self.navCalculated: 212 | # 净值统计任务 213 | self.calculate_nav() 214 | self.navCalculated = True 215 | 216 | if onComfirm and not self.navComfirmed: 217 | # 净值确认任务 218 | self.calculate_nav() 219 | self.navComfirmed = True 220 | # ---------------------------------------------------------------------- 221 | def position(self, event):#处理持仓事件数据 222 | pos = event.dict_['data'] 223 | last = event.dict_['last'] 224 | dm = { 225 | DIRECTION_LONG:"多持", 226 | DIRECTION_SHORT:"空持", 227 | } 228 | 229 | if pos.position is not 0: 230 | posName = '.'.join([pos.symbol + pos.direction]) 231 | if posName not in self.dict_position.keys(): 232 | tmp = {} 233 | tmp["合约名称"] = pos.name 234 | tmp["持仓方向"] = dm.get(pos.direction, '未知方向') 235 | tmp["总持仓量"] = pos.position 236 | tmp["昨持仓量"] = pos.ydPosition 237 | tmp["今持仓量"] = pos.position - pos.ydPosition 238 | tmp["开仓盈亏"] = pos.openProfit 239 | self.dict_position[posName] = tmp 240 | 241 | # 保存持仓数据到文件 242 | if last: 243 | path = ''.join([ONEDRIVE_DIR, self.userID, '/position.json']) 244 | with open(path, 'w', encoding="utf-8") as f: 245 | jsonD = json.dumps(self.dict_position, indent=4) 246 | f.write(jsonD) 247 | 248 | self.dict_position.clear() # 清空 249 | 250 | # ---------------------------------------------------------------------- 251 | def updateOrder(self, event): 252 | """""" 253 | var = event.dict_['data'] 254 | index = str(var["OrderLocalID"])+'.'+var["InstrumentID"] 255 | # 更新委托单 256 | if index not in self.orderDict.keys(): 257 | self.orderDict[index] = {} 258 | self.orderDict[index]["合约代码"] = (str(var["InstrumentID"])) 259 | self.orderDict[index]["时间"] = str(var["InsertTime"]) 260 | self.orderDict[index]["价格"] = (str(var["LimitPrice"])) 261 | self.orderDict[index]["数量"] = (str(var["VolumeTotalOriginal"])) 262 | self.orderDict[index]["状态信息"] = (str(var["OrderStatus"])) 263 | if var["CombOffsetFlag"] == OFFSET_OPEN: 264 | if var["Direction"] == DIRECTION_LONG: 265 | self.orderDict[index]["买卖开平标志"] = ('多开') 266 | else: 267 | self.orderDict[index]["买卖开平标志"] = ('空开') 268 | else: 269 | if var["Direction"] == DIRECTION_SHORT: 270 | self.orderDict[index]["买卖开平标志"] = ('多平') 271 | else: 272 | self.orderDict[index]["买卖开平标志"] = ('空平') 273 | # 更新可能变化的数据 274 | else: 275 | self.orderDict[index]["状态信息"] = str(var["OrderStatus"]) 276 | # 保存到本地 277 | self.save_order() 278 | 279 | # 更新可撤单 280 | if index not in self.workingOrderDict.keys() and var["StatusMsg"] == '未成交': 281 | self.workingOrderDict[index] = {} 282 | # 准备保存到本地的未成交信息 283 | self.workingOrderDict[index]["时间"] = str(var["InsertTime"]) 284 | self.workingOrderDict[index]["合约代码"] = (str(var["InstrumentID"])) 285 | self.workingOrderDict[index]["价格"] = (str(var["LimitPrice"])) 286 | self.workingOrderDict[index]["数量"] = (str(var["VolumeTotalOriginal"])) 287 | self.workingOrderDict[index]["状态信息"] = (str(var["StatusMsg"])) 288 | if var["CombOffsetFlag"] == OFFSET_OPEN: 289 | if var["Direction"] == DIRECTION_LONG: 290 | self.workingOrderDict[index]["买卖开平标志"] = ('多开') 291 | else: 292 | self.workingOrderDict[index]["买卖开平标志"] = ('空开') 293 | else: 294 | if var["Direction"] == DIRECTION_SHORT: 295 | self.workingOrderDict[index]["买卖开平标志"] = ('多平') 296 | else: 297 | self.workingOrderDict[index]["买卖开平标志"] = ('空平') 298 | # 更新状态 299 | if index in self.workingOrderDict.keys(): 300 | self.workingOrderDict[index]["状态信息"] = str(var["StatusMsg"]) 301 | if var["StatusMsg"] == '全部成交': 302 | self.workingOrderDict.pop(index) # 删除已成交 303 | # 保存委托信息到本地 304 | self.save_nontrade() 305 | # ---------------------------------------------------------------------- 306 | def getAccount(self): 307 | """查询账户""" 308 | self.td.qryAccount() 309 | # ---------------------------------------------------------------------- 310 | def getPosition(self): 311 | """查询持仓""" 312 | self.td.qryPosition() 313 | # ---------------------------------------------------------------------- 314 | def calculate_nav(self): 315 | """计算每日净值""" 316 | # 载入净值历史 317 | self.put_log('正在统计%s的净值' % self.userID) 318 | first = False 319 | try: 320 | path = os.path.join(ONEDRIVE_DIR, self.userID + '/nav.json') 321 | with open(path, 'r', encoding="utf-8") as f: 322 | na = json.load(f) 323 | except FileNotFoundError: 324 | na = [] 325 | first = True 326 | # 载入当日收盘权益 327 | ba = self.todayBalance 328 | # 计算净值 329 | currentDate = datetime.now().strftime('%Y-%m-%d') 330 | balance = ba[-1]["balance"] 331 | dw = ba[-1]["DepositWithdraw"] 332 | if first: 333 | changeValue = 0 334 | totalChange = 0 335 | else:# 去重复 336 | if na[-1]['date'] == currentDate: 337 | na.pop(-1) 338 | lastBalance = na[-1]['balance'] 339 | totalChange = na[-1]['totalChange'] 340 | changeValue = balance - lastBalance - dw 341 | totalChange += changeValue 342 | 343 | change = "涨" if changeValue >= 0 else "跌" 344 | changeValue = abs(changeValue) 345 | data = { 346 | "date": currentDate, 347 | "balance": balance, 348 | "change": change, 349 | "change_value": changeValue, 350 | "totalChange": totalChange, 351 | } 352 | na.append(data) 353 | # 保存净值历史 354 | self.nav = na 355 | self.save_nav() 356 | 357 | msg = '截至%s，您的账户权益为%d，较前一交易日%s%d，账户累计盈亏%d。' % (currentDate, balance, change, changeValue, totalChange) 358 | self.put_log(msg) 359 | 360 | def run_mainengine(config): 361 | import sys 362 | app = QApplication(sys.argv) 363 | connects = {} 364 | for i in range(len(config)): # 将多个账户登录分别实例化 365 | setting = config[i] 366 | connects[i] = MainEngine(setting) 367 | connects[i].login() 368 | app.exec_() 369 | 370 | class Watcher: 371 | '''守护进程''' 372 | def __init__(self): 373 | """constractor""" 374 | self.p = None # 子进程 375 | self.tradeDateList = [] # 交易日列表 376 | self.todaySetting = [] 377 | self.currentTime = datetime.now().time() # 当前时间 378 | self.currentDate = '' # 当前日期 379 | self.count = 0 # 循环计数 380 | self.config = [] # 账户信息 381 | self.load_tradedate() # 载入交易日列表 382 | self.load_config() # 载入账户信息 383 | self.loop() # 运行主循环 384 | 385 | def __del__(self): 386 | '''join process when exit''' 387 | if self.p: 388 | self.p.terminate() 389 | self.p.join() 390 | self.p = None 391 | 392 | def load_tradedate(self): 393 | """load tradeday from json""" 394 | with open('tradeDate.json', 'r', encoding="utf-8") as f: 395 | self.tradeDateList = json.load(f) 396 | 397 | def load_config(self): 398 | with open(CONFIG_FILE, 'r', encoding='utf-8') as f: 399 | self.config = json.load(f) 400 | # 创建新目录 401 | # savePath = os.path.abspath(ONEDRIVE_DIR) 402 | savePath = ONEDRIVE_DIR 403 | listPath = [x for x in os.listdir(savePath) if os.path.isdir(os.path.join(savePath, x))] 404 | for index in self.config: 405 | id = index['userID'] 406 | if id not in listPath: 407 | newPath = ''.join([savePath, id]) 408 | os.mkdir(newPath) 409 | print('正在为新用户{user}创建目录'.format(user=id)) 410 | 411 | def check_and_run(self): 412 | '''根据交易日列表管理子进程''' 413 | # 在交易日列表中查找当前日期 414 | i = 0 415 | while i < len(self.tradeDateList): 416 | if self.tradeDateList[i][0] == self.currentDate: 417 | n = i 418 | i = len(self.tradeDateList) 419 | i += 1 420 | # 交易日列表更新提醒 421 | try: 422 | if i - n < 10: 423 | print('交易日列表急需更新，否则将会在%s天后过期！' % (i-n)) 424 | # 如果交易日列表中找不到当前日期，则终止循环 425 | except: 426 | print('马上更新交易日列表！') 427 | return 428 | # 当天的开盘时间情况 429 | self.todaySetting = self.tradeDateList[n] 430 | # 运行 431 | self.run_account_updater() 432 | 433 | def run_account_updater(self): 434 | '''运行账户查询子进程''' 435 | running = False 436 | istradeday = self.todaySetting[2] 437 | open_at_night = self.todaySetting[3] 438 | open_at_morning = self.todaySetting[4] 439 | 440 | # 判断是否有开盘，且在开盘时间 441 | if istradeday and open_at_night and NIGHT_START < self.currentTime: 442 | running = True 443 | if open_at_morning and self.currentTime < MORNING_END:# 周六凌晨可能有开盘，因此不判断是否交易日 444 | running = True 445 | if istradeday and (DAY_START < self.currentTime < DAY_END): 446 | running = True 447 | 448 | # 交易时间启动子进程 449 | if running and self.p is None: 450 | log = ','.join([self.currentDate, self.currentTime.strftime('%H:%M:%S'), u'开始运行子进程: MultipleAccountUpdater']) 451 | print(log) 452 | self.p = multiprocessing.Process(target=run_mainengine, args=(self.config,)) 453 | self.p.start() 454 | 455 | # 非交易时间则退出子进程 456 | if not running and self.p is not None: 457 | log = ','.join([self.currentDate, self.currentTime.strftime('%H:%M:%S'), u'停止运行子进程: MultipleAccountUpdater']) 458 | print(log) 459 | self.p.terminate() 460 | self.p.join() 461 | self.p = None 462 | 463 | def loop(self): 464 | '''定时轮询''' 465 | print('启动中...') 466 | while True: 467 | # 更新当前时间 468 | self.currentDate = datetime.now().strftime('%Y%m%d') 469 | self.currentTime = datetime.now().time() 470 | self.check_and_run() 471 | sleep(9) 472 | 473 | # 直接运行脚本可以进行测试 474 | if __name__ == '__main__': 475 | watcher = Watcher() 476 | -------------------------------------------------------------------------------- /MultipleAccountUpdater/config.json: -------------------------------------------------------------------------------- 1 | [ 2 | 3 | { 4 | "name" : "test", 5 | "userID" : "", 6 | "brokerID" : "9999", 7 | "password" : "", 8 | "TdIp": "tcp://180.168.146.187:10001" 9 | } 10 | ] -------------------------------------------------------------------------------- /MultipleAccountUpdater/log/deleteme: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/vvipi/VNPY_account_updater/669c3083232b4aeb68668b01c7c20f2d6be14b4c/MultipleAccountUpdater/log/deleteme -------------------------------------------------------------------------------- /MultipleAccountUpdater/py_ctp/__init__.py: -------------------------------------------------------------------------------- 1 | # encoding: UTF-8 2 | """ 3 | 作者：vvipi 4 | """ -------------------------------------------------------------------------------- /MultipleAccountUpdater/py_ctp/ctp_api.py: -------------------------------------------------------------------------------- 1 | # encoding: UTF-8 2 | """ 3 | CTP的底层接口来自VNPY,大佬bigtan帮助编译的python3版本 4 | """ 5 | from py_ctp.vnctptd import TdApi 6 | from py_ctp.eventEngine import * 7 | from py_ctp.ctp_data_type import * 8 | from time import sleep 9 | from datetime import datetime, time 10 | import random 11 | import os 12 | 13 | 14 | # 默认空值 15 | EMPTY_STRING = '' 16 | EMPTY_UNICODE = u'' 17 | EMPTY_INT = 0 18 | EMPTY_FLOAT = 0.0 19 | 20 | # 方向常量 21 | DIRECTION_NONE = u'无方向' 22 | DIRECTION_LONG = u'买入' 23 | DIRECTION_SHORT = u'卖出' 24 | DIRECTION_UNKNOWN = u'未知' 25 | DIRECTION_NET = u'净' 26 | DIRECTION_SELL = u'卖出' # IB接口 27 | DIRECTION_COVEREDSHORT = u'备兑空' # 证券期权 28 | 29 | # 开平常量 30 | OFFSET_NONE = u'无开平' 31 | OFFSET_OPEN = u'开仓' 32 | OFFSET_CLOSE = u'平仓' 33 | OFFSET_CLOSETODAY = u'平今' 34 | OFFSET_CLOSEYESTERDAY = u'平昨' 35 | OFFSET_UNKNOWN = u'未知' 36 | 37 | # 状态常量 38 | STATUS_NOTTRADED = u'未成交' 39 | STATUS_PARTTRADED = u'部分成交' 40 | STATUS_ALLTRADED = u'全部成交' 41 | STATUS_CANCELLED = u'已撤销' 42 | STATUS_REJECTED = u'拒单' 43 | STATUS_UNKNOWN = u'未知' 44 | 45 | # 合约类型常量 46 | PRODUCT_EQUITY = u'股票' 47 | PRODUCT_FUTURES = u'期货' 48 | PRODUCT_OPTION = u'期权' 49 | PRODUCT_INDEX = u'指数' 50 | PRODUCT_COMBINATION = u'组合' 51 | PRODUCT_FOREX = u'外汇' 52 | PRODUCT_UNKNOWN = u'未知' 53 | PRODUCT_SPOT = u'现货' 54 | PRODUCT_DEFER = u'延期' 55 | PRODUCT_NONE = '' 56 | 57 | # 价格类型常量 58 | PRICETYPE_LIMITPRICE = u'限价' 59 | PRICETYPE_MARKETPRICE = u'市价' 60 | PRICETYPE_FAK = u'FAK' 61 | PRICETYPE_FOK = u'FOK' 62 | 63 | # 期权类型 64 | OPTION_CALL = u'看涨期权' 65 | OPTION_PUT = u'看跌期权' 66 | 67 | # 交易所类型 68 | EXCHANGE_SSE = 'SSE' # 上交所 69 | EXCHANGE_SZSE = 'SZSE' # 深交所 70 | EXCHANGE_CFFEX = 'CFFEX' # 中金所 71 | EXCHANGE_SHFE = 'SHFE' # 上期所 72 | EXCHANGE_CZCE = 'CZCE' # 郑商所 73 | EXCHANGE_DCE = 'DCE' # 大商所 74 | EXCHANGE_SGE = 'SGE' # 上金所 75 | EXCHANGE_INE = 'INE' # 国际能源交易中心 76 | EXCHANGE_UNKNOWN = 'UNKNOWN'# 未知交易所 77 | EXCHANGE_NONE = '' # 空交易所 78 | 79 | 80 | # 货币类型 81 | CURRENCY_USD = 'USD' # 美元 82 | CURRENCY_CNY = 'CNY' # 人民币 83 | CURRENCY_HKD = 'HKD' # 港币 84 | CURRENCY_UNKNOWN = 'UNKNOWN' # 未知货币 85 | CURRENCY_NONE = '' # 空货币 86 | 87 | 88 | 89 | # 接口类型 90 | GATEWAYTYPE_FUTURES = 'futures' # 期货、期权、贵金属 91 | GATEWAYTYPE_DATA = 'data' # 数据（非交易） 92 | 93 | 94 | # 以下为一些VT类型和CTP类型的映射字典 95 | # 价格类型映射 96 | priceTypeMap = {} 97 | priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["THOST_FTDC_OPT_LimitPrice"] 98 | priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["THOST_FTDC_OPT_AnyPrice"] 99 | priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} 100 | 101 | # 方向类型映射 102 | directionMap = {} 103 | directionMap[DIRECTION_LONG] = defineDict['THOST_FTDC_D_Buy'] 104 | directionMap[DIRECTION_SHORT] = defineDict['THOST_FTDC_D_Sell'] 105 | directionMapReverse = {v: k for k, v in directionMap.items()} 106 | 107 | # 开平类型映射 108 | offsetMap = {} 109 | offsetMap[OFFSET_OPEN] = defineDict['THOST_FTDC_OF_Open'] 110 | offsetMap[OFFSET_CLOSE] = defineDict['THOST_FTDC_OF_Close'] 111 | offsetMap[OFFSET_CLOSETODAY] = defineDict['THOST_FTDC_OF_CloseToday'] 112 | offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['THOST_FTDC_OF_CloseYesterday'] 113 | offsetMapReverse = {v:k for k,v in offsetMap.items()} 114 | 115 | # 交易所类型映射 116 | exchangeMap = {} 117 | exchangeMap[EXCHANGE_CFFEX] = 'CFFEX' 118 | exchangeMap[EXCHANGE_SHFE] = 'SHFE' 119 | exchangeMap[EXCHANGE_CZCE] = 'CZCE' 120 | exchangeMap[EXCHANGE_DCE] = 'DCE' 121 | exchangeMap[EXCHANGE_SSE] = 'SSE' 122 | exchangeMap[EXCHANGE_UNKNOWN] = '' 123 | exchangeMapReverse = {v:k for k,v in exchangeMap.items()} 124 | 125 | # 持仓类型映射 126 | posiDirectionMap = {} 127 | posiDirectionMap[DIRECTION_NET] = defineDict["THOST_FTDC_PD_Net"] 128 | posiDirectionMap[DIRECTION_LONG] = defineDict["THOST_FTDC_PD_Long"] 129 | posiDirectionMap[DIRECTION_SHORT] = defineDict["THOST_FTDC_PD_Short"] 130 | posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()} 131 | 132 | # 产品类型映射 133 | productClassMap = {} 134 | productClassMap[PRODUCT_FUTURES] = defineDict["THOST_FTDC_PC_Futures"] 135 | productClassMap[PRODUCT_OPTION] = defineDict["THOST_FTDC_PC_Options"] 136 | productClassMap[PRODUCT_COMBINATION] = defineDict["THOST_FTDC_PC_Combination"] 137 | productClassMapReverse = {v:k for k,v in productClassMap.items()} 138 | 139 | # 委托状态映射 140 | statusMap = {} 141 | statusMap[STATUS_ALLTRADED] = defineDict["THOST_FTDC_OST_AllTraded"] 142 | statusMap[STATUS_PARTTRADED] = defineDict["THOST_FTDC_OST_PartTradedQueueing"] 143 | statusMap[STATUS_NOTTRADED] = defineDict["THOST_FTDC_OST_NoTradeQueueing"] 144 | statusMap[STATUS_CANCELLED] = defineDict["THOST_FTDC_OST_Canceled"] 145 | statusMapReverse = {v:k for k,v in statusMap.items()} 146 | 147 | class CtaPositionData(object): 148 | """持仓数据类""" 149 | 150 | #---------------------------------------------------------------------- 151 | def __init__(self): 152 | """Constructor""" 153 | self.gatewayName = EMPTY_STRING # Gateway名称 154 | # 代码编号相关 155 | self.symbol = EMPTY_STRING # 合约代码 156 | self.exchange = EMPTY_STRING # 交易所代码 157 | self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，合约代码.交易所代码 158 | 159 | # 持仓相关 160 | self.direction = EMPTY_STRING # 持仓方向 161 | self.position = EMPTY_INT # 持仓量 162 | self.frozen = EMPTY_INT # 冻结数量 163 | self.price = EMPTY_FLOAT # 持仓均价 164 | self.vtPositionName = EMPTY_STRING # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向 165 | self.ydPosition = EMPTY_INT # 昨持仓 166 | self.positionProfit = EMPTY_FLOAT # 持仓盈亏（盯） 167 | 168 | # 自行添加 169 | self.openPrice = EMPTY_FLOAT # 开仓均价 170 | self.openProfit = EMPTY_FLOAT # 开仓盈亏（浮） 171 | self.name = EMPTY_STRING # 合约名称 172 | ######################################################################## 173 | class CtpTdApi(TdApi): 174 | """CTP交易API实现""" 175 | 176 | #---------------------------------------------------------------------- 177 | def __init__(self, mainEngine, eventEngine): 178 | """API对象的初始化函数""" 179 | super(CtpTdApi, self).__init__() 180 | 181 | self.__eventEngine = eventEngine 182 | self.__mainEngine = mainEngine 183 | 184 | self.reqID = 0 # 操作请求编号 185 | self.orderRef = random.randrange(start=1000,stop=9000,step=random.randint(10,100) ) # 订单编号 186 | 187 | 188 | self.connectionStatus = False # 连接状态 189 | self.loginStatus = False # 登录状态 190 | 191 | self.userID = '' # 账号 192 | self.password = '' # 密码 193 | self.brokerID = '' # 经纪商代码 194 | self.address = '' # 服务器地址 195 | 196 | self.frontID = 0 # 前置机编号 197 | self.sessionID = 0 # 会话编号 198 | self.symbolExchangeDict = {} # 保存合约代码和交易所的映射关系 199 | self.symbolSizeDict = {} # 保存合约代码和合约大小的映射关系 200 | self.symbolNameDict = {} # 保存合约代码和合约名称的映射关系 201 | 202 | self.posDict = {} # 持仓缓存 203 | #---------------------------------------------------------------------- 204 | def put_start_event(self): # log事件注册 205 | event = Event(type_=EVENT_START + self.userID) 206 | event.dict_['data'] = 'start' 207 | self.__eventEngine.put(event) 208 | #---------------------------------------------------------------------- 209 | def put_log_event(self, log): # log事件注册 210 | event = Event(type_=EVENT_LOG) 211 | if self.userID not in log: 212 | event.dict_['log'] = self.userID + log 213 | else: 214 | event.dict_['log'] = log 215 | self.__eventEngine.put(event) 216 | #---------------------------------------------------------------------- 217 | def onRspSettlementInfoConfirm(self, data, error, n, last): 218 | """确认结算信息回报""" 219 | log = u'结算信息确认完成' 220 | self.put_log_event(log) 221 | self.put_start_event() 222 | # 查询合约代码 223 | self.reqID += 1 224 | self.reqQryInstrument({}, self.reqID) 225 | #---------------------------------------------------------------------- 226 | def onRspQryTradingAccount(self, data, error, n, last): 227 | """资金账户查询回报""" 228 | if error['ErrorID'] == 0: 229 | event = Event(type_=EVENT_ACCOUNT + self.userID) 230 | event.dict_['data'] = data 231 | self.__eventEngine.put(event) 232 | else: 233 | log = ('账户查询回报，错误代码：' +str(error['ErrorID']) + ', 错误信息：' +str(error['ErrorMsg'])) 234 | self.put_log_event(log) 235 | #---------------------------------------------------------------------- 236 | def onRspQryInvestorPosition(self, data, error, n, last): 237 | """持仓查询回报""" 238 | 239 | if not data['InstrumentID']: 240 | return 241 | if error['ErrorID'] == 0: 242 | # 读取交易所id|合约名称|方向|合约乘数 243 | ExchangeID = self.symbolExchangeDict.get(data['InstrumentID'], EXCHANGE_UNKNOWN) 244 | data['PosiDirection'] = posiDirectionMapReverse.get(data['PosiDirection'], '') 245 | 246 | # 获取持仓缓存对象 247 | posName = '.'.join([data['InstrumentID'], data['PosiDirection']]) 248 | 249 | if posName in self.posDict: 250 | pos = self.posDict[posName] 251 | else: 252 | pos = CtaPositionData() 253 | self.posDict[posName] = pos 254 | 255 | pos.gatewayName = 'CTP' 256 | pos.symbol = data['InstrumentID'] 257 | pos.vtSymbol = pos.symbol 258 | pos.direction = data['PosiDirection'] 259 | pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) 260 | pos.name = self.symbolNameDict.get(data['InstrumentID'], PRODUCT_UNKNOWN) 261 | 262 | # 针对上期所持仓的今昨分条返回（有昨仓、无今仓），读取昨仓数据.其他交易所只有一条，直接读取 263 | if (data['YdPosition'] and not data['TodayPosition']) and ExchangeID == EXCHANGE_SHFE: 264 | pos.ydPosition = data['Position'] 265 | # YdPosition字段存在一个问题，今天平昨仓不会减少这个字段的数量，改为从TodayPosition计算 266 | if ExchangeID != EXCHANGE_SHFE: 267 | pos.ydPosition = data['Position'] - data['TodayPosition'] 268 | 269 | # 计算成本 270 | size = self.symbolSizeDict[pos.symbol] 271 | cost = pos.price * pos.position * size 272 | openCost = pos.openPrice * pos.position * size 273 | 274 | # 汇总总仓 275 | pos.position += data['Position'] 276 | pos.positionProfit += data['PositionProfit'] 277 | # 计算开仓盈亏（浮） 278 | sign = 1 if pos.direction == DIRECTION_LONG else -1 279 | op = data["PositionProfit"] + (data["PositionCost"] - data["OpenCost"]) * sign 280 | pos.openProfit += op 281 | 282 | # 计算持仓均价和开仓均价 283 | if pos.position and size: 284 | pos.price = (cost + data['PositionCost']) / (pos.position * size) 285 | pos.openPrice = (openCost + data["OpenCost"]) / (pos.position * size) 286 | 287 | # 读取冻结 288 | if pos.direction == DIRECTION_LONG: 289 | pos.frozen += data['LongFrozen'] 290 | else: 291 | pos.frozen += data['ShortFrozen'] 292 | 293 | # 查询回报结束 294 | if last: 295 | # 遍历推送 296 | i = 0 297 | for pos in self.posDict.values(): 298 | # vnpy格式持仓事件 299 | i += 1 300 | lastPos = True if i >= len(self.posDict) else False 301 | 302 | event2 = Event(type_=EVENT_POSITION + self.userID) 303 | event2.dict_['data'] = pos 304 | event2.dict_['last'] = lastPos 305 | self.__eventEngine.put(event2) 306 | 307 | # 清空缓存 308 | self.posDict.clear() 309 | 310 | else: 311 | log = ('持仓查询回报，错误代码：' +str(error['ErrorID']) + ', 错误信息：' +str(error['ErrorMsg'])) 312 | self.put_log_event(log) 313 | #---------------------------------------------------------------------- 314 | def onRtnOrder(self, data): 315 | """报单回报""" 316 | 317 | # 更新最大报单编号 318 | newref = data['OrderRef'] 319 | self.orderRef = max(self.orderRef, int(newref)) 320 | 321 | 322 | # 方向 323 | data['Direction'] = directionMapReverse.get(data['Direction'], DIRECTION_UNKNOWN) 324 | 325 | # 开平 326 | data['CombOffsetFlag'] = offsetMapReverse.get(data['CombOffsetFlag'], OFFSET_UNKNOWN) 327 | 328 | # 状态 329 | data['OrderStatus'] = statusMapReverse.get(data['OrderStatus'], STATUS_UNKNOWN) 330 | 331 | # 单客户报单事件 332 | event1 = Event(type_=(EVENT_ORDER + self.userID)) 333 | event1.dict_['data'] = data 334 | self.__eventEngine.put(event1) 335 | #---------------------------------------------------------------------- 336 | def onFrontConnected(self): 337 | """服务器连接""" 338 | self.connectionStatus = True 339 | 340 | log = u'交易服务器连接成功' 341 | self.put_log_event(log) 342 | 343 | self.login() 344 | 345 | #---------------------------------------------------------------------- 346 | def onFrontDisconnected(self, n): 347 | """服务器断开""" 348 | self.connectionStatus = False 349 | self.loginStatus = False 350 | 351 | log = u'交易服务器连接断开' 352 | self.put_log_event(log) 353 | 354 | #---------------------------------------------------------------------- 355 | def onRspUserLogin(self, data, error, n, last): 356 | """登陆回报""" 357 | # 如果登录成功，推送日志信息 358 | if error['ErrorID'] == 0: 359 | self.frontID = str(data['FrontID']) 360 | self.sessionID = str(data['SessionID']) 361 | self.loginStatus = True 362 | 363 | log = data['UserID'] + u'交易服务器登录完成' 364 | self.put_log_event(log) 365 | 366 | # 确认结算信息 367 | req = {} 368 | req['BrokerID'] = self.brokerID 369 | req['InvestorID'] = self.userID 370 | self.reqID += 1 371 | self.reqSettlementInfoConfirm(req, self.reqID) 372 | 373 | # 否则，推送错误信息 374 | else: 375 | log = error['ErrorMsg'] 376 | self.put_log_event(log) 377 | 378 | #---------------------------------------------------------------------- 379 | def onRspUserLogout(self, data, error, n, last): 380 | """登出回报""" 381 | # 如果登出成功，推送日志信息 382 | if error['ErrorID'] == 0: 383 | self.loginStatus = False 384 | 385 | log = u'交易服务器登出完成' 386 | self.put_log_event(log) 387 | 388 | # 否则，推送错误信息 389 | else: 390 | log = error['ErrorMsg'] 391 | self.put_log_event(log) 392 | #---------------------------------------------------------------------- 393 | def connect(self, userID, password, brokerID, address): 394 | """初始化连接""" 395 | self.userID = userID # 账号 396 | self.password = password # 密码 397 | self.brokerID = brokerID # 经纪商代码 398 | self.address = address # 服务器地址 399 | 400 | # 如果尚未建立服务器连接，则进行连接 401 | if not self.connectionStatus: 402 | # 创建C++环境中的API对象，这里传入的参数是需要用来保存.con文件的文件夹路径 403 | path = os.getcwd() + '/temp/' 404 | if not os.path.exists(path): 405 | os.makedirs(path) 406 | self.createFtdcTraderApi(path) 407 | 408 | # 注册服务器地址 409 | self.registerFront(self.address) 410 | 411 | # 初始化连接，成功会调用onFrontConnected 412 | self.init() 413 | 414 | # 若已经连接但尚未登录，则进行登录 415 | else: 416 | if not self.loginStatus: 417 | self.login() 418 | 419 | #---------------------------------------------------------------------- 420 | def login(self): 421 | """连接服务器""" 422 | # 如果填入了用户名密码等，则登录 423 | if self.userID and self.password and self.brokerID: 424 | req = {} 425 | req['UserID'] = self.userID 426 | req['Password'] = self.password 427 | req['BrokerID'] = self.brokerID 428 | self.reqID += 1 429 | self.reqUserLogin(req, self.reqID) 430 | #---------------------------------------------------------------------- 431 | def qryAccount(self): 432 | """查询账户""" 433 | self.reqID += 1 434 | self.reqQryTradingAccount({}, self.reqID) 435 | #---------------------------------------------------------------------- 436 | def qryPosition(self): 437 | """查询持仓""" 438 | self.reqID += 1 439 | req = {} 440 | req['BrokerID'] = self.brokerID 441 | req['InvestorID'] = self.userID 442 | self.reqQryInvestorPosition(req, self.reqID) 443 | #---------------------------------------------------------------------- 444 | def sendOrder(self, orderReq): 445 | """发单""" 446 | return 447 | #---------------------------------------------------------------------- 448 | def close(self): 449 | """关闭""" 450 | self.exit() 451 | 452 | #---------------------------------------------------------------------- 453 | def onRspQryInstrument(self, data, error, n, last): 454 | """ 455 | 合约查询回报 456 | 由于该回报的推送速度极快，因此不适合全部存入队列中处理， 457 | 选择先储存在一个本地字典中，全部收集完毕后再推送到队列中 458 | （由于耗时过长目前使用其他进程读取） 459 | """ 460 | if error['ErrorID'] == 0: 461 | self.symbolExchangeDict[data['InstrumentID']] = data['ExchangeID'] # 合约代码和交易所的映射关系 462 | self.symbolSizeDict[data['InstrumentID']] = data['VolumeMultiple'] # 合约代码和合约乘数映射关系 463 | self.symbolNameDict[data['InstrumentID']] = data['InstrumentName'] # 合约代码和合约名称映射关系 464 | 465 | event = Event(type_=EVENT_INSTRUMENT) 466 | event.dict_['data'] = data 467 | event.dict_['last'] = last 468 | self.__eventEngine.put(event) 469 | 470 | else: 471 | log = '合约投资者回报，错误代码：' + str(error['ErrorID']) + ', 错误信息：' + str(error['ErrorMsg']) 472 | self.put_log_event(log) 473 | 474 | #---------------------------------------------------------------------- 475 | def onRspQryDepthMarketData(self, data, error, n, last): 476 | # 常规行情事件,查询合约截面数据的回报 477 | pass 478 | 479 | #---------------------------------------------------------------------- 480 | def onRspOrderInsert(self, data, error, n, last): 481 | """发单错误（柜台）""" 482 | pass 483 | 484 | #---------------------------------------------------------------------- 485 | def onRspOrderAction(self, data, error, n, last): 486 | """撤单错误（柜台）""" 487 | pass 488 | 489 | #---------------------------------------------------------------------- 490 | def onRspError(self, error, n, last): 491 | """错误回报""" 492 | pass 493 | 494 | 495 | #---------------------------------------------------------------------- 496 | def onRtnTrade(self, data): 497 | """成交回报""" 498 | return 499 | 500 | #---------------------------------------------------------------------- 501 | def onErrRtnOrderInsert(self, data, error): 502 | """发单错误回报（交易所）""" 503 | log = error['ErrorMsg'] 504 | self.put_log_event(log) 505 | 506 | #---------------------------------------------------------------------- 507 | def onErrRtnOrderAction(self, data, error): 508 | """撤单错误回报（交易所）""" 509 | pass 510 | 511 | #---------------------------------------------------------------------- 512 | def onHeartBeatWarning(self, n): 513 | """""" 514 | pass 515 | 516 | #---------------------------------------------------------------------- 517 | def onRspAuthenticate(self, data, error, n, last): 518 | """""" 519 | pass 520 | 521 | #---------------------------------------------------------------------- 522 | def onRspRemoveParkedOrder(self, data, error, n, last): 523 | """""" 524 | pass 525 | 526 | #---------------------------------------------------------------------- 527 | def onRspQueryMaxOrderVolume(self, data, error, n, last): 528 | """""" 529 | pass 530 | 531 | #---------------------------------------------------------------------- 532 | def onRspRemoveParkedOrderAction(self, data, error, n, last): 533 | """""" 534 | pass 535 | 536 | #---------------------------------------------------------------------- 537 | def onRspUserPasswordUpdate(self, data, error, n, last): 538 | """""" 539 | pass 540 | 541 | #---------------------------------------------------------------------- 542 | def onRspTradingAccountPasswordUpdate(self, data, error, n, last): 543 | """""" 544 | pass 545 | 546 | #---------------------------------------------------------------------- 547 | def onRspParkedOrderInsert(self, data, error, n, last): 548 | """""" 549 | pass 550 | 551 | #---------------------------------------------------------------------- 552 | def onRspParkedOrderAction(self, data, error, n, last): 553 | """""" 554 | pass 555 | 556 | #---------------------------------------------------------------------- 557 | def onRspExecOrderInsert(self, data, error, n, last): 558 | """""" 559 | pass 560 | 561 | #---------------------------------------------------------------------- 562 | def onRspExecOrderAction(self, data, error, n, last): 563 | """""" 564 | pass 565 | 566 | #---------------------------------------------------------------------- 567 | def onRspForQuoteInsert(self, data, error, n, last): 568 | """""" 569 | pass 570 | 571 | #---------------------------------------------------------------------- 572 | def onRspQuoteInsert(self, data, error, n, last): 573 | """""" 574 | pass 575 | 576 | #---------------------------------------------------------------------- 577 | def onRspQuoteAction(self, data, error, n, last): 578 | """""" 579 | pass 580 | 581 | #---------------------------------------------------------------------- 582 | def onRspLockInsert(self, data, error, n, last): 583 | """""" 584 | pass 585 | 586 | #---------------------------------------------------------------------- 587 | def onRspCombActionInsert(self, data, error, n, last): 588 | """""" 589 | pass 590 | 591 | #---------------------------------------------------------------------- 592 | def onRspQryOrder(self, data, error, n, last): 593 | """""" 594 | pass 595 | 596 | #---------------------------------------------------------------------- 597 | def onRspQryTrade(self, data, error, n, last): 598 | """""" 599 | pass 600 | 601 | 602 | #---------------------------------------------------------------------- 603 | def onRspQryInvestor(self, data, error, n, last): 604 | """""" 605 | pass 606 | 607 | #---------------------------------------------------------------------- 608 | def onRspQryTradingCode(self, data, error, n, last): 609 | """""" 610 | pass 611 | 612 | #---------------------------------------------------------------------- 613 | def onRspQryInstrumentMarginRate(self, data, error, n, last): 614 | """""" 615 | pass 616 | 617 | #---------------------------------------------------------------------- 618 | def onRspQryInstrumentCommissionRate(self, data, error, n, last): 619 | """""" 620 | pass 621 | 622 | #---------------------------------------------------------------------- 623 | def onRspQryExchange(self, data, error, n, last): 624 | """""" 625 | pass 626 | 627 | #---------------------------------------------------------------------- 628 | def onRspQryProduct(self, data, error, n, last): 629 | """""" 630 | pass 631 | 632 | #---------------------------------------------------------------------- 633 | def onRspQrySettlementInfo(self, data, error, n, last): 634 | """""" 635 | pass 636 | 637 | #---------------------------------------------------------------------- 638 | def onRspQryTransferBank(self, data, error, n, last): 639 | """""" 640 | pass 641 | 642 | #---------------------------------------------------------------------- 643 | def onRspQryInvestorPositionDetail(self, data, error, n, last): 644 | """""" 645 | pass 646 | 647 | #---------------------------------------------------------------------- 648 | def onRspQryNotice(self, data, error, n, last): 649 | """""" 650 | pass 651 | 652 | #---------------------------------------------------------------------- 653 | def onRspQrySettlementInfoConfirm(self, data, error, n, last): 654 | """""" 655 | pass 656 | 657 | #---------------------------------------------------------------------- 658 | def onRspQryInvestorPositionCombineDetail(self, data, error, n, last): 659 | """""" 660 | pass 661 | 662 | #---------------------------------------------------------------------- 663 | def onRspQryCFMMCTradingAccountKey(self, data, error, n, last): 664 | """""" 665 | pass 666 | 667 | #---------------------------------------------------------------------- 668 | def onRspQryEWarrantOffset(self, data, error, n, last): 669 | """""" 670 | pass 671 | 672 | #---------------------------------------------------------------------- 673 | def onRspQryInvestorProductGroupMargin(self, data, error, n, last): 674 | """""" 675 | pass 676 | 677 | #---------------------------------------------------------------------- 678 | def onRspQryExchangeMarginRate(self, data, error, n, last): 679 | """""" 680 | pass 681 | 682 | #---------------------------------------------------------------------- 683 | def onRspQryExchangeMarginRateAdjust(self, data, error, n, last): 684 | """""" 685 | pass 686 | 687 | #---------------------------------------------------------------------- 688 | def onRspQryExchangeRate(self, data, error, n, last): 689 | """""" 690 | pass 691 | 692 | #---------------------------------------------------------------------- 693 | def onRspQrySecAgentACIDMap(self, data, error, n, last): 694 | """""" 695 | pass 696 | 697 | #---------------------------------------------------------------------- 698 | def onRspQryProductExchRate(self, data, error, n, last): 699 | """""" 700 | pass 701 | 702 | #---------------------------------------------------------------------- 703 | def onRspQryProductGroup(self, data, error, n, last): 704 | """""" 705 | pass 706 | 707 | #---------------------------------------------------------------------- 708 | def onRspQryOptionInstrTradeCost(self, data, error, n, last): 709 | """""" 710 | pass 711 | 712 | #---------------------------------------------------------------------- 713 | def onRspQryOptionInstrCommRate(self, data, error, n, last): 714 | """""" 715 | pass 716 | 717 | #---------------------------------------------------------------------- 718 | def onRspQryExecOrder(self, data, error, n, last): 719 | """""" 720 | pass 721 | 722 | #---------------------------------------------------------------------- 723 | def onRspQryForQuote(self, data, error, n, last): 724 | """""" 725 | pass 726 | 727 | #---------------------------------------------------------------------- 728 | def onRspQryQuote(self, data, error, n, last): 729 | """""" 730 | pass 731 | 732 | #---------------------------------------------------------------------- 733 | def onRspQryLock(self, data, error, n, last): 734 | """""" 735 | pass 736 | 737 | #---------------------------------------------------------------------- 738 | def onRspQryLockPosition(self, data, error, n, last): 739 | """""" 740 | pass 741 | 742 | #---------------------------------------------------------------------- 743 | def onRspQryInvestorLevel(self, data, error, n, last): 744 | """""" 745 | pass 746 | 747 | #---------------------------------------------------------------------- 748 | def onRspQryExecFreeze(self, data, error, n, last): 749 | """""" 750 | pass 751 | 752 | #---------------------------------------------------------------------- 753 | def onRspQryCombInstrumentGuard(self, data, error, n, last): 754 | """""" 755 | pass 756 | 757 | #---------------------------------------------------------------------- 758 | def onRspQryCombAction(self, data, error, n, last): 759 | """""" 760 | pass 761 | 762 | #---------------------------------------------------------------------- 763 | def onRspQryTransferSerial(self, data, error, n, last): 764 | """""" 765 | pass 766 | 767 | #---------------------------------------------------------------------- 768 | def onRspQryAccountregister(self, data, error, n, last): 769 | """""" 770 | pass 771 | 772 | 773 | #---------------------------------------------------------------------- 774 | def onRtnInstrumentStatus(self, data): 775 | """""" 776 | pass 777 | 778 | #---------------------------------------------------------------------- 779 | def onRtnTradingNotice(self, data): 780 | """""" 781 | pass 782 | 783 | #---------------------------------------------------------------------- 784 | def onRtnErrorConditionalOrder(self, data): 785 | """""" 786 | pass 787 | 788 | #---------------------------------------------------------------------- 789 | def onRtnExecOrder(self, data): 790 | """""" 791 | pass 792 | 793 | #---------------------------------------------------------------------- 794 | def onErrRtnExecOrderInsert(self, data, error): 795 | """""" 796 | pass 797 | 798 | #---------------------------------------------------------------------- 799 | def onErrRtnExecOrderAction(self, data, error): 800 | """""" 801 | pass 802 | 803 | #---------------------------------------------------------------------- 804 | def onErrRtnForQuoteInsert(self, data, error): 805 | """""" 806 | pass 807 | 808 | #---------------------------------------------------------------------- 809 | def onRtnQuote(self, data): 810 | """""" 811 | pass 812 | 813 | #---------------------------------------------------------------------- 814 | def onErrRtnQuoteInsert(self, data, error): 815 | """""" 816 | pass 817 | 818 | #---------------------------------------------------------------------- 819 | def onErrRtnQuoteAction(self, data, error): 820 | """""" 821 | pass 822 | 823 | #---------------------------------------------------------------------- 824 | def onRtnForQuoteRsp(self, data): 825 | """""" 826 | pass 827 | 828 | #---------------------------------------------------------------------- 829 | def onRtnCFMMCTradingAccountToken(self, data): 830 | """""" 831 | pass 832 | 833 | #---------------------------------------------------------------------- 834 | def onRtnLock(self, data): 835 | """""" 836 | pass 837 | 838 | #---------------------------------------------------------------------- 839 | def onErrRtnLockInsert(self, data, error): 840 | """""" 841 | pass 842 | 843 | #---------------------------------------------------------------------- 844 | def onRtnCombAction(self, data): 845 | """""" 846 | pass 847 | 848 | #---------------------------------------------------------------------- 849 | def onErrRtnCombActionInsert(self, data, error): 850 | """""" 851 | pass 852 | 853 | #---------------------------------------------------------------------- 854 | def onRspQryContractBank(self, data, error, n, last): 855 | """""" 856 | pass 857 | 858 | #---------------------------------------------------------------------- 859 | def onRspQryParkedOrder(self, data, error, n, last): 860 | """""" 861 | pass 862 | 863 | #---------------------------------------------------------------------- 864 | def onRspQryParkedOrderAction(self, data, error, n, last): 865 | """""" 866 | pass 867 | 868 | #---------------------------------------------------------------------- 869 | def onRspQryTradingNotice(self, data, error, n, last): 870 | """""" 871 | pass 872 | 873 | #---------------------------------------------------------------------- 874 | def onRspQryBrokerTradingParams(self, data, error, n, last): 875 | """""" 876 | pass 877 | 878 | #---------------------------------------------------------------------- 879 | def onRspQryBrokerTradingAlgos(self, data, error, n, last): 880 | """""" 881 | pass 882 | 883 | #---------------------------------------------------------------------- 884 | def onRspQueryCFMMCTradingAccountToken(self, data, error, n, last): 885 | """""" 886 | pass 887 | 888 | #---------------------------------------------------------------------- 889 | def onRtnFromBankToFutureByBank(self, data): 890 | """""" 891 | pass 892 | 893 | #---------------------------------------------------------------------- 894 | def onRtnFromFutureToBankByBank(self, data): 895 | """""" 896 | pass 897 | 898 | #---------------------------------------------------------------------- 899 | def onRtnRepealFromBankToFutureByBank(self, data): 900 | """""" 901 | pass 902 | 903 | #---------------------------------------------------------------------- 904 | def onRtnRepealFromFutureToBankByBank(self, data): 905 | """""" 906 | pass 907 | 908 | #---------------------------------------------------------------------- 909 | def onRtnFromBankToFutureByFuture(self, data): 910 | """""" 911 | pass 912 | 913 | #---------------------------------------------------------------------- 914 | def onRtnFromFutureToBankByFuture(self, data): 915 | """""" 916 | pass 917 | 918 | #---------------------------------------------------------------------- 919 | def onRtnRepealFromBankToFutureByFutureManual(self, data): 920 | """""" 921 | pass 922 | 923 | #---------------------------------------------------------------------- 924 | def onRtnRepealFromFutureToBankByFutureManual(self, data): 925 | """""" 926 | pass 927 | 928 | #---------------------------------------------------------------------- 929 | def onRtnQueryBankBalanceByFuture(self, data): 930 | """""" 931 | pass 932 | 933 | #---------------------------------------------------------------------- 934 | def onErrRtnBankToFutureByFuture(self, data, error): 935 | """""" 936 | pass 937 | 938 | #---------------------------------------------------------------------- 939 | def onErrRtnFutureToBankByFuture(self, data, error): 940 | """""" 941 | pass 942 | 943 | #---------------------------------------------------------------------- 944 | def onErrRtnRepealBankToFutureByFutureManual(self, data, error): 945 | """""" 946 | pass 947 | 948 | #---------------------------------------------------------------------- 949 | def onErrRtnRepealFutureToBankByFutureManual(self, data, error): 950 | """""" 951 | pass 952 | 953 | #---------------------------------------------------------------------- 954 | def onErrRtnQueryBankBalanceByFuture(self, data, error): 955 | """""" 956 | pass 957 | 958 | #---------------------------------------------------------------------- 959 | def onRtnRepealFromBankToFutureByFuture(self, data): 960 | """""" 961 | pass 962 | 963 | #---------------------------------------------------------------------- 964 | def onRtnRepealFromFutureToBankByFuture(self, data): 965 | """""" 966 | pass 967 | 968 | #---------------------------------------------------------------------- 969 | def onRspFromBankToFutureByFuture(self, data, error, n, last): 970 | """""" 971 | pass 972 | 973 | #---------------------------------------------------------------------- 974 | def onRspFromFutureToBankByFuture(self, data, error, n, last): 975 | """""" 976 | pass 977 | 978 | #---------------------------------------------------------------------- 979 | def onRspQueryBankAccountMoneyByFuture(self, data, error, n, last): 980 | """""" 981 | pass 982 | 983 | #---------------------------------------------------------------------- 984 | def onRtnOpenAccountByBank(self, data): 985 | """""" 986 | pass 987 | 988 | #---------------------------------------------------------------------- 989 | def onRtnCancelAccountByBank(self, data): 990 | """""" 991 | pass 992 | 993 | #---------------------------------------------------------------------- 994 | def onRtnChangeAccountByBank(self, data): 995 | """""" 996 | pass 997 | 998 | 999 | 1000 | -------------------------------------------------------------------------------- /MultipleAccountUpdater/py_ctp/eventEngine.py: -------------------------------------------------------------------------------- 1 | # encoding: UTF-8 2 | 3 | # 系统模块 4 | from queue import Queue, Empty 5 | from threading import Thread 6 | from collections import defaultdict 7 | from time import sleep 8 | # 第三方模块 9 | #from PyQt4.QtCore import QTimer 10 | 11 | # 自己开发的模块 12 | #from eventType import * 13 | EVENT_TIMER = 'eTimer' 14 | EVENT_ACCOUNT = 'eAccount' 15 | EVENT_POSITION = 'ePosition' 16 | EVENT_ORDER = 'eOrder' 17 | EVENT_LOG = 'eLog' 18 | EVENT_START = 'eStart' 19 | 20 | ######################################################################## 21 | class EventEngine(object): 22 | """ 23 | 计时器使用python线程的事件驱动引擎 24 | """ 25 | 26 | #---------------------------------------------------------------------- 27 | def __init__(self): 28 | """初始化事件引擎""" 29 | # 事件队列 30 | self.__queue = Queue() 31 | 32 | # 事件引擎开关 33 | self.__active = False 34 | 35 | # 事件处理线程 36 | self.__thread = Thread(target = self.__run) 37 | 38 | # 计时器，用于触发计时器事件 39 | self.__timer = Thread(target = self.__runTimer) 40 | self.__timerActive = False # 计时器工作状态 41 | self.__timerSleep = 1 # 计时器触发间隔（默认1秒） 42 | 43 | # 这里的__handlers是一个字典，用来保存对应的事件调用关系 44 | # 其中每个键对应的值是一个列表，列表中保存了对该事件进行监听的函数功能 45 | self.__handlers = defaultdict(list) 46 | 47 | # __generalHandlers是一个列表，用来保存通用回调函数（所有事件均调用） 48 | self.__generalHandlers = [] 49 | 50 | #---------------------------------------------------------------------- 51 | def __run(self): 52 | """引擎运行""" 53 | while self.__active == True: 54 | try: 55 | event = self.__queue.get(block = True, timeout = 1) # 获取事件的阻塞时间设为1秒 56 | self.__process(event) 57 | except Empty: 58 | pass 59 | 60 | #---------------------------------------------------------------------- 61 | def __process(self, event): 62 | """处理事件""" 63 | # 检查是否存在对该事件进行监听的处理函数 64 | if event.type_ in self.__handlers: 65 | # 若存在，则按顺序将事件传递给处理函数执行 66 | [handler(event) for handler in self.__handlers[event.type_]] 67 | 68 | # 以上语句为Python列表解析方式的写法，对应的常规循环写法为： 69 | #for handler in self.__handlers[event.type_]: 70 | #handler(event) 71 | 72 | # 调用通用处理函数进行处理 73 | if self.__generalHandlers: 74 | [handler(event) for handler in self.__generalHandlers] 75 | 76 | #---------------------------------------------------------------------- 77 | def __runTimer(self): 78 | """运行在计时器线程中的循环函数""" 79 | while self.__timerActive: 80 | # 创建计时器事件 81 | event = Event(type_=EVENT_TIMER) 82 | 83 | # 向队列中存入计时器事件 84 | self.put(event) 85 | 86 | # 等待 87 | sleep(self.__timerSleep) 88 | 89 | #---------------------------------------------------------------------- 90 | def start(self, timer=True): 91 | """ 92 | 引擎启动 93 | timer：是否要启动计时器 94 | """ 95 | # 将引擎设为启动 96 | self.__active = True 97 | 98 | # 启动事件处理线程 99 | self.__thread.start() 100 | 101 | # 启动计时器，计时器事件间隔默认设定为1秒 102 | if timer: 103 | self.__timerActive = True 104 | self.__timer.start() 105 | 106 | #---------------------------------------------------------------------- 107 | def stop(self): 108 | """停止引擎""" 109 | # 将引擎设为停止 110 | self.__active = False 111 | 112 | # 停止计时器 113 | self.__timerActive = False 114 | self.__timer.join() 115 | 116 | # 等待事件处理线程退出 117 | self.__thread.join() 118 | 119 | #---------------------------------------------------------------------- 120 | def register(self, type_, handler): 121 | """注册事件处理函数监听""" 122 | # 尝试获取该事件类型对应的处理函数列表，若无defaultDict会自动创建新的list 123 | handlerList = self.__handlers[type_] 124 | 125 | # 若要注册的处理器不在该事件的处理器列表中，则注册该事件 126 | if handler not in handlerList: 127 | handlerList.append(handler) 128 | 129 | #---------------------------------------------------------------------- 130 | def unregister(self, type_, handler): 131 | """注销事件处理函数监听""" 132 | # 尝试获取该事件类型对应的处理函数列表，若无则忽略该次注销请求 133 | handlerList = self.__handlers[type_] 134 | 135 | # 如果该函数存在于列表中，则移除 136 | if handler in handlerList: 137 | handlerList.remove(handler) 138 | 139 | # 如果函数列表为空，则从引擎中移除该事件类型 140 | if not handlerList: 141 | del self.__handlers[type_] 142 | 143 | #---------------------------------------------------------------------- 144 | def put(self, event): 145 | """向事件队列中存入事件""" 146 | self.__queue.put(event) 147 | 148 | #---------------------------------------------------------------------- 149 | def registerGeneralHandler(self, handler): 150 | """注册通用事件处理函数监听""" 151 | if handler not in self.__generalHandlers: 152 | self.__generalHandlers.append(handler) 153 | 154 | #---------------------------------------------------------------------- 155 | def unregisterGeneralHandler(self, handler): 156 | """注销通用事件处理函数监听""" 157 | if handler in self.__generalHandlers: 158 | self.__generalHandlers.remove(handler) 159 | ######################################################################## 160 | class Event: 161 | """事件对象""" 162 | 163 | #---------------------------------------------------------------------- 164 | def __init__(self, type_=None): 165 | """Constructor""" 166 | self.type_ = type_ # 事件类型 167 | self.dict_ = {} # 字典用于保存具体的事件数据 168 | 169 | 170 | #---------------------------------------------------------------------- 171 | def test(): 172 | """测试函数""" 173 | import sys 174 | from datetime import datetime 175 | # from PyQt4.QtCore import QCoreApplication 176 | 177 | def simpletest(event): 178 | print(u'处理每秒触发的计时器事件：%s' % str(datetime.now())) 179 | 180 | # app = QCoreApplication(sys.argv) 181 | 182 | ee = EventEngine() 183 | ee.register(EVENT_TIMER, simpletest) 184 | ee.start() 185 | 186 | # app.exec_() 187 | 188 | 189 | # 直接运行脚本可以进行测试 190 | if __name__ == '__main__': 191 | test() -------------------------------------------------------------------------------- /MultipleAccountUpdater/py_ctp/thosttraderapi.dll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/vvipi/VNPY_account_updater/669c3083232b4aeb68668b01c7c20f2d6be14b4c/MultipleAccountUpdater/py_ctp/thosttraderapi.dll -------------------------------------------------------------------------------- /MultipleAccountUpdater/py_ctp/vnctptd.pyd: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/vvipi/VNPY_account_updater/669c3083232b4aeb68668b01c7c20f2d6be14b4c/MultipleAccountUpdater/py_ctp/vnctptd.pyd -------------------------------------------------------------------------------- /MultipleAccountUpdater/tradeDate.json: -------------------------------------------------------------------------------- 1 | [ 2 | [ 3 | "20181201", 4 | "6", 5 | false, 6 | false, 7 | true 8 | ], 9 | [ 10 | "20181202", 11 | "0", 12 | false, 13 | false, 14 | false 15 | ], 16 | [ 17 | "20181203", 18 | "1", 19 | true, 20 | true, 21 | false 22 | ], 23 | [ 24 | "20181204", 25 | "2", 26 | true, 27 | true, 28 | true 29 | 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-------------------------------------------------------------------------------- 1 | # VNPY_account_updater 2 | python3版本，ctp接口来自vnpy项目，大部分代码也来自vnpy项目。 3 | 4 | 功能：按交易日列表自动开关软件，盘中记录资金、持仓、委托、未成交信息，保存到本地。后续就可以用werobot和matplotlib实现盘中资金曲线，微信自动回复等功能。 5 | 6 | 注意：需要修改config.json填入账户信息。 7 | --------------------------------------------------------------------------------