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ctp_api.py
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ctp_api.py
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# -*- coding: utf-8 -*-
import ctp.futures as ctp
from agent import *
import optagent
from base import *
import logging
import trade_emulator as emulator
class MdSpiDelegate(CTPMdMixin, ctp.MdApi):
'''
将行情信息转发到Agent
并自行处理杂务
'''
ApiStruct = ctp.ApiStruct
def __init__(self,
instruments, #合约映射 name ==>c_instrument
broker_id, #期货公司ID
investor_id, #投资者ID
passwd, #口令
agent, #实际操作对象
):
self.instruments = instruments
self.broker_id =broker_id
self.investor_id = investor_id
self.passwd = passwd
self.agent = agent
self.eventEngine = agent.eventEngine
##必须在每日重新连接时初始化它. 这一点用到了生产行情服务器收盘后关闭的特点(模拟的不关闭)
self.last_day = 0
agent.add_mdapi(self)
pass
def subscribe_market_data(self, instruments):
self.SubscribeMarketData(instruments)
def market_data2tick(self, dp, timestamp):
#market_data的格式转换和整理, 交易数据都转换为整数
try:
#rev的后四个字段在模拟行情中经常出错
rev = TickData(instID=dp.InstrumentID, timestamp=timestamp, openInterest=dp.OpenInterest,
volume=dp.Volume, price=dp.LastPrice,
high=dp.HighestPrice, low=dp.LowestPrice,
bidPrice1=dp.BidPrice1, bidVol1=dp.BidVolume1,
askPrice1=dp.AskPrice1, askVol1=dp.AskVolume1,
up_limit = dp.UpperLimitPrice, down_limit = dp.LowerLimitPrice)
except Exception,inst:
event = Event(type=EVENT_LOG)
event.dict['log'] = u'MD:%s 行情数据转换错误:updateTime="%s"' % (dp.InstrumentID, timestamp)
self.eventEngine.put(event)
return rev
class TraderSpiDelegate(CTPTraderQryMixin, CTPTraderRspMixin, ctp.TraderApi):
'''
将服务器回应转发到Agent
并自行处理杂务
'''
ApiStruct = ctp.ApiStruct
def __init__(self,
instruments, #合约映射 name ==>c_instrument
broker_id, #期货公司ID
investor_id, #投资者ID
passwd, #口令
agent, #实际操作对象
):
self.name = 'CTP-TD'
self.instruments = instruments
self.broker_id = broker_id
self.investor_id = investor_id
self.front_id = None
self.session_id = None
self.passwd = passwd
self.agent = agent
self.agent.set_spi(self)
self.eventEngine = agent.eventEngine
self.is_logged = False
self.ctp_orders = {}
self.ctp_trades = {}
def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
CTPTraderRspMixin.OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast)
self.confirm_settlement_info()
def query_settlement_confirm(self):
'''
而且需要进一步明确：有史以来第一次确认前查询确认情况还是每天第一次确认查询情况时，返回的响应中
pSettlementInfoConfirm为空指针. 如果是后者,则建议每日不查询确认情况,或者在generate_struct中对
CThostFtdcSettlementInfoConfirmField的new_函数进行特殊处理
CTP写代码的这帮家伙素质太差了，边界条件也不测试，后置断言也不整，空指针乱飞
2011-3-1 确认每天未确认前查询确认情况时,返回的响应中pSettlementInfoConfirm为空指针
并且妥善处理空指针之后,仍然有问题,在其中查询结算单无动静
'''
req = self.ApiStruct.QrySettlementInfoConfirm(BrokerID=self.broker_id,InvestorID=self.investor_id)
self.ReqQrySettlementInfoConfirm(req,self.agent.inc_request_id())
def query_settlement_info(self):
req = self.ApiStruct.QrySettlementInfo(BrokerID=self.broker_id,InvestorID=self.investor_id,TradingDay=u'')
self.ReqQrySettlementInfo(req,self.agent.inc_request_id())
def confirm_settlement_info(self):
req = self.ApiStruct.SettlementInfoConfirm(BrokerID=self.broker_id,InvestorID=self.investor_id)
self.ReqSettlementInfoConfirm(req,self.agent.inc_request_id())
def OnRspQrySettlementInfo(self, pSettlementInfo, pRspInfo, nRequestID, bIsLast):
'''请求查询投资者结算信息响应'''
print u'Rsp 结算单查询'
if(self.resp_common(pRspInfo,bIsLast,u'结算单查询')>0):
self.confirm_settlement_info()
def OnRspQrySettlementInfoConfirm(self, pSettlementInfoConfirm, pRspInfo, nRequestID, bIsLast):
'''请求查询结算信息确认响应'''
if(self.resp_common(pRspInfo,bIsLast,u'结算单确认情况查询')>0):
if(pSettlementInfoConfirm == None or int(pSettlementInfoConfirm.ConfirmDate) < int(self.agent.scur_day.strftime('%Y%m%d'))):
#其实这个判断是不对的，如果周日对周五的结果进行了确认，那么周一实际上已经不需要再次确认了
self.query_settlement_info()
event = Event(type=EVENT_LOG)
if(pSettlementInfoConfirm != None):
log = u'TD:最新结算单未确认，需查询后再确认,最后确认时间=%s,scur_day:%s' % (pSettlementInfoConfirm.ConfirmDate,self.agent.scur_day)
else:
log = u'TD:结算单确认结果为None'
event.dict['log'] = log
self.eventEngine.put(event)
else:
event = Event(type=EVENT_TDLOGIN)
self.eventEngine.put(event)
def OnRspSettlementInfoConfirm(self, pSettlementInfoConfirm, pRspInfo, nRequestID, bIsLast):
'''投资者结算结果确认响应'''
if(self.resp_common(pRspInfo,bIsLast,u'结算单确认')>0):
event = Event(type=EVENT_TDLOGIN)
self.eventEngine.put(event)
def make_user(my_agent,hq_user):
#print my_agent.instruments
for port in hq_user.ports:
user = MdSpiDelegate(instruments=my_agent.instruments.keys(),
broker_id=hq_user.broker_id,
investor_id= hq_user.investor_id,
passwd= hq_user.passwd,
agent = my_agent,
)
user.Create(my_agent.name)
user.RegisterFront(port)
user.Init()
def create_trader(trader_cfg, instruments, strat_cfg, agent_name, tday=datetime.date.today()):
strategies = strat_cfg['strategies']
config = {}
config['folder'] = strat_cfg['folder']
config['daily_data_days'] = strat_cfg['daily_data_days']
config['min_data_days'] = strat_cfg['min_data_days']
if 'enable_option' in strat_cfg:
config['enable_option'] = strat_cfg['enable_option']
else:
config['enable_option'] = False
agent_class = Agent
if config['enable_option'] == True:
agent_class = optagent.OptionAgent
myagent = agent_class(agent_name, None, None, instruments, strategies, tday, config)
if trader_cfg == None:
myagent, trader = emulator.create_agent_with_mocktrader(agent_name, instruments, strat_cfg, tday)
else:
myagent.trader = trader = TraderSpiDelegate(instruments=myagent.instruments,
broker_id=trader_cfg.broker_id,
investor_id= trader_cfg.investor_id,
passwd= trader_cfg.passwd,
agent = myagent,
)
trader.Create('trader')
trader.SubscribePublicTopic(trader.ApiStruct.TERT_QUICK)
trader.SubscribePrivateTopic(trader.ApiStruct.TERT_QUICK)
for port in trader_cfg.ports:
trader.RegisterFront(port)
trader.Init()
return trader, myagent
def create_agent(agent_name, usercfg, tradercfg, insts, strat_cfg, tday = datetime.date.today()):
trader, my_agent = create_trader(tradercfg, insts, strat_cfg, agent_name, tday)
make_user(my_agent,usercfg)
return my_agent