优化 ctp 股票期权 tick 数据获取

suzg · Oct 30, 2018 · 3371401 · 3371401
1 parent 5b949c0
commit 3371401
Showing 1 changed file with 26 additions and 2 deletions.
diff --git a/vnpy/trader/gateway/ctpGateway/ctpGateway.py b/vnpy/trader/gateway/ctpGateway/ctpGateway.py
@@ -376,9 +376,33 @@ def onRtnDepthMarketData(self, data):
         tick.askVolume1 = data['AskVolume1']
 
         # 大商所日期转换
-        if tick.exchange is EXCHANGE_DCE:
+        if tick.exchange == EXCHANGE_DCE:
             tick.date = datetime.now().strftime('%Y%m%d')
-
+
+        # 上交所，SEE，股票期权相关
+        if tick.exchange == EXCHANGE_SSE:
+            tick.bidPrice2 = data['BidPrice2']
+            tick.bidVolume2 = data['BidVolume2']
+            tick.askPrice2 = data['AskPrice2']
+            tick.askVolume2 = data['AskVolume2']
+
+            tick.bidPrice3 = data['BidPrice3']
+            tick.bidVolume3 = data['BidVolume3']
+            tick.askPrice3 = data['AskPrice3']
+            tick.askVolume3 = data['AskVolume3']
+
+            tick.bidPrice4 = data['BidPrice4']
+            tick.bidVolume4 = data['BidVolume4']
+            tick.askPrice4 = data['AskPrice4']
+            tick.askVolume4 = data['AskVolume4']
+
+            tick.bidPrice5 = data['BidPrice5']
+            tick.bidVolume5 = data['BidVolume5']
+            tick.askPrice5 = data['AskPrice5']
+            tick.askVolume5 = data['AskVolume5']
+
+            tick.date = data['TradingDay']
+
         self.gateway.onTick(tick)
 
     #----------------------------------------------------------------------