#!/usr/bin/python
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# -*- coding: UTF-8 -*-
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import time
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import xmdapi
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level1_data_dict = {
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}
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def get_sh_codes():
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with open("res/codes_sh.txt", encoding="utf-8") as f:
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lines = f.readlines()
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codes = []
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for line in lines:
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if line and len(line) >= 6:
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codes.append(line[2:].strip().encode("utf-8"))
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return codes
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def get_sz_codes():
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with open("res/codes_sz.txt", encoding="utf-8") as f:
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lines = f.readlines()
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codes = []
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for line in lines:
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if line and len(line) >= 6:
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codes.append(line[2:].strip().encode("utf-8"))
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return codes
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class MdSpi(xmdapi.CTORATstpXMdSpi):
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def __init__(self, api):
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xmdapi.CTORATstpXMdSpi.__init__(self)
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self.__api = api
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def OnFrontConnected(self):
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print("OnFrontConnected")
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# 请求登录，目前未校验登录用户，请求域置空即可
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login_req = xmdapi.CTORATstpReqUserLoginField()
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self.__api.ReqUserLogin(login_req, 1)
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def OnRspUserLogin(self, pRspUserLoginField, pRspInfoField, nRequestID):
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if pRspInfoField.ErrorID == 0:
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print('Login success! [%d]' % nRequestID)
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'''
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订阅行情
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当sub_arr中只有一个"00000000"的合约且ExchangeID填TORA_TSTP_EXD_SSE或TORA_TSTP_EXD_SZSE时，订阅单市场所有合约行情
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当sub_arr中只有一个"00000000"的合约且ExchangeID填TORA_TSTP_EXD_COMM时，订阅全市场所有合约行情
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其它情况，订阅sub_arr集合中的合约行情
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'''
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sub_arr = get_sh_codes()
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ret = self.__api.SubscribeMarketData(sub_arr, xmdapi.TORA_TSTP_EXD_SSE)
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if ret != 0:
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print('SubscribeMarketData fail, ret[%d]' % ret)
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else:
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print('SubscribeMarketData success, ret[%d]' % ret)
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sub_arr = get_sz_codes()
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ret = self.__api.SubscribeMarketData(sub_arr, xmdapi.TORA_TSTP_EXD_SZSE)
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if ret != 0:
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print('SubscribeMarketData fail, ret[%d]' % ret)
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else:
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print('SubscribeMarketData success, ret[%d]' % ret)
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# sub_arr = [b'600004']
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# ret = self.__api.UnSubscribeMarketData(sub_arr, xmdapi.TORA_TSTP_EXD_SSE)
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# if ret != 0:
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# print('UnSubscribeMarketData fail, ret[%d]' % ret)
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# else:
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# print('SubscribeMarketData success, ret[%d]' % ret)
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else:
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print('Login fail!!! [%d] [%d] [%s]'
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% (nRequestID, pRspInfoField.ErrorID, pRspInfoField.ErrorMsg))
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def OnRspSubMarketData(self, pSpecificSecurityField, pRspInfoField):
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if pRspInfoField.ErrorID == 0:
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print('OnRspSubMarketData: OK!')
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else:
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print('OnRspSubMarketData: Error! [%d] [%s]'
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% (pRspInfoField.ErrorID, pRspInfoField.ErrorMsg))
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def OnRspUnSubMarketData(self, pSpecificSecurityField, pRspInfoField):
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if pRspInfoField.ErrorID == 0:
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print('OnRspUnSubMarketData: OK!')
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else:
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print('OnRspUnSubMarketData: Error! [%d] [%s]'
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% (pRspInfoField.ErrorID, pRspInfoField.ErrorMsg))
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def OnRtnMarketData(self, pMarketDataField):
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close_price = round(pMarketDataField.UpperLimitPrice / 1.1, 2)
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rate = round((pMarketDataField.LastPrice - close_price) * 100 / close_price, 2)
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# print(pMarketDataField.SecurityID, pMarketDataField.SecurityName, rate, pMarketDataField.Volume)
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level1_data_dict[pMarketDataField.SecurityID] = (
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pMarketDataField.SecurityID, rate, pMarketDataField.Volume, time.time())
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# print(
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# "SecurityID[%s] SecurityName[%s] LastPrice[%.2f] Volume[%d] Turnover[%.2f] BidPrice1[%.2f] BidVolume1[%d] AskPrice1[%.2f] AskVolume1[%d] UpperLimitPrice[%.2f] LowerLimitPrice[%.2f]"
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# % (pMarketDataField.SecurityID, pMarketDataField.SecurityName, pMarketDataField.LastPrice,
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# pMarketDataField.Volume,
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# pMarketDataField.Turnover, pMarketDataField.BidPrice1, pMarketDataField.BidVolume1,
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# pMarketDataField.AskPrice1,
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# pMarketDataField.AskVolume1, pMarketDataField.UpperLimitPrice, pMarketDataField.LowerLimitPrice))
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if __name__ == "__main__":
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print(get_sh_codes())
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print(get_sz_codes())
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# 打印接口版本号
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print(xmdapi.CTORATstpXMdApi_GetApiVersion())
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# 创建接口对象
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api = xmdapi.CTORATstpXMdApi_CreateTstpXMdApi(xmdapi.TORA_TSTP_MST_MCAST)
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# 创建回调对象
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spi = MdSpi(api)
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# 注册回调接口
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api.RegisterSpi(spi)
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# 注册单个行情前置服务地址
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# api.RegisterFront("tcp://224.224.1.19:7880")
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# 注册多个行情前置服务地址，用逗号隔开
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# api.RegisterFront("tcp://10.0.1.101:6402,tcp://10.0.1.101:16402")
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# 注册名字服务器地址，支持多服务地址逗号隔开
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# api.RegisterNameServer('tcp://224.224.3.19:7888')
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# api.RegisterNameServer('tcp://10.0.1.101:52370,tcp://10.0.1.101:62370')
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api.RegisterMulticast("udp://224.224.1.19:7880", None, "")
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# 启动接口
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api.Init()
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# 等待程序结束
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while True:
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print("数量", len(level1_data_dict))
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time.sleep(3)
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# 释放接口对象
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api.Release()
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