自动下单的通道在整个量化交易里是最基础也是最重要的一部分.
如果没有完整测试过自动下单的API和对应的CTP的柜台,整个量化交易就是无稽之谈.
当下最重要的事情就是怎样接入CTP的商品期货自动下单的交易接口.
第一步: 先测试模拟交易接口.
在整个下单API没有完全测通之前,最重要的是先在测试环境里,用相同的API接口来测试下单接口的有效性. 最好的测试环境其实就在simnow这个网站上,它是上海期货交易所专门为了模拟交易而做的一个模拟交易的测试平台. 这个网站里的数据都是跟现在的实盘是完全同步的.
如果我们要接入下单接口,最好的办法是先在simnow的网站上申请测试账号.
当然因为是上期所的干儿子,这个网站存在有时歇班打不开的状态.不过没关系,这段时间我亲测下来,交易时间基本上它的测试环境都是打开的.
也有其他的测试模拟平台,这里推荐OPENCTP这个平台,大家可以去参考一下.
如果simnow的账户申请完毕,后面可以下载对应的软件客户端,测试账户和密码是可以直接通过它的图形软件登录进去的. 这样一来,一边可以用API的接口来进行调试,一边可以直接在软件系统的界面中实时反馈接口的API的操作效果.
有人会问为啥不直接找券商,券商都有API接入的测试环境丫.
没错,不是所有券商都在系统接入的时候这么专业的.我找的接入券商测试环境里的问题一堆. 虽然都是CTP的官方接口,但是具体测试下来,要么是交易数据不齐整,要么是市场数据不同步.有的交易所的订单还没开.有时候测试环境人家关闭起来很随意,不是你想测就能测的.
最重要的是,自己找的券商,虽然都有测试环境,但是有的还有BUG(比如说限价单1张能下,50张就下不了之类的事儿),这你能受得了么....
所以完全推荐用simnow来进行API下单接口的测试.
第二步: 说说测试逻辑.
我用的OPENCTP的python接口来进行的下单对接,在下单测试的时候,通常行情接口和交易接口是分开的.
所以这两个接口要分开进行测试.
然后行情接口基本上对我来说用处不大,用处最大的是交易接口.
测试起来以下功能是必须要测的,这里用openctp6.7.0版本的封装过的接口的函数命令为例:
# SHFE:上期所 | DCE:大商所 |CZCE:郑商所 | CFFEX:中金所 | INE:能源中心
# 投资者结算结果确认
# spi.settlement_info_confirm()
# 请求查询合约
# spi.qry_instrument("DCE")
# spi.qry_instrument(exchange_id="CZCE")
# spi.qry_instrument(product_id="i")
# spi.qry_instrument(instrument_id="CF411")
# 请求查询合约手续费
# spi.qry_instrument_commission_rate("fu2409")
# 请求查询合约保证金率
# spi.qry_instrument_margin_rate(instrument_id="fu2409")
# spi.qry_depth_market_data()
# 请求查询行情
spi.qry_depth_market_data(instrument_id="ag2410")
# spi.market_order_insert("CZCE", "RM411",2)
# spi.limit_order_insert("SHFE", "ag2410", 6278, 50)
# spi.limit_order_insert("CZCE", "RS407", 5670, 1)
# 订单撤单需要带上原始订单号
# spi.order_cancel1("SHFE", "ag2410", " 789429")
# spi.order_cancel2("CZCE", "CF411", 1, -1111111, "3")
# 请求查询交易编码
# spi.qry_trading_code("CZCE")
# 查询交易所
# spi.qry_exchange("DCE")
# 查询交易者持仓
# spi.qry_investor_position()
# 查询交易者持仓明细
# spi.qry_investor_position_detail("ag2410")
# spi.user_password_update("sWJedore20@#0808", "sWJedore20@#0807")
# spi.qry_order_comm_rate("ss2407")
这里都是已经被OPENCTP封装过的函数的测试,最重要的就是上面这些函数,当然重中之重就是查询行情的函数,市价单,撤销市价单,限价单,撤销限价单的操作. 在API接口里面是没有止盈止损单的概念的,都是通过系统代码的判断直接去下限价单的方式来去实现止盈止损,这个后面就要看策略本身的逻辑了.
上面的下单函数我是一边接口下单,一边看接口的回调信息,一边打开登录好simnow的软件的动作来确认有效性的.
这里面要还有一些细节问题后面我要解决,比如限价单的多空单和买卖等参数的修改和测试. 再比如说交易订单的回调信息怎么取到我的业务系统里面去保存到数据库,要不要保存等等. 这个后面我们再慢慢搞吧.
"""
下文源代码是openctp6.7.0版本的交易API demo
""" import inspect import queue import time import sys
from openctp_ctp import tdapi
import conf
class CTdSpiImpl(tdapi.CThostFtdcTraderSpi): """交易回调实现类"""
def __init__(
self,
front: str,
user: str,
passwd: str,
authcode: str,
appid: str,
broker_id: str,
):
print("-------------------------------- 启动 trader api demo ")
super().__init__()
self._front = front
self._user = user
self._password = passwd
self._authcode = authcode
self._appid = appid
self._broker_id = broker_id
self._is_authenticate = False
self._is_login = False
self._is_last = True
self._print_max = 2
self._print_count = 0
self._total = 0
self._wait_queue = queue.Queue(1)
self._api: tdapi.CThostFtdcTraderApi = (
tdapi.CThostFtdcTraderApi.CreateFtdcTraderApi(self._user)
)
print("CTP交易API版本号:", self._api.GetApiVersion())
print("交易前置:" + self._front)
# 注册交易前置
self._api.RegisterFront(self._front)
# 注册交易回调实例
self._api.RegisterSpi(self)
# 订阅私有流
self._api.SubscribePrivateTopic(tdapi.THOST_TERT_QUICK)
# 订阅公有流
self._api.SubscribePublicTopic(tdapi.THOST_TERT_QUICK)
# 初始化交易实例
self._api.Init()
print("初始化成功")
@property
def is_login(self):
return self._is_login
def release(self):
# 释放实例
self._api.Release()
def _check_req(self, req, ret: int):
"""检查请求"""
# 打印请求
params = []
for name, value in inspect.getmembers(req):
if name[0].isupper():
params.append(f"{name}={value}")
self.print("发送请求:", ",".join(params))
# 检查请求结果
error = {
0: "",
-1: "网络连接失败",
-2: "未处理请求超过许可数",
-3: "每秒发送请求数超过许可数",
}.get(ret, "未知错误")
if ret != 0:
self.print(f"请求失败: {ret}={error}")
def _check_rsp(
self, pRspInfo: tdapi.CThostFtdcRspInfoField, rsp=None, is_last: bool = True
) -> bool:
"""检查响应
True: 成功 False: 失败
"""
if self._is_last:
if pRspInfo and pRspInfo.ErrorID != 0:
self.print(
f"响应失败, ErrorID={pRspInfo.ErrorID}, ErrorMsg={pRspInfo.ErrorMsg}"
)
return False
self.print("响应成功")
if rsp:
params = []
for name, value in inspect.getmembers(rsp):
if name[0].isupper():
params.append(f"{name}={value}")
self.print("响应内容:", ",".join(params))
else:
self.print("响应为空")
if not is_last:
self._print_count += 1
self._total = +1
else:
if self._is_login:
self._wait_queue.put_nowait(None)
else:
if self._print_count < self._print_max:
if rsp:
params = []
for name, value in inspect.getmembers(rsp):
if name[0].isupper():
params.append(f"{name}={value}")
self.print(" ", ",".join(params))
self._print_count += 1
self._total += 1
if is_last:
self.print("总计数量:", self._total, "打印数量:", self._print_count)
self._print_count = 0
self._total = 0
if self._is_login:
self._wait_queue.put_nowait(None)
self._is_last = is_last
return True
@staticmethod
def print_rsp_rtn(prefix, rsp_rtn):
if rsp_rtn:
params = []
for name, value in inspect.getmembers(rsp_rtn):
if name[0].isupper():
params.append(f"{name}={value}")
print(">", prefix, ",".join(params))
@staticmethod
def print(*args, **kwargs):
print(" ", *args, **kwargs)
def OnFrontConnected(self):
"""交易前置连接成功"""
print("交易前置连接成功")
self.authenticate()
def OnFrontDisconnected(self, nReason: int):
"""交易前置连接断开"""
print("交易前置连接断开: nReason=", nReason)
# todo 可以在这里定义交易连接断开时的逻辑
def authenticate(self):
"""认证 demo"""
print("> 认证")
_req = tdapi.CThostFtdcReqAuthenticateField()
_req.BrokerID = self._broker_id
_req.UserID = self._user
_req.AppID = self._appid
_req.AuthCode = self._authcode
self._check_req(_req, self._api.ReqAuthenticate(_req, 0))
def OnRspAuthenticate(
self,
pRspAuthenticateField: tdapi.CThostFtdcRspAuthenticateField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""客户端认证响应"""
if not self._check_rsp(pRspInfo, pRspAuthenticateField):
return
self._is_authenticate = True
# 登录
self.login()
def login(self):
"""登录 demo"""
print("> 登录")
_req = tdapi.CThostFtdcReqUserLoginField()
_req.BrokerID = self._broker_id
_req.UserID = self._user
_req.Password = self._password
if sys.platform == "darwin":
self._check_req(_req, self._api.ReqUserLogin(_req, 0, 0, ""))
else:
self._check_req(_req, self._api.ReqUserLogin(_req, 0))
def OnRspUserLogin(
self,
pRspUserLogin: tdapi.CThostFtdcRspUserLoginField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""登录响应"""
if not self._check_rsp(pRspInfo, pRspUserLogin):
return
self._is_login = True
def settlement_info_confirm(self):
"""投资者结算结果确认"""
print("> 投资者结算结果确认")
_req = tdapi.CThostFtdcSettlementInfoConfirmField()
_req.BrokerID = self._broker_id
_req.InvestorID = self._user
self._check_req(_req, self._api.ReqSettlementInfoConfirm(_req, 0))
def OnRspSettlementInfoConfirm(
self,
pSettlementInfoConfirm: tdapi.CThostFtdcSettlementInfoConfirmField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""投资者结算结果确认响应"""
if not self._check_rsp(pRspInfo, pSettlementInfoConfirm):
return
def qry_instrument(
self, exchange_id: str = "", product_id: str = "", instrument_id: str = ""
):
"""请求查询合约"""
print("> 请求查询合约")
_req = tdapi.CThostFtdcQryInstrumentField()
# 填空可以查询到所有合约
# 也可分别根据交易所、品种、合约 三个字段查询指定的合约
_req.ExchangeID = exchange_id
_req.ProductID = product_id
_req.InstrumentID = instrument_id
self._check_req(_req, self._api.ReqQryInstrument(_req, 0))
def OnRspQryInstrument(
self,
pInstrument: tdapi.CThostFtdcInstrumentField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""请求查询合约响应"""
if not self._check_rsp(pRspInfo, pInstrument, bIsLast):
return
def qry_instrument_commission_rate(self, instrument_id: str = ""):
"""请求查询合约手续费率"""
print("> 请求查询合约手续费率")
_req = tdapi.CThostFtdcQryInstrumentCommissionRateField()
_req.BrokerID = self._broker_id
_req.InvestorID = self._user
# 若不指定合约ID, 则返回当前持仓对应合约的手续费率
_req.InstrumentID = instrument_id
self._check_req(_req, self._api.ReqQryInstrumentCommissionRate(_req, 0))
def OnRspQryInstrumentCommissionRate(
self,
pInstrumentCommissionRate: tdapi.CThostFtdcInstrumentCommissionRateField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""请求查询合约手续费率响应"""
if not self._check_rsp(pRspInfo, pInstrumentCommissionRate, bIsLast):
return
def qry_instrument_margin_rate(self, instrument_id: str = ""):
"""请求查询合约保证金率"""
print("> 请求查询合约保证金率")
_req = tdapi.CThostFtdcQryInstrumentMarginRateField()
_req.BrokerID = self._broker_id
_req.InvestorID = self._user
_req.HedgeFlag = tdapi.THOST_FTDC_HF_Speculation
# 若不指定合约ID, 则返回当前持仓对应合约的保证金率
_req.InstrumentID = instrument_id
self._check_req(_req, self._api.ReqQryInstrumentMarginRate(_req, 0))
def OnRspQryInstrumentMarginRate(
self,
pInstrumentMarginRate: tdapi.CThostFtdcInstrumentMarginRateField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""请求查询合约保证金率响应"""
if not self._check_rsp(pRspInfo, pInstrumentMarginRate, bIsLast):
return
def qry_depth_market_data(self, instrument_id: str = ""):
"""请求查询行情，只能查询当前快照，不能查询历史行情"""
print("> 请求查询行情")
_req = tdapi.CThostFtdcQryDepthMarketDataField()
# 若不指定合约ID, 则返回所有合约的行情
_req.InstrumentID = instrument_id
self._check_req(_req, self._api.ReqQryDepthMarketData(_req, 0))
def OnRspQryDepthMarketData(
self,
pDepthMarketData: tdapi.CThostFtdcDepthMarketDataField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""请求查询行情响应"""
if not self._check_rsp(pRspInfo, pDepthMarketData, bIsLast):
return
def market_order_insert(
self, exchange_id: str, instrument_id: str, volume: int = 1
):
"""报单录入请求(市价单)
- 录入错误时对应响应OnRspOrderInsert、OnErrRtnOrderInsert，
- 正确时对应回报OnRtnOrder、OnRtnTrade。
"""
print("> 报单录入请求(市价单)")
# 市价单, 注意选择一个相对活跃的合约
# simnow 目前貌似不支持市价单，所以会被自动撤销！！！
_req = tdapi.CThostFtdcInputOrderField()
_req.BrokerID = self._broker_id
_req.InvestorID = self._user
_req.ExchangeID = exchange_id
_req.InstrumentID = instrument_id
_req.LimitPrice = 0
_req.OrderPriceType = tdapi.THOST_FTDC_OPT_AnyPrice # 价格类型市价单
_req.Direction = tdapi.THOST_FTDC_D_Buy # 买
_req.CombOffsetFlag = tdapi.THOST_FTDC_OF_Open # 开仓
_req.CombHedgeFlag = tdapi.THOST_FTDC_HF_Speculation
_req.VolumeTotalOriginal = volume
_req.IsAutoSuspend = 0
_req.IsSwapOrder = 0
_req.TimeCondition = tdapi.THOST_FTDC_TC_GFD
_req.VolumeCondition = tdapi.THOST_FTDC_VC_AV
_req.ContingentCondition = tdapi.THOST_FTDC_CC_Immediately
_req.ForceCloseReason = tdapi.THOST_FTDC_FCC_NotForceClose
self._check_req(_req, self._api.ReqOrderInsert(_req, 0))
def limit_order_insert(
self,
exchange_id: str,
instrument_id: str,
price: float,
volume: int = 1,
):
"""报单录入请求(限价单)
- 录入错误时对应响应OnRspOrderInsert、OnErrRtnOrderInsert，
- 正确时对应回报OnRtnOrder、OnRtnTrade。
"""
print("> 报单录入请求(限价单)")
# 限价单 注意选择一个相对活跃的合约及合适的价格
_req = tdapi.CThostFtdcInputOrderField()
_req.BrokerID = self._broker_id
_req.InvestorID = self._user
_req.ExchangeID = exchange_id
_req.InstrumentID = instrument_id # 合约ID
_req.LimitPrice = price # 价格
_req.OrderPriceType = tdapi.THOST_FTDC_OPT_LimitPrice # 价格类型限价单
_req.Direction = tdapi.THOST_FTDC_D_Buy # 买
_req.CombOffsetFlag = tdapi.THOST_FTDC_OF_Open # 开仓
_req.CombHedgeFlag = tdapi.THOST_FTDC_HF_Speculation
_req.VolumeTotalOriginal = volume
_req.IsAutoSuspend = 0
_req.IsSwapOrder = 0
_req.TimeCondition = tdapi.THOST_FTDC_TC_GFD
_req.VolumeCondition = tdapi.THOST_FTDC_VC_AV
_req.ContingentCondition = tdapi.THOST_FTDC_CC_Immediately
_req.ForceCloseReason = tdapi.THOST_FTDC_FCC_NotForceClose
self._check_req(_req, self._api.ReqOrderInsert(_req, 0))
def OnRspOrderInsert(
self,
pInputOrder: tdapi.CThostFtdcInputOrderField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""报单录入请求响应"""
self._check_rsp(pRspInfo, pInputOrder, bIsLast)
def order_cancel1(
self, exchange_id: str, instrument_id: str, order_sys_id: str
):
"""报单撤销请求 方式一
- 错误响应: OnRspOrderAction，OnErrRtnOrderAction
- 正确响应：OnRtnOrder
"""
print("> 报单撤销请求 方式一")
# 撤单请求，首先需要有一笔未成交的订单，可以使用限价单，按照未成交订单信息填写撤单请求
_req = tdapi.CThostFtdcInputOrderActionField()
_req.BrokerID = self._broker_id
_req.InvestorID = self._user
_req.UserID = self._user
_req.ExchangeID = exchange_id
_req.InstrumentID = instrument_id
_req.ActionFlag = tdapi.THOST_FTDC_AF_Delete
_req.OrderSysID = order_sys_id # OrderSysId 中空格也要带着
# 若成功，会通过 报单回报 返回新的订单状态, 若失败则会响应失败
self._check_req(_req, self._api.ReqOrderAction(_req, 0))
def order_cancel2(
self,
exchange_id: str,
instrument_id: str,
front_id: int,
session_id: int,
order_ref: str,
):
"""报单撤销请求 方式二
- 错误响应: OnRspOrderAction，OnErrRtnOrderAction
- 正确响应：OnRtnOrder
"""
print("> 报单撤销请求 方式二")
# 撤单请求，首先需要有一笔未成交的订单，可以使用限价单，按照未成交订单信息填写撤单请求
_req = tdapi.CThostFtdcInputOrderActionField()
_req.BrokerID = self._broker_id
_req.InvestorID = self._user
_req.UserID = self._user
_req.ExchangeID = exchange_id
_req.InstrumentID = instrument_id
_req.ActionFlag = tdapi.THOST_FTDC_AF_Delete
_req.OrderRef = order_ref
_req.FrontID = front_id
_req.SessionID = session_id
# 若成功，会通过 报单回报 返回新的订单状态, 若失败则会响应失败
self._check_req(_req, self._api.ReqOrderAction(_req, 0))
def OnRspOrderAction(
self,
pInputOrderAction: tdapi.CThostFtdcInputOrderActionField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""报单操作请求响应"""
self._check_rsp(pRspInfo, pInputOrderAction, bIsLast)
def OnRtnOrder(self, pOrder: tdapi.CThostFtdcOrderField):
"""报单通知，当执行ReqOrderInsert后并且报出后，收到返回则调用此接口，私有流回报。"""
self.print_rsp_rtn("报单通知", pOrder)
def OnRtnTrade(self, pTrade: tdapi.CThostFtdcTradeField):
"""成交通知，报单发出后有成交则通过此接口返回。私有流"""
self.print_rsp_rtn("成交通知", pTrade)
def OnErrRtnOrderInsert(
self,
pInputOrder: tdapi.CThostFtdcInputOrderField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
):
""""""
self._check_rsp(pRspInfo, pInputOrder)
def qry_trading_code(self, exchange_id: str):
"""请求查询交易编码"""
print("> 请求查询交易编码")
req = tdapi.CThostFtdcQryTradingCodeField()
req.BrokerID = self._broker_id
req.InvestorID = self._user
req.ExchangeID = exchange_id
self._check_req(req, self._api.ReqQryTradingCode(req, 0))
def OnRspQryTradingCode(
self,
pTradingCode: tdapi.CThostFtdcTradingCodeField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""请求查询交易编码响应"""
self._check_rsp(pRspInfo, pTradingCode, bIsLast)
def qry_exchange(self, exchange_id: str):
"""查询交易所"""
print("> 查询交易所")
req = tdapi.CThostFtdcQryExchangeField()
req.ExchangeID = exchange_id
self._check_req(req, self._api.ReqQryExchange(req, 0))
def OnRspQryExchange(
self,
pExchange: tdapi.CThostFtdcExchangeField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""查询交易所应答"""
self._check_rsp(pRspInfo, pExchange, bIsLast)
def user_password_update(self, new_password: str, old_password: str):
"""用户口令变更"""
print("> 用户口令变更请求")
req = tdapi.CThostFtdcUserPasswordUpdateField()
req.BrokerID = self._broker_id
req.UserID = self._user
req.OldPassword = old_password
req.NewPassword = new_password
self._check_req(req, self._api.ReqUserPasswordUpdate(req, 0))
def OnRspUserPasswordUpdate(
self,
pUserPasswordUpdate: tdapi.CThostFtdcUserPasswordUpdateField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""用户口令变更响应"""
self._check_rsp(pRspInfo, pUserPasswordUpdate, bIsLast)
def qry_order_comm_rate(self, instrument_id: str):
"""查询申报费率"""
print("> 请求查询申报费率")
req = tdapi.CThostFtdcQryInstrumentOrderCommRateField()
req.BrokerID = self._broker_id
req.InvestorID = self._user
req.InstrumentID = instrument_id
self._check_req(req, self._api.ReqQryInstrumentOrderCommRate(req, 0))
def OnRspQryInstrumentOrderCommRate(
self,
pInstrumentOrderCommRate: tdapi.CThostFtdcInstrumentOrderCommRateField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""查询申报费率应答"""
self._check_rsp(pRspInfo, pInstrumentOrderCommRate, bIsLast)
def qry_investor_position(self, instrument_id: str = ""):
"""查询投资者持仓"""
print("> 请求查询投资者持仓")
req = tdapi.CThostFtdcQryInvestorPositionField()
req.BrokerID = self._broker_id
req.InvestorID = self._user
req.InstrumentID = instrument_id # 可指定合约
self._check_req(req, self._api.ReqQryInvestorPosition(req, 0))
def OnRspQryInvestorPosition(
self,
pInvestorPosition: tdapi.CThostFtdcInvestorPositionField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""查询投资者持仓响应"""
self._check_rsp(pRspInfo, pInvestorPosition, bIsLast)
def qry_investor_position_detail(self, instrument_id: str = ""):
"""查询投资者持仓"""
print("> 请求查询投资者持仓明细")
req = tdapi.CThostFtdcQryInvestorPositionDetailField()
req.BrokerID = self._broker_id
req.InvestorID = self._user
req.InstrumentID = instrument_id # 可指定合约
self._check_req(req, self._api.ReqQryInvestorPositionDetail(req, 0))
def OnRspQryInvestorPositionDetail(
self,
pInvestorPositionDetail: tdapi.CThostFtdcInvestorPositionDetailField,
pRspInfo: tdapi.CThostFtdcRspInfoField,
nRequestID: int,
bIsLast: bool,
):
"""查询投资者持仓明细响应"""
self._check_rsp(pRspInfo, pInvestorPositionDetail, bIsLast)
def wait(self):
# 阻塞 等待
self._wait_queue.get()
input("-------------------------------- 按任意键退出 trader api demo ")
self.release()
if __name__ == "__main__":
spi = CTdSpiImpl(
conf.fronts["simnow"]["td"],
conf.user,
conf.password,
conf.authcode,
conf.appid,
conf.broker_id,
)
# 等待登录成功
while True:
time.sleep(1)
if spi.is_login:
# SHFE:上期所 | DCE:大商所 |CZCE:郑商所 | CFFEX:中金所 | INE:能源中心
# 投资者结算结果确认
# spi.settlement_info_confirm()
# 请求查询合约
# spi.qry_instrument("DCE")
# spi.qry_instrument(exchange_id="CZCE")
# spi.qry_instrument(product_id="i")
# spi.qry_instrument(instrument_id="CF411")
# 请求查询合约手续费
# spi.qry_instrument_commission_rate("fu2409")
# 请求查询合约保证金率
# spi.qry_instrument_margin_rate(instrument_id="fu2409")
# spi.qry_depth_market_data()
# 请求查询行情
spi.qry_depth_market_data(instrument_id="ag2410")
# spi.market_order_insert("CZCE", "RM411",2)
# spi.limit_order_insert("SHFE", "ag2410", 6278, 50)
# spi.limit_order_insert("CZCE", "RS407", 5670, 1)
# 订单撤单需要带上原始订单号
# spi.order_cancel1("SHFE", "ag2410", " 789429")
# spi.order_cancel2("CZCE", "CF411", 1, -1111111, "3")
# 请求查询交易编码
# spi.qry_trading_code("CZCE")
# 查询交易所
# spi.qry_exchange("DCE")
# 查询交易者持仓
# spi.qry_investor_position()
# 查询交易者持仓明细
# spi.qry_investor_position_detail("ag2410")
# spi.user_password_update("sWJedore20@#0808", "sWJedore20@#0807")
# spi.qry_order_comm_rate("ss2407")
break
# 代码中的请求参数编写时测试通过, 不保证以后一定成功。
# 需要测试哪个请求, 取消下面对应的注释, 并按需修改参请求参数即可。
# spi.limit_order_insert("CZCE", "CF411", 12000, 1)
# spi.settlement_info_confirm()
# spi.qry_instrument()
# spi.qry_instrument(exchange_id="CZCE","DCE")
# spi.qry_instrument(product_id="AP")
# spi.qry_instrument(instrument_id="fu2405")
# spi.qry_instrument_commission_rate("br2409")
# spi.qry_instrument_commission_rate("ZC309")
# spi.qry_instrument_margin_rate()
# spi.qry_instrument_margin_rate(instrument_id="ZC309")
# spi.qry_depth_market_data()
# spi.qry_depth_market_data(instrument_id="ZC309")
# spi.market_order_insert("CZCE", "CF411")
# spi.limit_order_insert("CZCE", "CF411", 15000)
# spi.order_cancel1("CZCE", "CF411", " 4858")
# spi.order_cancel2("CZCE", "CF411", 1, -1111111, "3")
# spi.qry_trading_code("CZCE")
# spi.qry_exchange("DCE")
# spi.user_password_update("sWJedore20@#0808", "sWJedore20@#0807")
# spi.qry_order_comm_rate("ss2407")
spi.wait()
接口支持的版本信息需要跟券商技术确认!!! 上面这是openctp的交易函数的源代码,6.7.0的CTP--基于python的接口函数封装的源代码,我已经在simnow和券商的相同6.7.0的CTP版本(接口支持的版本信息需要跟券商技术确认!!!)的接口上基本调通了.