dekun
1020 lines
37 KiB
Python
1020 lines
37 KiB
Python
"""CTP 执行层：模拟盘 → SimNow；实盘 → 期货公司（vnpy_ctp）。"""
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from __future__ import annotations
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import logging
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import os
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import threading
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import time
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from collections import deque
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from typing import Any, Optional
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from locale_fix import ensure_process_locale
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ensure_process_locale()
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from ctp_symbol import ths_to_vnpy_symbol, to_vnpy_exchange
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from contract_specs import get_contract_spec
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logger = logging.getLogger(__name__)
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GATEWAY_NAME = "CTP"
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_bridge: Optional["CtpBridge"] = None
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_bridge_lock = threading.Lock()
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def _env(key: str, default: str = "") -> str:
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return (os.getenv(key) or default).strip()
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def _simnow_setting() -> dict[str, str]:
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"""SimNow 仿真前置（可在 .env 覆盖）。看穿式前置需「柜台环境=实盘」。"""
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return {
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"用户名": _env("SIMNOW_USER"),
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"密码": _env("SIMNOW_PASSWORD"),
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"经纪商代码": _env("SIMNOW_BROKER_ID", "9999"),
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"交易服务器": _env("SIMNOW_TD_ADDRESS", "tcp://180.168.146.187:10201"),
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"行情服务器": _env("SIMNOW_MD_ADDRESS", "tcp://180.168.146.187:10211"),
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"产品名称": _env("SIMNOW_APP_ID", "simnow_client_test"),
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"授权编码": _env("SIMNOW_AUTH_CODE", "0000000000000000"),
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"柜台环境": _env("SIMNOW_ENV", "实盘"),
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}
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def _live_setting() -> dict[str, str]:
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return {
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"用户名": _env("CTP_LIVE_USER"),
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"密码": _env("CTP_LIVE_PASSWORD"),
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"经纪商代码": _env("CTP_LIVE_BROKER_ID"),
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"交易服务器": _env("CTP_LIVE_TD_ADDRESS"),
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"行情服务器": _env("CTP_LIVE_MD_ADDRESS"),
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"产品名称": _env("CTP_LIVE_APP_ID"),
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"授权编码": _env("CTP_LIVE_AUTH_CODE"),
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"柜台环境": _env("CTP_LIVE_ENV", "实盘"),
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}
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def _setting_for_mode(mode: str) -> dict[str, str]:
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return _simnow_setting() if mode == "simulation" else _live_setting()
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def _mode_label(mode: str) -> str:
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return "SimNow" if mode == "simulation" else "期货公司实盘"
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def _format_ctp_failure(ctp_logs: list[str]) -> str:
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"""根据 CTP 网关日志拼出可读错误。"""
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text = "\n".join(ctp_logs)
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if "4097" in text or "Decrypt handshake" in text or "shake hand" in text.lower():
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return (
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"CTP 握手失败(4097)：vnpy_ctp 与 SimNow 前置加密不匹配。"
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"请执行 pip install -U vnpy vnpy_ctp 后重启，并确认 .env 中 SIMNOW_ENV=实盘"
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)
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if "不合法的登录" in text or "密码" in text or "账号" in text:
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tail = ctp_logs[-1] if ctp_logs else ""
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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）'}"
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if "连接断开" in text or "disconnect" in text.lower():
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tail = ctp_logs[-1] if ctp_logs else ""
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return f"CTP 连接断开：{tail or '请检查前置地址与网络'}"
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if ctp_logs:
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return f"CTP 连接失败：{ctp_logs[-1]}"
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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"
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def round_to_tick(price: float, tick: float) -> float:
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if tick <= 0:
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return float(price)
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steps = round(float(price) / tick)
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return round(steps * tick, 10)
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def _is_long_direction(direction_obj: Any) -> bool:
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s = str(direction_obj or "")
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return "LONG" in s.upper() or "多" in s
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class CtpBridge:
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def __init__(self) -> None:
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self._engine = None
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self._ee = None
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self._connected_mode: Optional[str] = None
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self._last_error: str = ""
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self._connect_lock = threading.Lock()
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self._connect_in_progress = False
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self._commission_waiters: dict[int, threading.Event] = {}
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self._commission_lists: dict[int, list] = {}
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self._commission_hooked = False
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self._subscribed: set[str] = set()
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self._last_position_query_ts: float = 0.0
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self._tick_hooked = False
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self._bar_generators: dict[str, Any] = {}
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self._bars_1m: dict[str, deque] = {}
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self._init_engine()
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def _init_engine(self) -> None:
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ensure_process_locale()
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try:
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from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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from vnpy_ctp import CtpGateway
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self._ee = EventEngine()
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self._engine = MainEngine(self._ee)
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self._engine.add_gateway(CtpGateway)
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except ImportError:
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self._last_error = "未安装 vnpy / vnpy_ctp，请 pip install vnpy vnpy_ctp"
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except Exception as exc:
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self._last_error = str(exc)
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def available(self) -> bool:
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return self._engine is not None
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@property
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def last_error(self) -> str:
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return self._last_error
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@property
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def connected_mode(self) -> Optional[str]:
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return self._connected_mode
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def connect_in_progress(self) -> bool:
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return self._connect_in_progress
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def status(self, mode: str) -> dict[str, Any]:
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if self._connected_mode == mode:
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self.ping()
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st = _setting_for_mode(mode)
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missing = [k for k in ("用户名", "密码", "交易服务器") if not st.get(k)]
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return {
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"vnpy_installed": self.available(),
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"connected": self._connected_mode == mode,
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"connecting": self._connect_in_progress,
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"connected_mode": self._connected_mode,
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"mode_label": _mode_label(mode),
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"missing_config": missing,
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"last_error": self._last_error,
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"broker_id": st.get("经纪商代码", ""),
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"td_address": st.get("交易服务器", ""),
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}
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def connect(self, mode: str, *, force: bool = False) -> None:
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if self._connect_in_progress:
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raise RuntimeError("CTP 正在连接中，请稍候")
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if not self._engine:
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raise RuntimeError(self._last_error or "vnpy 引擎未初始化")
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if self._connected_mode == mode and not force:
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if self.ping():
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return
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self._connected_mode = None
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setting = _setting_for_mode(mode)
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if not setting.get("用户名") or not setting.get("密码"):
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raise ValueError(
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f"{_mode_label(mode)}：请在 .env 配置 "
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f"{'SIMNOW_USER / SIMNOW_PASSWORD' if mode == 'simulation' else 'CTP_LIVE_USER / CTP_LIVE_PASSWORD'}"
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)
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if not setting.get("交易服务器"):
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raise ValueError(f"{_mode_label(mode)}：未配置交易服务器地址")
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self._connect_in_progress = True
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try:
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with self._connect_lock:
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if force and self._connected_mode:
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try:
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gw = self._engine.get_gateway(GATEWAY_NAME)
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if gw:
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gw.close()
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except Exception:
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pass
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self._connected_mode = None
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time.sleep(0.8)
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elif self._connected_mode and self._connected_mode != mode:
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try:
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self._engine.close()
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except Exception:
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pass
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self._connected_mode = None
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time.sleep(1)
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ctp_logs: list[str] = []
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from vnpy.trader.event import EVENT_LOG
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def _on_log(event) -> None:
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msg = getattr(event.data, "msg", "") or str(event.data)
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if msg:
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ctp_logs.append(str(msg))
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if len(ctp_logs) > 20:
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ctp_logs.pop(0)
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logger.info("CTP | %s", msg)
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self._ee.register(EVENT_LOG, _on_log)
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try:
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ensure_process_locale()
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logger.info(
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"CTP 连接 [%s] user=%s td=%s env=%s",
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mode,
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setting.get("用户名"),
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setting.get("交易服务器"),
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setting.get("柜台环境", "实盘"),
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)
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self._engine.connect(setting, GATEWAY_NAME)
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for _ in range(60):
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accounts = self._engine.get_all_accounts()
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if accounts:
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self._connected_mode = mode
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self._last_error = ""
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logger.info("CTP 已连接 [%s] account=%s", mode, len(accounts))
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self._schedule_fee_sync(mode)
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return
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time.sleep(0.5)
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finally:
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self._ee.unregister(EVENT_LOG, _on_log)
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hint = _format_ctp_failure(ctp_logs)
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self._last_error = hint
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raise RuntimeError(hint)
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finally:
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self._connect_in_progress = False
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def start_connect_async(self, mode: str, *, force: bool = False) -> dict[str, Any]:
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"""后台连接，不阻塞 HTTP 请求。"""
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if self._connected_mode == mode and self.ping() and not force:
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return {"started": False, "connecting": False, "connected": True}
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if self._connect_in_progress:
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return {"started": False, "connecting": True, "connected": False}
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def _run() -> None:
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try:
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self.connect(mode, force=force)
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except Exception as exc:
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logger.warning("CTP 后台连接失败: %s", exc)
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threading.Thread(target=_run, daemon=True, name="ctp-connect-async").start()
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return {"started": True, "connecting": True, "connected": False}
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def ensure_connected(self, mode: str) -> None:
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if self._connected_mode == mode and self.ping():
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return
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self.connect(mode)
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def require_connected(self, mode: str) -> None:
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"""报单前检查：须已连接，不在此发起阻塞式 connect。"""
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if self._connect_in_progress:
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raise RuntimeError("CTP 连接中，请稍候再下单")
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if self._connected_mode != mode or not self.ping():
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raise RuntimeError("请先连接 CTP（持仓监控页点击「连接 CTP」）")
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if not self._td_logged_in():
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raise RuntimeError("CTP 交易通道未登录，请重连 CTP 后再下单")
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def _td_logged_in(self) -> bool:
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try:
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gw = self._engine.get_gateway(GATEWAY_NAME)
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td = gw.td_api
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return bool(getattr(td, "login_status", False))
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except Exception:
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return False
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def _find_position(self, sym: str, ex_name: str, hold_direction: str) -> Any:
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if not self._engine:
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return None
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sym_l = sym.lower()
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ex_u = ex_name.upper()
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want_long = hold_direction == "long"
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try:
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for pos in self._engine.get_all_positions():
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ps = (getattr(pos, "symbol", "") or "").lower()
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pe = getattr(pos, "exchange", None)
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pe_s = str(pe.value if hasattr(pe, "value") else pe or "").upper()
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if ps != sym_l or pe_s != ex_u:
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continue
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vol = int(getattr(pos, "volume", 0) or 0)
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if vol <= 0:
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continue
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is_long = _is_long_direction(getattr(pos, "direction", None))
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if is_long == want_long:
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return pos
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except Exception as exc:
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logger.debug("find position: %s", exc)
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return None
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def _resolve_close_offset(self, sym: str, ex_name: str, hold_direction: str, lots: int) -> Any:
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from vnpy.trader.constant import Offset
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ex_u = (ex_name or "").upper()
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# 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
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if ex_u not in ("CZCE", "CFFEX", "SHFE", "INE"):
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return Offset.CLOSE
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pos = self._find_position(sym, ex_u, hold_direction)
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if not pos:
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# 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」）
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if ex_u in ("SHFE", "INE", "CZCE"):
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return Offset.CLOSETODAY
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return Offset.CLOSE
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vol = int(getattr(pos, "volume", 0) or 0)
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yd = int(getattr(pos, "yd_volume", 0) or 0)
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today = max(0, vol - yd)
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if today >= lots:
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return Offset.CLOSETODAY
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return Offset.CLOSEYESTERDAY
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def _aggressive_limit_price(
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self,
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ths_code: str,
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sym: str,
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ex_name: str,
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direction: Any,
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tick: float,
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fallback: float,
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) -> float:
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from vnpy.trader.constant import Direction
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self.subscribe_symbol(ths_code)
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lp = fallback
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detail = self.get_tick_detail(ths_code, mode=self._connected_mode or "")
|
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if detail.get("price"):
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lp = float(detail["price"])
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slip = max(tick, tick * 3)
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if direction == Direction.LONG:
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lp = lp + slip
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else:
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lp = max(tick, lp - slip)
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return round_to_tick(lp, tick)
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def ping(self) -> bool:
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"""检测连接是否仍有效；无效则清除 connected 状态。"""
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if not self._engine or not self._connected_mode:
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return False
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try:
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if self._engine.get_all_accounts():
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return True
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except Exception as exc:
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||
logger.debug("CTP ping failed: %s", exc)
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self._connected_mode = None
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return False
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def mark_disconnected(self) -> None:
|
||
self._connected_mode = None
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||
|
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def _schedule_fee_sync(self, mode: str) -> None:
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"""连接成功后触发每日同步检查（非每次全量）。"""
|
||
|
||
def _run() -> None:
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time.sleep(45)
|
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try:
|
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from ctp_fee_worker import try_daily_ctp_fee_sync
|
||
|
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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,
|
||
}
|