1. 修复CTA回测功能里TICK回测的撮合bug（之前偷懒忘记了）

2. 行情记录引擎增加单独的数据插入线程和队列，用于解决事件引擎线程阻塞的问题

vn.trader/ctaAlgo/ctaBacktesting.py

@@ -281,11 +281,13 @@ class BacktestingEngine(object):
         if self.mode == self.BAR_MODE:
             buyCrossPrice = self.bar.low        # 若买入方向限价单价格高于该价格，则会成交
             sellCrossPrice = self.bar.high      # 若卖出方向限价单价格低于该价格，则会成交
-            bestCrossPrice = self.bar.open  # 在当前时间点前发出的委托可能的最优成交价
+            buyBestCrossPrice = self.bar.open   # 在当前时间点前发出的买入委托可能的最优成交价
+            sellBestCrossPrice = self.bar.open  # 在当前时间点前发出的卖出委托可能的最优成交价
         else:
-            buyCrossPrice = self.tick.lastPrice
+            buyCrossPrice = self.tick.askPrice
-            sellCrossPrice = self.tick.lastPrice
+            sellCrossPrice = self.tick.bidPrice
-            bestCrossPrice = self.tick.lastPrice
+            buyBestCrossPrice = self.tick.askPrice
+            sellBestCrossPrice = self.tick.bidPrice
         
         # 遍历限价单字典中的所有限价单
         for orderID, order in self.workingLimitOrderDict.items():
@@ -312,10 +314,10 @@ class BacktestingEngine(object):
                 # 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
                 # 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
                 if buyCross:
-                    trade.price = min(order.price, bestCrossPrice)
+                    trade.price = min(order.price, buyBestCrossPrice)
                     self.strategy.pos += order.totalVolume
                 else:
-                    trade.price = max(order.price, bestCrossPrice)
+                    trade.price = max(order.price, sellBestCrossPrice)
                     self.strategy.pos -= order.totalVolume
                 
                 trade.volume = order.totalVolume

vn.trader/dataRecorder/DR_setting.json

@@ -3,7 +3,7 @@
 
     "tick":
     [
-        ["IF1605", "SGIT"],
+        ["m1609", "XSPEED"],
         ["IF1606", "SGIT"],
         ["IH1606", "SGIT"],
         ["IH1606", "SGIT"],

vn.trader/dataRecorder/drEngine.py

@@ -11,6 +11,8 @@ import os
 import copy
 from collections import OrderedDict
 from datetime import datetime, timedelta
+from Queue import Queue
+from threading import Thread
 
 from eventEngine import *
 from vtGateway import VtSubscribeReq, VtLogData
@@ -43,6 +45,11 @@ class DrEngine(object):
         # K线对象字典
         self.barDict = {}
         
+        # 负责执行数据库插入的单独线程相关
+        self.active = False                     # 工作状态
+        self.queue = Queue()                    # 队列
+        self.thread = Thread(target=self.run)   # 线程
+        
         # 载入设置，订阅行情
         self.loadSetting()
         
@@ -112,6 +119,9 @@ class DrEngine(object):
                 for activeSymbol, vtSymbol in d.items():
                     self.activeSymbolDict[vtSymbol] = activeSymbol
             
+            # 启动数据插入线程
+            self.start()
+            
             # 注册事件监听
             self.registerEvent()    
 
@@ -187,7 +197,29 @@ class DrEngine(object):
     #----------------------------------------------------------------------
     def insertData(self, dbName, collectionName, data):
         """插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
-        self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
+        self.queue.put((dbName, collectionName, data.__dict__))
+        
+    #----------------------------------------------------------------------
+    def run(self):
+        """运行插入线程"""
+        while self.active:
+            try:
+                dbName, collectionName, d = self.queue.get(block=True, timeout=1)
+                self.mainEngine.dbInsert(dbName, collectionName, d)
+            except Empty:
+                pass
+    #----------------------------------------------------------------------
+    def start(self):
+        """启动"""
+        self.active = True
+        self.thread.start()
+        
+    #----------------------------------------------------------------------
+    def stop(self):
+        """退出"""
+        if self.active:
+            self.active = False
+            self.thread.join()
         
     #----------------------------------------------------------------------
     def writeDrLog(self, content):

vn.trader/vtEngine.py

@@ -188,6 +188,9 @@ class MainEngine(object):
         # 停止事件引擎
         self.eventEngine.stop()      
         
+        # 停止数据记录引擎
+        self.drEngine.stop()
+        
         # 保存数据引擎里的合约数据到硬盘
         self.dataEngine.saveContracts()