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# -*- coding:utf-8 -*-
import time
from vtConstant import (EMPTY_STRING, EMPTY_UNICODE,
EMPTY_FLOAT, EMPTY_INT, EMPTY_BYTE)
########################################################################
class VtBaseData(object):
"""回调函数推送数据的基础类，其他数据类继承于此"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.gatewayName = EMPTY_STRING # Gateway名称
self.rawData = None # 原始数据
########################################################################
class VtTickData(VtBaseData):
"""Tick行情数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtTickData, self).__init__()
# 代码相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
# 成交数据
self.lastPrice = EMPTY_FLOAT # 最新成交价
self.lastVolume = EMPTY_INT # 最新成交量
self.volume = EMPTY_INT # 今天总成交量
self.openInterest = EMPTY_INT # 持仓量
self.time = EMPTY_STRING # 时间 11:20:56.5
self.date = EMPTY_STRING # 日期 20151009
self.datetime = None # python的datetime时间对象
# 常规行情
self.openPrice = EMPTY_FLOAT # 今日开盘价
self.highPrice = EMPTY_FLOAT # 今日最高价
self.lowPrice = EMPTY_FLOAT # 今日最低价
self.preClosePrice = EMPTY_FLOAT
self.upperLimit = EMPTY_FLOAT # 涨停价
self.lowerLimit = EMPTY_FLOAT # 跌停价
# 五档行情
self.bidPrice1 = EMPTY_FLOAT
self.bidPrice2 = EMPTY_FLOAT
self.bidPrice3 = EMPTY_FLOAT
self.bidPrice4 = EMPTY_FLOAT
self.bidPrice5 = EMPTY_FLOAT
self.askPrice1 = EMPTY_FLOAT
self.askPrice2 = EMPTY_FLOAT
self.askPrice3 = EMPTY_FLOAT
self.askPrice4 = EMPTY_FLOAT
self.askPrice5 = EMPTY_FLOAT
self.bidVolume1 = EMPTY_INT
self.bidVolume2 = EMPTY_INT
self.bidVolume3 = EMPTY_INT
self.bidVolume4 = EMPTY_INT
self.bidVolume5 = EMPTY_INT
self.askVolume1 = EMPTY_INT
self.askVolume2 = EMPTY_INT
self.askVolume3 = EMPTY_INT
self.askVolume4 = EMPTY_INT
self.askVolume5 = EMPTY_INT
########################################################################
class VtBarData(VtBaseData):
"""K线数据"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtBarData, self).__init__()
self.vtSymbol = EMPTY_STRING # vt系统代码
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
self.open = EMPTY_FLOAT # OHLC
self.high = EMPTY_FLOAT
self.low = EMPTY_FLOAT
self.close = EMPTY_FLOAT
self.date = EMPTY_STRING # bar开始的时间，日期
self.time = EMPTY_STRING # 时间
self.datetime = None # python的datetime时间对象
self.volume = EMPTY_INT # 成交量
self.openInterest = EMPTY_INT # 持仓量
########################################################################
class VtTradeData(VtBaseData):
"""成交数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtTradeData, self).__init__()
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.tradeID = EMPTY_STRING # 成交编号
self.vtTradeID = EMPTY_STRING # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
self.orderID = EMPTY_STRING # 订单编号
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
# 成交相关
self.direction = EMPTY_UNICODE # 成交方向
self.offset = EMPTY_UNICODE # 成交开平仓
self.price = EMPTY_FLOAT # 成交价格
self.volume = EMPTY_INT # 成交数量
self.tradeTime = EMPTY_STRING # 成交时间
########################################################################
class VtOrderData(VtBaseData):
"""订单数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtOrderData, self).__init__()
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.orderID = EMPTY_STRING # 订单编号
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
# 报单相关
self.direction = EMPTY_UNICODE # 报单方向
self.offset = EMPTY_UNICODE # 报单开平仓
self.price = EMPTY_FLOAT # 报单价格
self.totalVolume = EMPTY_INT # 报单总数量
self.tradedVolume = EMPTY_INT # 报单成交数量
self.status = EMPTY_UNICODE # 报单状态
self.orderTime = EMPTY_STRING # 发单时间
self.cancelTime = EMPTY_STRING # 撤单时间
# CTP/LTS相关
self.frontID = EMPTY_INT # 前置机编号
self.sessionID = EMPTY_INT # 连接编号
########################################################################
class VtPositionData(VtBaseData):
"""持仓数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtPositionData, self).__init__()
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
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
# 持仓相关
self.direction = EMPTY_STRING # 持仓方向
self.position = EMPTY_INT # 持仓量
self.frozen = EMPTY_INT # 冻结数量
self.price = EMPTY_FLOAT # 持仓均价
self.vtPositionName = EMPTY_STRING # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
self.ydPosition = EMPTY_INT # 昨持仓
self.positionProfit = EMPTY_FLOAT # 持仓盈亏
########################################################################
class VtAccountData(VtBaseData):
"""账户数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtAccountData, self).__init__()
# 账号代码相关
self.accountID = EMPTY_STRING # 账户代码
self.vtAccountID = EMPTY_STRING # 账户在vt中的唯一代码，通常是 Gateway名.账户代码
# 数值相关
self.preBalance = EMPTY_FLOAT # 昨日账户结算净值
self.balance = EMPTY_FLOAT # 账户净值
self.available = EMPTY_FLOAT # 可用资金
self.commission = EMPTY_FLOAT # 今日手续费
self.margin = EMPTY_FLOAT # 保证金占用
self.closeProfit = EMPTY_FLOAT # 平仓盈亏
self.positionProfit = EMPTY_FLOAT # 持仓盈亏
########################################################################
class VtErrorData(VtBaseData):
"""错误数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtErrorData, self).__init__()
self.errorID = EMPTY_STRING # 错误代码
self.errorMsg = EMPTY_UNICODE # 错误信息
self.additionalInfo = EMPTY_UNICODE # 补充信息
self.errorTime = time.strftime('%X', time.localtime()) # 错误生成时间
########################################################################
class VtLogData(VtBaseData):
"""日志数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtLogData, self).__init__()
self.logTime = time.strftime('%X', time.localtime()) # 日志生成时间
self.logContent = EMPTY_UNICODE # 日志信息
########################################################################
class VtContractData(VtBaseData):
"""合约详细信息类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtContractData, self).__init__()
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.name = EMPTY_UNICODE # 合约中文名
self.productClass = EMPTY_UNICODE # 合约类型
self.size = EMPTY_INT # 合约大小
self.priceTick = EMPTY_FLOAT # 合约最小价格TICK
# 期权相关
self.strikePrice = EMPTY_FLOAT # 期权行权价
self.underlyingSymbol = EMPTY_STRING # 标的物合约代码
self.optionType = EMPTY_UNICODE # 期权类型
self.expiryDate = EMPTY_STRING # 到期日
########################################################################
class VtSubscribeReq(object):
"""订阅行情时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
# 以下为IB相关
self.productClass = EMPTY_UNICODE # 合约类型
self.currency = EMPTY_STRING # 合约货币
self.expiry = EMPTY_STRING # 到期日
self.strikePrice = EMPTY_FLOAT # 行权价
self.optionType = EMPTY_UNICODE # 期权类型
########################################################################
class VtOrderReq(object):
"""发单时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
self.price = EMPTY_FLOAT # 价格
self.volume = EMPTY_INT # 数量
self.priceType = EMPTY_STRING # 价格类型
self.direction = EMPTY_STRING # 买卖
self.offset = EMPTY_STRING # 开平
# 以下为IB相关
self.productClass = EMPTY_UNICODE # 合约类型
self.currency = EMPTY_STRING # 合约货币
self.expiry = EMPTY_STRING # 到期日
self.strikePrice = EMPTY_FLOAT # 行权价
self.optionType = EMPTY_UNICODE # 期权类型
self.lastTradeDateOrContractMonth = EMPTY_STRING # 合约月,IB专用
self.multiplier = EMPTY_STRING # 乘数,IB专用
########################################################################
class VtCancelOrderReq(object):
"""撤单时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
# 以下字段主要和CTP、LTS类接口相关
self.orderID = EMPTY_STRING # 报单号
self.frontID = EMPTY_STRING # 前置机号
self.sessionID = EMPTY_STRING # 会话号
########################################################################
KMIN1 = 'K_MIN1'
KMIN5 = 'K_MIN5'
KMIN15 = 'K_MIN15'
KMIN30 = 'K_MIN30'
KMIN60 = 'K_MIN60'
KDAY = 'K_DAY'
KWEEK = 'K_WEEK'
KMON = 'K_MON'
class BarModel(object):
"""k线数据更新管理"""
#分钟线对应的周期
kMinDict = {KMIN1: 1, KMIN5: 5, KMIN15: 15, KMIN30: 30, KMIN60: 60}
kBarFunc = {}
#----------------------------------------------------------------------
def __init__(self, ktype):
self.kType = ktype
self.kBar = None
self.kBarFunc[KMIN1] = self.refreshMinBar
self.kBarFunc[KMIN5] = self.refreshMinBar
self.kBarFunc[KMIN15] = self.refreshMinBar
self.kBarFunc[KMIN30] = self.refreshMinBar
self.kBarFunc[KMIN60] = self.refreshMinBar
self.kBarFunc[KDAY] = self.refreshDayBar
self.kBarFunc[KWEEK] = self.refreshWeekBar
self.kBarFunc[KMON] = self.refreshMonBar
#----------------------------------------------------------------------
def initBar(self, kbar):
self.kBar = kbar
#----------------------------------------------------------------------
def updateBar(self, tick):
func = self.kBarFunc.get(self.kType, None)
if(func is not None):
func(tick)
else:
print("no function find")
#----------------------------------------------------------------------
def refreshMinBar(self, tick):
print("refreshMinBar")
minte = kMinDict[self.kType]
#这里没有刷新成交量
if (tick.datetime.minute % minute != 0) and tick.datetime.second != 0:
bar = self.kBar[-1]
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
else:
bar = VtBarData()
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime
self.kBar = bar
#----------------------------------------------------------------------
def refreshDayBar(self, tick):
print("refreshDayBar")
#----------------------------------------------------------------------
def refreshWeekBar(self, tick):
print("refreshMonBar")
#----------------------------------------------------------------------
def refreshMonBar(self, tick):
print("refreshMonBar")
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