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# -*- coding: utf-8 -*-
from ctypes import *
"""
ErrorIDType是一个错误代码类型
"""
ErrorIDType = c_int
"""
ErrorMsgType是一个错误信息类型
"""
ErrorMsgType = c_char * 256
"""
PriceType是一个价格类型
"""
PriceType = c_double
"""
VolumeType是一个交易量类型
"""
VolumeType = c_int
"""
QtyType是一个交易量类型
"""
QtyType = c_double
"""
LargeVolumeType是一个大额数量类型
"""
LargeVolumeType = c_double
"""
InstrumentIDType是一个合约代码类型
"""
InstrumentIDType = c_char * 31
"""
SymbolType是一个合约唯一符号类型
"""
SymbolType = c_char * 64
"""
DateTimeType是一个日期时间类型
"""
DateTimeType = c_char * 32
"""
ExchangeIDType是一个交易所代码类型
"""
ExchangeIDType = c_char * 9
"""
MoneyType是一个资金类型
"""
MoneyType = c_double
"""
DateType是一个日期类型
"""
DateType = c_char * 9
DateIntType = c_int
"""
TimeType是一个时间类型
"""
TimeType = c_char * 9
TimeIntType = c_int
"""
UserIDType是一个用户代码类型
"""
UserIDType = c_char * 32
AccountIDType = c_char * 32
"""
TFtdcPasswordType是一个密码类型
"""
PasswordType = c_char * 41
"""
PartyNameType是一个参与人名称类型
"""
PartyNameType = c_char * 81
"""
IdentifiedCardNoType是一个证件号码类型
"""
IdentifiedCardNoType = c_char * 51
"""
ProductInfoType是一个产品信息类型
"""
ProductInfoType = c_char * 11
"""
BrokerIDType是一个经纪公司代码类型
"""
BrokerIDType = c_char * 11
"""
AuthCodeType是一个客户端认证码类型
"""
AuthCodeType = c_char * 17
"""
AddressType是一个地址类型
"""
AddressType = c_char * 512
"""
ExtendInformationType是一个扩展信息类型
"""
ExtendInformationType = c_char * 128
"""
VolumeMultipleType是一个合约数量乘数类型
"""
VolumeMultipleType = c_int
"""
InstrumentNameType是一个合约名称类型
"""
InstrumentNameType = c_char * 64
"""
ContentType是一个消息正文类型
"""
ContentType = c_char * 501
"""
SessionIDType是一个会话编号类型
"""
SessionIDType = c_char * 32
"""
OrderIDType是一个订单唯一编号类型
"""
OrderIDType = c_char * 64
"""
TradeIDType是一个成交编号类型
"""
TradeIDType = c_char * 64
"""
PositionIDType是一个持仓编号类型
"""
PositionIDType = c_char * 64
"""
BarSizeType是一个BarSize类型
"""
BarSizeType = c_long
SizeType = c_int
"""
连接状态枚举
"""
ConnectionStatus = c_char
# 未初始化
Uninitialized = ConnectionStatus(b'\x00')
# 已经初始化
Initialized = ConnectionStatus(b'\x01')
# 连接已经断开
Disconnected = ConnectionStatus(b'\x02')
# 连接中
Connecting = ConnectionStatus(b'\x03')
# 连接成功
Connected = ConnectionStatus(b'\x04')
# 授权中
Authorizing = ConnectionStatus(b'\x05')
# 授权成功
Authorized = ConnectionStatus(b'\x06')
# 登录中
Logining = ConnectionStatus(b'\x07')
# 登录成功
Logined = ConnectionStatus(b'\x08')
# 结算单确认中
Confirming = ConnectionStatus(b'\t')
# 已经确认
Confirmed = ConnectionStatus(b'\n')
# Doing
Doing = ConnectionStatus(b'\x0b')
# 完成
Done = ConnectionStatus(b'\x0c')
# 未知
Unknown = ConnectionStatus(b'\r')
ApiType = c_char
Nono = ApiType(b'\x00')
Trade = ApiType(b'\x01')
MarketData = ApiType(b'\x02')
Level2 = ApiType(b'\x04')
QuoteRequest = ApiType(b'\x08')
HistoricalData = ApiType(chr(16))
Instrument = ApiType(chr(32))
DepthLevelType = c_char
L0 = DepthLevelType(b'\x00')
L1 = DepthLevelType(b'\x01')
L5 = DepthLevelType(b'\x02')
L10 = DepthLevelType(b'\x03')
FULL = DepthLevelType(b'\x04')
ResumeType = c_char
Restart = ResumeType(b'\x00')
Resume = ResumeType(b'\x01')
Quick = ResumeType(b'\x02')
PutCall = c_char
Put = PutCall(b'\x00')
Call = PutCall(b'\x01')
OrderStatus = c_char
NotSent = OrderStatus(b'\x00')
PendingNew = OrderStatus(b'\x01')
New = OrderStatus(b'\x02')
Rejected = OrderStatus(b'\x03')
PartiallyFilled = OrderStatus(b'\x04')
Filled = OrderStatus(b'\x05')
PendingCancel = OrderStatus(b'\x06')
Cancelled = OrderStatus(b'\x07')
Expired = OrderStatus(b'\x08')
PendingReplace = OrderStatus(b'\t')
Replaced = OrderStatus(b'\n')
OrderSide = c_char
Buy = OrderSide(b'\x00')
Sell = OrderSide(b'\x01')
OrderType = c_char
Market = OrderType(b'\x00')
Stop = OrderType(b'\x01')
Limit = OrderType(b'\x02')
StopLimit = OrderType(b'\x03')
MarketOnClose = OrderType(b'\x04')
TrailingStop = OrderType(b'\x05')
TrailingStopLimit = OrderType(b'\x06')
TimeInForce = c_char
ATC = TimeInForce(b'\x00')
Day = TimeInForce(b'\x01')
GTC = TimeInForce(b'\x02')
IOC = TimeInForce(b'\x03')
OPG = TimeInForce(b'\x04')
OC = TimeInForce(b'\x05')
FOK = TimeInForce(b'\x06')
GTX = TimeInForce(b'\x07')
GTD = TimeInForce(b'\x08')
GFS = TimeInForce(b'\t')
PositionSide = c_char
Long = PositionSide(b'\x00')
Short = PositionSide(b'\x01')
ExecType = c_char
ExecNew = ExecType(b'\x00')
ExecRejected = ExecType(b'\x01')
ExecTrade = ExecType(b'\x02')
ExecPendingCancel = ExecType(b'\x03')
ExecCancelled = ExecType(b'\x04')
ExecCancelReject = ExecType(b'\x05')
ExecPendingReplace = ExecType(b'\x06')
ExecReplace = ExecType(b'\x07')
ExecReplaceReject = ExecType(b'\x08')
OpenCloseType = c_char
Open = OpenCloseType(b'\x00')
Close = OpenCloseType(b'\x01')
CloseToday = OpenCloseType(b'\x02')
HedgeFlagType = c_char
Speculation = HedgeFlagType(b'\x00')
Arbitrage = HedgeFlagType(b'\x01')
Hedge = HedgeFlagType(b'\x02')
MarketMaker = HedgeFlagType(b'\x03')
InstrumentType = c_char
Stock = InstrumentType(b'\x00')
Future = InstrumentType(b'\x01')
Option = InstrumentType(b'\x02')
FutureOption = InstrumentType(b'\x03')
Bond = InstrumentType(b'\x04')
FX = InstrumentType(b'\x05')
Index = InstrumentType(b'\x06')
ETF = InstrumentType(b'\x07')
MultiLeg = InstrumentType(b'\x08')
Synthetic = InstrumentType(b'\t')
BarType = c_char
Time = BarType(b'\x00')
Tick = BarType(b'\x01')
Volume = BarType(b'\x02')
Range = BarType(b'\x03')
DataObjetType = c_char
Tick_ = DataObjetType(chr(0))
Bid = DataObjetType(chr(2))
Ask = DataObjetType(chr(3))
Trade_ = DataObjetType(chr(4))
Quote = DataObjetType(chr(5))
Bar = DataObjetType(chr(6))
Level2_ = DataObjetType(chr(7))
Level2Snapshot = DataObjetType(chr(8))
Level2Update = DataObjetType(chr(9))
IdCardType = c_char
EID = IdCardType(chr(0))
IDCard = IdCardType(chr(1))
OfficerIDCard = IdCardType(chr(2))
PoliceIDCard = IdCardType(chr(3))
SoldierIDCard = IdCardType(chr(4))
HouseholdRegister = IdCardType(chr(5))
Passport = IdCardType(chr(6))
TaiwanCompatriotIDCard = IdCardType(chr(7))
HomeComingCard = IdCardType(chr(8))
LicenseNo = IdCardType(chr(9))
TaxNo = IdCardType(chr(10))
HMMainlandTravelPermit = IdCardType(chr(11))
TwMainlandTravelPermit = IdCardType(chr(12))
DrivingLicense = IdCardType(chr(13))
SocialID = IdCardType(chr(14))
LocalID = IdCardType(chr(15))
BusinessRegistration = IdCardType(chr(16))
HKMCIDCard = IdCardType(chr(17))
AccountsPermits = IdCardType(chr(18))
OtherCard = IdCardType(chr(19))
ExchangeType = c_char
Undefined_ = ExchangeType(chr(0))
SHFE = ExchangeType(chr(1)) # 上期所
DCE = ExchangeType(chr(2)) # 大商所
CZCE = ExchangeType(chr(3)) # 郑商所
CFFEX = ExchangeType(chr(4)) # 中金所
INE = ExchangeType(chr(5)) # 能源中心
SSE = ExchangeType(chr(6)) # 上交所
SZE = ExchangeType(chr(7)) # 深交所
NEEQ = ExchangeType(chr(8)) # 全国中小企业股份转让系统三板，临时这么写
HKEx = ExchangeType(chr(9))
class PositionField(Structure):
_fields_ = [
("Side", PositionSide),
("Position", QtyType),
("TdPosition", QtyType),
("YdPosition", QtyType),
("HedgeFlag", HedgeFlagType),
# TThostFtdcPositionDateType 还没处理
# 唯一符号
("Symbol", SymbolType),
# 合约代码
("InstrumentID", InstrumentIDType),
# 交易所代码
("ExchangeID", ExchangeIDType),
]
class QuoteField(Structure):
_fields_ = [
("AskQty", QtyType),
("AskPrice", PriceType),
("AskOpenClose", OpenCloseType),
("AskHedgeFlag", HedgeFlagType),
("BidQty", QtyType),
("BidPrice", PriceType),
("BidOpenClose", OpenCloseType),
("BidHedgeFlag", HedgeFlagType),
("Status", OrderStatus),
("ExecType", ExecType),
("ErrorID", ErrorIDType),
("InstrumentID", InstrumentIDType),
("ExchangeID", ExchangeIDType),
# 询价编号
("QuoteReqID", OrderIDType),
("ID", OrderIDType),
("AskID", OrderIDType),
("BidID", OrderIDType),
("AskOrderID", OrderIDType),
("BidOrderID", OrderIDType),
("Text", ErrorMsgType),
]
class OrderField(Structure):
_fields_ = [
("Type", OrderType),
("Side", OrderSide),
("Qty", QtyType),
("Price", PriceType),
("OpenClose", OpenCloseType),
("HedgeFlag", HedgeFlagType),
("StopPx", PriceType),
("TimeInForce", TimeInForce),
("Status", OrderStatus),
("ExecType", ExecType),
("LeavesQty", QtyType),
("CumQty", QtyType),
("AvgPx", PriceType),
("ErrorID", ErrorIDType),
("Time", TimeIntType),
("InstrumentID", InstrumentIDType),
("ExchangeID", ExchangeIDType),
("Text", ErrorMsgType),
("ID", OrderIDType),
("OrderID", OrderIDType),
("ClientID", UserIDType),
("Account", AccountIDType),
]
class TradeField(Structure):
_fields_ = [
("Side", OrderSide),
("Qty", QtyType),
("Price", PriceType),
("OpenClose", OpenCloseType),
("HedgeFlag", HedgeFlagType),
("Commission", MoneyType),
("Time", TimeIntType),
("InstrumentID", InstrumentIDType),
("ExchangeID", ExchangeIDType),
("ID", OrderIDType),
("TradeID", TradeIDType),
]
class ServerInfoField(Structure):
_fields_ = [
("IsUsingUdp", c_bool),
("IsMulticast", c_bool),
("TopicId", c_int),
("Port", c_int),
("MarketDataTopicResumeType", ResumeType),
("PrivateTopicResumeType", ResumeType),
("PublicTopicResumeType", ResumeType),
("UserTopicResumeType", ResumeType),
("BrokerID", BrokerIDType),
("UserProductInfo", ProductInfoType),
("AuthCode", AuthCodeType),
("Address", AddressType),
("ExtendInformation", ExtendInformationType),
]
class ConfigInfoField(Structure):
_fields_ = [
("DirectOutput", c_bool),
]
# 用户信息
class UserInfoField(Structure):
_fields_ = [
# 用户代码
("UserID", UserIDType),
# 密码
("Password", PasswordType),
]
# 错误信息
class ErrorField(Structure):
_fields_ = [
# 错误代码
("ErrorID", ErrorIDType),
# 错误信息
("ErrorMsg", ErrorMsgType),
]
# 登录回报
class RspUserLoginField(Structure):
_fields_ = [
# 交易日
("TradingDay", DateIntType),
# 时间
("LoginTime", TimeIntType),
# 错误代码
("ErrorID", ErrorIDType),
# 会话ID
("SessionID", SessionIDType),
# 错误信息
("ErrorMsg", ErrorMsgType),
# 投资者名称
("InvestorName", PartyNameType),
]
# 深度行情N档
class DepthMarketDataNField(Structure):
_fields_ = [
# 占用总字节大小
("Size", SizeType),
# 交易所时间
# 交易日，用于给数据接收器划分到同一文件使用，基本没啥别的用处
("TradingDay", DateIntType),
("ActionDay", DateIntType),
("UpdateTime", TimeIntType),
("UpdateMillisec", TimeIntType),
# 交易所代码
("Exchange", ExchangeType),
#唯一符号
("Symbol", SymbolType),
#合约代码
("InstrumentID", InstrumentIDType),
#最新价
("LastPrice", PriceType),
#数量
("Volume", LargeVolumeType),
#成交金额
("Turnover", MoneyType),
#持仓量
("OpenInterest", LargeVolumeType),
#当日均价
("AveragePrice", PriceType),
#今开盘
("OpenPrice", PriceType),
#最高价
("HighestPrice", PriceType),
#最低价
("LowestPrice", PriceType),
#今收盘
("ClosePrice", PriceType),
#本次结算价
("SettlementPrice", PriceType),
#涨停板价
("UpperLimitPrice", PriceType),
#跌停板价
("LowerLimitPrice", PriceType),
#昨收盘
("PreClosePrice", PriceType),
#上次结算价
("PreSettlementPrice", PriceType),
#昨持仓量
("PreOpenInterest", LargeVolumeType),
#买档个数
("BidCount", SizeType)
]
class DepthField(Structure):
_fields_ = [
("Price", PriceType),
("Size", VolumeType),
("Count", VolumeType)
]
# Tick行情
class TickField(Structure):
_fields_ = [
# 交易所时间
("Date", DateIntType),
("Time", TimeIntType),
("Millisecond", TimeIntType),
("LastPrice", PriceType),
# 数量
("Volume", LargeVolumeType),
# 持仓量
("OpenInterest", LargeVolumeType),
("BidPrice1", PriceType),
("AskPrice1", PriceType),
("BidSize1", VolumeType),
("AskSize1", VolumeType),
]
# Bar行情
class BarField(Structure):
_fields_ = [
# 交易所时间
("Date", DateIntType),
("Time", TimeIntType),
# 开
("Open", PriceType),
# 高
("High", PriceType),
# 低
("Low", PriceType),
# 收
("Close", PriceType),
# 数量
("Volume", LargeVolumeType),
# 持仓量
("OpenInterest", LargeVolumeType),
# 成交金额
("Turnover", MoneyType),
]
# 发给做市商的询价请求
class QuoteRequestField(Structure):
_fields_ = [
# 交易日
("TradingDay", DateIntType),
# 询价时间
("QuoteTime", TimeIntType),
# 唯一符号
("Symbol", SymbolType),
# 合约代码
("InstrumentID", InstrumentIDType),
# 交易所代码
("ExchangeID", ExchangeIDType),
# 询价编号
("QuoteID", OrderIDType),
]
# 合约
class InstrumentField(Structure):
_fields_ = [
# 合约名称
("Type", InstrumentType),
# 合约数量乘数
("VolumeMultiple", VolumeMultipleType),
# 最小变动价位
("PriceTick", PriceType),
# 到期日
("ExpireDate", DateIntType),
# 执行价
("StrikePrice", PriceType),
# 期权类型
("OptionsType", PutCall),
# 唯一符号
("Symbol", SymbolType),
# 合约代码
("InstrumentID", InstrumentIDType),
# 交易所代码
("ExchangeID", ExchangeIDType),
# 产品代码
("ProductID", InstrumentIDType),
# 合约名称
("InstrumentName", InstrumentNameType),
# 基础商品代码
("UnderlyingInstrID", InstrumentIDType),
]
# 账号
class AccountField(Structure):
_fields_ = [
# 上次结算准备金
("PreBalance", MoneyType),
# 当前保证金总额
("CurrMargin", MoneyType),
# 平仓盈亏
("CloseProfit", MoneyType),
# 持仓盈亏
("PositionProfit", MoneyType),
# 期货结算准备金
("Balance", MoneyType),
# 可用资金
("Available", MoneyType),
# 入金金额
("Deposit", MoneyType),
# 出金金额
("Withdraw", MoneyType),
# 冻结的过户费
("FrozenTransferFee", MoneyType),
# 冻结的印花税
("FrozenStampTax", MoneyType),
# 冻结的手续费
("FrozenCommission", MoneyType),
# 冻结的资金
("FrozenCash", MoneyType),
# 过户费
("TransferFee", MoneyType),
# 印花税
("StampTax", MoneyType),
# 手续费
("Commission", MoneyType),
# 资金差额
("CashIn", MoneyType),
]
# 账号
class SettlementInfoField(Structure):
_fields_ = [
# 交易日
("TradingDay", DateIntType),
# 消息正文
("Content", ContentType),
]
# 投资者
class InvestorField(Structure):
_fields_ = [
("IdentifiedCardType", IdCardType),
# 用户代码
("InvestorID", UserIDType),
("BrokerID", BrokerIDType),
# 证件号码
("IdentifiedCardNo", IdentifiedCardNoType),
# 投资者名称
("InvestorName", PartyNameType),
]
class HistoricalDataRequestField(Structure):
_fields_ = [
("Date1", c_int),
("Date2", c_int),
("Time1", c_int),
("Time2", c_int),
("DataType", DataObjetType),
("BarType", BarType),
("BarSize", c_long),
("RequestId", c_int),
("CurrentDate", c_int),
("lRequest", c_int),
# 唯一符号
("Symbol", SymbolType),
# 合约代码
("InstrumentID", InstrumentIDType),
# 交易所代码
("ExchangeID", ExchangeIDType),
]
"""
Queue
"""
RequestType = c_char
GetApiType = RequestType(chr(0))
GetApiVersion = RequestType(chr(1))
GetApiName = RequestType(chr(2))
Create = RequestType(chr(3))
Release = RequestType(chr(4))
Register = RequestType(chr(5))
Config = RequestType(chr(6))
Connect = RequestType(chr(7))
Disconnect = RequestType(chr(8))
Clear = RequestType(chr(9))
Process = RequestType(chr(10))
Subscribe = RequestType(chr(11))
Unsubscribe = RequestType(chr(12))
SubscribeQuote = RequestType(chr(13))
UnsubscribeQuote = RequestType(chr(14))
ReqOrderInsert = RequestType(chr(15))
ReqQuoteInsert = RequestType(chr(16))
ReqOrderAction = RequestType(chr(17))
ReqQuoteAction = RequestType(chr(18))
ReqQryOrder = RequestType(chr(19))
ReqQryTrade = RequestType(chr(20))
ReqQryInstrument = RequestType(chr(21))
ReqQryTradingAccount = RequestType(chr(22))
ReqQryInvestorPosition = RequestType(chr(23))
ReqQryInvestorPositionDetail = RequestType(chr(24))
ReqQryInstrumentCommissionRate = RequestType(chr(25))
ReqQryInstrumentMarginRate = RequestType(chr(26))
ReqQrySettlementInfo = RequestType(chr(27))
ReqQryHistoricalTicks = RequestType(chr(28))
ReqQryHistoricalBars = RequestType(chr(29))
ResponeType = c_char
OnConnectionStatus = ResponeType(chr(64))
OnRtnDepthMarketData = ResponeType(chr(65))
OnRtnError = ResponeType(chr(66))
OnRspQryInstrument = ResponeType(chr(67))
OnRspQryTradingAccount = ResponeType(chr(68))
OnRspQryInvestorPosition = ResponeType(chr(69))
OnRspQrySettlementInfo = ResponeType(chr(70))
OnRtnOrder = ResponeType(chr(71))
OnRtnTrade = ResponeType(chr(72))
OnRtnQuote = ResponeType(chr(73))
OnRtnQuoteRequest = ResponeType(chr(74))
OnRspQryHistoricalTicks = ResponeType(chr(75))
OnRspQryHistoricalBars = ResponeType(chr(76))
OnRspQryInvestor = ResponeType(chr(77))
OnFilterSubscribe = ResponeType(chr(78))
# function
fnOnRespone = WINFUNCTYPE(None, c_char, c_void_p, c_void_p, c_double, c_double, c_void_p, c_int, c_void_p, c_int,
c_void_p, c_int)
def get_depth_market_data(p_market_data):
"""
指针转换为行情数据
:param p_market_data:
:return:
"""
market_data = cast(p_market_data, POINTER(DepthMarketDataNField)).contents
return market_data
def get_bid_count(p_market_data):
"""
Bid Count
:param p_market_data:
:return:
"""
market_data = get_depth_market_data(p_market_data)
return market_data.BidCount
def get_ask_count(p_market_data):
"""
Ask Count
:param p_market_data:
:return:
"""
market_data = get_depth_market_data(p_market_data)
size = market_data.Size
bid_count = market_data.BidCount
count = (size - sizeof(DepthMarketDataNField)) / sizeof(DepthField)
return count - bid_count
def get_bid(p_market_data, pos):
"""
获取买档，pos=1表示买1
:param p_market_data:
:param pos:
:return:
"""
bid_count = get_bid_count(p_market_data)
if pos <= 0 or pos > bid_count:
return None
p = p_market_data + sizeof(DepthMarketDataNField) + sizeof(DepthField) * (pos - 1)
return cast(p, POINTER(DepthField)).contents
def get_ask(p_market_data, pos):
"""
获取卖档，pos=1表示卖1
:param p_market_data:
:param pos:
:return:
"""
ask_count = get_ask_count(p_market_data)
if pos <= 0 or pos > ask_count:
return None
p = p_market_data + sizeof(DepthMarketDataNField) + sizeof(DepthField) * (
get_bid_count(p_market_data) + pos - 1)
return cast(p, POINTER(DepthField)).contents
def get_all_bids(p_market_data):
"""
获取所有买档数据
:param p_market_data:
:return:
"""
total = get_bid_count(p_market_data)
bids = []
for i in range(0, total):
p = p_market_data + sizeof(DepthMarketDataNField) + sizeof(DepthField) * i
bids.append(cast(p, POINTER(DepthField)).contents)
return bids
def get_all_asks(p_market_data):
"""
获取所有卖档数据