#!/usr/bin/python
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# -*- coding: UTF-8 -*-
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import sys
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import lev2mdapi
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Front_Address = "tcp://10.0.1.101:6900"
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Multicast_Address = "udp://224.224.2.19:7889"
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Multicast_Address2 = "udp://224.224.224.234:7890"
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Local_Interface_Address = "192.168.84.75"
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Sender_Interface_Address = "10.0.1.101"
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g_SubMarketData = True;
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g_SubTransaction = True;
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g_SubOrderDetail = True;
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g_SubXTSTick = True;
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g_SubXTSMarketData = True;
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g_SubNGTSTick = True;
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g_SubBondMarketData = True;
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g_SubBondTransaction = True;
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g_SubBondOrderDetail = True;
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SH_Securities = [b"600035", b"510050", b"600000"];
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SH_XTS_Securities = [b"018003", b"113565"];
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SZ_Securities = [b"000001", b"128048", b"128125"];
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SZ_Bond_Securities = [b"100303", b"109559", b"112617"];
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class Lev2MdSpi(lev2mdapi.CTORATstpLev2MdSpi):
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def __init__(self, api):
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lev2mdapi.CTORATstpLev2MdSpi.__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
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login_req = lev2mdapi.CTORATstpReqUserLoginField()
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self.__api.ReqUserLogin(login_req, 1)
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def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
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print("OnRspUserLogin: ErrorID[%d] ErrorMsg[%s] RequestID[%d] IsLast[%d]" % (
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pRspInfo['ErrorID'], pRspInfo['ErrorMsg'], nRequestID, bIsLast))
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if pRspInfo['ErrorID'] == 0:
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if g_SubMarketData:
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self.__api.SubscribeMarketData(SH_Securities, lev2mdapi.TORA_TSTP_EXD_SSE);
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self.__api.SubscribeMarketData(SZ_Securities, lev2mdapi.TORA_TSTP_EXD_SZSE);
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if g_SubTransaction:
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self.__api.SubscribeTransaction(SH_Securities, lev2mdapi.TORA_TSTP_EXD_SSE);
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self.__api.SubscribeTransaction(SZ_Securities, lev2mdapi.TORA_TSTP_EXD_SZSE);
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if g_SubOrderDetail:
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self.__api.SubscribeOrderDetail(SH_Securities, lev2mdapi.TORA_TSTP_EXD_SSE);
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self.__api.SubscribeOrderDetail(SZ_Securities, lev2mdapi.TORA_TSTP_EXD_SZSE);
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if g_SubXTSTick:
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self.__api.SubscribeXTSTick(SH_XTS_Securities, lev2mdapi.TORA_TSTP_EXD_SSE);
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if g_SubXTSMarketData:
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self.__api.SubscribeXTSMarketData(SH_XTS_Securities, lev2mdapi.TORA_TSTP_EXD_SSE);
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if g_SubBondMarketData:
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self.__api.SubscribeBondMarketData(SZ_Bond_Securities, lev2mdapi.TORA_TSTP_EXD_SZSE);
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if g_SubBondTransaction:
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self.__api.SubscribeBondTransaction(SZ_Bond_Securities, lev2mdapi.TORA_TSTP_EXD_SZSE);
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if g_SubBondOrderDetail:
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self.__api.SubscribeBondOrderDetail(SZ_Bond_Securities, lev2mdapi.TORA_TSTP_EXD_SZSE);
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# 4.0.5版本接口
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if g_SubNGTSTick:
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self.__api.SubscribeNGTSTick(SH_Securities, lev2mdapi.TORA_TSTP_EXD_SSE);
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def OnRspSubMarketData(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubMarketData")
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def OnRspSubIndex(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubIndex")
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def OnRspSubTransaction(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubTransaction")
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def OnRspSubOrderDetail(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubOrderDetail")
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def OnRspSubBondMarketData(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubBondMarketData")
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def OnRspSubBondTransaction(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubBondTransaction")
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def OnRspSubBondOrderDetail(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubBondOrderDetail")
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def OnRspSubXTSMarketData(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubXTSMarketData")
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def OnRspSubXTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubXTSTick")
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# 4.0.5版本接口
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def OnRspSubNGTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubNGTSTick")
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def OnRtnMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
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FirstLevelSellOrderVolumes):
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# 输出行情快照数据
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print(
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"OnRtnMarketData SecurityID[%s] LastPrice[%.2f] TotalVolumeTrade[%d] TotalValueTrade[%.2f] BidPrice1[%.2f] BidVolume1[%d] AskPrice1[%.2f] AskVolume1[%d]" % (
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pDepthMarketData['SecurityID'],
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pDepthMarketData['LastPrice'],
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pDepthMarketData['TotalValueTrade'],
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pDepthMarketData['TotalValueTrade'],
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pDepthMarketData['BidPrice1'],
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pDepthMarketData['BidVolume1'],
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pDepthMarketData['AskPrice1'],
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pDepthMarketData['AskVolume1']))
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# 输出一档价位买队列前50笔委托数量
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for buy_index in range(0, FirstLevelBuyNum):
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print("first level buy [%d] : [%d]" % (buy_index, FirstLevelBuyOrderVolumes[buy_index]))
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# 输出一档价位卖队列前50笔委托数量
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for sell_index in range(0, FirstLevelSellNum):
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print("first level sell [%d] : [%d]" % (sell_index, FirstLevelSellOrderVolumes[sell_index]))
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def OnRtnIndex(self, pIndex):
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# 输出指数行情数据
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print(
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"OnRtnIndex SecurityID[%s] LastIndex[%.2f] LowIndex[%.2f] HighIndex[%.2f] TotalVolumeTraded[%d] Turnover[%.2f]" % (
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pIndex['SecurityID'],
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pIndex['LastIndex'],
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pIndex['LowIndex'],
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pIndex['HighIndex'],
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pIndex['TotalVolumeTraded'],
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pIndex['Turnover']))
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def OnRtnTransaction(self, pTransaction):
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# 输出逐笔成交数据
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print(
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"OnRtnTransaction SecurityID[%s] TradePrice[%.2f] TradeVolume[%d] TradeTime[%d] MainSeq[%d] SubSeq[%d] BuyNo[%d] SellNo[%d]" % (
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pTransaction['SecurityID'],
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pTransaction['TradePrice'],
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pTransaction['TradeVolume'],
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pTransaction['TradeTime'],
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pTransaction['MainSeq'],
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pTransaction['SubSeq'],
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pTransaction['BuyNo'],
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pTransaction['SellNo']))
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def OnRtnOrderDetail(self, pOrderDetail):
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# 输出逐笔委托数据
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print(
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"OnRtnOrderDetail SecurityID[%s] Price[%.2f] Volume[%d] Side[%s] OrderType[%s] OrderTime[%d] MainSeq[%d] SubSeq[%d]" % (
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pOrderDetail['SecurityID'],
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pOrderDetail['Price'],
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pOrderDetail['Volume'],
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pOrderDetail['Side'],
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pOrderDetail['OrderType'],
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pOrderDetail['OrderTime'],
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pOrderDetail['MainSeq'],
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pOrderDetail['SubSeq']))
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def OnRtnBondMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
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FirstLevelSellOrderVolumes):
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# 输出行情快照数据
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print(
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"OnRtnBondMarketData SecurityID[%s] LastPrice[%.2f] TotalVolumeTrade[%d] TotalValueTrade[%.2f] BidPrice1[%.2f] BidVolume1[%d] AskPrice1[%.2f] AskVolume1[%d]" % (
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pDepthMarketData['SecurityID'],
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pDepthMarketData['LastPrice'],
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pDepthMarketData['TotalValueTrade'],
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pDepthMarketData['TotalValueTrade'],
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pDepthMarketData['BidPrice1'],
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pDepthMarketData['BidVolume1'],
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pDepthMarketData['AskPrice1'],
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pDepthMarketData['AskVolume1']))
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# 输出一档价位买队列前50笔委托数量
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for buy_index in range(0, FirstLevelBuyNum):
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print("first level buy [%d] : [%d]" % (buy_index, FirstLevelBuyOrderVolumes[buy_index]))
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# 输出一档价位卖队列前50笔委托数量
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for sell_index in range(0, FirstLevelSellNum):
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print("first level sell [%d] : [%d]" % (sell_index, FirstLevelSellOrderVolumes[sell_index]))
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def OnRtnBondTransaction(self, pTransaction):
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# 输出逐笔成交数据
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print(
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"OnRtnBondTransaction SecurityID[%s] TradePrice[%.2f] TradeVolume[%d] TradeTime[%d] MainSeq[%d] SubSeq[%d] BuyNo[%d] SellNo[%d]" % (
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pTransaction['SecurityID'],
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pTransaction['TradePrice'],
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pTransaction['TradeVolume'],
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pTransaction['TradeTime'],
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pTransaction['MainSeq'],
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pTransaction['SubSeq'],
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pTransaction['BuyNo'],
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pTransaction['SellNo']))
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def OnRtnBondOrderDetail(self, pOrderDetail):
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# 输出逐笔委托数据
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print(
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"OnRtnBondOrderDetail SecurityID[%s] Price[%.2f] Volume[%d] Side[%s] OrderType[%s] OrderTime[%d] MainSeq[%d] SubSeq[%d]" % (
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pOrderDetail['SecurityID'],
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pOrderDetail['Price'],
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pOrderDetail['Volume'],
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pOrderDetail['Side'],
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pOrderDetail['OrderType'],
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pOrderDetail['OrderTime'],
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pOrderDetail['MainSeq'],
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pOrderDetail['SubSeq']))
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def OnRtnXTSMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
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FirstLevelSellOrderVolumes):
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# 输出行情快照数据
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print(
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"OnRtnXTSMarketData SecurityID[%s] LastPrice[%.2f] TotalVolumeTrade[%d] TotalValueTrade[%.2f] BidPrice1[%.2f] BidVolume1[%d] AskPrice1[%.2f] AskVolume1[%d]" % (
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pDepthMarketData['SecurityID'],
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pDepthMarketData['LastPrice'],
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pDepthMarketData['TotalValueTrade'],
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pDepthMarketData['TotalValueTrade'],
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pDepthMarketData['BidPrice1'],
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pDepthMarketData['BidVolume1'],
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pDepthMarketData['AskPrice1'],
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pDepthMarketData['AskVolume1']))
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# 输出一档价位买队列前50笔委托数量
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for buy_index in range(0, FirstLevelBuyNum):
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print("first level buy [%d] : [%d]" % (buy_index, FirstLevelBuyOrderVolumes[buy_index]))
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# 输出一档价位卖队列前50笔委托数量
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for sell_index in range(0, FirstLevelSellNum):
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print("first level sell [%d] : [%d]" % (sell_index, FirstLevelSellOrderVolumes[sell_index]))
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def OnRtnXTSTick(self, pTick):
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# 输出上海债券逐笔数据’
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print(
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"OnXTSTick TickType[%s] SecurityID[%s] Price[%.2f] Volume[%d] TickTime[%d] MainSeq[%d] SubSeq[%d] BuyNo[%d] SellNo[%d]" % (
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pTick['TickType'],
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pTick['SecurityID'],
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pTick['Price'],
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pTick['Volume'],
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pTick['TickTime'],
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pTick['MainSeq'],
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pTick['SubSeq'],
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pTick['BuyNo'],
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pTick['SellNo']))
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def OnRtnNGTSTick(self, pTick):
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# 输出上海股基逐笔数据’
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print(
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"OnRtnNGTSTick TickType[%s] SecurityID[%s] Price[%.2f] Volume[%d] TickTime[%d] MainSeq[%d] SubSeq[%d] BuyNo[%d] SellNo[%d]" % (
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pTick['TickType'],
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pTick['SecurityID'],
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pTick['Price'],
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pTick['Volume'],
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pTick['TickTime'],
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pTick['MainSeq'],
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pTick['SubSeq'],
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pTick['BuyNo'],
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pTick['SellNo']))
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if __name__ == "__main__":
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print(lev2mdapi.CTORATstpLev2MdApi_GetApiVersion())
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# case 1: Tcp方式
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# g_SubMode=lev2mdapi.TORA_TSTP_MST_TCP
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# case 2: 组播方式
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g_SubMode = lev2mdapi.TORA_TSTP_MST_MCAST
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# case 1缓存模式
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global api
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api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi(g_SubMode, True)
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# case 2非缓存模式
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# api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi(g_SubMode, False)
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global spi
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spi = Lev2MdSpi(api)
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api.RegisterSpi(spi)
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if g_SubMode != lev2mdapi.TORA_TSTP_MST_MCAST:
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api.RegisterFront(Front_Address)
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else:
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# case 1 从一个组播地址收取行情
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api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "")
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# case 2:注册多个组播地址同时收行情
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# api.RegisterMulticast(Multicast_Address, Local_Interface_Address, Sender_Interface_Address);
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# api.RegisterMulticast(Multicast_Address2, Local_Interface_Address, Sender_Interface_Address);
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# case 3:efvi模式收行情
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# api.RegisterMulticast(Multicast_Address, Local_Interface_Address, Sender_Interface_Address, "enp101s0f0",4096, True);
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# case 1 不绑核运行
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api.Init()
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# case 2 绑核运行
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# api.Init("2,17")
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str = input("\n")
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