#!/usr/bin/python # -*- coding: UTF-8 -*- import json import logging import time import socket_util import tool import xmdapi from client_network import SendResponseSkManager level1_data_dict = { } def __send_response(sk, msg): msg = socket_util.load_header(msg) sk.sendall(msg) result, header_str = socket_util.recv_data(sk) if result: result_json = json.loads(result) if result_json.get("code") == 0: return True return False def get_level1_codes(): type_ = "get_level1_codes" fdata = json.dumps( {"type": type_, "data": {}}) msg = fdata.encode("utf-8") # 发送消息 for i in range(3): try: sk = SendResponseSkManager.create_send_response_sk() msg = socket_util.load_header(msg) sk.sendall(msg) result, header_str = socket_util.recv_data(sk) # 读取代码 result_json = json.loads(result) if result_json["code"] == 0: codes = result_json["data"] codes_sh = [] codes_sz = [] for code in codes: if code.find("00") == 0: codes_sz.append(code.encode("utf-8")) else: codes_sh.append(code.encode("utf-8")) return codes_sh, codes_sz except ConnectionResetError: SendResponseSkManager.del_send_response_sk(type_) except BrokenPipeError: SendResponseSkManager.del_send_response_sk(type_) return None, None class MdSpi(xmdapi.CTORATstpXMdSpi): def __init__(self, api): self.codes_sh, self.codes_sz = get_level1_codes() xmdapi.CTORATstpXMdSpi.__init__(self) self.__api = api def OnFrontConnected(self): print("OnFrontConnected") # 请求登录，目前未校验登录用户，请求域置空即可 login_req = xmdapi.CTORATstpReqUserLoginField() self.__api.ReqUserLogin(login_req, 1) def OnRspUserLogin(self, pRspUserLoginField, pRspInfoField, nRequestID): if pRspInfoField.ErrorID == 0: print('Login success! [%d]' % nRequestID) ''' 订阅行情 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 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 其它情况，订阅sub_arr集合中的合约行情 ''' print(f"订阅数量：sh-{len(self.codes_sh)} sz-{len(self.codes_sz)}") if self.codes_sh: ret = self.__api.SubscribeMarketData(self.codes_sh, xmdapi.TORA_TSTP_EXD_SSE) if ret != 0: print('SubscribeMarketData fail, ret[%d]' % ret) else: print('SubscribeMarketData success, ret[%d]' % ret) if self.codes_sz: ret = self.__api.SubscribeMarketData(self.codes_sz, xmdapi.TORA_TSTP_EXD_SZSE) if ret != 0: print('SubscribeMarketData fail, ret[%d]' % ret) else: print('SubscribeMarketData success, ret[%d]' % ret) # sub_arr = [b'600004'] # ret = self.__api.UnSubscribeMarketData(sub_arr, xmdapi.TORA_TSTP_EXD_SSE) # if ret != 0: # print('UnSubscribeMarketData fail, ret[%d]' % ret) # else: # print('SubscribeMarketData success, ret[%d]' % ret) else: print('Login fail!!! [%d] [%d] [%s]' % (nRequestID, pRspInfoField.ErrorID, pRspInfoField.ErrorMsg)) def OnRspSubMarketData(self, pSpecificSecurityField, pRspInfoField): if pRspInfoField.ErrorID == 0: print('OnRspSubMarketData: OK!') else: print('OnRspSubMarketData: Error! [%d] [%s]' % (pRspInfoField.ErrorID, pRspInfoField.ErrorMsg)) def OnRspUnSubMarketData(self, pSpecificSecurityField, pRspInfoField): if pRspInfoField.ErrorID == 0: print('OnRspUnSubMarketData: OK!') else: print('OnRspUnSubMarketData: Error! [%d] [%s]' % (pRspInfoField.ErrorID, pRspInfoField.ErrorMsg)) def OnRtnMarketData(self, pMarketDataField): if pMarketDataField.SecurityName.find("S") == 0: return if pMarketDataField.SecurityName.find("ST") >= 0: return close_price = round(pMarketDataField.UpperLimitPrice / 1.1, 2) rate = round((pMarketDataField.LastPrice - close_price) * 100 / close_price, 2) # print(pMarketDataField.SecurityID, pMarketDataField.SecurityName, rate, pMarketDataField.Volume) level1_data_dict[pMarketDataField.SecurityID] = ( pMarketDataField.SecurityID, pMarketDataField.LastPrice, rate, pMarketDataField.Volume, time.time()) # print( # "SecurityID[%s] SecurityName[%s] LastPrice[%.2f] Volume[%d] Turnover[%.2f] BidPrice1[%.2f] BidVolume1[%d] AskPrice1[%.2f] AskVolume1[%d] UpperLimitPrice[%.2f] LowerLimitPrice[%.2f]" # % (pMarketDataField.SecurityID, pMarketDataField.SecurityName, pMarketDataField.LastPrice, # pMarketDataField.Volume, # pMarketDataField.Turnover, pMarketDataField.BidPrice1, pMarketDataField.BidVolume1, # pMarketDataField.AskPrice1, # pMarketDataField.AskVolume1, pMarketDataField.UpperLimitPrice, pMarketDataField.LowerLimitPrice)) def __upload_codes_info(datas): if not tool.is_trade_time(): return # 上传数据 type_ = "set_target_codes" fdata = json.dumps( {"type": type_, "data": {"data": datas}}) msg = fdata.encode("utf-8") # 发送消息 for i in range(3): try: sk = SendResponseSkManager.get_send_response_sk(type_) if __send_response(sk, msg): break except ConnectionResetError: SendResponseSkManager.del_send_response_sk(type_) except BrokenPipeError: SendResponseSkManager.del_send_response_sk(type_) def run(): # 打印接口版本号 print(xmdapi.CTORATstpXMdApi_GetApiVersion()) # 创建接口对象 api = xmdapi.CTORATstpXMdApi_CreateTstpXMdApi(xmdapi.TORA_TSTP_MST_MCAST) # 创建回调对象 spi = MdSpi(api) # 注册回调接口 api.RegisterSpi(spi) # 注册单个行情前置服务地址 # api.RegisterFront("tcp://224.224.1.19:7880") # 注册多个行情前置服务地址，用逗号隔开 # api.RegisterFront("tcp://10.0.1.101:6402,tcp://10.0.1.101:16402") # 注册名字服务器地址，支持多服务地址逗号隔开 # api.RegisterNameServer('tcp://224.224.3.19:7888') # api.RegisterNameServer('tcp://10.0.1.101:52370,tcp://10.0.1.101:62370') api.RegisterMulticast("udp://224.224.1.19:7880", None, "") # 启动接口 api.Init() # 等待程序结束 while True: print("数量", len(level1_data_dict)) try: if len(level1_data_dict) < 1: continue # 根据涨幅排序 list_ = [level1_data_dict[k] for k in level1_data_dict] flist = [] for d in list_: if d[2] >= 5: # 涨幅小于5%的需要删除 flist.append(d) flist.sort(key=lambda x: x[2], reverse=True) datas = flist[:100] codes = [x[0] for x in datas] print("代码数量:", len(datas),codes) __upload_codes_info(datas) except Exception as e: logging.exception(e) finally: time.sleep(3) # 释放接口对象 api.Release() if __name__ == "__main__": run()