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重构vntrader

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This commit is contained in:
chenxy123 2017-05-05 23:01:40 +08:00
parent aab32bb1ee
commit 0c625ee9e9
22 changed files with 408 additions and 468 deletions
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6
vnpy/trader/ctaStrategy/ctaBacktesting.py
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@ -12,10 +12,10 @@ from itertools import product
import multiprocessing
import pymongo
import vtGlobal
from ctaBase import *
from vtConstant import *
from vtGateway import VtOrderData, VtTradeData
from vtFunction import loadMongoSetting
########################################################################
@ -119,9 +119,7 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def loadHistoryData(self):
"""载入历史数据"""
host, port, logging = loadMongoSetting()
self.dbClient = pymongo.MongoClient(host, port)
self.dbClient = pymongo.MongoClient(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)
collection = self.dbClient[self.dbName][self.symbol]
self.output(u'开始载入数据')

76
vnpy/trader/ctaStrategy/ctaBase.py
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@ -41,6 +41,8 @@ ENGINETYPE_TRADING = 'trading' # 实盘
# CTA引擎中涉及的数据类定义
from vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
from vnpy.trader.vtObject import VtBarData as CtaBarData
from vnpy.trader.vtObject import VtTickData as CtaTickData
########################################################################
@ -60,77 +62,3 @@ class StopOrder(object):
self.strategy = None # 下停止单的策略对象
self.stopOrderID = EMPTY_STRING # 停止单的本地编号
self.status = EMPTY_STRING # 停止单状态
########################################################################
class CtaBarData(object):
"""K线数据"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.vtSymbol = EMPTY_STRING # vt系统代码
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
self.open = EMPTY_FLOAT # OHLC
self.high = EMPTY_FLOAT
self.low = EMPTY_FLOAT
self.close = EMPTY_FLOAT
self.date = EMPTY_STRING # bar开始的时间，日期
self.time = EMPTY_STRING # 时间
self.datetime = None # python的datetime时间对象
self.volume = EMPTY_INT # 成交量
self.openInterest = EMPTY_INT # 持仓量
########################################################################
class CtaTickData(object):
"""Tick数据"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.vtSymbol = EMPTY_STRING # vt系统代码
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
# 成交数据
self.lastPrice = EMPTY_FLOAT # 最新成交价
self.volume = EMPTY_INT # 最新成交量
self.openInterest = EMPTY_INT # 持仓量
self.upperLimit = EMPTY_FLOAT # 涨停价
self.lowerLimit = EMPTY_FLOAT # 跌停价
# tick的时间
self.date = EMPTY_STRING # 日期
self.time = EMPTY_STRING # 时间
self.datetime = None # python的datetime时间对象
# 五档行情
self.bidPrice1 = EMPTY_FLOAT
self.bidPrice2 = EMPTY_FLOAT
self.bidPrice3 = EMPTY_FLOAT
self.bidPrice4 = EMPTY_FLOAT
self.bidPrice5 = EMPTY_FLOAT
self.askPrice1 = EMPTY_FLOAT
self.askPrice2 = EMPTY_FLOAT
self.askPrice3 = EMPTY_FLOAT
self.askPrice4 = EMPTY_FLOAT
self.askPrice5 = EMPTY_FLOAT
self.bidVolume1 = EMPTY_INT
self.bidVolume2 = EMPTY_INT
self.bidVolume3 = EMPTY_INT
self.bidVolume4 = EMPTY_INT
self.bidVolume5 = EMPTY_INT
self.askVolume1 = EMPTY_INT
self.askVolume2 = EMPTY_INT
self.askVolume3 = EMPTY_INT
self.askVolume4 = EMPTY_INT
self.askVolume5 = EMPTY_INT

2
vnpy/trader/ctaStrategy/ctaEngine.py
View File

@ -27,7 +27,7 @@ from datetime import datetime, timedelta
from ctaBase import *
from strategy import STRATEGY_CLASS
from vnpy.event.eventEngine import *
from vnpy.trader.eventType import *
from vnpy.trader.vtEvent import *
from vtConstant import *
from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
from vtFunction import todayDate

20
vnpy/trader/ctaStrategy/ctaHistoryData.py
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@ -12,9 +12,9 @@ import pymongo
from time import time
from multiprocessing.pool import ThreadPool
import vtGlobal
from ctaBase import *
from vtConstant import *
from vtFunction import loadMongoSetting
from datayesClient import DatayesClient
@ -34,9 +34,7 @@ class HistoryDataEngine(object):
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
host, port, logging = loadMongoSetting()
self.dbClient = pymongo.MongoClient(host, port)
self.dbClient = pymongo.MongoClient(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)
self.datayesClient = DatayesClient()
#----------------------------------------------------------------------
@ -363,6 +361,8 @@ def downloadEquityDailyBarts(self, symbol):
print u'%s下载完成' %symbol
else:
print u'找不到合约%s' %symbol
#----------------------------------------------------------------------
def loadMcCsv(fileName, dbName, symbol):
"""将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
@ -372,9 +372,7 @@ def loadMcCsv(fileName, dbName, symbol):
print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
# 锁定集合，并创建索引
host, port, logging = loadMongoSetting()
client = pymongo.MongoClient(host, port)
client = pymongo.MongoClient(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)
collection = client[dbName][symbol]
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
@ -408,9 +406,7 @@ def loadTdxCsv(fileName, dbName, symbol):
print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
# 锁定集合，并创建索引
host, port, logging = loadMongoSetting()
client = pymongo.MongoClient(host, port)
client = pymongo.MongoClient(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)
collection = client[dbName][symbol]
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
@ -449,9 +445,7 @@ def loadTBCsv(fileName, dbName, symbol):
print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
# 锁定集合，并创建索引
host, port, logging = loadMongoSetting()
client = pymongo.MongoClient(host, port)
client = pymongo.MongoClient(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)
collection = client[dbName][symbol]
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

4
vnpy/trader/ctaStrategy/strategy/strategyAtrRsi.py
View File

@ -13,8 +13,8 @@
import talib
import numpy as np
from ctaBase import *
from ctaTemplate import CtaTemplate
from vnpy.trader.vtConstant import EMPTY_STRING
from vnpy.trader.ctaStrategy.ctaTemplate import CtaTemplate
########################################################################

4
vnpy/trader/ctaStrategy/strategy/strategyDualThrust.py
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@ -6,8 +6,8 @@ DualThrust交易策略
from datetime import time
from ctaBase import *
from ctaTemplate import CtaTemplate
from vnpy.trader.vtConstant import EMPTY_STRING
from vnpy.trader.ctaStrategy.ctaTemplate import CtaTemplate
########################################################################

4
vnpy/trader/ctaStrategy/strategy/strategyEmaDemo.py
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@ -12,8 +12,8 @@
"""
from ctaBase import *
from ctaTemplate import CtaTemplate
from vnpy.trader.vtConstant import EMPTY_STRING, EMPTY_FLOAT
from vnpy.trader.ctaStrategy.ctaTemplate import CtaTemplate
########################################################################

6
vnpy/trader/ctaStrategy/strategy/strategyKingKeltner.py
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@ -12,12 +12,12 @@
from __future__ import division
from ctaBase import *
from ctaTemplate import CtaTemplate
import talib
import numpy as np
from vnpy.trader.vtConstant import EMPTY_STRING
from vnpy.trader.ctaStrategy.ctaTemplate import CtaTemplate
########################################################################
class KkStrategy(CtaTemplate):

8
vnpy/trader/ctaStrategy/tools/multiTimeFrame/ctaBacktestMultiTF.py
View File

@ -8,7 +8,7 @@ same as CTA engine. Real trading code can be directly used for backtesting.
'''
from __future__ import division
from vtFunction import loadMongoSetting
import vtGlobal
from ctaBacktesting import *
@ -70,11 +70,7 @@ class BacktestEngineMultiTF(BacktestingEngine):
# ----------------------------------------------------------------------
def loadHistoryData(self):
"""载入历史数据"""
"""load historical data"""
host, port, logging = loadMongoSetting()
self.dbClient = pymongo.MongoClient(host, port)
self.dbClient = pymongo.MongoClient(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)
collection = self.dbClient[self.dbName][self.symbol]
# Load historical data of information symbols, construct a dictionary of Database

2
vnpy/trader/dataRecorder/drEngine.py
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@ -15,7 +15,7 @@ from Queue import Queue
from threading import Thread
from vnpy.event.eventEngine import *
from vnpy.trader.eventType import *
from vnpy.trader.vtEvent import *
from vtGateway import VtSubscribeReq, VtLogData
from drBase import *
from vtFunction import todayDate

2
vnpy/trader/riskManager/rmEngine.py
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@ -12,7 +12,7 @@ import os
import platform
from vnpy.event.eventEngine import *
from vnpy.trader.eventType import *
from vnpy.trader.vtEvent import *
from vtConstant import *
from vtGateway import VtLogData

2
vnpy/trader/uiBasicWidget.py
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@ -8,7 +8,7 @@ from collections import OrderedDict
from PyQt4 import QtGui, QtCore
from vnpy.event.eventEngine import *
from vnpy.trader.eventType import *
from vnpy.trader.vtEvent import *
from vtFunction import *
from vtGateway import *
import vtText

2
vnpy/trader/vtClient.py
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@ -9,7 +9,7 @@ import vtPath
from uiMainWindow import *
from eventEngine import *
from vnrpc import RpcClient
from vnpy.rpc.vnrpc import RpcClient
from ctaStrategy.ctaEngine import CtaEngine
from dataRecorder.drEngine import DrEngine

10
vnpy/trader/vtEngine.py
View File

@ -7,10 +7,10 @@ from datetime import datetime
from pymongo import MongoClient
from pymongo.errors import ConnectionFailure
import vtGlobal
from vnpy.event.eventEngine import *
from vnpy.trader.eventType import *
from vnpy.trader.vtEvent import *
from vtGateway import *
from vtFunction import loadMongoSetting
from language import text
from gateway import GATEWAY_DICT
@ -163,11 +163,9 @@ class MainEngine(object):
"""连接MongoDB数据库"""
if not self.dbClient:
# 读取MongoDB的设置
host, port, logging = loadMongoSetting()
try:
# 设置MongoDB操作的超时时间为0.5秒
self.dbClient = MongoClient(host, port, connectTimeoutMS=500)
self.dbClient = MongoClient(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT, connectTimeoutMS=500)
# 调用server_info查询服务器状态，防止服务器异常并未连接成功
self.dbClient.server_info()
@ -175,7 +173,7 @@ class MainEngine(object):
self.writeLog(text.DATABASE_CONNECTING_COMPLETED)
# 如果启动日志记录，则注册日志事件监听函数
if logging:
if vtGlobal.MONGO_LOGGING:
self.eventEngine.register(EVENT_LOG, self.dbLogging)
except ConnectionFailure:

0
vnpy/trader/eventType.py → vnpy/trader/vtEvent.py
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20
vnpy/trader/vtFunction.py
View File

@ -28,26 +28,6 @@ def safeUnicode(value):
return unicode(value)
#----------------------------------------------------------------------
def loadMongoSetting():
"""载入MongoDB数据库的配置"""
fileName = 'VT_setting.json'
path = os.path.abspath(os.path.dirname(__file__))
fileName = os.path.join(path, fileName)
try:
f = file(fileName)
setting = json.load(f)
host = setting['mongoHost']
port = setting['mongoPort']
logging = setting['mongoLogging']
except:
host = 'localhost'
port = 27017
logging = False
return host, port, logging
#----------------------------------------------------------------------
def todayDate():
"""获取当前本机电脑时间的日期"""

293
vnpy/trader/vtGateway.py
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@ -3,9 +3,10 @@
import time
from vnpy.event.eventEngine import *
from vnpy.trader.eventType import *
from vnpy.trader.vtEvent import *
from vtConstant import *
from vtObject import *
########################################################################
@ -141,296 +142,6 @@ class VtGateway(object):
def close(self):
"""关闭"""
pass
########################################################################
class VtBaseData(object):
"""回调函数推送数据的基础类，其他数据类继承于此"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.gatewayName = EMPTY_STRING # Gateway名称
self.rawData = None # 原始数据
########################################################################
class VtTickData(VtBaseData):
"""Tick行情数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtTickData, self).__init__()
# 代码相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
# 成交数据
self.lastPrice = EMPTY_FLOAT # 最新成交价
self.lastVolume = EMPTY_INT # 最新成交量
self.volume = EMPTY_INT # 今天总成交量
self.openInterest = EMPTY_INT # 持仓量
self.time = EMPTY_STRING # 时间 11:20:56.5
self.date = EMPTY_STRING # 日期 20151009
# 常规行情
self.openPrice = EMPTY_FLOAT # 今日开盘价
self.highPrice = EMPTY_FLOAT # 今日最高价
self.lowPrice = EMPTY_FLOAT # 今日最低价
self.preClosePrice = EMPTY_FLOAT
self.upperLimit = EMPTY_FLOAT # 涨停价
self.lowerLimit = EMPTY_FLOAT # 跌停价
# 五档行情
self.bidPrice1 = EMPTY_FLOAT
self.bidPrice2 = EMPTY_FLOAT
self.bidPrice3 = EMPTY_FLOAT
self.bidPrice4 = EMPTY_FLOAT
self.bidPrice5 = EMPTY_FLOAT
self.askPrice1 = EMPTY_FLOAT
self.askPrice2 = EMPTY_FLOAT
self.askPrice3 = EMPTY_FLOAT
self.askPrice4 = EMPTY_FLOAT
self.askPrice5 = EMPTY_FLOAT
self.bidVolume1 = EMPTY_INT
self.bidVolume2 = EMPTY_INT
self.bidVolume3 = EMPTY_INT
self.bidVolume4 = EMPTY_INT
self.bidVolume5 = EMPTY_INT
self.askVolume1 = EMPTY_INT
self.askVolume2 = EMPTY_INT
self.askVolume3 = EMPTY_INT
self.askVolume4 = EMPTY_INT
self.askVolume5 = EMPTY_INT
########################################################################
class VtTradeData(VtBaseData):
"""成交数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtTradeData, self).__init__()
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.tradeID = EMPTY_STRING # 成交编号
self.vtTradeID = EMPTY_STRING # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
self.orderID = EMPTY_STRING # 订单编号
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
# 成交相关
self.direction = EMPTY_UNICODE # 成交方向
self.offset = EMPTY_UNICODE # 成交开平仓
self.price = EMPTY_FLOAT # 成交价格
self.volume = EMPTY_INT # 成交数量
self.tradeTime = EMPTY_STRING # 成交时间
########################################################################
class VtOrderData(VtBaseData):
"""订单数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtOrderData, self).__init__()
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.orderID = EMPTY_STRING # 订单编号
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
# 报单相关
self.direction = EMPTY_UNICODE # 报单方向
self.offset = EMPTY_UNICODE # 报单开平仓
self.price = EMPTY_FLOAT # 报单价格
self.totalVolume = EMPTY_INT # 报单总数量
self.tradedVolume = EMPTY_INT # 报单成交数量
self.status = EMPTY_UNICODE # 报单状态
self.orderTime = EMPTY_STRING # 发单时间
self.cancelTime = EMPTY_STRING # 撤单时间
# CTP/LTS相关
self.frontID = EMPTY_INT # 前置机编号
self.sessionID = EMPTY_INT # 连接编号
########################################################################
class VtPositionData(VtBaseData):
"""持仓数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtPositionData, self).__init__()
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，合约代码.交易所代码
# 持仓相关
self.direction = EMPTY_STRING # 持仓方向
self.position = EMPTY_INT # 持仓量
self.frozen = EMPTY_INT # 冻结数量
self.price = EMPTY_FLOAT # 持仓均价
self.vtPositionName = EMPTY_STRING # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
self.ydPosition = EMPTY_INT # 昨持仓
self.positionProfit = EMPTY_FLOAT # 持仓盈亏
########################################################################
class VtAccountData(VtBaseData):
"""账户数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtAccountData, self).__init__()
# 账号代码相关
self.accountID = EMPTY_STRING # 账户代码
self.vtAccountID = EMPTY_STRING # 账户在vt中的唯一代码，通常是 Gateway名.账户代码
# 数值相关
self.preBalance = EMPTY_FLOAT # 昨日账户结算净值
self.balance = EMPTY_FLOAT # 账户净值
self.available = EMPTY_FLOAT # 可用资金
self.commission = EMPTY_FLOAT # 今日手续费
self.margin = EMPTY_FLOAT # 保证金占用
self.closeProfit = EMPTY_FLOAT # 平仓盈亏
self.positionProfit = EMPTY_FLOAT # 持仓盈亏
########################################################################
class VtErrorData(VtBaseData):
"""错误数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtErrorData, self).__init__()
self.errorID = EMPTY_STRING # 错误代码
self.errorMsg = EMPTY_UNICODE # 错误信息
self.additionalInfo = EMPTY_UNICODE # 补充信息
self.errorTime = time.strftime('%X', time.localtime()) # 错误生成时间
########################################################################
class VtLogData(VtBaseData):
"""日志数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtLogData, self).__init__()
self.logTime = time.strftime('%X', time.localtime()) # 日志生成时间
self.logContent = EMPTY_UNICODE # 日志信息
########################################################################
class VtContractData(VtBaseData):
"""合约详细信息类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtContractData, self).__init__()
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.name = EMPTY_UNICODE # 合约中文名
self.productClass = EMPTY_UNICODE # 合约类型
self.size = EMPTY_INT # 合约大小
self.priceTick = EMPTY_FLOAT # 合约最小价格TICK
# 期权相关
self.strikePrice = EMPTY_FLOAT # 期权行权价
self.underlyingSymbol = EMPTY_STRING # 标的物合约代码
self.optionType = EMPTY_UNICODE # 期权类型
########################################################################
class VtSubscribeReq(object):
"""订阅行情时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
# 以下为IB相关
self.productClass = EMPTY_UNICODE # 合约类型
self.currency = EMPTY_STRING # 合约货币
self.expiry = EMPTY_STRING # 到期日
self.strikePrice = EMPTY_FLOAT # 行权价
self.optionType = EMPTY_UNICODE # 期权类型
########################################################################
class VtOrderReq(object):
"""发单时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
self.price = EMPTY_FLOAT # 价格
self.volume = EMPTY_INT # 数量
self.priceType = EMPTY_STRING # 价格类型
self.direction = EMPTY_STRING # 买卖
self.offset = EMPTY_STRING # 开平
# 以下为IB相关
self.productClass = EMPTY_UNICODE # 合约类型
self.currency = EMPTY_STRING # 合约货币
self.expiry = EMPTY_STRING # 到期日
self.strikePrice = EMPTY_FLOAT # 行权价
self.optionType = EMPTY_UNICODE # 期权类型
self.lastTradeDateOrContractMonth = EMPTY_STRING # 合约月,IB专用
self.multiplier = EMPTY_STRING # 乘数,IB专用
########################################################################
class VtCancelOrderReq(object):
"""撤单时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
# 以下字段主要和CTP、LTS类接口相关
self.orderID = EMPTY_STRING # 报单号
self.frontID = EMPTY_STRING # 前置机号
self.sessionID = EMPTY_STRING # 会话号

42
vnpy/trader/vtGlobal.py Normal file
View File

@ -0,0 +1,42 @@
# encoding: UTF-8
"""
存放全局变量的文件
"""
# 数据库
MONGO_HOST = "localhost"
MONGO_PORT = 27017
MONGO_LOGGING = False
# 语言
LANGUAGE = "chinese"
# 界面
DARK_STYLE = True
FONT_FAMILY = u"微软雅黑"
FONT_SIZE = 12
import os
settingFileName = "VT_setting.json"
path = os.path.abspath(os.path.dirname(__file__))
settingFileName = os.path.join(path, settingFileName)
try:
f = file(settingFileName)
setting = json.load(f)
MONGO_HOST = setting["mongoHost"]
MONGO_PORT = setting["mongoPort"]
MONGO_LOGGING = setting["mongoLogging"]
LANGUAGE = setting["language"]
DARK_STYLE = setting["darkStyle"]
FONT_FAMILY = setting["fontFamily"]
FONT_SIZE = setting["fontSize"]
except:
pass

20
vnpy/trader/vtMain.py
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@ -2,10 +2,9 @@
import sys
import os
import ctypes
import platform
import vtPath
import vtGlobal
from vtEngine import MainEngine
from uiMainWindow import *
@ -14,8 +13,6 @@ path = os.path.abspath(os.path.dirname(__file__))
ICON_FILENAME = 'vnpy.ico'
ICON_FILENAME = os.path.join(path, ICON_FILENAME)
SETTING_FILENAME = 'VT_setting.json'
SETTING_FILENAME = os.path.join(path, SETTING_FILENAME)
#----------------------------------------------------------------------
def main():
@ -25,7 +22,8 @@ def main():
sys.setdefaultencoding('utf8')
# 设置Windows底部任务栏图标
if 'Windows' in platform.uname() :
if 'Windows' in platform.uname():
import ctypes
ctypes.windll.shell32.SetCurrentProcessExplicitAppUserModelID('vn.trader')
# 初始化Qt应用对象
@ -34,15 +32,9 @@ def main():
app.setFont(BASIC_FONT)
# 设置Qt的皮肤
try:
f = file(SETTING_FILENAME)
setting = json.load(f)
if setting['darkStyle']:
import qdarkstyle
app.setStyleSheet(qdarkstyle.load_stylesheet(pyside=False))
f.close()
except:
pass
if vtGlobal.DARK_STYLE:
import qdarkstyle
app.setStyleSheet(qdarkstyle.load_stylesheet(pyside=False))
# 初始化主引擎和主窗口对象
mainEngine = MainEngine()

326
vnpy/trader/vtObject.py Normal file
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@ -0,0 +1,326 @@
# encoding: UTF-8
import time
from vtConstant import *
########################################################################
class VtBaseData(object):
"""回调函数推送数据的基础类，其他数据类继承于此"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.gatewayName = EMPTY_STRING # Gateway名称
self.rawData = None # 原始数据
########################################################################
class VtTickData(VtBaseData):
"""Tick行情数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtTickData, self).__init__()
# 代码相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
# 成交数据
self.lastPrice = EMPTY_FLOAT # 最新成交价
self.lastVolume = EMPTY_INT # 最新成交量
self.volume = EMPTY_INT # 今天总成交量
self.openInterest = EMPTY_INT # 持仓量
self.time = EMPTY_STRING # 时间 11:20:56.5
self.date = EMPTY_STRING # 日期 20151009
self.datetime = None # python的datetime时间对象
# 常规行情
self.openPrice = EMPTY_FLOAT # 今日开盘价
self.highPrice = EMPTY_FLOAT # 今日最高价
self.lowPrice = EMPTY_FLOAT # 今日最低价
self.preClosePrice = EMPTY_FLOAT
self.upperLimit = EMPTY_FLOAT # 涨停价
self.lowerLimit = EMPTY_FLOAT # 跌停价
# 五档行情
self.bidPrice1 = EMPTY_FLOAT
self.bidPrice2 = EMPTY_FLOAT
self.bidPrice3 = EMPTY_FLOAT
self.bidPrice4 = EMPTY_FLOAT
self.bidPrice5 = EMPTY_FLOAT
self.askPrice1 = EMPTY_FLOAT
self.askPrice2 = EMPTY_FLOAT
self.askPrice3 = EMPTY_FLOAT
self.askPrice4 = EMPTY_FLOAT
self.askPrice5 = EMPTY_FLOAT
self.bidVolume1 = EMPTY_INT
self.bidVolume2 = EMPTY_INT
self.bidVolume3 = EMPTY_INT
self.bidVolume4 = EMPTY_INT
self.bidVolume5 = EMPTY_INT
self.askVolume1 = EMPTY_INT
self.askVolume2 = EMPTY_INT
self.askVolume3 = EMPTY_INT
self.askVolume4 = EMPTY_INT
self.askVolume5 = EMPTY_INT
########################################################################
class VtBarData(VtBaseData):
"""K线数据"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtBarData, self).__init__()
self.vtSymbol = EMPTY_STRING # vt系统代码
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
self.open = EMPTY_FLOAT # OHLC
self.high = EMPTY_FLOAT
self.low = EMPTY_FLOAT
self.close = EMPTY_FLOAT
self.date = EMPTY_STRING # bar开始的时间，日期
self.time = EMPTY_STRING # 时间
self.datetime = None # python的datetime时间对象
self.volume = EMPTY_INT # 成交量
self.openInterest = EMPTY_INT # 持仓量
########################################################################
class VtTradeData(VtBaseData):
"""成交数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtTradeData, self).__init__()
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.tradeID = EMPTY_STRING # 成交编号
self.vtTradeID = EMPTY_STRING # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
self.orderID = EMPTY_STRING # 订单编号
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
# 成交相关
self.direction = EMPTY_UNICODE # 成交方向
self.offset = EMPTY_UNICODE # 成交开平仓
self.price = EMPTY_FLOAT # 成交价格
self.volume = EMPTY_INT # 成交数量
self.tradeTime = EMPTY_STRING # 成交时间
########################################################################
class VtOrderData(VtBaseData):
"""订单数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtOrderData, self).__init__()
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.orderID = EMPTY_STRING # 订单编号
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
# 报单相关
self.direction = EMPTY_UNICODE # 报单方向
self.offset = EMPTY_UNICODE # 报单开平仓
self.price = EMPTY_FLOAT # 报单价格
self.totalVolume = EMPTY_INT # 报单总数量
self.tradedVolume = EMPTY_INT # 报单成交数量
self.status = EMPTY_UNICODE # 报单状态
self.orderTime = EMPTY_STRING # 发单时间
self.cancelTime = EMPTY_STRING # 撤单时间
# CTP/LTS相关
self.frontID = EMPTY_INT # 前置机编号
self.sessionID = EMPTY_INT # 连接编号
########################################################################
class VtPositionData(VtBaseData):
"""持仓数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtPositionData, self).__init__()
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，合约代码.交易所代码
# 持仓相关
self.direction = EMPTY_STRING # 持仓方向
self.position = EMPTY_INT # 持仓量
self.frozen = EMPTY_INT # 冻结数量
self.price = EMPTY_FLOAT # 持仓均价
self.vtPositionName = EMPTY_STRING # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
self.ydPosition = EMPTY_INT # 昨持仓
self.positionProfit = EMPTY_FLOAT # 持仓盈亏
########################################################################
class VtAccountData(VtBaseData):
"""账户数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtAccountData, self).__init__()
# 账号代码相关
self.accountID = EMPTY_STRING # 账户代码
self.vtAccountID = EMPTY_STRING # 账户在vt中的唯一代码，通常是 Gateway名.账户代码
# 数值相关
self.preBalance = EMPTY_FLOAT # 昨日账户结算净值
self.balance = EMPTY_FLOAT # 账户净值
self.available = EMPTY_FLOAT # 可用资金
self.commission = EMPTY_FLOAT # 今日手续费
self.margin = EMPTY_FLOAT # 保证金占用
self.closeProfit = EMPTY_FLOAT # 平仓盈亏
self.positionProfit = EMPTY_FLOAT # 持仓盈亏
########################################################################
class VtErrorData(VtBaseData):
"""错误数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtErrorData, self).__init__()
self.errorID = EMPTY_STRING # 错误代码
self.errorMsg = EMPTY_UNICODE # 错误信息
self.additionalInfo = EMPTY_UNICODE # 补充信息
self.errorTime = time.strftime('%X', time.localtime()) # 错误生成时间
########################################################################
class VtLogData(VtBaseData):
"""日志数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtLogData, self).__init__()
self.logTime = time.strftime('%X', time.localtime()) # 日志生成时间
self.logContent = EMPTY_UNICODE # 日志信息
########################################################################
class VtContractData(VtBaseData):
"""合约详细信息类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtContractData, self).__init__()
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.name = EMPTY_UNICODE # 合约中文名
self.productClass = EMPTY_UNICODE # 合约类型
self.size = EMPTY_INT # 合约大小
self.priceTick = EMPTY_FLOAT # 合约最小价格TICK
# 期权相关
self.strikePrice = EMPTY_FLOAT # 期权行权价
self.underlyingSymbol = EMPTY_STRING # 标的物合约代码
self.optionType = EMPTY_UNICODE # 期权类型
########################################################################
class VtSubscribeReq(object):
"""订阅行情时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
# 以下为IB相关
self.productClass = EMPTY_UNICODE # 合约类型
self.currency = EMPTY_STRING # 合约货币
self.expiry = EMPTY_STRING # 到期日
self.strikePrice = EMPTY_FLOAT # 行权价
self.optionType = EMPTY_UNICODE # 期权类型
########################################################################
class VtOrderReq(object):
"""发单时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
self.price = EMPTY_FLOAT # 价格
self.volume = EMPTY_INT # 数量
self.priceType = EMPTY_STRING # 价格类型
self.direction = EMPTY_STRING # 买卖
self.offset = EMPTY_STRING # 开平
# 以下为IB相关
self.productClass = EMPTY_UNICODE # 合约类型
self.currency = EMPTY_STRING # 合约货币
self.expiry = EMPTY_STRING # 到期日
self.strikePrice = EMPTY_FLOAT # 行权价
self.optionType = EMPTY_UNICODE # 期权类型
self.lastTradeDateOrContractMonth = EMPTY_STRING # 合约月,IB专用
self.multiplier = EMPTY_STRING # 乘数,IB专用
########################################################################
class VtCancelOrderReq(object):
"""撤单时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
# 以下字段主要和CTP、LTS类接口相关
self.orderID = EMPTY_STRING # 报单号
self.frontID = EMPTY_STRING # 前置机号
self.sessionID = EMPTY_STRING # 会话号

24
vnpy/trader/vtPath.py
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@ -1,24 +0,0 @@
# encoding: UTF-8
"""
用于vn.trader的运行目录环境设置
"""
import os
import sys
# 将根目录路径添加到环境变量中
ROOT_PATH = os.path.abspath(os.path.dirname(__file__))
sys.path.append(ROOT_PATH)
# 将功能模块的目录路径添加到环境变量中
# 若各目录下存在同名文件可能导致异常，请注意测试
MODULE_PATH = {}
MODULE_PATH['CTA'] = os.path.join(ROOT_PATH, 'ctaStrategy')
MODULE_PATH['RM'] = os.path.join(ROOT_PATH, 'riskManager')
MODULE_PATH['DR'] = os.path.join(ROOT_PATH, 'dataRecorder')
# 添加到环境变量中
for path in MODULE_PATH.values():
if path not in sys.path:
sys.path.append(path)

3
vnpy/trader/vtServer.py
View File

@ -7,9 +7,8 @@ from datetime import datetime
from time import sleep
from threading import Thread
import vtPath
import eventType
from vnrpc import RpcServer
from vnpy.rpc.vnrpc import RpcServer
from vtEngine import MainEngine