from typing import Dict, Tuple, Any, List import pytz from datetime import datetime from vnpy.event import EventEngine from vnpy.trader.constant import ( Direction, Exchange, OrderType, Product, Status, Offset, ) from vnpy.trader.gateway import BaseGateway from vnpy.trader.object import ( TickData, OrderData, TradeData, PositionData, AccountData, ContractData, OrderRequest, CancelRequest, SubscribeRequest, ) from vnpy.trader.event import EVENT_TIMER from vnpy.event.engine import Event from ..api.stock import ( traderapi, xmdapi, lev2mdapi, TORA_TSTP_D_Buy, TORA_TSTP_D_Sell, TORA_TSTP_EXD_SSE, TORA_TSTP_EXD_SZSE, TORA_TSTP_EXD_HK, TORA_TSTP_EXD_BSE, TORA_TSTP_OPT_LimitPrice, TORA_TSTP_OST_AllTraded, TORA_TSTP_OST_AllCanceled, TORA_TSTP_OST_Accepted, TORA_TSTP_OST_PartTradeCanceled, TORA_TSTP_OST_PartTraded, TORA_TSTP_OST_Rejected, TORA_TERT_RESTART, TORA_TSTP_LACT_UserID, TORA_TSTP_LACT_AccountID, TORA_TSTP_PID_SHBond, TORA_TSTP_PID_SHFund, TORA_TSTP_PID_SHStock, TORA_TSTP_PID_SZBond, TORA_TSTP_PID_SZFund, TORA_TSTP_PID_SZStock, TORA_TSTP_PID_BJStock, TORA_TSTP_TC_GFD, TORA_TSTP_VC_AV, TORA_TSTP_AF_Delete, CTORATstpQrySecurityField, CTORATstpQryInvestorField, CTORATstpQryShareholderAccountField, CTORATstpQryTradingAccountField, CTORATstpQryPositionField, CTORATstpQryOrderField, CTORATstpQryTradeField, CTORATstpInputOrderField, CTORATstpInputOrderActionField, CTORATstpRspUserLoginField, CTORATstpSpecificSecurityField, CTORATstpRspInfoField, CTORATstpMarketDataField, CTORATstpOrderField, CTORATstpTradeField, CTORATstpSecurityField, CTORATstpTradingAccountField, CTORATstpShareholderAccountField, CTORATstpInvestorField, CTORATstpPositionField, CTORATstpLev2MarketDataField, TORA_TSTP_PID_SHKC, TORA_TSTP_OST_Unknown ) ##from .terminal_info import get_terminal_info # 委托状态映射 ORDER_STATUS_TORA2VT: Dict[str, Status] = { TORA_TSTP_OST_AllTraded: Status.ALLTRADED, TORA_TSTP_OST_PartTraded: Status.PARTTRADED, TORA_TSTP_OST_Accepted: Status.NOTTRADED, TORA_TSTP_OST_AllCanceled: Status.CANCELLED, TORA_TSTP_OST_PartTradeCanceled: Status.CANCELLED, TORA_TSTP_OST_Unknown: Status.SUBMITTING, TORA_TSTP_OST_Rejected: Status.REJECTED, } # 委托类型映射 ORDER_TYPE_VT2TORA: Dict[OrderType, Tuple] = { OrderType.LIMIT: (TORA_TSTP_OPT_LimitPrice, TORA_TSTP_TC_GFD, TORA_TSTP_VC_AV), } ORDERTYPE_TORA2VT: Dict[str, OrderType] = { TORA_TSTP_OPT_LimitPrice: OrderType.LIMIT } # 交易所映射 EXCHANGE_TORA2VT: Dict[str, Exchange] = { TORA_TSTP_EXD_SSE: Exchange.SSE, TORA_TSTP_EXD_SZSE: Exchange.SZSE, TORA_TSTP_EXD_HK: Exchange.SEHK, TORA_TSTP_EXD_BSE: Exchange.BSE, } EXCHANGE_VT2TORA: Dict[Exchange, str] = {v: k for k, v in EXCHANGE_TORA2VT.items()} # 产品类型映射 PRODUCT_TORA2VT: Dict[str, Product] = { TORA_TSTP_PID_SHStock: Product.EQUITY, TORA_TSTP_PID_SHFund: Product.FUND, TORA_TSTP_PID_SHBond: Product.BOND, TORA_TSTP_PID_SZStock: Product.EQUITY, TORA_TSTP_PID_SZFund: Product.FUND, TORA_TSTP_PID_SZBond: Product.BOND, TORA_TSTP_PID_SHKC: Product.EQUITY, TORA_TSTP_PID_BJStock: Product.EQUITY, } # 多空方向映射 DIRECTION_TORA2VT: Dict[str, Direction] = { TORA_TSTP_D_Buy: Direction.LONG, TORA_TSTP_D_Sell: Direction.SHORT, } DIRECTION_VT2TORA: Dict[Direction, str] = {v: k for k, v in DIRECTION_TORA2VT.items()} # 开平方向映射 OFFSET_TORA2VT: Dict[str, Offset] = { TORA_TSTP_D_Buy: Offset.OPEN, TORA_TSTP_D_Sell: Offset.CLOSE } OFFSET_VT2TORA: Dict[Offset, str] = {v: k for k, v in OFFSET_TORA2VT.items()} # 其他常量 CHINA_TZ = pytz.timezone("Asia/Shanghai") # 中国时区 ACCOUNT_USERID: str = "用户代码" ACCOUNT_ACCOUNTID: str = "资金账号" ADDRESS_FRONT: str = "前置地址" ADDRESS_FENS: str = "FENS地址" LEVEL1: str = "Level1" LEVEL2: str = "Level2" class ToraStockGateway(BaseGateway): """ VeighNa用于对接华鑫奇点股票的交易接口。 """ default_name: str = "TORASTOCK" default_setting: Dict[str, Any] = { "账号": "", "密码": "", "行情服务器": "", "交易服务器": "", "账号类型": [ACCOUNT_USERID, ACCOUNT_ACCOUNTID], "地址类型": [ADDRESS_FRONT, ADDRESS_FENS], "行情类型": [LEVEL1, LEVEL2] } exchanges: List[str] = list(EXCHANGE_VT2TORA.keys()) def __init__(self, event_engine: EventEngine, gateway_name: str) -> None: """构造函数""" super().__init__(event_engine, gateway_name) self.td_api: "ToraTdApi" = ToraTdApi(self) self.md_api: "ToraL2Api / ToraMdApi" = None def connect(self, setting: dict) -> None: """连接交易接口""" if self.md_api: return mkt_type = setting["行情类型"] if mkt_type == LEVEL1: self.md_api: "ToraMdApi" = ToraMdApi(self) else: self.md_api: "ToraL2Api" = ToraL2Api(self) username: str = setting['账号'] password: str = setting['密码'] td_address: str = setting["交易服务器"] md_address: str = setting["行情服务器"] if not td_address.startswith("tcp://"): td_address = "tcp://" + td_address if not md_address.startswith("tcp://"): md_address = "tcp://" + md_address account_type: str = setting["账号类型"] address_type: str = setting["地址类型"] self.md_api.connect(username, password, md_address, account_type, address_type) self.td_api.connect(username, password, td_address, account_type, address_type) self.init_query() def close(self) -> None: """关闭接口""" pass 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_accounts() def query_position(self) -> None: """查询持仓""" self.td_api.query_positions() def write_error(self, msg: str, error: CTORATstpRspInfoField): """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: Event) -> None: """定时事件处理""" self.count += 1 if self.count < 2: 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 ToraMdApi(xmdapi.CTORATstpXMdSpi): def __init__(self, gateway: ToraStockGateway) -> None: """构造函数""" super().__init__() self.gateway: ToraStockGateway = gateway self.gateway_name: str = gateway.gateway_name self.reqid: int = 0 self.api: xmdapi.CTORATstpXMdApi_CreateTstpXMdApi = None self.connect_status: bool = False self.login_status: bool = False self.subscribed: set = set() self.userid: str = "" self.password: str = "" self.address: 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: CTORATstpRspUserLoginField, error: CTORATstpRspInfoField, reqid: int ) -> 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") else: self.gateway.write_error("行情服务器登录失败", error) def OnRspSubMarketData( self, data: CTORATstpSpecificSecurityField, error: CTORATstpRspInfoField, ) -> 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 OnRtnMarketData(self, data: CTORATstpMarketDataField) -> None: """行情数据推送""" current_date: str = data.TradingDay current_time: str = data.UpdateTime dt: datetime = datetime.strptime( f'{current_date}-{current_time}', "%Y%m%d-%H:%M:%S" ) dt: datetime = CHINA_TZ.localize(dt) tick: TickData = TickData( symbol=data.SecurityID, exchange=EXCHANGE_TORA2VT[data.ExchangeID], datetime=dt, name=data.SecurityName, turnover=data.Turnover, open_interest=data.OpenInterest, last_price=data.LastPrice, last_volume=data.Volume, limit_up=data.UpperLimitPrice, limit_down=data.LowerLimitPrice, open_price=data.OpenPrice, high_price=data.HighestPrice, low_price=data.LowestPrice, pre_close=data.PreClosePrice, bid_price_1=data.BidPrice1, ask_price_1=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 = data.BidPrice2 tick.bid_price_3 = data.BidPrice3 tick.bid_price_4 = data.BidPrice4 tick.bid_price_5 = data.BidPrice5 tick.ask_price_2 = data.AskPrice2 tick.ask_price_3 = data.AskPrice3 tick.ask_price_4 = data.AskPrice4 tick.ask_price_5 = 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, userid: str, password: str, address: str, account_type: str, address_type: str ) -> None: """连接服务器""" self.userid = userid self.password = password self.address = address self.account_type = account_type self.address_type = address_type # 禁止重复发起连接，会导致异常崩溃 if not self.connect_status: self.api = xmdapi.CTORATstpXMdApi_CreateTstpXMdApi() self.api.RegisterSpi(self) if self.address_type == ADDRESS_FRONT: self.api.RegisterFront(address) else: self.api.RegisterNameServer(address) self.api.Init() self.connect_status = True elif not self.login_status: self.login() def login(self) -> None: """用户登录""" login_req: xmdapi.CTORATstpReqUserLoginField = xmdapi.CTORATstpReqUserLoginField() self.reqid += 1 self.api.ReqUserLogin(login_req, self.reqid) def subscribe(self, req: SubscribeRequest) -> None: """订阅行情""" if self.login_status: exchange: Exchange = EXCHANGE_VT2TORA[req.exchange] self.api.SubscribeMarketData([str.encode(req.symbol)], exchange) 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: str = datetime.now().strftime("%Y%m%d") class ToraL2Api(lev2mdapi.CTORATstpLev2MdSpi): """奇点Level2行情接口""" def __init__(self, gateway: ToraStockGateway) -> None: """构造函数""" super().__init__() self.gateway: ToraStockGateway = gateway self.gateway_name: str = gateway.gateway_name self.reqid: int = 0 self.api: lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi = None self.connect_status: bool = False self.login_status: bool = False self.subscribed: set = set() self.userid: str = "" self.password: str = "" self.address: 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("Level2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"Level2行情服务器连接断开，原因{reason}") def OnRspUserLogin( self, data: CTORATstpRspUserLoginField, error: CTORATstpRspInfoField, 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("Level2行情服务器登录成功") else: self.gateway.write_error("Level行情服务器登录失败", error) def OnRspSubMarketData( self, data: CTORATstpSpecificSecurityField, error: CTORATstpRspInfoField, reqid: int, last: bool ) -> None: """订阅行情回报""" if not error or not error["ErrorID"]: return self.gateway.write_error("Level2行情订阅失败", error) def OnRtnMarketData( self, data: CTORATstpLev2MarketDataField, first_level_buy_num: int, first_level_buy_order_volumes: list, first_level_sell_num: int, first_level_sell_order_volumes: list ) -> None: """Level2行情数据推送""" current_date: datetime.date = datetime.today().strftime("%Y%m%d") current_datetime: str = str(data["DataTimeStamp"]) if data["ExchangeID"] == TORA_TSTP_EXD_SSE: dt: datetime = datetime.strptime( f"{current_date}-{current_datetime[:2]}:{current_datetime[2:4]}:{current_datetime[4:6]}", "%Y%m%d-%H:%M:%S" ) else: if current_datetime.startswith('1'): dt: datetime = datetime.strptime( f"{current_date}-{current_datetime[:2]}:{current_datetime[2:4]}:{current_datetime[4:6]}", "%Y%m%d-%H:%M:%S" ) else: dt: datetime = datetime.strptime( f"{current_date}-0{current_datetime[:1]}:{current_datetime[1:3]}:{current_datetime[3:5]}", "%Y%m%d-%H:%M:%S" ) dt: datetime = CHINA_TZ.localize(dt) tick: TickData = TickData( symbol=data["SecurityID"], exchange=EXCHANGE_TORA2VT[bytes.decode(data["ExchangeID"])], datetime=dt, name=data["SecurityID"], volume=data["TotalVolumeTrade"], turnover=data["TotalValueTrade"], last_price=data["LastPrice"], limit_up=data["UpperLimitPrice"], limit_down=data["LowerLimitPrice"], open_price=data["OpenPrice"], high_price=data["HighestPrice"], low_price=data["LowestPrice"], pre_close=data["PreClosePrice"], bid_price_1=data["BidPrice1"], ask_price_1=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 = data["BidPrice2"] tick.bid_price_3 = data["BidPrice3"] tick.bid_price_4 = data["BidPrice4"] tick.bid_price_5 = data["BidPrice5"] tick.ask_price_2 = data["AskPrice2"] tick.ask_price_3 = data["AskPrice3"] tick.ask_price_4 = data["AskPrice4"] tick.ask_price_5 = 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, userid: str, password: str, address: str, account_type: str, address_type: str ) -> None: """连接服务器""" self.userid = userid self.password = password self.address = address self.account_type = account_type self.address_type = address_type # 禁止重复发起连接，否则会导致异常崩溃 if not self.connect_status: self.api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi() self.api.RegisterSpi(self) if self.address_type == ADDRESS_FRONT: self.api.RegisterFront(address) else: self.api.RegisterNameServer self.api.Init() self.connect_status = True elif not self.login_status: self.login() def login(self) -> None: """用户登录""" login_req: lev2mdapi.CTORATstpReqUserLoginField = lev2mdapi.CTORATstpReqUserLoginField() self.reqid += 1 self.api.ReqUserLogin(login_req, self.reqid) def subscribe(self, req: SubscribeRequest) -> None: """订阅行情""" if self.login_status: exchange: Exchange = EXCHANGE_VT2TORA[req.exchange] self.api.SubscribeMarketData([str.encode(req.symbol)], exchange) 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: str = datetime.now().strftime("%Y%m%d") class ToraTdApi(traderapi.CTORATstpTraderSpi): """""" def __init__(self, gateway: ToraStockGateway) -> None: """构造函数""" super().__init__() self.gateway: ToraStockGateway = gateway self.gateway_name: str = gateway.gateway_name self.reqid: int = 0 self.order_ref: int = 0 self.contract_inited = False self.connect_status: bool = False self.login_status: bool = False self.auth_status: bool = False self.login_failed: bool = False self.investor_id: str = None self.shareholder_ids: Dict[Exchange, str] = {} self.account_id: str = None self.localid: int = 10000 self.api: traderapi.CTORATstpTraderApi.CreateTstpTraderApi = None self.userid: str = "" self.password: str = "" self.frontid: int = 0 self.sessionid: int = 0 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") 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 OnRspUserLogin( self, data: CTORATstpRspUserLoginField, error: CTORATstpRspInfoField, reqid: int, ) -> 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") self.query_contracts() self.query_investors() self.query_shareholder_ids() else: self.login_failed = True self.gateway.write_error("交易服务器登录失败", error) def OnRspOrderAction( self, data: CTORATstpInputOrderActionField, error: CTORATstpRspInfoField, reqid: int, ) -> None: """委托撤单失败回报""" error_id: int = error.ErrorID if error_id: self.gateway.write_error("交易撤单失败", error) def OnRtnOrder(self, data: CTORATstpOrderField) -> None: """委托更新推送""" symbol: str = data.SecurityID exchange: Exchange = EXCHANGE_TORA2VT[data.ExchangeID] frontid: int = data.FrontID sessionid: int = data.SessionID order_ref: int = data.OrderRef order_id: 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 = CHINA_TZ.localize(dt) order: OrderData = OrderData( symbol=symbol, exchange=exchange, orderid=order_id, type=ORDERTYPE_TORA2VT[data.OrderPriceType], direction=DIRECTION_TORA2VT[data.Direction], offset=OFFSET_TORA2VT[data.Direction], price=data.LimitPrice, volume=data.VolumeTotalOriginal, traded=data.VolumeTraded, status=ORDER_STATUS_TORA2VT[data.OrderStatus], datetime=dt, gateway_name=self.gateway_name ) self.gateway.on_order(order) self.sysid_orderid_map[data.OrderSysID] = order_id def OnRtnTrade(self, data: CTORATstpTradeField) -> None: """成交数据推送""" symbol: str = data.SecurityID exchange: Exchange = EXCHANGE_TORA2VT[data.ExchangeID] orderid: str = self.sysid_orderid_map[data.OrderSysID] timestamp: str = f"{data.TradeDate} {data.TradeTime}" dt: datetime = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S") dt: datetime = CHINA_TZ.localize(dt) trade: TradeData = TradeData( symbol=symbol, exchange=exchange, orderid=orderid, tradeid=data.TradeID, direction=DIRECTION_TORA2VT[data.Direction], offset=OFFSET_TORA2VT[data.Direction], price=data.Price, volume=data.Volume, datetime=dt, gateway_name=self.gateway_name ) self.gateway.on_trade(trade) def OnRspQrySecurity( self, data: CTORATstpSecurityField, error: CTORATstpRspInfoField, reqid: int, last: bool ) -> None: """合约查询回报""" if last: self.gateway.write_log("合约信息查询成功") self.contract_inited = True if not data: return contract_data: ContractData = ContractData( gateway_name=self.gateway_name, symbol=data.SecurityID, exchange=EXCHANGE_TORA2VT[data.ExchangeID], name=data.SecurityName, product=PRODUCT_TORA2VT.get(data.ProductID, Product.EQUITY), size=data.VolumeMultiple, pricetick=data.PriceTick, min_volume=data.MinLimitOrderBuyVolume, net_position=True, ) self.gateway.on_contract(contract_data) def OnRspQryTradingAccount( self, data: CTORATstpTradingAccountField, error: CTORATstpRspInfoField, reqid: int, last: bool ) -> None: """资金查询回报""" if not data: return self.account_id: str = data.AccountID account_data: AccountData = AccountData( gateway_name=self.gateway_name, accountid=data.AccountID, balance=data.UsefulMoney, frozen=data.FrozenCash + data.FrozenCommission ) self.gateway.on_account(account_data) def OnRspQryShareholderAccount( self, data: CTORATstpShareholderAccountField, error: CTORATstpRspInfoField, reqid: int, last: bool ) -> None: """客户号查询回报""" if not data: return exchange: Exchange = EXCHANGE_TORA2VT[data.ExchangeID] self.shareholder_ids[exchange] = data.ShareholderID def OnRspQryInvestor( self, data: CTORATstpInvestorField, error: CTORATstpRspInfoField, reqid: int, last: bool ) -> None: """用户名查询回报""" if not data: return self.investor_id: str = data.InvestorID def OnRspQryPosition( self, data: CTORATstpPositionField, error: CTORATstpRspInfoField, reqid: int, last: bool ) -> None: """持仓查询回报""" if not data: return if last : self.gateway.write_log("OnRspQryPosition: Over!!") return if data.InvestorID != self.investor_id: self.gateway.write_log("OnRspQryPosition:收到其他账户的仓位信息") return volume: int = data.TodayBSPos + data.HistoryPos if volume>0 : price = data.TotalPosCost /volume else : price =0 """ if data.TodayBSPos == 0 and data.HistoryPos!=0: price = data.TotalPosCost / abs(data.HistoryPos) else: price = data.TotalPosCost / (volume + data.HistoryPos) """ frozen: int = data.HistoryPosFrozen + data.TodayBSPosFrozen + data.TodayPRPosFrozen position_data: PositionData = PositionData( gateway_name=self.gateway_name, symbol=data.SecurityID, exchange=EXCHANGE_TORA2VT[data.ExchangeID], direction=Direction.LONG, volume=volume, frozen=frozen, price=round(price,2), yd_volume=data.HistoryPos, pnl=round(data.TodayCommission,2) ) self.gateway.on_position(position_data) return def OnErrRtnOrderInsert(self, data: CTORATstpInputOrderField, error: CTORATstpRspInfoField, reason: int) -> None: """委托下单失败回报""" order_ref: int = data.OrderRef order_id: str = f"{self.frontid}_{self.sessionid}_{order_ref}" dt: datetime = datetime.now() dt: datetime = CHINA_TZ.localize(dt) order: OrderData = OrderData( symbol=data.SecurityID, exchange=EXCHANGE_TORA2VT[data.ExchangeID], orderid=order_id, type=ORDERTYPE_TORA2VT[data.OrderPriceType], direction=Direction.NET, price=data.LimitPrice, volume=data.VolumeTotalOriginal, status=Status.REJECTED, datetime=dt, gateway_name=self.gateway_name ) self.gateway.on_order(order) self.gateway.write_log( f"拒单({order_id} __ {order.vt_symbol}):" f"错误码:{error.ErrorID}, 错误消息:{error.ErrorMsg}" ) def connect( self, userid: str, password: str, address: str, account_type: str, address_type: str ) -> None: """连接服务器""" self.userid = userid self.password = password self.address = address self.account_type = account_type self.address_type = address_type if not self.connect_status: self.api = traderapi.CTORATstpTraderApi.CreateTstpTraderApi() self.api.RegisterSpi(self) if self.address_type == ADDRESS_FRONT: self.api.RegisterFront(address) else: self.api.RegisterNameServer(address) self.api.SubscribePrivateTopic(TORA_TERT_RESTART) self.api.SubscribePublicTopic(TORA_TERT_RESTART) self.api.Init() self.connect_status = True def login(self) -> None: """用户登录""" login_req: traderapi.CTORATstpReqUserLoginField = traderapi.CTORATstpReqUserLoginField() login_req.LogInAccount = self.userid login_req.Password = self.password login_req.UserProductInfo = "堆策略1.0" ##login_req.TerminalInfo = get_terminal_info() login_req.TerminalInfo = 'PC;IIP=115.60.149.76;IPORT=50361;LIP=10.211.55.62;MAC=54EE750B1713FCF8AE5CBD58;HD=TF655AY91GHRVL' if self.account_type == ACCOUNT_USERID: login_req.LogInAccountType = TORA_TSTP_LACT_UserID else: login_req.LogInAccountType = TORA_TSTP_LACT_AccountID self.reqid += 1 self.api.ReqUserLogin(login_req, self.reqid) def query_contracts(self) -> None: """查询合约""" req: CTORATstpQrySecurityField = CTORATstpQrySecurityField() self.reqid += 1 self.api.ReqQrySecurity(req, self.reqid) def query_investors(self) -> None: """查询用户名""" req: CTORATstpQryInvestorField = CTORATstpQryInvestorField() self.reqid += 1 self.api.ReqQryInvestor(req, self.reqid) def query_shareholder_ids(self) -> None: """查询客户号""" req: CTORATstpQryShareholderAccountField = CTORATstpQryShareholderAccountField() self.reqid += 1 self.api.ReqQryShareholderAccount(req, self.reqid) def query_accounts(self) -> None: """查询资金""" req: CTORATstpQryTradingAccountField = CTORATstpQryTradingAccountField() self.reqid += 1 self.api.ReqQryTradingAccount(req, self.reqid) def query_positions(self) -> None: """查询持仓""" req: CTORATstpQryPositionField = CTORATstpQryPositionField() self.reqid += 1 self.api.ReqQryPosition(req, self.reqid) def query_orders(self) -> None: """查询未成交委托""" req: CTORATstpQryOrderField = CTORATstpQryOrderField() self.reqid += 1 self.api.ReqQryOrder(req, self.reqid) def query_trades(self) -> None: """查询成交""" req: CTORATstpQryTradeField = CTORATstpQryTradeField() self.reqid += 1 self.api.ReqQryTrade(req, self.reqid) def send_order(self, req: OrderRequest): """委托下单""" self.reqid += 1 self.order_ref += 1 opt, tc, vc = ORDER_TYPE_VT2TORA[req.type] info: CTORATstpInputOrderField = CTORATstpInputOrderField() info.ShareholderID = self.shareholder_ids[req.exchange] info.SecurityID = req.symbol info.ExchangeID = EXCHANGE_VT2TORA[req.exchange] info.OrderRef = self.order_ref info.OrderPriceType = opt info.Direction = DIRECTION_VT2TORA[req.direction] info.LimitPrice = req.price info.VolumeTotalOriginal = int(req.volume) info.TimeCondition = tc info.VolumeCondition = vc self.api.ReqOrderInsert(info, self.reqid) order_id: str = f"{self.frontid}_{self.sessionid}_{self.order_ref}" order: OrderData = req.create_order_data(order_id, self.gateway_name) self.gateway.on_order(order) return f"{self.gateway_name}.{order_id}" def cancel_order(self, req: CancelRequest) -> None: """委托撤单""" self.reqid += 1 self.order_ref += 1 info: CTORATstpInputOrderActionField = CTORATstpInputOrderActionField() info.ExchangeID = EXCHANGE_VT2TORA[req.exchange] info.SecurityID = req.symbol frontid, sessionid, order_ref = req.orderid.split("_") info.OrderRef = int(order_ref) info.FrontID = int(frontid) info.SessionID = int(sessionid) info.ActionFlag = TORA_TSTP_AF_Delete info.OrderActionRef = self.order_ref self.api.ReqOrderAction(info, self.reqid)
升级新版API后 会有一些报错，解决报错问题，只能 在 LINUX下用