dekun
118 lines
4.0 KiB
Python
118 lines
4.0 KiB
Python
"""从 CTP 柜台同步手续费率（SimNow / 期货公司）。"""
|
||
from __future__ import annotations
|
||
|
||
import logging
|
||
import re
|
||
import time
|
||
from typing import Optional
|
||
|
||
from contract_specs import get_contract_spec
|
||
from fee_specs import upsert_fee_rate
|
||
from vnpy_bridge import get_bridge
|
||
|
||
logger = logging.getLogger(__name__)
|
||
|
||
|
||
def _product_from_instrument(instrument_id: str) -> str:
|
||
m = re.match(r"^([A-Za-z]+)", instrument_id or "")
|
||
return m.group(1).lower() if m else ""
|
||
|
||
|
||
def ctp_commission_to_fee_fields(data: dict, ths_code: str) -> dict:
|
||
"""CTP OnRspQryInstrumentCommissionRate → fee_rates 字段。"""
|
||
mult = int(get_contract_spec(ths_code)["mult"])
|
||
exchange = str(data.get("ExchangeID") or "").strip()
|
||
return {
|
||
"exchange": exchange,
|
||
"mult": mult,
|
||
"open_fixed": float(data.get("OpenRatioByVolume") or 0),
|
||
"open_ratio": float(data.get("OpenRatioByMoney") or 0),
|
||
"close_yesterday_fixed": float(data.get("CloseRatioByVolume") or 0),
|
||
"close_yesterday_ratio": float(data.get("CloseRatioByMoney") or 0),
|
||
"close_today_fixed": float(data.get("CloseTodayRatioByVolume") or 0),
|
||
"close_today_ratio": float(data.get("CloseTodayRatioByMoney") or 0),
|
||
"source": "ctp",
|
||
}
|
||
|
||
|
||
def _collect_main_ths_codes() -> list[str]:
|
||
"""从主力列表收集同花顺合约代码（供 CTP 手续费查询）。"""
|
||
from datetime import date
|
||
|
||
from symbols import PRODUCTS, build_ths_code, list_main_contracts_grouped
|
||
|
||
symbols: list[str] = []
|
||
for group in list_main_contracts_grouped():
|
||
for item in group.get("items") or []:
|
||
ths = (item.get("ths_code") or item.get("ths") or item.get("code") or "").strip()
|
||
if ths and not ths.endswith("888"):
|
||
symbols.append(ths)
|
||
|
||
if symbols:
|
||
return symbols
|
||
|
||
today = date.today()
|
||
for p in PRODUCTS:
|
||
symbols.append(build_ths_code(p, today.year, today.month))
|
||
return symbols
|
||
|
||
|
||
def sync_fees_from_ctp(mode: str, *, max_symbols: int = 80) -> tuple[int, str]:
|
||
"""CTP 已连接时，按主力合约查询手续费并写入 fee_rates（source=ctp）。"""
|
||
bridge = get_bridge()
|
||
if not bridge.available():
|
||
return 0, "vnpy 未安装"
|
||
if bridge.connected_mode != mode:
|
||
return 0, "请先连接 CTP"
|
||
if not bridge.ping():
|
||
return 0, "CTP 连接无效，请重连"
|
||
|
||
symbols = _collect_main_ths_codes()[:max_symbols]
|
||
|
||
if not symbols:
|
||
return 0, "无主力合约列表"
|
||
|
||
seen: set[str] = set()
|
||
ok = 0
|
||
errors = 0
|
||
for ths in symbols:
|
||
product = _product_from_instrument(ths)
|
||
if not product or product in seen:
|
||
continue
|
||
seen.add(product)
|
||
try:
|
||
raw = bridge.query_instrument_commission(ths, mode=mode)
|
||
if not raw:
|
||
errors += 1
|
||
continue
|
||
fields = ctp_commission_to_fee_fields(raw, ths)
|
||
upsert_fee_rate(product, fields)
|
||
ok += 1
|
||
time.sleep(0.35)
|
||
except Exception as exc:
|
||
logger.debug("CTP fee sync %s: %s", ths, exc)
|
||
errors += 1
|
||
|
||
if ok == 0:
|
||
return 0, f"CTP 未返回手续费率（失败 {errors} 次），请确认柜台支持查询"
|
||
msg = f"已从 CTP 同步 {ok} 个品种手续费"
|
||
if errors:
|
||
msg += f"（{errors} 个跳过）"
|
||
return ok, msg
|
||
|
||
|
||
def sync_fee_for_symbol(mode: str, ths_code: str) -> Optional[dict]:
|
||
"""单品种按需从 CTP 拉取并缓存。"""
|
||
bridge = get_bridge()
|
||
if bridge.connected_mode != mode or not bridge.ping():
|
||
return None
|
||
raw = bridge.query_instrument_commission(ths_code, mode=mode)
|
||
if not raw:
|
||
return None
|
||
product = _product_from_instrument(ths_code)
|
||
if not product:
|
||
return None
|
||
fields = ctp_commission_to_fee_fields(raw, ths_code)
|
||
upsert_fee_rate(product, fields)
|
||
return fields
|