python量化交易平台开发教程系列_Python量化交易平台开发教程系列6-中层引擎设计...

#----------------------------------------------------------------------

def login(self, userid, mdPassword, tdPassword, brokerid, mdAddress, tdAddress):

"""登陆"""

self.md.login(mdAddress, userid, mdPassword, brokerid)

self.td.login(tdAddress, userid, tdPassword, brokerid)

#----------------------------------------------------------------------

def subscribe(self, instrumentid, exchangeid):

"""订阅合约"""

self.md.subscribe(instrumentid, exchangeid)

#----------------------------------------------------------------------

def getAccount(self):

"""查询账户"""

self.td.getAccount()

#----------------------------------------------------------------------

def getInvestor(self):

"""查询投资者"""

self.td.getInvestor()

#----------------------------------------------------------------------

def getPosition(self):

"""查询持仓"""

self.td.getPosition()

#----------------------------------------------------------------------

def getInstrument(self):

"""获取合约"""

event = Event(type_=EVENT_LOG)

log = u'查询合约信息'

event.dict_['log'] = log

self.ee.put(event)

self.td.getInstrument()

#----------------------------------------------------------------------

def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset):

"""发单"""

self.td.sendOrder(instrumentid, exchangeid, price, pricetype, volume, direction, offset)

#----------------------------------------------------------------------

def cancelOrder(self, instrumentid, exchangeid, orderref, frontid, sessionid):

"""撤单"""

self.td.cancelOrder(instrumentid, exchangeid, orderref, frontid, sessionid)

#----------------------------------------------------------------------

def getAccountPosition(self, event):

"""循环查询账户和持仓"""

self.countGet = self.countGet + 1

# 每5秒发一次查询

if self.countGet > 5:

self.countGet = 0 # 清空计数

if self.lastGet == 'Account':

self.getPosition()

self.lastGet = 'Position'

else:

self.getAccount()

self.lastGet = 'Account'

#----------------------------------------------------------------------

def initGet(self, event):

"""在交易服务器登录成功后，开始初始化查询"""

# 打开设定文件setting.vn

f = shelve.open('setting.vn')

# 尝试读取设定字典，若该字典不存在，则发出查询请求

try:

d = f['instrument']

# 如果本地保存的合约数据是今日的，则载入，否则发出查询请求

today = date.today()

if d['date'] == today:

self.dictInstrument = d['dictInstrument']

event = Event(type_=EVENT_LOG)

log = u'合约信息读取完成'

event.dict_['log'] = log

self.ee.put(event)

self.getInvestor()

# 开始循环查询

self.ee.register(EVENT_TIMER, self.getAccountPosition)

else:

self.getInstrument()

except KeyError:

self.getInstrument()

f.close()

#----------------------------------------------------------------------

def insertInstrument(self, event):

"""插入合约对象"""

data = event.dict_['data']

last = event.dict_['last']

self.dictInstrument[data['InstrumentID']] = data

# 合约对象查询完成后，查询投资者信息并开始循环查询

if last:

# 将查询完成的合约信息保存到本地文件，今日登录可直接使用不再查询

self.saveInstrument()

event = Event(type_=EVENT_LOG)

log = u'合约信息查询完成'

event.dict_['log'] = log

self.ee.put(event)

self.getInvestor()

# 开始循环查询

self.ee.register(EVENT_TIMER, self.getAccountPosition)

#----------------------------------------------------------------------

def selectInstrument(self, instrumentid):

"""获取合约信息对象"""

try:

instrument = self.dictInstrument[instrumentid]

except KeyError:

instrument = None

return instrument

#----------------------------------------------------------------------

def exit(self):

"""退出"""

# 销毁API对象

self.td = None

self.md = None

# 停止事件驱动引擎

self.ee.stop()

#----------------------------------------------------------------------

def saveInstrument(self):

"""保存合约属性数据"""

f = shelve.open('setting.vn')

d = {}

d['dictInstrument'] = self.dictInstrument

d['date'] = date.today()

f['instrument'] = d

f.close()