重构vntrader

vnpy/trader/ctaStrategy/ctaBacktesting.py

@@ -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(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)
-        
-        self.dbClient = pymongo.MongoClient(host, port)
         collection = self.dbClient[self.dbName][self.symbol]          
 
         self.output(u'开始载入数据')

vnpy/trader/ctaStrategy/ctaBase.py

@@ -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    

vnpy/trader/ctaStrategy/ctaEngine.py

@@ -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

vnpy/trader/ctaStrategy/ctaHistoryData.py

@@ -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(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)
-        
-        self.dbClient = pymongo.MongoClient(host, 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(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)    
-    
-    client = pymongo.MongoClient(host, 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(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)    
-    
-    client = pymongo.MongoClient(host, 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(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)    
-    
-    client = pymongo.MongoClient(host, port)    
     collection = client[dbName][symbol]
     collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
     

vnpy/trader/ctaStrategy/strategy/strategyAtrRsi.py

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

vnpy/trader/ctaStrategy/strategy/strategyDualThrust.py

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

vnpy/trader/ctaStrategy/strategy/strategyEmaDemo.py

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

vnpy/trader/ctaStrategy/strategy/strategyKingKeltner.py

@@ -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):

vnpy/trader/ctaStrategy/tools/multiTimeFrame/ctaBacktestMultiTF.py

@@ -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"""
+        self.dbClient = pymongo.MongoClient(vtGlobal.MONGO_HOST, vtGlobal.MONGO_PORT)
-
-        host, port, logging = loadMongoSetting()
-
-        self.dbClient = pymongo.MongoClient(host, port)
         collection = self.dbClient[self.dbName][self.symbol]
 
         # Load historical data of information symbols, construct a dictionary of Database

vnpy/trader/dataRecorder/drEngine.py

@@ -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

vnpy/trader/riskManager/rmEngine.py

@@ -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
 

vnpy/trader/uiBasicWidget.py

@@ -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

vnpy/trader/vtClient.py

@@ -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

vnpy/trader/vtEngine.py

@@ -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:

vnpy/trader/vtFunction.py

@@ -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"""

vnpy/trader/vtGateway.py

@@ -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
-  
     
     
     

vnpy/trader/vtGlobal.py

@@ -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

vnpy/trader/vtMain.py

@@ -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:
+    if vtGlobal.DARK_STYLE:
-        f = file(SETTING_FILENAME)
+        import qdarkstyle
-        setting = json.load(f)    
+        app.setStyleSheet(qdarkstyle.load_stylesheet(pyside=False))
-        if setting['darkStyle']:
-            import qdarkstyle
-            app.setStyleSheet(qdarkstyle.load_stylesheet(pyside=False))
-        f.close()
-    except:
-        pass
     
     # 初始化主引擎和主窗口对象
     mainEngine = MainEngine()

vnpy/trader/vtObject.py

@@ -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
+  
+
+    
+    
+    

vnpy/trader/vtPath.py

@@ -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)

vnpy/trader/vtServer.py

@@ -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