499 lines
16 KiB
Plaintext
499 lines
16 KiB
Plaintext
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{
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"cells": [
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"#vnpy接收行情数据性能测试与改进优化"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"by Jerry He, 2016.12,\n",
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"讨论：https://zhuanlan.zhihu.com/p/24662087"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"近来，量化交易平台vnpy因其开源、功能强大、开发容易、可定制性强的特点，目前已经被广泛应用在量化交易中。\n",
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"行情数据落地是量化交易平台必须解决的一个基础问题，它有两个方面的作用：一是供策略开发时进行分析、回测；二是为实盘程序时提供近期的历史数据。前者可以通过传统效率更高的实现方式（比如我们有基于C++和leveldb实现的行情数据接收、转发、历史数据获取程序）实现，也可以通过向数据提供方购买获取。但是对于后者，直接基于vnpy落地近期的数据是更为简易的方式。\n",
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"\n",
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"vnpy包含行情落地模块dataRecorder，已经实现了tick数据、分钟bar数据保存功能。\n",
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"本工作主要包括：\n",
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"- vnpy原落地函数的性能考查\n",
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"- 针对CTP接口，原落地函数的修正与优化\n",
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"\n",
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"以下所有性能测试时间单位均为毫秒。\n",
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"\n",
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"测试基于windows 7, i7 3.4GHz."
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]
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},
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {
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"collapsed": true
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},
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"outputs": [],
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"source": [
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"from datetime import datetime, time\n",
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"import time as gtime\n",
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"import pymongo\n",
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"from dateutil.parser import parse"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 重构vnpy接收行情数据代码，以用于测试"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {
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"collapsed": true
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},
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"outputs": [],
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"source": [
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"TICK_DB_NAME='Test'\n",
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"\n",
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"EMPTY_STRING = ''\n",
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"EMPTY_UNICODE = u''\n",
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"EMPTY_INT = 0\n",
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"EMPTY_FLOAT = 0.0\n",
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"\n",
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"class DrTickData(object):\n",
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" \"\"\"Tick数据\"\"\"\n",
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"\n",
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" #----------------------------------------------------------------------\n",
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" def __init__(self):\n",
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" \"\"\"Constructor\"\"\" \n",
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" self.vtSymbol = EMPTY_STRING # vt系统代码\n",
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" self.symbol = EMPTY_STRING # 合约代码\n",
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" self.exchange = EMPTY_STRING # 交易所代码\n",
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"\n",
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" # 成交数据\n",
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" self.lastPrice = EMPTY_FLOAT # 最新成交价\n",
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" self.volume = EMPTY_INT # 最新成交量\n",
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" self.openInterest = EMPTY_INT # 持仓量\n",
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" \n",
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" self.upperLimit = EMPTY_FLOAT # 涨停价\n",
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" self.lowerLimit = EMPTY_FLOAT # 跌停价\n",
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" \n",
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" # tick的时间\n",
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" self.date = EMPTY_STRING # 日期\n",
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" self.time = EMPTY_STRING # 时间\n",
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" self.datetime = None # python的datetime时间对象\n",
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" \n",
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" # 五档行情\n",
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" self.bidPrice1 = EMPTY_FLOAT\n",
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" self.bidPrice2 = EMPTY_FLOAT\n",
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" self.bidPrice3 = EMPTY_FLOAT\n",
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" self.bidPrice4 = EMPTY_FLOAT\n",
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" self.bidPrice5 = EMPTY_FLOAT\n",
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" \n",
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" self.askPrice1 = EMPTY_FLOAT\n",
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" self.askPrice2 = EMPTY_FLOAT\n",
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" self.askPrice3 = EMPTY_FLOAT\n",
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" self.askPrice4 = EMPTY_FLOAT\n",
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" self.askPrice5 = EMPTY_FLOAT \n",
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" \n",
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" self.bidVolume1 = EMPTY_INT\n",
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" self.bidVolume2 = EMPTY_INT\n",
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" self.bidVolume3 = EMPTY_INT\n",
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" self.bidVolume4 = EMPTY_INT\n",
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" self.bidVolume5 = EMPTY_INT\n",
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" \n",
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" self.askVolume1 = EMPTY_INT\n",
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" self.askVolume2 = EMPTY_INT\n",
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" self.askVolume3 = EMPTY_INT\n",
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" self.askVolume4 = EMPTY_INT\n",
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" self.askVolume5 = EMPTY_INT \n",
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" \n",
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"def insertData(db,collection,data):\n",
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" client[db][collection].insert(data.__dict__)\n",
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"\n",
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"def procecssTickEvent(tick, insertDB=False):\n",
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" \"\"\"处理行情推送\"\"\"\n",
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" vtSymbol = tick.vtSymbol\n",
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"\n",
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" # 转化Tick格式\n",
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" drTick = DrTickData()\n",
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" d = drTick.__dict__\n",
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" for key in d.keys():\n",
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" if key != 'datetime':\n",
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" d[key] = tick.__dict__[key]\n",
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" drTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f') \n",
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" \n",
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" # 更新Tick数据\n",
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" if insertDB:\n",
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" insertData(TICK_DB_NAME, vtSymbol, drTick) "
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 创建一个用于测试的Tick数据"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {
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"collapsed": false
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"{u'askPrice2': 0.0, u'lastPrice': 2977.0, u'exchange': u'UNKNOWN', u'bidVolume5': 0, u'bidVolume4': 0, u'bidVolume3': 0, u'bidVolume2': 0, u'bidVolume1': 1551, u'datetime': datetime.datetime(2016, 12, 28, 21, 27, 36, 500000), u'askVolume1': 120, u'askVolume3': 0, u'askVolume2': 0, u'askVolume5': 0, u'askVolume4': 0, u'date': u'20161228', u'askPrice5': 0.0, u'volume': 392068, u'lowerLimit': 2725.0, u'bidPrice5': 0.0, u'bidPrice4': 0.0, u'bidPrice1': 2976.0, u'bidPrice3': 0.0, u'bidPrice2': 0.0, u'vtSymbol': u'rb1705', u'time': u'21:27:36.5', u'openInterest': 2304294.0, u'askPrice4': 0.0, u'askPrice3': 0.0, u'symbol': u'rb1705', u'askPrice1': 2977.0, u'upperLimit': 3136.0}\n"
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]
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}
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],
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"source": [
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"client=pymongo.MongoClient()\n",
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"data=client['VnTrader_Tick_Db']['rb1705'].find_one({})\n",
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"del data['_id']\n",
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"\n",
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"class InputTick: pass\n",
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"tick=InputTick()\n",
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"tick.__dict__.update(data)\n",
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"print tick.__dict__"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 测试原版函数性能"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"def profiling(count,func=None):\n",
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" if func==None: func=lambda: procecssTickEvent(tick)\n",
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" t0=gtime.time()\n",
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" for i in range(count):\n",
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" func()\n",
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" total_time=(gtime.time()-t0)\n",
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" return total_time*1000/count\n",
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"\n",
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"test_count=10000"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"metadata": {
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"collapsed": false
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"原版不保存数据到mongodb单次耗时：0.0255\n",
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"原版含保存数据到mongodb单次耗时：0.2334\n"
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]
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}
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],
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"source": [
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"original_nodb=profiling(test_count)\n",
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"client.drop_database(TICK_DB_NAME)\n",
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"original_db=profiling(test_count,func=lambda: procecssTickEvent(tick,insertDB=True))\n",
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"print '原版不保存数据到mongodb单次耗时：%.4f' %original_nodb\n",
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"print '原版含保存数据到mongodb单次耗时：%.4f' %original_db"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {
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"collapsed": false
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},
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"source": [
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"##改进版本\n",
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"\n",
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"原版程序使用CTP接口保存期货数据时，存在几个问题：\n",
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"- 非交易时间收到的野数据没有被过滤掉\n",
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"- 当前各交易所提供的date字段混乱，有的使用真实日期，有的使用交易日，导致计算的datetime字段也是有问题的\n",
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"\n",
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"针对以上问题的改进版本如下："
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]
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},
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{
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"cell_type": "code",
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"execution_count": 6,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"#过滤掉的时间区间，注意集合竞价tick被过滤了。\n",
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"invalid_sections=[(time(2,30,59),time(9,0,0)),\n",
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" (time(11,30,59),time(13,0,0)),\n",
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" (time(15,15,0),time(21,0,0))]\n",
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"\n",
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"#本地时间在此区间时对收到的Tick数据不处理，避免有时期货公司会抽风把数据重推一次。\n",
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"invalid_local_section=(time(5,0,0),time(8,30,0))\n",
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"\n",
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"def procecssTickEvent(tick, insertDB=False):\n",
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" \"\"\"处理行情推送\"\"\"\n",
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" # 1. 本地时间检查\n",
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" local_datetime=datetime.now()\n",
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" local_time=local_datetime.time()\n",
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" if local_time>invalid_local_section[0] and local_time<invalid_local_section[1]:\n",
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" return\n",
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"\n",
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" # 2. 转化Tick格式\n",
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" drTick = DrTickData()\n",
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" d = drTick.__dict__\n",
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" for key in d.keys():\n",
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" if key != 'datetime':\n",
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" d[key] = tick.__dict__[key]\n",
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"\n",
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" #防御时间格式变为 ”9:00:00.5\"\n",
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" if tick.time[2] != ':': \n",
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" tick.time = '0' + tick.time\n",
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" \n",
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" tick_hour = int(tick.time[0:2]) \n",
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" local_hour = local_time.hour\n",
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" real_date=local_datetime\n",
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" if tick_hour == 23 and local_hour == 0:#行情时间慢于系统时间\n",
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" real_date+=timedelta(-1)\n",
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" elif tick_hour == 0 and local_hour == 23:#系统时间慢于行情时间\n",
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" real_date+=timedelta(1)\n",
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"\n",
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" tick.time = tick.time.ljust(12,'0')\n",
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" drTick.datetime = datetime(real_date.year,real_date.month,real_date.day,\n",
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" int(tick.time[0:2]), int(tick.time[3:5]), int(tick.time[6:8]), int(tick.time[9:12])*1000)\n",
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"\n",
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" tmpTime=drTick.datetime.time()\n",
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" for sec in invalid_sections:\n",
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" if tmpTime>sec[0] and tmpTime<sec[1]:\n",
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" return\n",
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" \n",
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" # 3. 更新Tick数据\n",
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" if insertDB:\n",
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" insertData(TICK_DB_NAME, tick.vtSymbol, drTick) \n",
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"\n",
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"procecssTickEvent(tick)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 7,
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"metadata": {
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"collapsed": false
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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|
|
"新版不保存数据到mongodb单次耗时：0.0255\n",
|
|||
|
|
"新版含保存数据到mongodb单次耗时：0.2334\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"new_nodb=profiling(test_count)\n",
|
|||
|
|
"client.drop_database(TICK_DB_NAME)\n",
|
|||
|
|
"new_db=profiling(test_count,func=lambda: procecssTickEvent(tick,insertDB=True))\n",
|
|||
|
|
"print '新版不保存数据到mongodb单次耗时：%.4f' %original_nodb\n",
|
|||
|
|
"print '新版含保存数据到mongodb单次耗时：%.4f' %original_db"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"## 保存为文本文件效率"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 8,
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": true
|
|||
|
|
},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": [
|
|||
|
|
"def insertData(db,collection,data):\n",
|
|||
|
|
" for key in data.__dict__:\n",
|
|||
|
|
" fout.write(str(data.__dict__[key])+',')"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 9,
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": false
|
|||
|
|
},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"新版含保存数据到text file单次耗时：0.2334\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"fout=open('D:/test.txt','w')\n",
|
|||
|
|
"new_db_text=profiling(test_count,func=lambda: procecssTickEvent(tick,insertDB=True))\n",
|
|||
|
|
"print '新版含保存数据到text file单次耗时：%.4f' %original_db\n",
|
|||
|
|
"fout.close()"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"## 时间类型转化效率\n",
|
|||
|
|
"\n",
|
|||
|
|
"注意到不保存数据到数据的版本中，新版相比老版耗时反而降低了，这主要是由于时间转化函数的改写。\n",
|
|||
|
|
"\n",
|
|||
|
|
"如下三种时间转化方法效率差别巨大："
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 10,
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": false
|
|||
|
|
},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"转化方法1耗时：0.0560\n",
|
|||
|
|
"转化方法2耗时：0.0122\n",
|
|||
|
|
"转化方法3耗时：0.0032\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"time_convert1=profiling(10000,lambda:parse('20161212 21:21:21.5'))\n",
|
|||
|
|
"time_convert2=profiling(10000,lambda:datetime.strptime('20161212 21:21:21.5', '%Y%m%d %H:%M:%S.%f'))\n",
|
|||
|
|
"def customized_parse(s):\n",
|
|||
|
|
" s=s.ljust(21,'0')\n",
|
|||
|
|
" return datetime(int(s[0:4]),int(s[4:6]),int(s[6:8]),int(s[9:11]), int(s[12:14]), int(s[15:17]), int(s[18:21])*1000 )\n",
|
|||
|
|
"time_convert3=profiling(10000,lambda:customized_parse('20161212 21:21:21.5')) \n",
|
|||
|
|
"print '转化方法1耗时：%.4f' %time_convert1\n",
|
|||
|
|
"print '转化方法2耗时：%.4f' %time_convert2\n",
|
|||
|
|
"print '转化方法3耗时：%.4f' %time_convert3"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": false
|
|||
|
|
},
|
|||
|
|
"source": [
|
|||
|
|
"#总结"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 11,
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": false
|
|||
|
|
},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/html": [
|
|||
|
|
"<div>\n",
|
|||
|
|
"<table border=\"1\" class=\"dataframe\">\n",
|
|||
|
|
" <thead>\n",
|
|||
|
|
" <tr style=\"text-align: right;\">\n",
|
|||
|
|
" <th></th>\n",
|
|||
|
|
" <th>mongodb写入</th>\n",
|
|||
|
|
" <th>text文件写入</th>\n",
|
|||
|
|
" <th>无数据写入</th>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </thead>\n",
|
|||
|
|
" <tbody>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>原版</th>\n",
|
|||
|
|
" <td>0.2334</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>0.0255</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>新版</th>\n",
|
|||
|
|
" <td>0.2174</td>\n",
|
|||
|
|
" <td>0.0362</td>\n",
|
|||
|
|
" <td>0.0160</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" mongodb写入 text文件写入 无数据写入\n",
|
|||
|
|
"原版 0.2334 NaN 0.0255\n",
|
|||
|
|
"新版 0.2174 0.0362 0.0160"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 11,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"import pandas as pd\n",
|
|||
|
|
"df=pd.DataFrame([{u'无数据写入':original_nodb,u'mongodb写入':original_db},\n",
|
|||
|
|
" {u'无数据写入': new_nodb, u'mongodb写入': new_db, u'text文件写入':new_db_text}\n",
|
|||
|
|
" ],index=['原版','新版'])\n",
|
|||
|
|
"df"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"总的来看，行情数据落地原版与新版一次落地耗时都为0.2ms左右。函数中，耗时主要来源于mongodb的插入，占约为90%的耗时。通过尝试简单的text写入作为数据存储方式，耗时得到了大幅降低，获得了单次0.04ms耗时的效果，采取其它更高效的格式有望进一步降低耗时。但考虑到无数据写入时的耗时为约0.02ms，所以期望的最优耗时也就在0.02ms左右。\n",
|
|||
|
|
"\n",
|
|||
|
|
"总的来说，基于mongodb的方案能够实时存储的条目数在每秒几百条量级；进一步优化可能达到几千条量级。此水平应该己能满足绝大多数的需求。"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"metadata": {
|
|||
|
|
"kernelspec": {
|
|||
|
|
"display_name": "Python 2",
|
|||
|
|
"language": "python",
|
|||
|
|
"name": "python2"
|
|||
|
|
},
|
|||
|
|
"language_info": {
|
|||
|
|
"codemirror_mode": {
|
|||
|
|
"name": "ipython",
|
|||
|
|
"version": 2
|
|||
|
|
},
|
|||
|
|
"file_extension": ".py",
|
|||
|
|
"mimetype": "text/x-python",
|
|||
|
|
"name": "python",
|
|||
|
|
"nbconvert_exporter": "python",
|
|||
|
|
"pygments_lexer": "ipython2",
|
|||
|
|
"version": "2.7.10"
|
|||
|
|
}
|
|||
|
|
},
|
|||
|
|
"nbformat": 4,
|
|||
|
|
"nbformat_minor": 0
|
|||
|
|
}
|