diff --git a/demo/money_query.py b/demo/money_query.py new file mode 100644 index 0000000..628a255 --- /dev/null +++ b/demo/money_query.py @@ -0,0 +1,200 @@ +# -*- coding: utf-8 -*- +import thosttraderapi as api +import time, re + +# Addr交易服务器地址 +FrontAddr = "tcp://218.202.237.33 :10102" +# LoginInfo +BROKERID = "9999" +USERID = "171525" +PASSWORD = "1234qwer@" +AppID="simnow_client_test" +AuthCode="0000000000000000" + +#查资金 +def ReqQryTradingAccount(self): + print("启动资金查询：") + pQryTradingAccount=api.CThostFtdcQryTradingAccountField() + pQryTradingAccount.BrokerID=self.BrokerID + pQryTradingAccount.InvestorID=self.UserID + pQryTradingAccount.CurrencyID="CNY" + self.tapi.ReqQryTradingAccount(pQryTradingAccount,0) + +# def ReqQryInstrument(self): +# pQryInstrument = api.CThostFtdcQryInstrumentField() +# self.tapi.ReqQryInstrument(pQryInstrument, 0) + + +class CTradeSpi(api.CThostFtdcTraderSpi): + def __init__(self, tapi, BrokerID, UserID, PassWord, AppID, AuthCode): + api.CThostFtdcTraderSpi.__init__(self) + self.tapi = tapi + self.BrokerID = BrokerID + self.UserID = UserID + self.AppID = AppID + self.AuthCode = AuthCode + self.PassWord = PassWord + self.AppID = AppID + self.AuthCode = AuthCode + # 持仓 + self.position = {} + # 报单 + self.order = {} + # 成交 + self.trade = {} + # 报单,成交关联字典 + self.order_trade = {} + # 资金 + self.account = {} + self.temp = [] + # self.nRequestID=0 + # 合约-交易所 + self.symbol = {} + # 合约乘数 + self.symbol_v = {} + + # 缓存唯一id md5 对应 OrderLocalID + self.md5_Localid = {} + + # 缓存OrderLocalID 对应 唯一 id + self.Localid_md5 = {} + + self.temp_id = [] + print(tapi, BrokerID, UserID, PassWord, AppID, AuthCode) + self.temp_closep = {} + + # 默认第一次启动后回调 + def OnFrontConnected(self) -> "void": + print("OnFrontConnected") + self.init_start = None + authfield = api.CThostFtdcReqAuthenticateField() + authfield.BrokerID = self.BrokerID + authfield.UserID = self.UserID + authfield.AppID = self.AppID + authfield.AuthCode = self.AuthCode + + # 客户端认证请求 需要填入用户名和穿透appid 和穿透认证码 + self.tapi.ReqAuthenticate(authfield, 0) + # print ("send ReqAuthenticate ok") + print("启动回调,开始穿透验证") + # d={x:getattr(authfield, x) for x in dir(authfield)} + # print(d) + + # 返回穿透验证结构体和是否穿透验证成功 + def OnRspAuthenticate(self, pRspAuthenticateField: 'CThostFtdcRspAuthenticateField', + pRspInfo: 'CThostFtdcRspInfoField', nRequestID: 'int', bIsLast: 'bool') -> "void": + print("BrokerID=", pRspAuthenticateField.BrokerID) + print("UserID=", pRspAuthenticateField.UserID) + print("AppID=", pRspAuthenticateField.AppID) + print("AppType=", pRspAuthenticateField.AppType) + print("ErrorID=", pRspInfo.ErrorID) + print("ErrorMsg=", pRspInfo.ErrorMsg) + if not pRspInfo.ErrorID: + print("验证穿透已完成,开始登录") + loginfield = api.CThostFtdcReqUserLoginField() + loginfield.BrokerID = self.BrokerID + loginfield.UserID = self.UserID + loginfield.Password = self.PassWord + loginfield.UserProductInfo = "python dll" + # 请求账户登录 + time.sleep(2) + self.tapi.ReqUserLogin(loginfield, 0) + print("send login ok") + + # 返回登录是否成功 + def OnRspUserLogin(self, pRspUserLogin: 'CThostFtdcRspUserLoginField', pRspInfo: 'CThostFtdcRspInfoField', + nRequestID: 'int', bIsLast: 'bool') -> "void": + print("OnRspUserLogin") + print("TradingDay=", pRspUserLogin.TradingDay) + print("SessionID=", pRspUserLogin.SessionID) + print("ErrorID=", pRspInfo.ErrorID) + print("ErrorMsg=", pRspInfo.ErrorMsg) + + qryinfofield = api.CThostFtdcQrySettlementInfoField() + qryinfofield.BrokerID = self.BrokerID + qryinfofield.InvestorID = self.UserID + qryinfofield.TradingDay = pRspUserLogin.TradingDay + # 查询当然结算和历史结算接口 + time.sleep(2) + self.tapi.ReqQrySettlementInfo(qryinfofield, 0) + # print ("send ReqQrySettlementInfo ok") + print("开始确认历史结算") + + # 返回历史结算接口 + def OnRspQrySettlementInfo(self, pSettlementInfo: 'CThostFtdcSettlementInfoField', + pRspInfo: 'CThostFtdcRspInfoField', nRequestID: 'int', bIsLast: 'bool') -> "void": + print("OnRspQrySettlementInfo") + if pSettlementInfo is not None: + print("content:", pSettlementInfo.Content) + else: + print("content null") + pSettlementInfoConfirm = api.CThostFtdcSettlementInfoConfirmField() + pSettlementInfoConfirm.BrokerID = self.BrokerID + pSettlementInfoConfirm.InvestorID = self.UserID + # 自动确认历史结算接口 + time.sleep(1.2) + self.tapi.ReqSettlementInfoConfirm(pSettlementInfoConfirm, 0) + print("send ReqSettlementInfoConfirm ok") + + # 确认历史结算接口 + + def OnRspSettlementInfoConfirm(self, pSettlementInfoConfirm: 'CThostFtdcSettlementInfoConfirmField', + pRspInfo: 'CThostFtdcRspInfoField', nRequestID: 'int', bIsLast: 'bool') -> "void": + print("OnRspSettlementInfoConfirm") + print("ErrorID=", pRspInfo.ErrorID) + print("ErrorMsg=", pRspInfo.ErrorMsg) + # ReqorderfieldInsert(self.tapi) + print("send ReqorderfieldInsert ok") + time.sleep(2) + ReqQryTradingAccount(self) + # time.sleep(10) + + # 资金返回 + def OnRspQryTradingAccount(self, pTradingAccount: "CThostFtdcTradingAccountField", + pRspInfo: "CThostFtdcRspInfoField", nRequestID: "int", bIsLast: "bool"): + # d={ x: getattr(pTradingAccount, x) for x in dir(pTradingAccount) if x[0]!="_"} + # for x in b: + # if x[0]!="_": + # d={x:getattr(pTradingAccount, x)} + a = {"pre_balance": pTradingAccount.PreBalance, + "static_balance": pTradingAccount.PreBalance + pTradingAccount.Deposit - pTradingAccount.Withdraw, + "balance": pTradingAccount.Balance, + "available": pTradingAccount.Available, + "ctp_balance": pTradingAccount.Balance, + "ctp_available": pTradingAccount.Available, + "float_profit": 0, + "position_profit": pTradingAccount.PositionProfit, + "close_profit": pTradingAccount.CloseProfit, + "frozen_margein": pTradingAccount.FrozenMargin, + "margin": pTradingAccount.CurrMargin, + "frozen_commission": pTradingAccount.FrozenCommission, + "commission": pTradingAccount.Commission, + "risk_ratio": 0 + } + # self.account.update(a) + # self.queue.put({"user": self.UserID, "account": self.account}) + print("账户资金：") + print(a) + # ReqQryInstrument(self) + + # # 合约返回 + # def OnRspQryInstrument(self, pInstrument: "CThostFtdcInstrumentField", pRspInfo: "CThostFtdcRspInfoField", + # nRequestID: "int", bIsLast: "bool"): + # self.symbol[pInstrument.InstrumentID] = pInstrument.ExchangeID + # self.symbol_v[pInstrument.InstrumentID] = pInstrument.VolumeMultiple + + + +def main(): + tradeapi = api.CThostFtdcTraderApi_CreateFtdcTraderApi() + tradespi = CTradeSpi(tradeapi, BROKERID, USERID, PASSWORD, AppID, AuthCode) + tradeapi.RegisterFront(FrontAddr) + tradeapi.RegisterSpi(tradespi) + tradeapi.SubscribePrivateTopic(api.THOST_TERT_QUICK) + tradeapi.SubscribePublicTopic(api.THOST_TERT_QUICK) + tradeapi.Init() + tradeapi.Join() + + +if __name__ == '__main__': + main() \ No newline at end of file diff --git a/demo/pos_query.py b/demo/pos_query.py new file mode 100644 index 0000000..4a47185 --- /dev/null +++ b/demo/pos_query.py @@ -0,0 +1,473 @@ +''' +# 作者 ： 张莹潇 +# 创建时间 ： 20/11/23 10:11 +''' +# -*- coding: utf-8 -*- +import thosttraderapi as api +import time, re + +# Addr交易服务器地址 +FrontAddr = "tcp://218.202.237.33 :10102" +# LoginInfo +BROKERID = "9999" +USERID = "171525" +PASSWORD = "1234qwer@" +AppID="simnow_client_test" +AuthCode="0000000000000000" + +def ReqQryInvestorPosition(tradeapi, BrokerID, UserID, InstrumentID): + #print(555555555555) + pQryInvestorPosition = api.CThostFtdcQryInvestorPositionField() + pQryInvestorPosition.BrokerID = BrokerID + pQryInvestorPosition.InvestorID = UserID + pQryInvestorPosition.InstrumentID = InstrumentID + tradeapi.ReqQryInvestorPosition(pQryInvestorPosition,0) + +def ReqQryInstrument(tradeapi): + print("启动持仓查询：") + pQryInstrument = api.CThostFtdcQryInstrumentField() + tradeapi.ReqQryInstrument(pQryInstrument, 0) + + +class CTradeSpi(api.CThostFtdcTraderSpi): + def __init__(self, tapi, BrokerID, UserID, PassWord, AppID, AuthCode): + api.CThostFtdcTraderSpi.__init__(self) + self.tapi = tapi + self.BrokerID = BrokerID + self.UserID = UserID + self.AppID = AppID + self.AuthCode = AuthCode + self.PassWord = PassWord + self.AppID = AppID + self.AuthCode = AuthCode + # 持仓 + self.position = {} + # 报单 + self.order = {} + # 成交 + self.trade = {} + # 报单,成交关联字典 + self.order_trade = {} + # 资金 + self.account = {} + self.temp = [] + # self.nRequestID=0 + # 合约-交易所 + self.symbol = {} + # 合约乘数 + self.symbol_v = {} + + # 缓存唯一id md5 对应 OrderLocalID + self.md5_Localid = {} + + # 缓存OrderLocalID 对应 唯一 id + self.Localid_md5 = {} + + self.temp_id = [] + print(tapi, BrokerID, UserID, PassWord, AppID, AuthCode) + self.temp_closep = {} + + # 默认第一次启动后回调 + def OnFrontConnected(self) -> "void": + print("OnFrontConnected") + self.init_start = None + authfield = api.CThostFtdcReqAuthenticateField() + authfield.BrokerID = self.BrokerID + authfield.UserID = self.UserID + authfield.AppID = self.AppID + authfield.AuthCode = self.AuthCode + + # 客户端认证请求 需要填入用户名和穿透appid 和穿透认证码 + self.tapi.ReqAuthenticate(authfield, 0) + # print ("send ReqAuthenticate ok") + print("启动回调,开始穿透验证") + # d={x:getattr(authfield, x) for x in dir(authfield)} + # print(d) + + # 返回穿透验证结构体和是否穿透验证成功 + def OnRspAuthenticate(self, pRspAuthenticateField: 'CThostFtdcRspAuthenticateField', + pRspInfo: 'CThostFtdcRspInfoField', nRequestID: 'int', bIsLast: 'bool') -> "void": + print("BrokerID=", pRspAuthenticateField.BrokerID) + print("UserID=", pRspAuthenticateField.UserID) + print("AppID=", pRspAuthenticateField.AppID) + print("AppType=", pRspAuthenticateField.AppType) + print("ErrorID=", pRspInfo.ErrorID) + print("ErrorMsg=", pRspInfo.ErrorMsg) + if not pRspInfo.ErrorID: + print("验证穿透已完成,开始登录") + loginfield = api.CThostFtdcReqUserLoginField() + loginfield.BrokerID = self.BrokerID + loginfield.UserID = self.UserID + loginfield.Password = self.PassWord + loginfield.UserProductInfo = "python dll" + # 请求账户登录 + time.sleep(2) + self.tapi.ReqUserLogin(loginfield, 0) + print("send login ok") + + # 返回登录是否成功 + def OnRspUserLogin(self, pRspUserLogin: 'CThostFtdcRspUserLoginField', pRspInfo: 'CThostFtdcRspInfoField', + nRequestID: 'int', bIsLast: 'bool') -> "void": + print("OnRspUserLogin") + print("TradingDay=", pRspUserLogin.TradingDay) + print("SessionID=", pRspUserLogin.SessionID) + print("ErrorID=", pRspInfo.ErrorID) + print("ErrorMsg=", pRspInfo.ErrorMsg) + + qryinfofield = api.CThostFtdcQrySettlementInfoField() + qryinfofield.BrokerID = self.BrokerID + qryinfofield.InvestorID = self.UserID + qryinfofield.TradingDay = pRspUserLogin.TradingDay + # 查询当然结算和历史结算接口 + time.sleep(2) + self.tapi.ReqQrySettlementInfo(qryinfofield, 0) + # print ("send ReqQrySettlementInfo ok") + print("开始确认历史结算") + + # 返回历史结算接口 + def OnRspQrySettlementInfo(self, pSettlementInfo: 'CThostFtdcSettlementInfoField', + pRspInfo: 'CThostFtdcRspInfoField', nRequestID: 'int', bIsLast: 'bool') -> "void": + print("OnRspQrySettlementInfo") + if pSettlementInfo is not None: + print("content:", pSettlementInfo.Content) + else: + print("content null") + pSettlementInfoConfirm = api.CThostFtdcSettlementInfoConfirmField() + pSettlementInfoConfirm.BrokerID = self.BrokerID + pSettlementInfoConfirm.InvestorID = self.UserID + # 自动确认历史结算接口 + time.sleep(1.2) + self.tapi.ReqSettlementInfoConfirm(pSettlementInfoConfirm, 0) + print("send ReqSettlementInfoConfirm ok") + + # 确认历史结算接口 + + def OnRspSettlementInfoConfirm(self, pSettlementInfoConfirm: 'CThostFtdcSettlementInfoConfirmField', + pRspInfo: 'CThostFtdcRspInfoField', nRequestID: 'int', bIsLast: 'bool') -> "void": + print("OnRspSettlementInfoConfirm") + print("ErrorID=", pRspInfo.ErrorID) + print("ErrorMsg=", pRspInfo.ErrorMsg) + # ReqorderfieldInsert(self.tapi) + print("send ReqorderfieldInsert ok") + # ReqQryInstrument(self.tapi) + # time.sleep(2) + # ReqQryInvestorPosition(self) + + # 持仓返回 + def OnRspQryInvestorPosition(self, pInvestorPosition: "CThostFtdcInvestorPositionField ", + pRspInfo: "CThostFtdcRspInfoField", nRequestID: "int", bIsLast: "bool"): + # #t1=time.time() + # print("------------开始--------") + # d={ x: getattr(pInvestorPosition, x) for x in dir(pInvestorPosition) if x[0]!="_"} + # for x in d: + # print(x,d[x]) + # print("-----------结束--------") + # # print(pInvestorPosition) + try: + if pInvestorPosition is None: + pass + else: + symbol = self.symbol[pInvestorPosition.InstrumentID] + "." + pInvestorPosition.InstrumentID + if symbol not in self.position: + self.position[symbol] = {"exchange_id": self.symbol[pInvestorPosition.InstrumentID], + "instrument_id": pInvestorPosition.InstrumentID, + 'pos_long_his': 0, + "pos_long_today": 0, + "pos_short_his": 0, + "pos_short_today": 0, + "open_price_long": 0, + "open_price_short": 0, + "position_price_long": 0, + "position_price_short": 0, + "position_cost_long": 0, + "position_cost_short": 0, + "float_profit_long": 0, + "float_profit_short": 0, + "float_profit": 0, + "position_profit_long": 0, + "position_profit_short": 0, + "position_profit": 0, + "margin_long": 0, + "margin_short": 0, + 'margin': 0, + # 净持仓 + "pos": 0, + "pos_long": 0, + "pos_short": 0, + "volume_long_frozen_today": 0, + "volume_long_frozen_his": 0, + "volume_short_frozen_today": 0, + "volume_short_frozen_his": 0, + "OpenCost_long": 0, + "OpenCost_short": 0, + "OpenCost_long_today": 0, + "OpenCost_long_his": 0, + "PositionCost_long_today": 0, + "PositionCost_long_his": 0, + "margin_long_today": 0, + "margin_long_his": 0, + "OpenCost_short_today": 0, + "OpenCost_short_his": 0, + "PositionCost_short_today": 0, + "PositionCost_short_his": 0, + "margin_short_today": 0, + "margin_short_his": 0, + "volume_long_frozen": 0, + "volume_short_frozen": 0, + } + # print(pInvestorPosition.Position,pInvestorPosition.TodayPosition) + # #平仓盈亏 + # print(pInvestorPosition.CloseProfit) + if symbol not in self.temp_closep: + self.temp_closep[symbol] = pInvestorPosition.CloseProfit + else: + self.temp_closep[symbol] += pInvestorPosition.CloseProfit + + # self.position[symbol]["CloseProfit"]=pInvestorPosition.CloseProfit + # 买卖方向 + if pInvestorPosition.PosiDirection == "2": + # print(pInvestorPosition.InstrumentID,pInvestorPosition.Position,pInvestorPosition.TodayPosition,) + # print(pInvestorPosition.InstrumentID,"类型",pInvestorPosition.PositionDate,type(pInvestorPosition.PositionDate)) + # 判断交易所是否是上交所和能源所 + if self.symbol[pInvestorPosition.InstrumentID] not in ("SHFE", "INE"): + + if pInvestorPosition.TodayPosition > 0: + self.position[symbol]["pos_long_today"] = pInvestorPosition.TodayPosition + self.position[symbol]["OpenCost_long"] = pInvestorPosition.OpenCost + self.position[symbol]["margin_long"] = pInvestorPosition.UseMargin + self.position[symbol]["volume_long_frozen"] = pInvestorPosition.LongFrozen + self.position[symbol]["PositionCost_long"] = pInvestorPosition.PositionCost + + if pInvestorPosition.Position > pInvestorPosition.TodayPosition: + self.position[symbol][ + "pos_long_his"] = pInvestorPosition.Position - pInvestorPosition.TodayPosition + self.position[symbol]["OpenCost_long"] = pInvestorPosition.OpenCost + self.position[symbol]["margin_long"] = pInvestorPosition.UseMargin + self.position[symbol]["volume_long_frozen"] = pInvestorPosition.LongFrozen + self.position[symbol]["PositionCost_long"] = pInvestorPosition.PositionCost + else: + if pInvestorPosition.PositionDate == "1": + self.position[symbol]["pos_long_today"] = pInvestorPosition.Position + self.position[symbol]["OpenCost_long_today"] = pInvestorPosition.OpenCost + self.position[symbol]["margin_long_today"] = pInvestorPosition.UseMargin + self.position[symbol]["volume_long_frozen_today"] = pInvestorPosition.LongFrozen + self.position[symbol]["PositionCost_long_today"] = pInvestorPosition.PositionCost + if pInvestorPosition.PositionDate == "2": + self.position[symbol]["pos_long_his"] = pInvestorPosition.Position + self.position[symbol]["OpenCost_long_his"] = pInvestorPosition.OpenCost + self.position[symbol]["margin_long_his"] = pInvestorPosition.UseMargin + self.position[symbol]["volume_long_frozen_his"] = pInvestorPosition.LongFrozen + self.position[symbol]["PositionCost_long_his"] = pInvestorPosition.PositionCost + + # self.position[symbol]["pos_long_today"]=0 + # self.position[symbol]["OpenCost_long_today"]=0 + # self.position[symbol]["margin_long_today"]=0 + # self.position[symbol]["volume_long_frozen_today"]=0 + # self.position[symbol]["PositionCost_long_today"]=0 + # self.position[symbol]["pos_long_his"]=0 + # self.position[symbol]["OpenCost_long_his"]=0 + # self.position[symbol]["margin_long_his"]=0 + # self.position[symbol]["volume_long_frozen_his"]=0 + # self.position[symbol]["PositionCost_long_his"]=0 + + else: + # print(pInvestorPosition.InstrumentID,pInvestorPosition.Position,pInvestorPosition.TodayPosition,) + # print(pInvestorPosition.InstrumentID,"类型",pInvestorPosition.PositionDate) + if self.symbol[pInvestorPosition.InstrumentID] not in ("SHFE", "INE"): + + if pInvestorPosition.TodayPosition > 0: + self.position[symbol]["pos_short_today"] = pInvestorPosition.TodayPosition + self.position[symbol]["OpenCost_short"] = pInvestorPosition.OpenCost + self.position[symbol]["margin_short"] = pInvestorPosition.UseMargin + self.position[symbol]["volume_short_frozen"] = pInvestorPosition.ShortFrozen + self.position[symbol]["PositionCost_short"] = pInvestorPosition.PositionCost + + if pInvestorPosition.Position > pInvestorPosition.TodayPosition: + self.position[symbol][ + "pos_short_his"] = pInvestorPosition.Position - pInvestorPosition.TodayPosition + self.position[symbol]["OpenCost_short"] = pInvestorPosition.OpenCost + self.position[symbol]["margin_short"] = pInvestorPosition.UseMargin + self.position[symbol]["volume_short_frozen"] = pInvestorPosition.ShortFrozen + self.position[symbol]["PositionCost_short"] = pInvestorPosition.PositionCost + else: + if pInvestorPosition.PositionDate == "1": + # if symbol=="INE.sc2012": + # print("类型1",pInvestorPosition.Position,pInvestorPosition.TodayPosition) + self.position[symbol]["pos_short_today"] = pInvestorPosition.Position + self.position[symbol]["OpenCost_short_today"] = pInvestorPosition.OpenCost + self.position[symbol]["margin_short_today"] = pInvestorPosition.UseMargin + self.position[symbol]["volume_short_frozen_today"] = pInvestorPosition.ShortFrozen + self.position[symbol]["PositionCost_short_today"] = pInvestorPosition.PositionCost + if pInvestorPosition.PositionDate == "2": + # if symbol=="INE.sc2012": + # print("类型2",pInvestorPosition.Position,pInvestorPosition.TodayPosition) + self.position[symbol]["pos_short_his"] = pInvestorPosition.Position + self.position[symbol]["OpenCost_short_his"] = pInvestorPosition.OpenCost + self.position[symbol]["margin_short_his"] = pInvestorPosition.UseMargin + self.position[symbol]["volume_short_frozen_his"] = pInvestorPosition.ShortFrozen + self.position[symbol]["PositionCost_short_his"] = pInvestorPosition.PositionCost + + if bIsLast: + for symbol in self.position: + # 多空仓计算 + self.position[symbol]["pos_long"] = self.position[symbol]["pos_long_today"] + \ + self.position[symbol]["pos_long_his"] + self.position[symbol]["pos_short"] = self.position[symbol]["pos_short_today"] + \ + self.position[symbol]["pos_short_his"] + # 开仓成本价计算, + long_c = (self.position[symbol]["pos_long_today"] + self.position[symbol]["pos_long_his"]) * \ + self.symbol_v[symbol.split(".")[1]] + self.position[symbol]["position_cost_long"] = self.position[symbol]["OpenCost_long"] + \ + self.position[symbol]["OpenCost_long_today"] + \ + self.position[symbol]["OpenCost_long_his"] + + # if self.init_start is None: + self.position[symbol]["open_price_long"] = self.position[symbol][ + "position_cost_long"] / long_c if long_c else 0 + + # print("OpenCost_short",self.position[symbol]["OpenCost_short"],self.position[symbol]["OpenCost_short_today"],self.position[symbol]["OpenCost_short_his"]) + self.position[symbol]["position_cost_short"] = self.position[symbol]["OpenCost_short"] + \ + self.position[symbol]["OpenCost_short_today"] + \ + self.position[symbol]["OpenCost_short_his"] + + short_c = (self.position[symbol]["pos_short_today"] + self.position[symbol]["pos_short_his"]) * \ + self.symbol_v[symbol.split(".")[1]] + # if self.init_start is None: + self.position[symbol]["open_price_short"] = self.position[symbol][ + "position_cost_short"] / short_c if short_c else 0 + + # 持仓成本计算 + long_c = (self.position[symbol]["pos_long_today"] + self.position[symbol]["pos_long_his"]) * \ + self.symbol_v[symbol.split(".")[1]] + all_PositionCost = self.position[symbol]["PositionCost_long_today"] + self.position[symbol][ + "PositionCost_long_his"] + self.position[symbol]["position_price_long"] = all_PositionCost / long_c if long_c else 0 + all_PositionCost = self.position[symbol]["PositionCost_short_today"] + self.position[symbol][ + "PositionCost_short_his"] + short_c = self.position[symbol]["pos_short_today"] + self.position[symbol]["pos_short_his"] * \ + self.symbol_v[symbol.split(".")[1]] + self.position[symbol]["position_price_short"] = all_PositionCost / short_c if short_c else 0 + # 处理保证金 + if self.symbol[pInvestorPosition.InstrumentID] in ("SHFE", "INE"): + + self.position[symbol]["margin_long"] = self.position[symbol]["margin_long_today"] + \ + self.position[symbol]["margin_long_his"] + self.position[symbol]["margin_short"] = self.position[symbol]["margin_short_today"] + \ + self.position[symbol]["margin_short_his"] + self.position[symbol]["margin"] = self.position[symbol]["margin_long"] + \ + self.position[symbol]["margin_short"] + else: + self.position[symbol]["margin"] = self.position[symbol]["margin_long"] + \ + self.position[symbol]["margin_short"] + # 处理冻结手数 + if self.symbol[pInvestorPosition.InstrumentID] in ("SHFE", "INE"): + self.position[symbol]["volume_long_frozen"] = self.position[symbol][ + "volume_long_frozen_today"] + \ + self.position[symbol][ + "volume_long_frozen_his"] + self.position[symbol]["volume_short_frozen"] = self.position[symbol][ + "volume_short_frozen_today"] + \ + self.position[symbol][ + "volume_short_frozen_his"] + # 净持仓 + self.position[symbol]["pos"] = self.position[symbol]["pos_long"] - self.position[symbol][ + "pos_short"] + # #平仓盈利处理 + self.position[symbol]["CloseProfit"] = self.temp_closep[symbol] + self.temp_closep[symbol] = 0 + # print(self.position) + if self.init_start is None: + # 更新订单的交易所 和 成交价格 + for x in self.order: + # 更新交易所 + self.order[x]["exchange_id"] = self.symbol[self.order[x]["instrument_id"]] + # 更新委托单成交价格,和委托单相关成交字典 + if x in self.order_trade: + if "&" not in self.order[x]["instrument_id"]: + all_vol = self.order[x]["volume_orign"] + temp_price_v_sum = 0 + temp_v_sum = 0 + for y in self.order_trade[x]: + temp_price_v_sum += self.trade[y]["price"] * self.trade[y]["volume"] + temp_v_sum += self.trade[y]["volume"] + self.order[x]["trade_records"].append( + {self.trade[y]["trade_id"]: self.trade[y]}) + if all_vol == temp_v_sum: + self.order[x]["trade_price"] = temp_price_v_sum / temp_v_sum + else: + # print("我怎么知道合成错了") + 品种1 = re.findall(" ([a-zA-Z0-9]{1,})&", self.order[x]["instrument_id"])[0] + 品种2 = re.findall("&([a-zA-Z0-9]{1,})", self.order[x]["instrument_id"])[0] + 品种1成交量 = 0 + 品种2成交量 = 0 + 品种1成交总成交额度 = 0 + 品种2成交总成交额度 = 0 + # print(self.order[x]["instrument_id"]) + for y in self.order_trade[x]: + # print(self.trade[y]["instrument_id"],品种1,品种2) + if self.trade[y]["instrument_id"] == 品种1: + 品种1成交量 += self.trade[y]["volume"] + 品种1成交总成交额度 += self.trade[y]["price"] * self.trade[y]["volume"] + self.order[x]["trade_records"].append( + {self.trade[y]["trade_id"]: self.trade[y]}) + if self.trade[y]["instrument_id"] == 品种2: + 品种2成交量 += self.trade[y]["volume"] + 品种2成交总成交额度 += self.trade[y]["price"] * self.trade[y]["volume"] + # print(品种1成交量+品种2成交量,self.order[x]["volume_orign"]*2) + if (品种1成交量 + 品种2成交量) == self.order[x]["volume_orign"] * 2: + self.order[x]["trade_price"] = (品种1成交总成交额度 - 品种2成交总成交额度) / 品种1成交量 + + for x in self.trade: + self.trade[x]["exchange_id"] = self.symbol[self.trade[x]["instrument_id"]] + + print("持仓情况为：") + for symbol in self.position: + print(self.position[symbol]) + # print(self.position) + + except: + print("计算错误") + + + + # def OnRspQryInvestorPosition(self, pPosition: 'CThostFtdcInvestorPositionField', pRspInfo: 'CThostFtdcRspInfoField', + # nRequestID: 'int', bIsLast: 'bool') -> "void": + # print("持仓情况") + # print("InstrumentID=", pPosition.InstrumentID) + # print("BrokerID=", pPosition.BrokerID) + # print("InvestorID=", pPosition.InvestorID) + # print("PosiDirection=", pPosition.PosiDirection) + # print("HedgeFlag=", pPosition.HedgeFlag) + + # 合约返回 + def OnRspQryInstrument(self, pInstrument: "CThostFtdcInstrumentField", pRspInfo: "CThostFtdcRspInfoField", + nRequestID: "int", bIsLast: "bool"): + self.symbol[pInstrument.InstrumentID] = pInstrument.ExchangeID + self.symbol_v[pInstrument.InstrumentID] = pInstrument.VolumeMultiple + # print(6666666) + if bIsLast: + time.sleep(2) + # ReqQryInvestorPosition(self) + pQryInvestorPosition = api.CThostFtdcQryInvestorPositionField() + pQryInvestorPosition.BrokerID = self.BrokerID + pQryInvestorPosition.InvestorID = self.UserID + # pQryInvestorPosition.InstrumentID + self.tapi.ReqQryInvestorPosition(pQryInvestorPosition, 0) + + +def main(): + tradeapi = api.CThostFtdcTraderApi_CreateFtdcTraderApi() + tradespi = CTradeSpi(tradeapi, BROKERID, USERID, PASSWORD, AppID, AuthCode) + tradeapi.RegisterFront(FrontAddr) + tradeapi.RegisterSpi(tradespi) + tradeapi.SubscribePrivateTopic(api.THOST_TERT_QUICK) + tradeapi.SubscribePublicTopic(api.THOST_TERT_QUICK) + tradeapi.Init() + time.sleep(10) + ReqQryInstrument(tradeapi) + # ReqQryInvestorPosition(tradeapi, BROKERID, USERID, "IF2012") + tradeapi.Join() + + +if __name__ == '__main__': + main()