vnpy_ctp ctp_gateway.py对接华鑫奇点 增加 对股票的支持
import sys from datetime import datetime from time import sleep from typing import Dict, List, Tuple from pathlib import Path import json from vnpy.event import EventEngine 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, ZoneInfo from vnpy.trader.event import EVENT_TIMER from ..api import ( MdApi, TdApi, THOST_FTDC_OST_NoTradeQueueing, THOST_FTDC_OST_PartTradedQueueing, THOST_FTDC_OST_AllTraded, THOST_FTDC_OST_Canceled, THOST_FTDC_OST_Unknown, 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 ) # 委托状态映射 STATUS_CTP2VT: Dict[str, Status] = { THOST_FTDC_OST_NoTradeQueueing: Status.NOTTRADED, THOST_FTDC_OST_PartTradedQueueing: Status.PARTTRADED, THOST_FTDC_OST_AllTraded: Status.ALLTRADED, THOST_FTDC_OST_Canceled: Status.CANCELLED, THOST_FTDC_OST_Unknown: Status.SUBMITTING } # 多空方向映射 DIRECTION_VT2CTP: Dict[Direction, str] = { Direction.LONG: THOST_FTDC_D_Buy, Direction.SHORT: THOST_FTDC_D_Sell } DIRECTION_CTP2VT: Dict[str, Direction] = {v: k for k, v in DIRECTION_VT2CTP.items()} DIRECTION_CTP2VT[THOST_FTDC_PD_Long] = Direction.LONG DIRECTION_CTP2VT[THOST_FTDC_PD_Short] = Direction.SHORT # 委托类型映射 ORDERTYPE_VT2CTP: Dict[OrderType, tuple] = { OrderType.LIMIT: (THOST_FTDC_OPT_LimitPrice, THOST_FTDC_TC_GFD, THOST_FTDC_VC_AV), OrderType.MARKET: (THOST_FTDC_OPT_AnyPrice, THOST_FTDC_TC_GFD, THOST_FTDC_VC_AV), OrderType.FAK: (THOST_FTDC_OPT_LimitPrice, THOST_FTDC_TC_IOC, THOST_FTDC_VC_AV), OrderType.FOK: (THOST_FTDC_OPT_LimitPrice, THOST_FTDC_TC_IOC, THOST_FTDC_VC_CV), } ORDERTYPE_CTP2VT: Dict[Tuple, OrderType] = {v: k for k, v in ORDERTYPE_VT2CTP.items()} # 开平方向映射 OFFSET_VT2CTP: 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_CTP2VT: Dict[str, Offset] = {v: k for k, v in OFFSET_VT2CTP.items()} # 交易所映射 EXCHANGE_CTP2VT: Dict[str, Exchange] = { "CFFEX": Exchange.CFFEX, "SHFE": Exchange.SHFE, "CZCE": Exchange.CZCE, "DCE": Exchange.DCE, "INE": Exchange.INE, "GFEX": Exchange.GFEX, "SZSE":Exchange.SZSE, "SSE":Exchange.SSE, "BSE":Exchange.BSE } # 产品类型映射 PRODUCT_CTP2VT: 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, 'A':'可转债', 'B':'可转债',#可转债 'D':Product.BOND,#LOF基金,ETF基金 'E':Product.EQUITY ##股票 } # 期权类型映射 OPTIONTYPE_CTP2VT: Dict[str, OptionType] = { THOST_FTDC_CP_CallOptions: OptionType.CALL, THOST_FTDC_CP_PutOptions: OptionType.PUT } # 其他常量 MAX_FLOAT = sys.float_info.max # 浮点数极限值 CHINA_TZ = ZoneInfo("Asia/Shanghai") # 中国时区 # 合约数据全局缓存字典 symbol_contract_map: Dict[str, ContractData] = {} class CtpGateway(BaseGateway): """ VeighNa用于对接期货CTP柜台的交易接口。 """ default_name: str = "CTP" default_setting: Dict[str, str] = { "用户名": "", "密码": "", "经纪商代码": "", "交易服务器": "", "行情服务器": "", "产品名称": "", "授权编码": "" } exchanges: List[str] = list(EXCHANGE_CTP2VT.values()) def __init__(self, event_engine: EventEngine, gateway_name: str) -> None: """构造函数""" super().__init__(event_engine, gateway_name) self.td_api: "CtpTdApi" = CtpTdApi(self) self.md_api: "CtpMdApi" = CtpMdApi(self) def connect(self, setting: dict) -> None: """连接交易接口""" userid: str = setting["用户名"] password: str = setting["密码"] brokerid: str = setting["经纪商代码"] 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://")) and (not td_address.startswith("ssl://")) and (not td_address.startswith("socks")) ): td_address = "tcp://" + td_address if ( (not md_address.startswith("tcp://")) and (not md_address.startswith("ssl://")) and (not md_address.startswith("socks")) ): md_address = "tcp://" + md_address self.td_api.connect(td_address, userid, password, brokerid, auth_code, appid) self.md_api.connect(md_address, userid, password, brokerid) 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: int = 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) -> None: """定时事件处理""" self.count += 1 if self.count < 5: return self.count = 0 func = self.query_functions.pop(0) func() self.query_functions.append(func) self.md_api.update_date() def init_query(self) -> None: """初始化查询任务""" self.count: int = 0 self.query_functions: list = [self.query_account, self.query_position] self.event_engine.register(EVENT_TIMER, self.process_timer_event) class CtpMdApi(MdApi): """""" def __init__(self, gateway: CtpGateway) -> None: """构造函数""" super().__init__() self.gateway: CtpGateway = 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 = "" self.current_date: str = datetime.now().strftime("%Y%m%d") 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 = 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 = 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""" # 过滤没有时间戳的异常行情数据 if not data["UpdateTime"]: return # 过滤还没有收到合约数据前的行情推送 symbol: str = data["InstrumentID"] contract: ContractData = symbol_contract_map.get(symbol, None) if not contract: return # 对大商所的交易日字段取本地日期 if not data["ActionDay"] or contract.exchange == Exchange.DCE: date_str: str = self.current_date else: date_str: str = data["ActionDay"] timestamp: str = f"{date_str} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}" dt: datetime = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f") dt: datetime = dt.replace(tzinfo=CHINA_TZ) tick: TickData = TickData( symbol=symbol, exchange=contract.exchange, datetime=dt, name=contract.name, volume=data["Volume"], turnover=data["Turnover"], open_interest=data["OpenInterest"], last_price=adjust_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 = data["BidVolume2"] tick.bid_volume_3 = data["BidVolume3"] tick.bid_volume_4 = data["BidVolume4"] tick.bid_volume_5 = data["BidVolume5"] tick.ask_volume_2 = data["AskVolume2"] tick.ask_volume_3 = data["AskVolume3"] tick.ask_volume_4 = data["AskVolume4"] tick.ask_volume_5 = data["AskVolume5"] self.gateway.on_tick(tick) def connect(self, address: str, userid: str, password: str, brokerid: str) -> None: """连接服务器""" self.userid = userid self.password = password self.brokerid = brokerid # 禁止重复发起连接，会导致异常崩溃 if not self.connect_status: path: Path = get_folder_path(self.gateway_name.lower()) self.createFtdcMdApi((str(path) + "\\Md").encode("GBK")) self.registerFront(address) self.init() self.connect_status = True def login(self) -> None: """用户登录""" ctp_req: dict = { "UserID": self.userid, "Password": self.password, "BrokerID": self.brokerid } self.reqid += 1 self.reqUserLogin(ctp_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() def update_date(self) -> None: """更新当前日期""" self.current_date = datetime.now().strftime("%Y%m%d") class CtpTdApi(TdApi): """""" def __init__(self, gateway: CtpGateway) -> None: """构造函数""" super().__init__() self.gateway: CtpGateway = 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.auth_failed: bool = False self.contract_inited: bool = False self.userid: str = "" self.password: str = "" self.brokerid: str = "" self.auth_code: str = "" self.appid: str = "" self.frontid: int = 0 self.sessionid: int = 0 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 = 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 = True self.gateway.write_log("交易服务器授权验证成功") self.login() else: self.auth_failed = True 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.frontid = data["FrontID"] self.sessionid = data["SessionID"] self.login_status = True self.gateway.write_log("交易服务器登录成功") # 自动确认结算单 ctp_req: dict = { "BrokerID": self.brokerid, "InvestorID": self.userid } self.reqid += 1 self.reqSettlementInfoConfirm(ctp_req, self.reqid) else: self.login_failed = 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""" self.writefile(data) order_ref: str = data["OrderRef"] orderid: str = f"{self.frontid}_{self.sessionid}_{order_ref}" symbol: str = data["InstrumentID"] contract: ContractData = symbol_contract_map[symbol] order: OrderData = OrderData( symbol=symbol, exchange=contract.exchange, orderid=orderid, direction=DIRECTION_CTP2VT[data["Direction"]], offset=OFFSET_CTP2VT.get(data["CombOffsetFlag"], Offset.NONE), price=data["LimitPrice"], volume=data["VolumeTotalOriginal"], status=Status.REJECTED, gateway_name=self.gateway_name ) self.gateway.on_order(order) self.gateway.write_error("交易委托失败", error) def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool) -> None: """委托撤单失败回报""" self.gateway.write_error("交易撤单失败", error) def onRspSettlementInfoConfirm(self, data: dict, error: dict, reqid: int, last: bool) -> None: """确认结算单回报""" self.gateway.write_log("结算信息确认成功") # 由于流控，单次查询可能失败，通过while循环持续尝试，直到成功发出请求 while True: self.reqid += 1 n: int = self.reqQryInstrument({}, self.reqid) if not n: break else: sleep(1) def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool) -> None: """持仓查询回报""" ## self.writefile(data) if not data: return # 必须已经收到了合约信息后才能处理 symbol: str = data["InstrumentID"] contract: ContractData = symbol_contract_map.get(symbol, None) if contract: # 获取之前缓存的持仓数据缓存 key: str = f"{data['InstrumentID'], data['PosiDirection']}" position: PositionData = self.positions.get(key, None) if not position: position = PositionData( symbol=data["InstrumentID"], exchange=contract.exchange, direction=DIRECTION_CTP2VT[data["PosiDirection"]], gateway_name=self.gateway_name ) self.positions[key] = position # 对于上期所昨仓需要特殊处理 if position.exchange in {Exchange.SHFE, Exchange.INE}: if data["YdPosition"] and not data["TodayPosition"]: position.yd_volume = data["Position"] # 对于其他交易所昨仓的计算 else: position.yd_volume = data["Position"] - data["TodayPosition"] # 获取合约的乘数信息 size: int = contract.size # 计算之前已有仓位的持仓总成本 cost: float = position.price * position.volume * size # 累加更新持仓数量和盈亏 position.volume += data["Position"] position.pnl += data["PositionProfit"] # 计算更新后的持仓总成本和均价 if position.volume and size: cost += data["PositionCost"] position.price = cost / (position.volume * size) # 更新仓位冻结数量 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: """资金查询回报""" 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 writefile(self,data) : with open("c:\\veighna_studio\\data.json","a+") as ifile: json.dump(data,ensure_ascii=False,fp=ifile) ifile.write("\n") return def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool) -> None: """合约查询回报""" if len(data) < 1 : return True product: Product = PRODUCT_CTP2VT.get(data["ProductClass"], None) if product: contract: ContractData = ContractData( symbol=data["InstrumentID"], exchange=EXCHANGE_CTP2VT[data["ExchangeID"]], name=data["InstrumentName"], product=product, size=data["VolumeMultiple"], pricetick=data["PriceTick"], gateway_name=self.gateway_name ) # 期权相关 if contract.product == Product.OPTION: # 移除郑商所期权产品名称带有的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_CTP2VT.get(data["OptionsType"], None) contract.option_strike = data["StrikePrice"] contract.option_index = str(data["StrikePrice"]) contract.option_listed = datetime.strptime(data["OpenDate"], "%Y%m%d") contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d") self.gateway.on_contract(contract) symbol_contract_map[contract.symbol] = contract if last: self.contract_inited = True 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: """委托更新推送""" if not self.contract_inited: self.order_data.append(data) return symbol: str = data["InstrumentID"] contract: ContractData = symbol_contract_map[symbol] frontid: int = data["FrontID"] sessionid: int = data["SessionID"] order_ref: str = data["OrderRef"] orderid: str = f"{frontid}_{sessionid}_{order_ref}" timestamp: str = f"{data['InsertDate']} {data['InsertTime']}" dt: datetime = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S") dt: datetime = dt.replace(tzinfo=CHINA_TZ) tp: tuple = (data["OrderPriceType"], data["TimeCondition"], data["VolumeCondition"]) order_type: OrderType = ORDERTYPE_CTP2VT.get(tp, None) if not order_type: self.gateway.write_log(f"收到不支持的委托类型，委托号：{orderid}") return order: OrderData = OrderData( symbol=symbol, exchange=contract.exchange, orderid=orderid, type=order_type, direction=DIRECTION_CTP2VT[data["Direction"]], offset=OFFSET_CTP2VT[data["CombOffsetFlag"]], price=data["LimitPrice"], volume=data["VolumeTotalOriginal"], traded=data["VolumeTraded"], status=STATUS_CTP2VT[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: """成交数据推送""" if not self.contract_inited: self.trade_data.append(data) return symbol: str = data["InstrumentID"] contract: ContractData = symbol_contract_map[symbol] 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 = dt.replace(tzinfo=CHINA_TZ) trade: TradeData = TradeData( symbol=symbol, exchange=contract.exchange, orderid=orderid, tradeid=data["TradeID"], direction=DIRECTION_CTP2VT[data["Direction"]], offset=OFFSET_CTP2VT[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, brokerid: str, auth_code: str, appid: str ) -> None: """连接服务器""" self.userid = userid self.password = password self.brokerid = brokerid self.auth_code = auth_code self.appid = appid if not self.connect_status: path: Path = get_folder_path(self.gateway_name.lower()) self.createFtdcTraderApi((str(path) + "\\Td").encode("GBK")) self.subscribePrivateTopic(0) self.subscribePublicTopic(0) self.registerFront(address) self.init() self.connect_status = True else: self.authenticate() def authenticate(self) -> None: """发起授权验证""" if self.auth_failed: return ctp_req: dict = { "UserID": self.userid, "BrokerID": self.brokerid, "AuthCode": self.auth_code, "AppID": self.appid } self.reqid += 1 self.reqAuthenticate(ctp_req, self.reqid) def login(self) -> None: """用户登录""" if self.login_failed: return ctp_req: dict = { "UserID": self.userid, "Password": self.password, "BrokerID": self.brokerid, "AppID": self.appid } self.reqid += 1 self.reqUserLogin(ctp_req, self.reqid) def send_order(self, req: OrderRequest) -> str: """委托下单""" if req.offset not in OFFSET_VT2CTP: self.gateway.write_log("请选择开平方向") return "" if req.type not in ORDERTYPE_VT2CTP: self.gateway.write_log(f"当前接口不支持该类型的委托{req.type.value}") return "" self.order_ref += 1 tp: tuple = ORDERTYPE_VT2CTP[req.type] price_type, time_condition, volume_condition = tp ctp_req: dict = { "InstrumentID": req.symbol, "ExchangeID": req.exchange.value, "LimitPrice": req.price, "VolumeTotalOriginal": int(req.volume), "OrderPriceType": price_type, "Direction": DIRECTION_VT2CTP.get(req.direction, ""), "CombOffsetFlag": OFFSET_VT2CTP.get(req.offset, ""), "OrderRef": str(self.order_ref), "InvestorID": self.userid, "UserID": self.userid, "BrokerID": self.brokerid, "CombHedgeFlag": THOST_FTDC_HF_Speculation, "ContingentCondition": THOST_FTDC_CC_Immediately, "ForceCloseReason": THOST_FTDC_FCC_NotForceClose, "IsAutoSuspend": 0, "TimeCondition": time_condition, "VolumeCondition": volume_condition, "MinVolume": 1 } self.reqid += 1 n: int = self.reqOrderInsert(ctp_req, self.reqid) if n: self.gateway.write_log(f"委托请求发送失败，错误代码：{n}") return "" orderid: str = f"{self.frontid}_{self.sessionid}_{self.order_ref}" 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""" frontid, sessionid, order_ref = req.orderid.split("_") ctp_req: dict = { "InstrumentID": req.symbol, "ExchangeID": req.exchange.value, "OrderRef": order_ref, "FrontID": int(frontid), "SessionID": int(sessionid), "ActionFlag": THOST_FTDC_AF_Delete, "BrokerID": self.brokerid, "InvestorID": self.userid } self.reqid += 1 self.reqOrderAction(ctp_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_contract_map: return ctp_req: dict = { "BrokerID": self.brokerid, "InvestorID": self.userid } self.reqid += 1 strbb = "BrokerID:" + self.brokerid + " InvestorID:" + self.userid self.gateway.write_log(strbb) self.reqQryInvestorPosition(ctp_req, 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
替换原来的文件
