上弦之月 wrote:
首选修改vnpy\trader，object.py里面的ContractData
@dataclass class ContractData(BaseData): """ Contract data contains basic information about each contract traded. """ price_tick: float = 0 #最小价格变动 margin_ratio : float = 0 #保证金率 max_order_volume : float = 0 #限价单最大单次委托量 open_commission_ratio : float = 0 #开仓手续费率 open_commission : float = 0 #开仓手续费 close_commission_ratio : float = 0 #平仓手续费率 close_commission : float = 0 #平仓手续费 close_commission_today_ratio : float = 0 #平今手续费率 close_commission_today : float = 0 #平今手续费CtpGateway里面加上
import shelve #------------------------------------------------------------------------------------------------- class CtpGateway(BaseGateway): #------------------------------------------------------------------------------------------------- def query_commission(self): """查询手续费数据""" self.td_api.query_commission() #------------------------------------------------------------------------------------------------- def save_commission(self): """保存手续费数据""" self.td_api.save_commission() #------------------------------------------------------------------------------------------------- def query_margin_ratio(self): """查询保证金率数据""" self.td_api.query_margin_ratio() #------------------------------------------------------------------------------------------------- def save_margin_ratio(self): """保存保证金率数据""" self.td_api.save_margin_ratio() #------------------------------------------------------------------------------------------------- def close(self): """""" #关闭ctp api前保存手续费,保证金率数据到硬盘 self.save_commission() self.save_margin_ratio() self.td_api.close() self.md_api.close() self.query_functions = [self.query_account, self.query_position,self.query_commission,self.query_margin_ratio]tdapi里面加上
class CtpTdApi(TdApi): """""" def __init__(self, gateway): self.commission_file_name = 'commission_data' self.commission_file_path = get_folder_path(self.commission_file_name) self.commission_req = {} #手续费查询字典 self.commission_data = {} #手续费字典 self.margin_ratio_file_name = 'margin_ratio_data' self.margin_ratio_file_path = get_folder_path(self.margin_ratio_file_name) self.margin_ratio_req = {} #保证金率查询字典 self.margin_ratio_data = {} #保证金率字典 def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool): #读取硬盘存储手续费数据，保证金率数据 self.load_commission() self.load_margin_ratio() """合约查询回报""" contract = ContractData( symbol=data["InstrumentID"], exchange=EXCHANGE_CTP2VT[data["ExchangeID"]], name=data["InstrumentName"], product=PRODUCT_CTP2VT.get(data["ProductClass"], None), size=data["VolumeMultiple"], price_tick=data["PriceTick"], #合约最小价格变动 max_order_volume=data["MaxLimitOrderVolume"], #限价单次最大委托量 gateway_name=self.gateway_name) #手续费数据合并到contract for X in self.commission_data.keys(): if X == contract.symbol: contract.open_commission_ratio=self.commission_data[X]['OpenRatioByMoney'] #开仓手续费率 contract.open_commission=self.commission_data[X]['OpenRatioByVolume'] #开仓手续费 contract.close_commission_ratio=self.commission_data[X]['CloseRatioByMoney'] #平仓手续费率 contract.close_commission=self.commission_data[X]['CloseRatioByVolume'] #平仓手续费 contract.close_commission_today_ratio=self.commission_data[X]['CloseTodayRatioByMoney'] #平今手续费率 contract.close_commission_today=self.commission_data[X]['CloseTodayRatioByVolume'] #平今手续费 elif contract.symbol[:2] in X: contract.open_commission_ratio=self.commission_data[X]['OpenRatioByMoney'] #开仓手续费率 contract.open_commission=self.commission_data[X]['OpenRatioByVolume'] #开仓手续费 contract.close_commission_ratio=self.commission_data[X]['CloseRatioByMoney'] #平仓手续费率 contract.close_commission=self.commission_data[X]['CloseRatioByVolume'] #平仓手续费 contract.close_commission_today_ratio=self.commission_data[X]['CloseTodayRatioByMoney'] #平今手续费率 contract.close_commission_today=self.commission_data[X]['CloseTodayRatioByVolume'] #平今手续费 elif contract.symbol[:1] in X: contract.open_commission_ratio=self.commission_data[X]['OpenRatioByMoney'] contract.open_commission=self.commission_data[X]['OpenRatioByVolume'] contract.close_commission_ratio=self.commission_data[X]['CloseRatioByMoney'] contract.close_commission=self.commission_data[X]['CloseRatioByVolume'] contract.close_commission_today_ratio=self.commission_data[X]['CloseTodayRatioByMoney'] contract.close_commission_today=self.commission_data[X]['CloseTodayRatioByVolume'] for Y in self.margin_ratio_data.keys(): if Y == contract.symbol: contract.margin_ratio = self.margin_ratio_data[Y]['LongMarginRatioByMoney'] #合约保证金比率 #------------------------------------------------------------------------------------------------- def onRspQryInstrumentCommissionRate(self, data: dict, error: dict, reqid: int, last: bool): """查询合约手续费率""" symbol = data.get('InstrumentID',None) if symbol: self.commission_data[symbol] = data #------------------------------------------------------------------------------------------------- def onRspQryInstrumentMarginRate(self, data: dict, error: dict, reqid: int, last: bool): """查询保证金率""" symbol = data.get('InstrumentID',None) if symbol: self.margin_ratio_data[symbol] = data #------------------------------------------------------------------------------------------------- def load_commission(self): """从硬盘读取手续费数据""" f = shelve.open(f"{self.commission_file_path}\\commission_data.vt") if 'data' in f: d = f['data'] for key, value in list(d.items()): self.commission_data[key] = value f.close() #------------------------------------------------------------------------------------------------- def save_commission(self): """保存手续费数据到硬盘""" f = shelve.open(f"{self.commission_file_path}\\commission_data.vt") f['data'] = self.commission_data f.close() #------------------------------------------------------------------------------------------------- def load_margin_ratio(self): """从硬盘读取保证金率数据""" f = shelve.open(f"{self.margin_ratio_file_path}\\margin_ratio_data.vt") if 'data' in f: d = f['data'] for key, value in list(d.items()): self.margin_ratio_data[key] = value f.close() #------------------------------------------------------------------------------------------------- def save_margin_ratio(self): """保存保证金率数据到硬盘""" f = shelve.open(f"{self.margin_ratio_file_path}\\margin_ratio_data.vt") f['data'] = self.margin_ratio_data f.close() #------------------------------------------------------------------------------------------------- #commission_vt_symbol，margin_ratio_vt_symbol都是全市场合约列表，需要自己维护 #我用的合约连接交易所符号是'_'，用'.'自己替换 #------------------------------------------------------------------------------------------------- def query_commission(self): #查询手续费率 if len(commission_vt_symbol) > 0: symbol = commission_vt_symbol[0].split('_')[0] #手续费率查询字典 self.commission_req['BrokerID'] = self.brokerid self.commission_req['InvestorID'] = self.userid self.commission_req['InstrumentID'] = symbol self.reqid += 1 #请求查询手续费率 self.reqQryInstrumentCommissionRate(self.commission_req,self.reqid) commission_vt_symbol.pop(0) def query_margin_ratio(self): if len(margin_ratio_vt_symbol) > 0: symbol = margin_ratio_vt_symbol[0].split('_')[0] #保证金率查询字典 self.margin_ratio_req['BrokerID'] = self.brokerid self.margin_ratio_req['InvestorID'] = self.userid self.margin_ratio_req['InstrumentID'] = symbol self.margin_ratio_req['HedgeFlag'] = THOST_FTDC_HF_Speculation self.reqid += 1 #请求查询保证金率 self.reqQryInstrumentMarginRate(self.margin_ratio_req,self.reqid) margin_ratio_vt_symbol.pop(0)trader\ui，widget.py里面修改
class ContractManager(QtWidgets.QWidget): """ Query contract data available to trade in system. """ headers = { "vt_symbol": "本地代码", "symbol": "代码", "exchange": "交易所", "name": "名称", "product": "合约分类", "size": "合约乘数", "price_tick": "价格跳动", "min_volume": "最小委托量", "margin_ratio": "保证金率", "open_commission_ratio": "开仓手续费率", "open_commission": "开仓手续费", "close_commission_ratio": "平仓手续费率", "close_commission": "平仓手续费", "close_commission_today_ratio": "平今手续费率", "close_commission_today": "平今手续费", "gateway_name": "交易接口", }大神，请教下，这个窗口的数据怎么保存到csv呢，好像没有右键保存到 CSV 功能
