pzyctp

my python wrapper for CTP

Install:

• run make in each directory then ./setup.sh
• export LD_LIBRARY_PATH="$HOME/programs/lib/python2.7/site-packages/pzyctp/stock:$HOME/programs/lib/python2.7/site-packages/pzyctp/future:$LD_LIBRARY_PATH"

Remember to change to PYTHON library path in scripts and export command

Remember to create two dirs in /tmp before you run pzyctp.

• if you use ctp for stock: ("/tmp/CTP_L2data/" and "/tmp/CTP_tradedata/")
• if you use ctp for future: ("/tmp/CTP_future_data/" and "/tmp/CTP_future_trade")
• if you use ctp for stock_option: ("/tmp/CTP_stock_option_data/" and "/tmp/CTP_stock_option_trade/")

Format of market data:

• Stock:

  stockid, OpenPx, PreClosePx, LastPx, HighPx, LowPx, TotalVolumeTrade, TotalValueTrade, BidPx1, BidOrderQty1, BidPx2, BidOrderQty2, BidPx3, BidOrderQty3, OfferPx1, OfferOrderQty1, OfferPx2, OfferOrderQty2, OfferPx3, OfferOrderQty3, TradingDay, DataTimeStamp

• Future:

  InstrumentID, TradingDay, UpdateTime, LastPrice, PreClosePrice, OpenPrice, ClosePrice, HighestPrice, LowestPrice, Volume, Turnover, BidPrice1, BidVolume1, BidPrice2, BidVolume2, BidPrice3, BidVolume3, AskPrice1, AskVolume1, AskPrice2, AskVolume2, AskPrice3, AskVolume3

• stock_option:

  stockid, TradingDay, UpdateTime, LastPrice, PreClosePrice, OpenPrice, ClosePrice, HighestPrice, LowestPrice, Volume, Turnover, BidPrice1, BidVolume1, BidPrice2, BidVolume2, BidPrice3, BidVolume3, AskPrice1, AskVolume1, AskPrice2, AskVolume2, AskPrice3, AskVolume3

Error Code for ctp

• OnRspOrderInsert: ErrorCode=15, 报单字段有误