"""CTP 执行层:模拟盘 → SimNow;实盘 → 期货公司(vnpy_ctp)。""" from __future__ import annotations import logging import os import threading import time from collections import deque from typing import Any, Optional from locale_fix import ensure_process_locale ensure_process_locale() from ctp_symbol import ths_to_vnpy_symbol, to_vnpy_exchange from contract_specs import get_contract_spec logger = logging.getLogger(__name__) GATEWAY_NAME = "CTP" _bridge: Optional["CtpBridge"] = None _bridge_lock = threading.Lock() def _env(key: str, default: str = "") -> str: return (os.getenv(key) or default).strip() def _simnow_setting() -> dict[str, str]: """SimNow 仿真前置(可在 .env 覆盖)。看穿式前置需「柜台环境=实盘」。""" return { "用户名": _env("SIMNOW_USER"), "密码": _env("SIMNOW_PASSWORD"), "经纪商代码": _env("SIMNOW_BROKER_ID", "9999"), "交易服务器": _env("SIMNOW_TD_ADDRESS", "tcp://180.168.146.187:10201"), "行情服务器": _env("SIMNOW_MD_ADDRESS", "tcp://180.168.146.187:10211"), "产品名称": _env("SIMNOW_APP_ID", "simnow_client_test"), "授权编码": _env("SIMNOW_AUTH_CODE", "0000000000000000"), "柜台环境": _env("SIMNOW_ENV", "实盘"), } def _live_setting() -> dict[str, str]: return { "用户名": _env("CTP_LIVE_USER"), "密码": _env("CTP_LIVE_PASSWORD"), "经纪商代码": _env("CTP_LIVE_BROKER_ID"), "交易服务器": _env("CTP_LIVE_TD_ADDRESS"), "行情服务器": _env("CTP_LIVE_MD_ADDRESS"), "产品名称": _env("CTP_LIVE_APP_ID"), "授权编码": _env("CTP_LIVE_AUTH_CODE"), "柜台环境": _env("CTP_LIVE_ENV", "实盘"), } def _setting_for_mode(mode: str) -> dict[str, str]: return _simnow_setting() if mode == "simulation" else _live_setting() def _mode_label(mode: str) -> str: return "SimNow" if mode == "simulation" else "期货公司实盘" def _format_ctp_failure(ctp_logs: list[str]) -> str: """根据 CTP 网关日志拼出可读错误。""" text = "\n".join(ctp_logs) if "4097" in text or "Decrypt handshake" in text or "shake hand" in text.lower(): return ( "CTP 握手失败(4097):vnpy_ctp 与 SimNow 前置加密不匹配。" "请执行 pip install -U vnpy vnpy_ctp 后重启,并确认 .env 中 SIMNOW_ENV=实盘" ) if "不合法的登录" in text or "密码" in text or "账号" in text: tail = ctp_logs[-1] if ctp_logs else "" return f"CTP 登录被拒:{tail or '请检查投资者代码与密码(快期能否登录)'}" if "连接断开" in text or "disconnect" in text.lower(): tail = ctp_logs[-1] if ctp_logs else "" return f"CTP 连接断开:{tail or '请检查前置地址与网络'}" if ctp_logs: return f"CTP 连接失败:{ctp_logs[-1]}" return "CTP 连接超时:未收到柜台回报。请检查 SimNow 账号、前置地址、网络(nc 测端口),并用快期验证账号" def round_to_tick(price: float, tick: float) -> float: if tick <= 0: return float(price) steps = round(float(price) / tick) return round(steps * tick, 10) def _is_long_direction(direction_obj: Any) -> bool: s = str(direction_obj or "") return "LONG" in s.upper() or "多" in s class CtpBridge: def __init__(self) -> None: self._engine = None self._ee = None self._connected_mode: Optional[str] = None self._last_error: str = "" self._connect_lock = threading.Lock() self._connect_in_progress = False self._commission_waiters: dict[int, threading.Event] = {} self._commission_lists: dict[int, list] = {} self._commission_hooked = False self._subscribed: set[str] = set() self._last_position_query_ts: float = 0.0 self._tick_hooked = False self._bar_generators: dict[str, Any] = {} self._bars_1m: dict[str, deque] = {} self._init_engine() def _init_engine(self) -> None: ensure_process_locale() try: from vnpy.event import EventEngine from vnpy.trader.engine import MainEngine from vnpy_ctp import CtpGateway self._ee = EventEngine() self._engine = MainEngine(self._ee) self._engine.add_gateway(CtpGateway) except ImportError: self._last_error = "未安装 vnpy / vnpy_ctp,请 pip install vnpy vnpy_ctp" except Exception as exc: self._last_error = str(exc) def available(self) -> bool: return self._engine is not None @property def last_error(self) -> str: return self._last_error @property def connected_mode(self) -> Optional[str]: return self._connected_mode def connect_in_progress(self) -> bool: return self._connect_in_progress def status(self, mode: str) -> dict[str, Any]: if self._connected_mode == mode: self.ping() st = _setting_for_mode(mode) missing = [k for k in ("用户名", "密码", "交易服务器") if not st.get(k)] return { "vnpy_installed": self.available(), "connected": self._connected_mode == mode, "connecting": self._connect_in_progress, "connected_mode": self._connected_mode, "mode_label": _mode_label(mode), "missing_config": missing, "last_error": self._last_error, "broker_id": st.get("经纪商代码", ""), "td_address": st.get("交易服务器", ""), } def connect(self, mode: str, *, force: bool = False) -> None: if self._connect_in_progress: raise RuntimeError("CTP 正在连接中,请稍候") if not self._engine: raise RuntimeError(self._last_error or "vnpy 引擎未初始化") if self._connected_mode == mode and not force: if self.ping(): return self._connected_mode = None setting = _setting_for_mode(mode) if not setting.get("用户名") or not setting.get("密码"): raise ValueError( f"{_mode_label(mode)}:请在 .env 配置 " f"{'SIMNOW_USER / SIMNOW_PASSWORD' if mode == 'simulation' else 'CTP_LIVE_USER / CTP_LIVE_PASSWORD'}" ) if not setting.get("交易服务器"): raise ValueError(f"{_mode_label(mode)}:未配置交易服务器地址") self._connect_in_progress = True try: with self._connect_lock: if force and self._connected_mode: try: gw = self._engine.get_gateway(GATEWAY_NAME) if gw: gw.close() except Exception: pass self._connected_mode = None time.sleep(0.8) elif self._connected_mode and self._connected_mode != mode: try: self._engine.close() except Exception: pass self._connected_mode = None time.sleep(1) ctp_logs: list[str] = [] from vnpy.trader.event import EVENT_LOG def _on_log(event) -> None: msg = getattr(event.data, "msg", "") or str(event.data) if msg: ctp_logs.append(str(msg)) if len(ctp_logs) > 20: ctp_logs.pop(0) logger.info("CTP | %s", msg) self._ee.register(EVENT_LOG, _on_log) try: ensure_process_locale() logger.info( "CTP 连接 [%s] user=%s td=%s env=%s", mode, setting.get("用户名"), setting.get("交易服务器"), setting.get("柜台环境", "实盘"), ) self._engine.connect(setting, GATEWAY_NAME) for _ in range(60): accounts = self._engine.get_all_accounts() if accounts: self._connected_mode = mode self._last_error = "" logger.info("CTP 已连接 [%s] account=%s", mode, len(accounts)) self._schedule_fee_sync(mode) return time.sleep(0.5) finally: self._ee.unregister(EVENT_LOG, _on_log) hint = _format_ctp_failure(ctp_logs) self._last_error = hint raise RuntimeError(hint) finally: self._connect_in_progress = False def start_connect_async(self, mode: str, *, force: bool = False) -> dict[str, Any]: """后台连接,不阻塞 HTTP 请求。""" if self._connected_mode == mode and self.ping() and not force: return {"started": False, "connecting": False, "connected": True} if self._connect_in_progress: return {"started": False, "connecting": True, "connected": False} def _run() -> None: try: self.connect(mode, force=force) except Exception as exc: logger.warning("CTP 后台连接失败: %s", exc) threading.Thread(target=_run, daemon=True, name="ctp-connect-async").start() return {"started": True, "connecting": True, "connected": False} def ensure_connected(self, mode: str) -> None: if self._connected_mode == mode and self.ping(): return self.connect(mode) def require_connected(self, mode: str) -> None: """报单前检查:须已连接,不在此发起阻塞式 connect。""" if self._connect_in_progress: raise RuntimeError("CTP 连接中,请稍候再下单") if self._connected_mode != mode or not self.ping(): raise RuntimeError("请先连接 CTP(持仓监控页点击「连接 CTP」)") if not self._td_logged_in(): raise RuntimeError("CTP 交易通道未登录,请重连 CTP 后再下单") def _td_logged_in(self) -> bool: try: gw = self._engine.get_gateway(GATEWAY_NAME) td = gw.td_api return bool(getattr(td, "login_status", False)) except Exception: return False def _find_position(self, sym: str, ex_name: str, hold_direction: str) -> Any: if not self._engine: return None sym_l = sym.lower() ex_u = ex_name.upper() want_long = hold_direction == "long" try: for pos in self._engine.get_all_positions(): ps = (getattr(pos, "symbol", "") or "").lower() pe = getattr(pos, "exchange", None) pe_s = str(pe.value if hasattr(pe, "value") else pe or "").upper() if ps != sym_l or pe_s != ex_u: continue vol = int(getattr(pos, "volume", 0) or 0) if vol <= 0: continue is_long = _is_long_direction(getattr(pos, "direction", None)) if is_long == want_long: return pos except Exception as exc: logger.debug("find position: %s", exc) return None def _resolve_close_offset(self, sym: str, ex_name: str, hold_direction: str, lots: int) -> Any: from vnpy.trader.constant import Offset ex_u = (ex_name or "").upper() # 上期所/能源中心/郑商所/中金所须区分平今/平昨;大商所等可用通用 CLOSE if ex_u not in ("CZCE", "CFFEX", "SHFE", "INE"): return Offset.CLOSE pos = self._find_position(sym, ex_u, hold_direction) if not pos: # 找不到持仓明细时,日盘新开仓优先平今(避免 SHFE「平昨仓位不足」) if ex_u in ("SHFE", "INE", "CZCE"): return Offset.CLOSETODAY return Offset.CLOSE vol = int(getattr(pos, "volume", 0) or 0) yd = int(getattr(pos, "yd_volume", 0) or 0) today = max(0, vol - yd) if today >= lots: return Offset.CLOSETODAY return Offset.CLOSEYESTERDAY def _aggressive_limit_price( self, ths_code: str, sym: str, ex_name: str, direction: Any, tick: float, fallback: float, ) -> float: from vnpy.trader.constant import Direction self.subscribe_symbol(ths_code) lp = fallback detail = self.get_tick_detail(ths_code, mode=self._connected_mode or "") if detail.get("price"): lp = float(detail["price"]) slip = max(tick, tick * 3) if direction == Direction.LONG: lp = lp + slip else: lp = max(tick, lp - slip) return round_to_tick(lp, tick) def ping(self) -> bool: """检测连接是否仍有效;无效则清除 connected 状态。""" if not self._engine or not self._connected_mode: return False try: if self._engine.get_all_accounts(): return True except Exception as exc: logger.debug("CTP ping failed: %s", exc) self._connected_mode = None return False def mark_disconnected(self) -> None: self._connected_mode = None def _schedule_fee_sync(self, mode: str) -> None: """连接成功后触发每日同步检查(非每次全量)。""" def _run() -> None: time.sleep(45) try: from ctp_fee_worker import try_daily_ctp_fee_sync def _gs(key: str, default: str = "") -> str: from fee_specs import get_setting return get_setting(key, default) def _ss(key: str, val: str) -> None: from fee_specs import set_setting set_setting(key, val) try_daily_ctp_fee_sync( mode, get_setting=_gs, set_setting=_ss, force=False, ) except Exception as exc: logger.debug("CTP 手续费连接后检查: %s", exc) threading.Thread(target=_run, daemon=True, name="ctp-fee-sync-check").start() def _ensure_commission_callback(self) -> None: if self._commission_hooked or not self._engine: return try: gw = self._engine.get_gateway(GATEWAY_NAME) td = gw.td_api except Exception: return bridge = self def on_rsp(data: dict, error: dict, reqid: int, last: bool) -> None: if error and int(error.get("ErrorID") or 0) != 0: logger.debug( "CTP commission error reqid=%s: %s", reqid, error.get("ErrorMsg") or error, ) if data and data.get("InstrumentID"): bridge._commission_lists.setdefault(reqid, []).append(dict(data)) ev = bridge._commission_waiters.get(reqid) if last and ev: ev.set() td.onRspQryInstrumentCommissionRate = on_rsp # type: ignore[method-assign] self._commission_hooked = True def _query_commission( self, *, mode: str, instrument_id: str = "", exchange_id: str = "", timeout: float = 8, ) -> list[dict]: if self._connected_mode != mode or not self._engine: return [] try: gw = self._engine.get_gateway(GATEWAY_NAME) td = gw.td_api except Exception as exc: logger.debug("commission query init: %s", exc) return [] if not getattr(td, "login_status", False): return [] if not hasattr(td, "reqQryInstrumentCommissionRate"): return [] self._ensure_commission_callback() reqid = int(getattr(td, "reqid", 0)) + 1 td.reqid = reqid ev = threading.Event() self._commission_waiters[reqid] = ev req = { "BrokerID": td.brokerid, "InvestorID": td.userid, "InstrumentID": instrument_id or "", "ExchangeID": exchange_id or "", } ret = td.reqQryInstrumentCommissionRate(req, reqid) if ret != 0: self._commission_waiters.pop(reqid, None) return [] ev.wait(timeout=timeout) self._commission_waiters.pop(reqid, None) return self._commission_lists.pop(reqid, []) def query_instrument_commission(self, ths_code: str, *, mode: str) -> dict: """查询单合约 CTP 手续费率(需已连接)。""" try: sym, ex_name = ths_to_vnpy_symbol(ths_code) except Exception: return {} rows = self._query_commission( mode=mode, instrument_id=sym, exchange_id=ex_name, ) return rows[-1] if rows else {} def query_all_commissions(self, *, mode: str) -> list[dict]: """批量查询全部合约手续费(InstrumentID 留空)。""" return self._query_commission(mode=mode, timeout=45) def _tick_key(self, symbol: str, ex_name: str) -> str: return f"{symbol.lower()}:{ex_name.upper()}" def _price_from_tick(self, tick: Any) -> Optional[float]: for attr in ("last_price", "bid_price_1", "ask_price_1", "pre_close"): try: v = float(getattr(tick, attr, 0) or 0) except (TypeError, ValueError): v = 0.0 if v > 0: return v return None def _lookup_tick(self, symbol: str, ex_name: str) -> Optional[float]: if not self._engine: return None sym_l = symbol.lower() ex_u = ex_name.upper() try: for tick in self._engine.get_all_ticks(): ts = (getattr(tick, "symbol", "") or "").lower() te = getattr(tick, "exchange", None) te_s = str(te.value if hasattr(te, "value") else te or "").upper() if ts == sym_l and te_s == ex_u: p = self._price_from_tick(tick) if p: return p except Exception as exc: logger.debug("lookup tick: %s", exc) return None def _bar_to_dict(self, bar: Any) -> dict: dt = getattr(bar, "datetime", None) d_str = dt.strftime("%Y-%m-%d %H:%M:%S") if dt else "" return { "d": d_str, "o": float(getattr(bar, "open_price", 0) or 0), "h": float(getattr(bar, "high_price", 0) or 0), "l": float(getattr(bar, "low_price", 0) or 0), "c": float(getattr(bar, "close_price", 0) or 0), "v": float(getattr(bar, "volume", 0) or 0), } def _ensure_bar_generator(self, sym: str, ex_name: str) -> None: key = self._tick_key(sym, ex_name) if key in self._bar_generators: return self._bars_1m[key] = deque(maxlen=4000) def on_bar(bar: Any) -> None: row = self._bar_to_dict(bar) if row.get("d"): self._bars_1m[key].append(row) try: from vnpy.trader.utility import BarGenerator self._bar_generators[key] = BarGenerator(on_bar=on_bar) except ImportError: logger.debug("BarGenerator unavailable") def _find_tick(self, symbol: str, ex_name: str) -> Any: if not self._engine: return None sym_l = symbol.lower() ex_u = ex_name.upper() try: for tick in self._engine.get_all_ticks(): ts = (getattr(tick, "symbol", "") or "").lower() te = getattr(tick, "exchange", None) te_s = str(te.value if hasattr(te, "value") else te or "").upper() if ts == sym_l and te_s == ex_u: return tick except Exception as exc: logger.debug("find tick: %s", exc) return None def _tick_to_bar(self, symbol: str, ex_name: str) -> Optional[dict]: tick = self._find_tick(symbol, ex_name) if not tick: return None lp = self._price_from_tick(tick) if not lp or lp <= 0: return None dt = getattr(tick, "datetime", None) d_str = dt.strftime("%Y-%m-%d %H:%M:%S") if dt else "" if not d_str: from datetime import datetime from zoneinfo import ZoneInfo d_str = datetime.now(ZoneInfo("Asia/Shanghai")).strftime("%Y-%m-%d %H:%M:%S") o = float(getattr(tick, "open_price", 0) or lp) h = float(getattr(tick, "high_price", 0) or lp) lo = float(getattr(tick, "low_price", 0) or lp) return { "d": d_str, "o": o, "h": h, "l": lo, "c": lp, "v": float(getattr(tick, "volume", 0) or 0), } def _on_tick(self, tick: Any) -> None: sym = (getattr(tick, "symbol", "") or "").lower() te = getattr(tick, "exchange", None) ex_s = str(te.value if hasattr(te, "value") else te or "").upper() key = self._tick_key(sym, ex_s) bg = self._bar_generators.get(key) if not bg: return try: bg.update_tick(tick) except Exception as exc: logger.debug("bar gen tick: %s", exc) def _ensure_tick_handler(self) -> None: if self._tick_hooked or not self._ee: return try: from vnpy.trader.event import EVENT_TICK except ImportError: return def process_tick(event: Any) -> None: self._on_tick(event.data) self._ee.register(EVENT_TICK, process_tick) self._tick_hooked = True def get_kline_bars_1m(self, ths_code: str, *, mode: str) -> list[dict]: """订阅合约并返回 1 分钟 K 线(含正在形成的 bar)。""" if self._connected_mode != mode or not self._engine: return [] try: sym, ex_name = ths_to_vnpy_symbol(ths_code) except Exception: return [] key = self._tick_key(sym, ex_name) self._ensure_bar_generator(sym, ex_name) self.subscribe_symbol(ths_code) for _ in range(12): if self._bars_1m.get(key) and len(self._bars_1m[key]) > 0: break if self._lookup_tick(sym, ex_name): break time.sleep(0.2) bars_1m = list(self._bars_1m.get(key, [])) bg = self._bar_generators.get(key) if bg and getattr(bg, "bar", None): forming = self._bar_to_dict(bg.bar) if forming.get("d"): if not bars_1m or bars_1m[-1]["d"] != forming["d"]: bars_1m.append(forming) else: bars_1m[-1] = forming if not bars_1m: tick_bar = self._tick_to_bar(sym, ex_name) if tick_bar: bars_1m = [tick_bar] return bars_1m def get_tick_detail(self, ths_code: str, *, mode: str) -> dict[str, Any]: if self._connected_mode != mode or not self._engine: return {} try: sym, ex_name = ths_to_vnpy_symbol(ths_code) except Exception: return {} self.subscribe_symbol(ths_code) for _ in range(8): tick = self._find_tick(sym, ex_name) if tick: price = self._price_from_tick(tick) try: pre_close = float(getattr(tick, "pre_close", 0) or 0) except (TypeError, ValueError): pre_close = 0.0 return { "price": price, "pre_close": pre_close if pre_close > 0 else None, } time.sleep(0.2) return {} def subscribe_symbol(self, ths_code: str) -> None: if not self._engine or not self._connected_mode: return try: from vnpy.trader.object import SubscribeRequest sym, ex_name = ths_to_vnpy_symbol(ths_code) key = self._tick_key(sym, ex_name) self._ensure_bar_generator(sym, ex_name) if key in self._subscribed: return exchange = to_vnpy_exchange(ex_name) self._ensure_tick_handler() req = SubscribeRequest(symbol=sym, exchange=exchange) self._engine.subscribe(req, GATEWAY_NAME) self._subscribed.add(key) except Exception as exc: logger.debug("CTP subscribe %s: %s", ths_code, exc) def get_tick_price(self, ths_code: str, *, mode: str) -> Optional[float]: if self._connected_mode != mode or not self._engine: return None try: sym, ex_name = ths_to_vnpy_symbol(ths_code) except Exception: return None price = self._lookup_tick(sym, ex_name) if price: return price self.subscribe_symbol(ths_code) for _ in range(8): time.sleep(0.2) price = self._lookup_tick(sym, ex_name) if price: return price return None def get_account(self) -> dict[str, Any]: if not self._engine: return {} accounts = self._engine.get_all_accounts() if not accounts: return {} acc = accounts[0] return { "balance": float(getattr(acc, "balance", 0) or 0), "available": float(getattr(acc, "available", 0) or 0), "frozen": float(getattr(acc, "frozen", 0) or 0), "accountid": getattr(acc, "accountid", ""), } def _collect_positions(self) -> list[dict[str, Any]]: if not self._engine: return [] out: list[dict[str, Any]] = [] for pos in self._engine.get_all_positions(): vol = int(getattr(pos, "volume", 0) or 0) if vol <= 0: continue d = "long" if _is_long_direction(getattr(pos, "direction", None)) else "short" sym = getattr(pos, "symbol", "") or "" exchange = getattr(pos, "exchange", None) ex_name = str(exchange.value if hasattr(exchange, "value") else exchange or "") out.append({ "symbol": sym, "exchange": ex_name, "direction": d, "lots": vol, "avg_price": float(getattr(pos, "price", 0) or 0), "pnl": float(getattr(pos, "pnl", 0) or 0), "frozen": int(getattr(pos, "frozen", 0) or 0), }) return out def refresh_positions(self) -> None: """向柜台查询持仓(内存为空时补拉)。""" if not self._engine: return now = time.time() if now - self._last_position_query_ts < 1.0: return self._last_position_query_ts = now try: gw = self._engine.get_gateway(GATEWAY_NAME) td = getattr(gw, "td_api", None) if td and hasattr(td, "query_position"): td.query_position() time.sleep(0.4) except Exception as exc: logger.debug("refresh_positions: %s", exc) def list_positions(self, *, refresh_if_empty: bool = True) -> list[dict[str, Any]]: out = self._collect_positions() if not out and refresh_if_empty: self.refresh_positions() out = self._collect_positions() return out def list_active_orders(self) -> list[dict[str, Any]]: if not self._engine: return [] out: list[dict[str, Any]] = [] try: orders = self._engine.get_all_active_orders() except Exception: return [] for order in orders or []: status = getattr(order, "status", None) status_s = str(status) if status_s and not any(x in status_s for x in ("NOTTRADED", "PARTTRADED", "SUBMITTING")): continue vol = int(getattr(order, "volume", 0) or 0) traded = int(getattr(order, "traded", 0) or 0) remain = max(0, vol - traded) if remain <= 0: continue direction = getattr(order, "direction", None) d = "long" if direction is not None and str(direction).endswith("SHORT"): d = "short" offset = getattr(order, "offset", None) offset_s = str(offset or "") sym = getattr(order, "symbol", "") or "" exchange = getattr(order, "exchange", None) ex_name = str(exchange.value if hasattr(exchange, "value") else exchange or "") out.append({ "symbol": sym, "exchange": ex_name, "direction": d, "lots": remain, "price": float(getattr(order, "price", 0) or 0), "offset": offset_s, "order_id": str(getattr(order, "orderid", "") or ""), "status": status_s, }) return out def send_order( self, *, ths_code: str, offset: str, direction: str, lots: int, price: float, order_type: str = "limit", ) -> str: from vnpy.trader.constant import Direction, Offset, OrderType from vnpy.trader.object import OrderRequest if not self._engine: raise RuntimeError("CTP 未初始化") if not self._td_logged_in(): raise RuntimeError("CTP 交易通道未登录,请重连后再下单") sym, ex_name = ths_to_vnpy_symbol(ths_code) exchange = to_vnpy_exchange(ex_name) lots = max(1, int(lots)) tick = float(get_contract_spec(ths_code).get("tick_size") or 1.0) offset = (offset or "open").lower() direction = (direction or "long").lower() if offset in ("open", "open_long", "open_short"): d = Direction.LONG if direction == "long" or offset == "open_long" else Direction.SHORT off = Offset.OPEN elif offset in ("close", "close_long", "close_short"): hold = "long" if direction == "long" or offset == "close_long" else "short" if hold == "long": d = Direction.SHORT else: d = Direction.LONG off = self._resolve_close_offset(sym, ex_name, hold, lots) else: raise ValueError(f"未知开平: {offset}") use_market = (order_type or "limit").lower() == "market" ot = OrderType.LIMIT if use_market: price = self._aggressive_limit_price(ths_code, sym, ex_name, d, tick, price) else: price = round_to_tick(float(price), tick) if price <= 0: raise ValueError("委托价格无效,请检查行情或手动填写价格") req = OrderRequest( symbol=sym, exchange=exchange, direction=d, type=ot, volume=lots, price=price, offset=off, ) logger.info( "CTP 报单 %s %s %s %s手 @%s offset=%s type=%s", sym, ex_name, d, lots, price, off, ot, ) vt_orderid = self._engine.send_order(req, GATEWAY_NAME) if not vt_orderid: raise RuntimeError("CTP 拒单或未返回委托号(请检查合约代码、价格是否为最小变动价位整数倍)") return str(vt_orderid) def cancel_order(self, vt_orderid: str) -> bool: if not self._engine or not vt_orderid: return False try: order = self._engine.get_order(vt_orderid) if order is None: return False req = order.create_cancel_request() self._engine.cancel_order(req, GATEWAY_NAME) logger.info("CTP 撤单 %s", vt_orderid) return True except Exception as exc: logger.warning("CTP 撤单失败 %s: %s", vt_orderid, exc) return False def get_bridge() -> CtpBridge: global _bridge with _bridge_lock: if _bridge is None: _bridge = CtpBridge() return _bridge def try_init_vnpy(_settings: dict | None = None) -> bool: return get_bridge().available() def vnpy_available() -> bool: return get_bridge().available() def ctp_connect(mode: str, *, force: bool = False) -> dict[str, Any]: b = get_bridge() b.connect(mode, force=force) return b.status(mode) def ctp_start_connect(mode: str, *, force: bool = False) -> dict[str, Any]: """非阻塞发起连接,供 Web API 使用。""" b = get_bridge() info = b.start_connect_async(mode, force=force) st = b.status(mode) return {**info, "status": st} def ctp_try_auto_reconnect(mode: str) -> bool: """断线时静默重连;已连接且 ping 正常则直接返回 True。""" b = get_bridge() if not b.available(): return False if b.connect_in_progress(): return False st = _setting_for_mode(mode) if not st.get("用户名") or not st.get("密码") or not st.get("交易服务器"): return False if b.connected_mode == mode and b.ping(): return True try: b.connect(mode, force=False) return b.connected_mode == mode except Exception as exc: logger.info("CTP 自动重连失败: %s", exc) return False def ctp_status(mode: str) -> dict[str, Any]: return get_bridge().status(mode) def ctp_get_account(mode: str) -> dict[str, Any]: b = get_bridge() b.ensure_connected(mode) return b.get_account() def ctp_list_positions(mode: str, *, refresh_if_empty: bool = True) -> list[dict[str, Any]]: b = get_bridge() b.ensure_connected(mode) return b.list_positions(refresh_if_empty=refresh_if_empty) def ctp_list_active_orders(mode: str) -> list[dict[str, Any]]: b = get_bridge() b.ensure_connected(mode) return b.list_active_orders() def ctp_cancel_order(mode: str, vt_orderid: str) -> bool: b = get_bridge() b.ensure_connected(mode) return b.cancel_order(vt_orderid) def ctp_get_tick_price(mode: str, ths_code: str) -> Optional[float]: """CTP 柜台最新价(需已连接并订阅)。""" b = get_bridge() if b.connected_mode != mode: return None try: return b.get_tick_price(ths_code, mode=mode) except Exception as exc: logger.debug("ctp_get_tick_price: %s", exc) return None def ctp_get_tick_detail(mode: str, ths_code: str) -> dict[str, Any]: b = get_bridge() if b.connected_mode != mode: return {} try: return b.get_tick_detail(ths_code, mode=mode) except Exception as exc: logger.debug("ctp_get_tick_detail: %s", exc) return {} def get_ctp_balance(mode: str) -> Optional[float]: try: acc = ctp_get_account(mode) bal = acc.get("balance") return float(bal) if bal else None except Exception as exc: logger.debug("get_ctp_balance: %s", exc) return None def execute_order( conn, *, mode: str, offset: str, symbol: str, direction: str, lots: int, price: float, settings: dict | None = None, order_type: str = "limit", ) -> dict[str, Any]: """统一下单:simulation=SimNow,live=期货公司 CTP。""" del conn, settings if mode not in ("simulation", "live"): raise ValueError("未知交易模式") if not vnpy_available(): raise ValueError( "请先安装 vnpy 与 vnpy_ctp:pip install vnpy vnpy_ctp\n" f"模拟盘需配置 .env 中 SIMNOW_USER / SIMNOW_PASSWORD 等" ) b = get_bridge() b.require_connected(mode) order_id = b.send_order( ths_code=symbol, offset=offset, direction=direction, lots=lots, price=price, order_type=order_type, ) return { "order_id": order_id, "mode": mode, "mode_label": _mode_label(mode), "symbol": symbol, "lots": lots, "price": price, }