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[Add] use rqdata client for query history data in cta engine

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This commit is contained in:
vn.py 2019-02-18 13:10:00 +08:00
parent d32c3100af
commit 144ca19b08
2 changed files with 90 additions and 20 deletions
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108
vnpy/app/cta_strategy/engine.py
View File

@ -8,7 +8,9 @@ from pathlib import Path
from typing import Any, Callable
from datetime import datetime, timedelta
from threading import Thread
from queue import Queue, Empty
from queue import Queue
import rqdatac
from vnpy.event import Event, EventEngine
from vnpy.trader.engine import BaseEngine, MainEngine
@ -17,11 +19,13 @@ from vnpy.trader.object import (
SubscribeRequest,
LogData,
TickData,
BarData
)
from vnpy.trader.event import EVENT_TICK, EVENT_ORDER, EVENT_TRADE
from vnpy.trader.constant import Direction, PriceType, Interval
from vnpy.trader.constant import Direction, PriceType, Interval, Exchange
from vnpy.trader.utility import load_json, save_json
from vnpy.trader.database import DbTickData, DbBarData
from vnpy.trader.setting import SETTINGS
from .base import (
EVENT_CTA_LOG,
@ -69,9 +73,13 @@ class CtaEngine(BaseEngine):
self.init_thread = None
self.init_queue = Queue()
self.rq_client = None
self.rq_symbols = set()
def init_engine(self):
"""
"""
self.init_rqdata()
self.load_strategy_class()
self.load_strategy_setting()
self.load_strategy_data()
@ -88,6 +96,65 @@ class CtaEngine(BaseEngine):
self.event_engine.register(EVENT_ORDER, self.process_order_event)
self.event_engine.register(EVENT_TRADE, self.process_trade_event)
def init_rqdata(self):
"""
Init RQData client.
"""
username = SETTINGS["rqdata.username"]
password = SETTINGS["rqdata.password"]
if not username or not password:
return
self.rq_client = rqdatac
self.rq_client.init(username, password,
('rqdatad-pro.ricequant.com', 16011))
try:
df = self.rq_client.all_instruments(
type='Future', date=datetime.now())
for ix, row in df.iterrows():
self.rq_symbols.add(row['order_book_id'])
except RuntimeError:
pass
self.write_log("RQData数据接口初始化成功")
def query_bar_from_rq(
self, vt_symbol: str, interval: Interval, start: datetime, end: datetime
):
"""
Query bar data from RQData.
"""
symbol, exchange_str = vt_symbol.split(".")
if symbol.upper() not in self.rq_symbols:
return None
df = self.rq_client.get_price(
symbol.upper(),
frequency=interval.value,
fields=["open", "high", "low", "close", "volume"],
start_date=start,
end_date=end
)
data = []
for ix, row in df.iterrows():
bar = BarData(
symbol=symbol,
exchange=Exchange(exchange_str),
interval=interval,
datetime=row.name.to_pydatetime(),
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],
close_price=row["close"],
volume=row["volume"],
gateway_name="RQ"
)
data.append(bar)
return data
def process_tick_event(self, event: Event):
""""""
tick = event.data
@ -111,7 +178,7 @@ class CtaEngine(BaseEngine):
return
# Remove vt_orderid if order is no longer active.
vt_orderids = self.strategy_orderid_map[strategy.name]
vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
if order.vt_orderid in vt_orderids and not order.is_active():
vt_orderids.remove(order.vt_orderid)
@ -172,7 +239,7 @@ class CtaEngine(BaseEngine):
# Remove from relation map.
self.stop_orders.pop(stop_order.stop_orderid)
vt_orderids = self.strategy_orderid_map[strategy.name]
vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
if stop_order.stop_orderid in vt_orderids:
vt_orderids.remove(stop_order.stop_orderid)
@ -217,7 +284,7 @@ class CtaEngine(BaseEngine):
# Save relationship between orderid and strategy.
self.orderid_strategy_map[vt_orderid] = strategy
vt_orderids = self.strategy_orderid_map[strategy.name]
vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
vt_orderids.add(vt_orderid)
return vt_orderid
@ -248,7 +315,7 @@ class CtaEngine(BaseEngine):
self.stop_orders[stop_orderid] = stop_order
vt_orderids = self.strategy_orderid_map[strategy.name]
vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
vt_orderids.add(stop_orderid)
self.call_strategy_func(strategy, strategy.on_stop_order, stop_order)
@ -279,7 +346,7 @@ class CtaEngine(BaseEngine):
# Remove from relation map.
self.stop_orders.pop(stop_orderid)
vt_orderids = self.strategy_orderid_map[strategy.name]
vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
if stop_orderid in vt_orderids:
vt_orderids.remove(stop_orderid)
@ -315,7 +382,7 @@ class CtaEngine(BaseEngine):
"""
Cancel all active orders of a strategy.
"""
vt_orderids = self.strategy_orderid_map[strategy.name]
vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
if not vt_orderids:
return
@ -333,18 +400,21 @@ class CtaEngine(BaseEngine):
end = datetime.now()
start = end - timedelta(days)
s = (
DbBarData.select()
.where(
(DbBarData.vt_symbol == vt_symbol) &
(DbBarData.interval == interval) &
(DbBarData.datetime >= start) &
(DbBarData.datetime <= end)
# Query data from RQData by default, if not found, load from database.
data = self.query_bar_from_rq(vt_symbol, interval, start, end)
if not data:
data = (
DbBarData.select()
.where(
(DbBarData.vt_symbol == vt_symbol) &
(DbBarData.interval == interval) &
(DbBarData.datetime >= start) &
(DbBarData.datetime <= end)
)
.order_by(DbBarData.datetime)
)
.order_by(DbBarData.datetime)
)
for bar in s:
for bar in data:
callback(bar)
def load_tick(self, vt_symbol: str, days: int, callback: Callable):
@ -676,7 +746,7 @@ class CtaEngine(BaseEngine):
Send email to default receiver.
"""
if strategy:
subject = f"{strategy.name}"
subject = f"{strategy.strategy_name}"
else:
subject = "CTA策略引擎"

2
vnpy/app/cta_strategy/template.py
View File

@ -193,7 +193,7 @@ class CtaTemplate(ABC):
"""
Write a log message.
"""
self.cta_engine.write_log(self, msg)
self.cta_engine.write_log(msg, self)
def get_engine_type(self):
"""