ctp wrapper for python (期货版)
CTP版本：MdApi().GetApiVersion(), TraderApi().GetApiVersion()
环境：python2.5 ~ python3.4，Windows或者Linux
编译：python setup.py build
安装：python setup.py install或者复制build下的ctp目录到某个sys.path目录。
linux 64位 python 2.7.16 64位,测试通过。 windows 64位, python 2.7.16 64 位，测试通过。
行情服务器测试程序：
from ctp15 import ApiStruct, MdApi import time import traceback import copy
ticks = []
class MyMdApi(MdApi): def init(self, instruments, broker_id, investor_id, passwd, *args, **kwargs): self.requestid = 0 self.instruments = instruments self.broker_id = broker_id self.investor_id = investor_id self.passwd = passwd
def OnRspError(self, info, RequestId, IsLast):
print
" Error"
self.isErrorRspInfo(info)
def isErrorRspInfo(self, info):
if info.ErrorID != 0:
print
"ErrorID=", info.ErrorID, ", ErrorMsg=", info.ErrorMsg
return info.ErrorID != 0
def OnFrontDisConnected(self, reason):
print
"onFrontDisConnected:", reason
def OnHeartBeatWarning(self, time):
print "onHeartBeatWarning", time
def OnFrontConnected(self):
print "OnFrontConnected:"
self.user_login(self.broker_id, self.investor_id, self.passwd)
def user_login(self, broker_id, investor_id, passwd):
req = ApiStruct.ReqUserLogin(BrokerID=broker_id, UserID=investor_id, Password=passwd)
self.requestid += 1
r = self.ReqUserLogin(req, self.requestid)
def OnRspUserLogin(self, userlogin, info, rid, is_last):
print "OnRspUserLogin", is_last, info
if is_last and not self.isErrorRspInfo(info):
print "get today's trading day:", repr(self.GetTradingDay())
self.subscribe_market_data(self.instruments)
def subscribe_market_data(self, instruments):
self.SubscribeMarketData(instruments)
# def OnRspSubMarketData(self, spec_instrument, info, requestid, islast):
# print "OnRspSubMarketData"
# def OnRspUnSubMarketData(self, spec_instrument, info, requestid, islast):
# print "OnRspUnSubMarketData"
def OnRtnDepthMarketData(self, depth_market_data):
tick = copy.deepcopy(depth_market_data)
print tick
ticks.append(tick)
inst = [u'rb1910', u'rb1905']
def main(): import json
with open(r'connect_ctp.json') as f:
acctinfo = json.load(f)
broker_id = acctinfo['brokerID']
investor_id = acctinfo['userID']
password = acctinfo['password']
mdserver = acctinfo['mdAddress']
tdserver = acctinfo['tdAddress']
appID = acctinfo['appID']
authCode = acctinfo['authCode']
user = MyMdApi(instruments=inst,
broker_id=broker_id,
investor_id=investor_id,
passwd=password)
user.Create("data")
user.RegisterFront(mdserver) # simnow std md server
user.Init()
user.Join()
#说明：行情服务器登录，不需要认证。交易服务器才需要
交易服务器登录程序：
import sys import copy import time, datetime import threading import Queue from ctp15 import ApiStruct, TraderApi, MdApi
mutex = threading.Lock() q_depth_market_data = Queue.Queue() q_rtn_trade = Queue.Queue() q_rtn_order = Queue.Queue() q_positions = Queue.Queue() q_server_info = Queue.Queue()
info = []
class MyMdApi(MdApi): def init(self, instruments, broker_id, investor_id, password, *args, **kwargs): self.request_id = 0 self.instruments = instruments self.broker_id = broker_id self.investor_id = investor_id self.password = password
def OnRspError(self, info, request_id, is_last):
print " Error: " + info
@staticmethod
def is_error_rsp_info(info):
if info.ErrorID != 0:
print "ErrorID=", info.ErrorID, ", ErrorMsg=", info.ErrorMsg
return info.ErrorID != 0
def OnHeartBeatWarning(self, _time):
print "onHeartBeatWarning", _time
def OnFrontConnected(self):
print u"connecting to the marketdata server ..."
self.user_login(self.broker_id, self.investor_id, self.password)
def user_login(self, broker_id, investor_id, password):
req = ApiStruct.ReqUserLogin(BrokerID=broker_id, UserID=investor_id, Password=password)
self.request_id += 1
ret = self.ReqUserLogin(req, self.request_id)
def OnRspUserLogin(self, user_login, info, rid, is_last):
print "OnRspUserLogin", is_last
print info
if is_last and not self.is_error_rsp_info(info):
# print datetime.datetime.now(), u'行情服务器登录成功。订阅合约', self.instruments
# print "get today's trading day:", repr(self.GetTradingDay())
self.subscribe_market_data(self.instruments)
def OnFrontDisconnected(self, nReason):
"""当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。
@param nReason 错误原因
0x1001 网络读失败
0x1002 网络写失败
0x2001 接收心跳超时
0x2002 发送心跳失败
0x2003 收到错误报文
"""
print datetime.datetime.now(), 'Marketdata server connect interrupted...', nReason
def subscribe_market_data(self, instruments):
self.SubscribeMarketData(instruments)
def OnRtnDepthMarketData(self, depth_market_data):
if depth_market_data.Volume > 0:
q_depth_market_data.put(deepcopy(depth_market_data))
# print u'行情数据发送：',tick.UpdateTime, tick.InstrumentID, tick.LastPrice
class Trader(TraderApi):
def __init__(self, broker_id, investor_id, password, appid, authcode, productinfo, request_id=1):
self.request_id = request_id
self.broker_id = broker_id.encode()
self.investor_id = investor_id.encode()
self.password = password.encode()
self.appid = appid.encode()
self.authcode = authcode.encode()
self.productinfo = productinfo
self.q_order = Queue.Queue()
@staticmethod
def is_error_rsp_info(info):
# print info
if info.ErrorID != 0:
print "ErrorID=", info.ErrorID, ", ErrorMsg=", info.ErrorMsg.decode('gbk')
return info.ErrorID != 0
def OnRspError(self, pRspInfo, nRequestID, bIsLast):
self.ErrorRspInfo(pRspInfo, nRequestID)
def ErrorRspInfo(self, info, request_id):
"""
:param info:
:return:
"""
if info.ErrorID != 0:
print('request_id=%s ErrorID=%d, ErrorMsg=%s',
request_id, info.ErrorID, info.ErrorMsg.decode('gbk'))
return info.ErrorID != 0
def OnHeartBeatWarning(self, nTimeLapse):
"""心跳超时警告。当长时间未收到报文时，该方法被调用。
@param nTimeLapse 距离上次接收报文的时间
"""
print("on OnHeartBeatWarning time: ", nTimeLapse)
def OnFrontDisconnected(self, nReason):
print("on FrontDisConnected disconnected", nReason)
def OnFrontConnected(self):
print('Front connected....')
req = ApiStruct.ReqAuthenticate(BrokerID=self.broker_id,
UserID=self.investor_id,
UserProductInfo = "client_vnpy",
# Password=self.password,
AppID=self.appid,
AuthCode=self.authcode)
r=self.ReqAuthenticate(req, self.inc_request_id())
print(r)
print('Req Authenticate finished...')
time.sleep(3)
# req = ApiStructure.ReqUserLoginField(BrokerID=self.broker_id,
# UserID=self.investor_id,
# Password=self.password)
# self.ReqUserLogin(req, self.request_id)
# print("trader on front connection")
def OnRspAuthenticate(self, pRspAuthenticateField, pRspInfo, nRequestID, bIsLast):
print(pRspAuthenticateField.AppType)
info.append(copy.deepcopy(pRspAuthenticateField))
print('client authenticate done. Req User login....')
time.sleep(3)
req = ApiStruct.ReqUserLogin(BrokerID=self.broker_id,
UserID=self.investor_id,
Password=self.password)
r=self.ReqUserLogin(req, self.inc_request_id())
print(r)
def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
print('系统登录完成。user login done.')
print datetime.datetime.now(), u"登录交易服务器...", bIsLast, pRspInfo.ErrorMsg.decode('gbk')
print datetime.datetime.now(), 'user_login:', pRspUserLogin
print datetime.datetime.now(), info
print datetime.datetime.now(), nRequestID
q_server_info.put(copy.deepcopy(pRspInfo))
# print pRspUserLogin
if bIsLast and not self.is_error_rsp_info(pRspInfo):
print datetime.datetime.now(), u'交易服务器登录成功。', pRspUserLogin.BrokerID, pRspUserLogin.UserID
# Logger.info('OnRspUserLogin %s' % is_last)
req = ApiStruct.SettlementInfoConfirm(BrokerID=self.broker_id, InvestorID=self.investor_id)
self.ReqSettlementInfoConfirm(req, self.inc_request_id())
print datetime.datetime.now(), 'SettlementInfo Confirm Requested.'
print datetime.datetime.now(), "get today's trading day:", repr(self.GetTradingDay())
else:
print('something wrong, connect failed....')
#
#
# if pRspInfo.ErrorID != 0:
# print("server OnRspUserLogin failed error_id=%s msg:%s",
# pRspInfo.ErrorID, pRspInfo.ErrorMsg.decode('gbk'))
# else:
# print("Trader user login successfully")
#
# inv = ApiStruct.QryInvestor(BrokerID=self.broker_id, InvestorID=self.investor_id)
#
# self.ReqQryInvestor(inv, self.inc_request_id())
#
# req = ApiStruct.SettlementInfoConfirm(BrokerID = self.broker_id, InvestorID = self.investor_id)
#
# self.ReqSettlementInfoConfirm(req, self.inc_request_id())
# time.sleep(1)
def OnRspSettlementInfoConfirm(self, pSettlementInfoConfirm, pRspInfo, nRequestID, bIsLast):
print(pSettlementInfoConfirm, pRspInfo)
"""投资者结算结果确认响应"""
print datetime.datetime.now(), 'pSettlementInfoConfirm: ', pSettlementInfoConfirm
print datetime.datetime.now(), 'pRspInfo: ', pRspInfo, pRspInfo.ErrorMsg.decode('gbk')
print datetime.datetime.now(), 'nRequestID: ', nRequestID
print datetime.datetime.now(), 'bIsLast: ', bIsLast
# info.append(pSettlementInfoConfirm)
print(pRspInfo.ErrorMsg.decode("GBK"))
def inc_request_id(self):
self.request_id += 1
return self.request_id
def OnRspQryInvestor(self, pInvestor, pRspInfo, nRequestID, bIsLast):
print(pInvestor, pRspInfo)
print pInvestor.InvestorName.decode('gbk'), pInvestor.Address.decode('gbk')
def OnRtnOrder(self, pOrder):
''' 报单通知
CTP、交易所接受报单
Agent中不区分，所得信息只用于撤单
'''
q_rtn_order.put(deepcopy(pOrder))
self.q_order.put(deepcopy(pOrder))
# print repr(pOrder)
self.logger.info(u'报单响应,Order=%s' % str(pOrder))
# print pOrder
if pOrder.OrderStatus == 'a':
# CTP接受，但未发到交易所
# print u'CTP接受Order，但未发到交易所, BrokerID=%s,BrokerOrderSeq = %s,TraderID=%s, OrderLocalID=%s' % (pOrder.BrokerID, pOrder.BrokerOrderSeq, pOrder.TraderID, pOrder.OrderLocalID)
self.logger.info(u'TD:CTP接受Order，但未发到交易所, BrokerID=%s,BrokerOrderSeq = %s,TraderID=%s, OrderLocalID=%s' % (
pOrder.BrokerID, pOrder.BrokerOrderSeq, pOrder.TraderID, pOrder.OrderLocalID))
# self.agent.rtn_order(pOrder)
else:
# print u'交易所接受Order,exchangeID=%s,OrderSysID=%s,TraderID=%s, OrderLocalID=%s' % (pOrder.ExchangeID, pOrder.OrderSysID, pOrder.TraderID, pOrder.OrderLocalID)
self.logger.info(u'TD:交易所接受Order,exchangeID=%s,OrderSysID=%s,TraderID=%s, OrderLocalID=%s' % (
pOrder.ExchangeID, pOrder.OrderSysID, pOrder.TraderID, pOrder.OrderLocalID))
# self.agent.rtn_order_exchange(pOrder)
# self.agent.rtn_order(pOrder)
def OnRtnTrade(self, pTrade):
'''成交通知'''
self.logger.info(
u'TD:成交通知,BrokerID=%s,BrokerOrderSeq = %s,exchangeID=%s,OrderSysID=%s,TraderID=%s, OrderLocalID=%s' % (
pTrade.BrokerID, pTrade.BrokerOrderSeq, pTrade.ExchangeID, pTrade.OrderSysID, pTrade.TraderID,
pTrade.OrderLocalID))
self.logger.info(u'TD:成交回报,Trade=%s' % repr(pTrade))
pt = deepcopy(pTrade)
# print u'报单成交：', pt.UserID, pt.InstrumentID, pt.Direction, pt.OffsetFlag, pt.Price
q_rtn_trade.put(pt)
# self.agent.rtn_trade(pTrade)
def sendOrder(traderSpi, order):
global mutex
mutex.acquire()
# print order
traderSpi.ReqOrderInsert(order, traderSpi.inc_request_id())
# DatabaseController.insert_SendOrder(order)
# print("sendOrder = " + order.InstrumentID + " dir = " + order.Direction)
# + " strategy = " + self.__module__)
# time.sleep(1)
mutex.release()
def formatOrder(self, inst, direc, open_close, volume, price):
orderp = ApiStruct.InputOrder(
InstrumentID=inst,
Direction=direc, # ApiStruct.D_Buy or ApiStruct.D_Sell
OrderRef=str(self.inc_request_id()),
LimitPrice=price,
VolumeTotalOriginal=volume,
OrderPriceType=ApiStruct.OPT_LimitPrice,
BrokerID=self.broker_id,
InvestorID=self.investor_id,
UserID=self.investor_id,
CombOffsetFlag=open_close, # OF_Open, OF_Close, OF_CloseToday
CombHedgeFlag=ApiStruct.HF_Speculation,
VolumeCondition=ApiStruct.VC_AV,
MinVolume=1,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=1,
UserForceClose=0,
TimeCondition=ApiStruct.TC_GFD
)
# print orderp
return orderp
def PrepareOrder(self, inst, direc, open_close, volume, price):
order = self.formatOrder(inst, direc, open_close, volume, price)
# print u'send order:', inst, u'price: ', price, u'amount:', volume
self.sendOrder(order)
def qryPosition(self, InstrumentID=''):
self.requestid += 1
if InstrumentID:
req = ApiStruct.QryInvestorPosition(BrokerID=self.broker_id, InvestorID=self.investor_id,
InstrumentID=InstrumentID)
else:
req = ApiStruct.QryInvestorPosition(BrokerID=self.broker_id, InvestorID=self.investor_id)
self.ReqQryInvestorPosition(req, self.requestid)
def OnRspQryInvestorPosition(self, pInvestorPosition, pRspInfo, nRequestID, bIsLast):
# print pInvestorPosition
if pInvestorPosition is not None:
q_positions.put(copy.deepcopy(pInvestorPosition))
# if bIsLast:
# print pInvestorPosition,'tete'
# print pRspInfo
def fetch_investor_position_detail(self, instrument_id):
'''
获取合约的当前持仓明细，目前没用
'''
# logging.info(u'A:获取合约%s的当前持仓..' % (instrument_id,))
print
'get posi'
req = ApiStruct.QryInvestorPositionDetail(BrokerID=self.broker_id, InvestorID=self.investor_id,
InstrumentID=instrument_id)
self.ReqQryInvestorPositionDetail(req, self.inc_request_id())
# logging.info(u'A:查询持仓, 函数发出返回值:%s' % r)
def fetch_instrument_marginrate(self, instrument_id):
req = ApiStruct.QryInstrumentMarginRate(BrokerID=self.cuser.broker_id,
InvestorID=self.cuser.investor_id,
InstrumentID=instrument_id,
HedgeFlag=ApiStruct.HF_Speculation
)
r = self.trader.ReqQryInstrumentMarginRate(req, self.inc_request_id())
logging.info(u'A:查询保证金率, 函数发出返回值:%s' % r)
def fetch_instrument(self, instrument_id):
req = ApiStruct.QryInstrument(
InstrumentID=instrument_id,
)
time.sleep(1)
r = self.trader.ReqQryInstrument(req, self.inc_request_id())
logging.info(u'A:查询合约, 函数发出返回值:%s' % r)
def rsp_qry_position(self, position):
'''
查询持仓回报, 每个合约最多得到4个持仓回报，历史多/空、今日多/空
'''
logging.info(u'agent 持仓:%s' % str(position))
if position != None:
cur_position = self.instruments[position.InstrumentID].position
if position.PosiDirection == ApiStruct.PD_Long:
if position.PositionDate == ApiStruct.PSD_Today:
cur_position.clong = position.Position # TodayPosition
else:
cur_position.hlong = position.Position # YdPosition
else: # 空头
if position.PositionDate == ApiStruct.PSD_Today:
cur_position.cshort = position.Position # TodayPosition
else:
cur_position.hshort = position.Position # YdPosition
else: # 无持仓信息，保持默认设置
pass
self.check_qry_commands()
def rsp_qry_instrument_marginrate(self, marginRate):
'''
查询保证金率回报.
'''
self.instruments[marginRate.InstrumentID].marginrate = (
marginRate.LongMarginRatioByMoney, marginRate.ShortMarginRatioByMoney)
# print marginRate.InstrumentID,self.instruments[marginRate.InstrumentID].marginrate
self.check_qry_commands()
def rsp_qry_trading_account(self, account):
'''
查询资金帐户回报
'''
self.available = account.Available
self.check_qry_commands()
def rsp_qry_instrument(self, pinstrument):
'''
获得合约数量乘数.
这里的保证金率应该是和期货公司无关，所以不能使用
'''
if pinstrument.InstrumentID not in self.instruments:
logging.warning(u'A_RQI:收到未监控的合约查询:%s' % (pinstrument.InstrumentID))
return
self.instruments[pinstrument.InstrumentID].multiple = pinstrument.VolumeMultiple
self.instruments[pinstrument.InstrumentID].tick_base = int(pinstrument.PriceTick * 10 + 0.1)
# print 'tick_base = %s' % (pinstrument.PriceTick,)
self.check_qry_commands()
def rsp_qry_position_detail(self, position_detail):
'''
查询持仓明细回报, 得到每一次成交的持仓,其中若已经平仓,则持量为0,平仓量>=1
必须忽略
'''
print
str(position_detail)
self.check_qry_commands()
def rsp_qry_order(self, sorder):
'''
查询报单
可以忽略
'''
self.check_qry_commands()
def rsp_qry_trade(self, strade):
'''
查询成交
可以忽略
'''
self.check_qry_commands()
def main(): import json
with open(r'connect_ctp.json') as f:
acctinfo = json.load(f)
broker_id = acctinfo['brokerID']
investor_id = acctinfo['userID']
password = acctinfo['password']
mdsever = acctinfo['mdAddress']
tdserver = acctinfo['tdAddress']
appID = acctinfo['appID']
authCode = acctinfo['authCode']
productinfo = acctinfo['productinfo']
td = Trader(broker_id=broker_id, investor_id=investor_id, password=password, appid=appID, authcode=authCode, productinfo = productinfo)
td.Create('data_p')
td.RegisterFront(tdserver)
td.SubscribePrivateTopic(2) # 只传送登录后的流内容
td.SubscribePrivateTopic(2) # 只传送登录后的流内容
td.Init()
print(td.GetTradingDay())
while True:
if info:
for i in info:
print(i)
time.sleep(5)
if name == "main": main()