[增强] gateway增加状态，增加noui下得日志监控，切片数据重放
This commit is contained in:
msincenselee
parent
d653da2097
commit
152fc1d83b
@ -382,7 +382,7 @@ class AlgoEngine(BaseEngine):
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algo_logger = self.algo_loggers.get(algo_name, None)
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if not algo_logger:
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log_path = get_folder_path('log')
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log_filename = os.path.abspath(os.path.join(log_path, str(algo_name)))
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log_filename = str(log_path.joinpath(str(algo_name)))
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print(u'create logger:{}'.format(log_filename))
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self.algo_loggers[algo_name] = setup_logger(
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file_name=log_filename,
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@ -1,11 +1,16 @@
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"""
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数字货币CTA策略运行引擎
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华富资产：
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"""
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import importlib
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import os
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import sys
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import traceback
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import json
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import pickle
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import bz2
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from collections import defaultdict
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from pathlib import Path
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from typing import Any, Callable
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@ -168,6 +173,7 @@ class CtaEngine(BaseEngine):
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"""
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self.main_engine.get_strategy_status = self.get_strategy_status
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self.main_engine.get_strategy_pos = self.get_strategy_pos
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self.main_engine.compare_pos = self.compare_pos
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self.main_engine.add_strategy = self.add_strategy
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self.main_engine.init_strategy = self.init_strategy
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self.main_engine.start_strategy = self.start_strategy
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@ -181,6 +187,7 @@ class CtaEngine(BaseEngine):
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if self.main_engine.rpc_service:
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self.main_engine.rpc_service.register(self.main_engine.get_strategy_status)
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self.main_engine.rpc_service.register(self.main_engine.get_strategy_pos)
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self.main_engine.rpc_service.register(self.main_engine.compare_pos)
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self.main_engine.rpc_service.register(self.main_engine.add_strategy)
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self.main_engine.rpc_service.register(self.main_engine.init_strategy)
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self.main_engine.rpc_service.register(self.main_engine.start_strategy)
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@ -316,8 +323,7 @@ class CtaEngine(BaseEngine):
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trade_dict.update({'idx_price': trade_dict.get('price')})
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if strategy_name is not None:
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trade_file = os.path.abspath(
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os.path.join(get_folder_path('data'), '{}_trade.csv'.format(strategy_name)))
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trade_file = str(get_folder_path('data').joinpath('{}_trade.csv'.format(strategy_name)))
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append_data(file_name=trade_file, dict_data=trade_dict)
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except Exception as ex:
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self.write_error(u'写入交易记录csv出错：{},{}'.format(str(ex), traceback.format_exc()))
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@ -338,6 +344,7 @@ class CtaEngine(BaseEngine):
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holding = self.get_position_holding(position.vt_symbol, position.gateway_name)
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holding.update_position(position)
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def check_unsubscribed_symbols(self):
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"""检查未订阅合约"""
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@ -941,15 +948,17 @@ class CtaEngine(BaseEngine):
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Add a new strategy.
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"""
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if strategy_name in self.strategies:
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self.write_log(msg=f"创建策略失败，存在重名{strategy_name}",
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msg = f"创建策略失败，存在重名{strategy_name}"
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self.write_log(msg=msg,
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level=logging.CRITICAL)
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return
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return False, msg
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strategy_class = self.classes.get(class_name, None)
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if not strategy_class:
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self.write_log(msg=f"创建策略失败，找不到策略类{class_name}",
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msg = f"创建策略失败，找不到策略类{class_name}"
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self.write_log(msg=msg,
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level=logging.CRITICAL)
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return
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return False, msg
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self.write_log(f'开始添加策略类{class_name}，实例名:{strategy_name}')
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strategy = strategy_class(self, strategy_name, vt_symbol, setting)
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@ -971,6 +980,8 @@ class CtaEngine(BaseEngine):
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if auto_init:
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self.init_strategy(strategy_name, auto_start=auto_start)
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return True, f'成功添加{strategy_name}'
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def init_strategy(self, strategy_name: str, auto_start: bool = False):
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"""
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Init a strategy.
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@ -1020,19 +1031,21 @@ class CtaEngine(BaseEngine):
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"""
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strategy = self.strategies[strategy_name]
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if not strategy.inited:
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self.write_error(f"策略{strategy.strategy_name}启动失败，请先初始化")
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return False
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msg = f"策略{strategy.strategy_name}启动失败，请先初始化"
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self.write_error(msg)
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return False, msg
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if strategy.trading:
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self.write_error(f"{strategy_name}已经启动，请勿重复操作")
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return False
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msg = f"{strategy_name}已经启动，请勿重复操作"
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self.write_error(msg)
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return False, msg
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self.call_strategy_func(strategy, strategy.on_start)
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strategy.trading = True
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self.put_strategy_event(strategy)
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return True
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return True, f'成功启动策略{strategy_name}'
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def stop_strategy(self, strategy_name: str):
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"""
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@ -1040,8 +1053,9 @@ class CtaEngine(BaseEngine):
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"""
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strategy = self.strategies[strategy_name]
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if not strategy.trading:
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self.write_log(f'{strategy_name}策略实例已处于停止交易状态')
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return False
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msg = f'{strategy_name}策略实例已处于停止交易状态'
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self.write_log(msg)
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return False, msg
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# Call on_stop function of the strategy
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self.write_log(f'调用{strategy_name}的on_stop,停止交易')
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@ -1060,8 +1074,7 @@ class CtaEngine(BaseEngine):
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# Update GUI
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self.put_strategy_event(strategy)
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return True
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return True, f'成功停止策略{strategy_name}'
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def edit_strategy(self, strategy_name: str, setting: dict):
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"""
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@ -1083,8 +1096,9 @@ class CtaEngine(BaseEngine):
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"""
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strategy = self.strategies[strategy_name]
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if strategy.trading:
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self.write_error(f"策略{strategy.strategy_name}移除失败，请先停止")
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return False
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err_msg = f"策略{strategy.strategy_name}移除失败，请先停止"
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self.write_error(err_msg)
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return False, err_msg
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# Remove setting
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self.remove_strategy_setting(strategy_name)
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@ -1109,7 +1123,7 @@ class CtaEngine(BaseEngine):
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self.write_log(f'移除{strategy_name}策略实例')
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self.strategies.pop(strategy_name)
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return True
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return True, f'成功移除{strategy_name}策略实例'
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def reload_strategy(self, strategy_name: str, vt_symbol: str = '', setting: dict = {}):
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"""
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@ -1123,8 +1137,9 @@ class CtaEngine(BaseEngine):
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# 优先判断重启的策略，是否已经加载
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if strategy_name not in self.strategies or strategy_name not in self.strategy_setting:
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self.write_error(f"{strategy_name}不在运行策略中，不能重启")
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return False
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err_msg = f"{strategy_name}不在运行策略中，不能重启"
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self.write_error(err_msg)
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return False, err_msg
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# 从本地配置文件中读取
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if len(setting) == 0:
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@ -1142,7 +1157,9 @@ class CtaEngine(BaseEngine):
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module_name = self.class_module_map[class_name]
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# 重新load class module
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if not self.load_strategy_class_from_module(module_name):
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return False
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err_msg = f'不能加载模块:{module_name}'
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self.write_error(err_msg)
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return False, err_msg
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# 停止当前策略实例的运行，撤单
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self.stop_strategy(strategy_name)
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@ -1158,8 +1175,9 @@ class CtaEngine(BaseEngine):
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auto_init=old_strategy_config.get('auto_init', False),
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auto_start=old_strategy_config.get('auto_start', False))
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self.write_log(f'重新运行策略{strategy_name}执行完毕')
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return True
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msg = f'成功重载策略{strategy_name}'
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self.write_log(msg)
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return True, msg
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def save_strategy_data(self, select_name: str):
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""" save strategy data"""
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@ -1241,6 +1259,11 @@ class CtaEngine(BaseEngine):
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return
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# 剩下工作：保存本地文件/数据库
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snapshot_folder = get_folder_path(f'data/snapshots/{strategy_name}')
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snapshot_file = snapshot_folder.joinpath('{}.pkb2'.format(datetime.now().strftime('%Y%m%d_%H%M%S')))
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with bz2.BZ2File(str(snapshot_file), 'wb') as f:
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pickle.dump(snapshot, f)
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self.write_log(u'切片保存成功:{}'.format(str(snapshot_file)))
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except Exception as ex:
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self.write_error(u'获取策略{}切片数据异常:'.format(strategy_name, str(ex)))
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@ -1417,6 +1440,9 @@ class CtaEngine(BaseEngine):
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d['date'] = dt.strftime('%Y%m%d')
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d['hour'] = dt.hour
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d['datetime'] = datetime.now()
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strategy = self.strategies.get(strategy_name)
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d['inited'] = strategy.inited
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d['trading'] = strategy.trading
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try:
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d['pos'] = self.get_strategy_pos(name=strategy_name)
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except Exception as ex:
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@ -1451,6 +1477,146 @@ class CtaEngine(BaseEngine):
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d.update(strategy.get_parameters())
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return d
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def compare_pos(self):
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"""
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对比账号&策略的持仓,不同的话则发出微信提醒
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:return:
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"""
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# 当前没有接入网关
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if len(self.main_engine.gateways) == 0:
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return False, u'当前没有接入网关'
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self.write_log(u'开始对比账号&策略的持仓')
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# 获取当前策略得持仓
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strategy_pos_list = self.get_all_strategy_pos()
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self.write_log(u'策略持仓清单:{}'.format(strategy_pos_list))
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# 需要进行对比得合约集合（来自策略持仓/账号持仓）
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vt_symbols = set()
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# 账号的持仓处理 => account_pos
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compare_pos = dict() # vt_symbol: {'账号多单': xx, '账号空单':xxx, '策略空单':[], '策略多单':[]}
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for holding_key in list(self.holdings.keys()):
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# gateway_name.symbol.exchange => symbol.exchange
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vt_symbol = '.'.join(holding_key.split('.')[-2:])
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vt_symbols.add(vt_symbol)
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holding = self.holdings.get(holding_key, None)
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if holding is None:
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continue
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compare_pos[vt_symbol] = OrderedDict(
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{
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"账号空单": holding.short_pos,
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'账号多单': holding.long_pos,
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'策略空单': 0,
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'策略多单': 0,
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'空单策略': [],
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'多单策略': []
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}
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)
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# 逐一根据策略仓位，与Account_pos进行处理比对
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for strategy_pos in strategy_pos_list:
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for pos in strategy_pos.get('pos', []):
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vt_symbol = pos.get('vt_symbol')
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if not vt_symbol:
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continue
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vt_symbols.add(vt_symbol)
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symbol_pos = compare_pos.get(vt_symbol, None)
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if symbol_pos is None:
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self.write_log(u'账号持仓信息获取不到{}，创建一个'.format(vt_symbol))
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symbol_pos = OrderedDict(
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{
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"账号空单": 0,
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'账号多单': 0,
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'策略空单': 0,
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'策略多单': 0,
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'空单策略': [],
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'多单策略': []
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}
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)
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if pos.get('direction') == 'short':
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symbol_pos.update({'策略空单': symbol_pos.get('策略空单', 0) + abs(pos.get('volume', 0))})
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symbol_pos['空单策略'].append(
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u'{}({})'.format(strategy_pos['strategy_name'], abs(pos.get('volume', 0))))
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self.write_log(u'更新{}策略持空仓=>{}'.format(vt_symbol, symbol_pos.get('策略空单', 0)))
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if pos.get('direction') == 'long':
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symbol_pos.update({'策略多单': symbol_pos.get('策略多单', 0) + abs(pos.get('volume', 0))})
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symbol_pos['多单策略'].append(
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u'{}({})'.format(strategy_pos['strategy_name'], abs(pos.get('volume', 0))))
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self.write_log(u'更新{}策略持多仓=>{}'.format(vt_symbol, symbol_pos.get('策略多单', 0)))
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pos_compare_result = ''
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# 精简输出
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compare_info = ''
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for vt_symbol in sorted(vt_symbols):
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# 发送不一致得结果
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symbol_pos = compare_pos.pop(vt_symbol)
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d_long = {
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'account_id': self.engine_config.get('account_id', '-'),
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'vt_symbol': vt_symbol,
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'direction': Direction.LONG.value,
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'strategy_list': symbol_pos.get('多单策略', [])}
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d_short = {
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'account_id': self.engine_config.get('account_id', '-'),
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'vt_symbol': vt_symbol,
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'direction': Direction.SHORT.value,
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'strategy_list': symbol_pos.get('多单策略', [])}
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# 多空都一致
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if round(symbol_pos['账号空单'], 7) == round(symbol_pos['策略空单'], 7) and \
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round(symbol_pos['账号多单'], 7) == round(symbol_pos['策略多单'], 7):
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msg = u'{}多空都一致.{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))
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self.write_log(msg)
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compare_info += msg
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else:
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pos_compare_result += '\n{}: '.format(vt_symbol)
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# 多单不一致
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if round(symbol_pos['策略多单'], 7) != round(symbol_pos['账号多单'], 7):
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msg = '{}多单[账号({}), 策略{},共({})], ' \
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.format(vt_symbol,
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symbol_pos['账号多单'],
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symbol_pos['多单策略'],
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symbol_pos['策略多单'])
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pos_compare_result += msg
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self.write_error(u'{}不一致:{}'.format(vt_symbol, msg))
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compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg)
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# 空单不一致
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if round(symbol_pos['策略空单'], 7) != round(symbol_pos['账号空单'], 7):
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msg = '{}空单[账号({}), 策略{},共({})], ' \
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.format(vt_symbol,
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symbol_pos['账号空单'],
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symbol_pos['空单策略'],
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symbol_pos['策略空单'])
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pos_compare_result += msg
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self.write_error(u'{}不一致:{}'.format(vt_symbol, msg))
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compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg)
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# 不匹配，输入到stdErr通道
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if pos_compare_result != '':
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msg = u'账户{}持仓不匹配: {}' \
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.format(self.engine_config.get('account_id', '-'),
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pos_compare_result)
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try:
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from vnpy.trader.util_wechat import send_wx_msg
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send_wx_msg(content=msg)
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except Exception as ex:
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pass
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ret_msg = u'持仓不匹配: {}' \
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.format(pos_compare_result)
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self.write_error(ret_msg)
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return True, compare_info + ret_msg
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else:
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self.write_log(u'账户持仓与策略一致')
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return True, compare_info
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def init_all_strategies(self):
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"""
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"""
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@ -1559,13 +1725,16 @@ class CtaEngine(BaseEngine):
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strategy_logger = self.strategy_loggers.get(strategy_name, None)
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if not strategy_logger:
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log_path = get_folder_path('log')
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log_filename = os.path.abspath(os.path.join(log_path, str(strategy_name)))
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log_filename = str(log_path.joinpath(str(strategy_name)))
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print(u'create logger:{}'.format(log_filename))
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self.strategy_loggers[strategy_name] = setup_logger(file_name=log_filename,
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name=str(strategy_name))
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strategy_logger = self.strategy_loggers.get(strategy_name)
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if strategy_logger:
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strategy_logger.log(level, msg)
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else:
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if self.logger:
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self.logger.log(level, msg)
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# 如果日志数据异常，错误和告警，输出至sys.stderr
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if level in [logging.CRITICAL, logging.ERROR, logging.WARNING]:
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|
||||
@ -662,7 +662,7 @@ class CtaFutureTemplate(CtaTemplate):
|
||||
'price': g.open_price})
|
||||
|
||||
if self.cur_datetime and (datetime.now() - self.cur_datetime).total_seconds() < 10:
|
||||
self.write_log(u'当前持仓:{}'.format(pos_list))
|
||||
self.write_log(u'{}当前持仓:{}'.format(self.strategy_name, pos_list))
|
||||
return pos_list
|
||||
|
||||
def on_trade(self, trade: TradeData):
|
||||
|
||||
@ -1,13 +1,20 @@
|
||||
""""""
|
||||
"""
|
||||
CTA策略运行引擎增强版
|
||||
华富资产
|
||||
"""
|
||||
|
||||
import importlib
|
||||
import os
|
||||
import sys
|
||||
import traceback
|
||||
import json
|
||||
import pickle
|
||||
import bz2
|
||||
|
||||
from collections import defaultdict
|
||||
from pathlib import Path
|
||||
from typing import Any, Callable
|
||||
from datetime import datetime
|
||||
from datetime import datetime, timedelta
|
||||
from collections import OrderedDict
|
||||
from concurrent.futures import ThreadPoolExecutor
|
||||
from copy import copy
|
||||
@ -94,7 +101,11 @@ class CtaEngine(BaseEngine):
|
||||
engine_filename = "cta_strategy_pro_config.json"
|
||||
|
||||
def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
|
||||
""""""
|
||||
"""
|
||||
构造函数
|
||||
:param main_engine: 主引擎
|
||||
:param event_engine: 事件引擎
|
||||
"""
|
||||
super().__init__(main_engine, event_engine, APP_NAME)
|
||||
|
||||
self.engine_config = {}
|
||||
@ -138,10 +149,12 @@ class CtaEngine(BaseEngine):
|
||||
def init_engine(self):
|
||||
"""
|
||||
"""
|
||||
self.load_strategy_class()
|
||||
self.load_strategy_setting()
|
||||
self.register_event()
|
||||
self.register_funcs()
|
||||
|
||||
self.load_strategy_class()
|
||||
self.load_strategy_setting()
|
||||
|
||||
self.write_log("CTA策略引擎初始化成功")
|
||||
|
||||
def close(self):
|
||||
@ -164,6 +177,7 @@ class CtaEngine(BaseEngine):
|
||||
"""
|
||||
self.main_engine.get_strategy_status = self.get_strategy_status
|
||||
self.main_engine.get_strategy_pos = self.get_strategy_pos
|
||||
self.main_engine.compare_pos = self.compare_pos
|
||||
self.main_engine.add_strategy = self.add_strategy
|
||||
self.main_engine.init_strategy = self.init_strategy
|
||||
self.main_engine.start_strategy = self.start_strategy
|
||||
@ -177,6 +191,7 @@ class CtaEngine(BaseEngine):
|
||||
if self.main_engine.rpc_service:
|
||||
self.main_engine.rpc_service.register(self.main_engine.get_strategy_status)
|
||||
self.main_engine.rpc_service.register(self.main_engine.get_strategy_pos)
|
||||
self.main_engine.rpc_service.register(self.main_engine.compare_pos)
|
||||
self.main_engine.rpc_service.register(self.main_engine.add_strategy)
|
||||
self.main_engine.rpc_service.register(self.main_engine.init_strategy)
|
||||
self.main_engine.rpc_service.register(self.main_engine.start_strategy)
|
||||
@ -310,8 +325,7 @@ class CtaEngine(BaseEngine):
|
||||
trade_dict.update({'idx_price': trade_dict.get('price')})
|
||||
|
||||
if strategy_name is not None:
|
||||
trade_file = os.path.abspath(
|
||||
os.path.join(get_folder_path('data'), '{}_trade.csv'.format(strategy_name)))
|
||||
trade_file = str(get_folder_path('data').joinpath('{}_trade.csv'.format(strategy_name)))
|
||||
append_data(file_name=trade_file, dict_data=trade_dict)
|
||||
except Exception as ex:
|
||||
self.write_error(u'写入交易记录csv出错：{},{}'.format(str(ex), traceback.format_exc()))
|
||||
@ -856,15 +870,17 @@ class CtaEngine(BaseEngine):
|
||||
Add a new strategy.
|
||||
"""
|
||||
if strategy_name in self.strategies:
|
||||
self.write_log(msg=f"创建策略失败，存在重名{strategy_name}",
|
||||
msg = f"创建策略失败，存在重名{strategy_name}"
|
||||
self.write_log(msg=msg,
|
||||
level=logging.CRITICAL)
|
||||
return
|
||||
return False, msg
|
||||
|
||||
strategy_class = self.classes.get(class_name, None)
|
||||
if not strategy_class:
|
||||
self.write_log(msg=f"创建策略失败，找不到策略类{class_name}",
|
||||
msg = f"创建策略失败，找不到策略类{class_name}"
|
||||
self.write_log(msg=msg,
|
||||
level=logging.CRITICAL)
|
||||
return
|
||||
return False, msg
|
||||
|
||||
self.write_log(f'开始添加策略类{class_name}，实例名:{strategy_name}')
|
||||
strategy = strategy_class(self, strategy_name, vt_symbol, setting)
|
||||
@ -886,6 +902,8 @@ class CtaEngine(BaseEngine):
|
||||
if auto_init:
|
||||
self.init_strategy(strategy_name, auto_start=auto_start)
|
||||
|
||||
return True, f'成功添加{strategy_name}'
|
||||
|
||||
def init_strategy(self, strategy_name: str, auto_start: bool = False):
|
||||
"""
|
||||
Init a strategy.
|
||||
@ -935,26 +953,31 @@ class CtaEngine(BaseEngine):
|
||||
"""
|
||||
strategy = self.strategies[strategy_name]
|
||||
if not strategy.inited:
|
||||
self.write_error(f"策略{strategy.strategy_name}启动失败，请先初始化")
|
||||
return
|
||||
msg = f"策略{strategy.strategy_name}启动失败，请先初始化"
|
||||
self.write_error(msg)
|
||||
return False, msg
|
||||
|
||||
if strategy.trading:
|
||||
self.write_error(f"{strategy_name}已经启动，请勿重复操作")
|
||||
return
|
||||
msg = f"{strategy_name}已经启动，请勿重复操作"
|
||||
self.write_error(msg)
|
||||
return False, msg
|
||||
|
||||
self.call_strategy_func(strategy, strategy.on_start)
|
||||
strategy.trading = True
|
||||
|
||||
self.put_strategy_event(strategy)
|
||||
|
||||
return True, f'成功启动策略{strategy_name}'
|
||||
|
||||
def stop_strategy(self, strategy_name: str):
|
||||
"""
|
||||
Stop a strategy.
|
||||
"""
|
||||
strategy = self.strategies[strategy_name]
|
||||
if not strategy.trading:
|
||||
self.write_log(f'{strategy_name}策略实例已处于停止交易状态')
|
||||
return
|
||||
msg = f'{strategy_name}策略实例已处于停止交易状态'
|
||||
self.write_log(msg)
|
||||
return False, msg
|
||||
|
||||
# Call on_stop function of the strategy
|
||||
self.write_log(f'调用{strategy_name}的on_stop,停止交易')
|
||||
@ -973,6 +996,7 @@ class CtaEngine(BaseEngine):
|
||||
|
||||
# Update GUI
|
||||
self.put_strategy_event(strategy)
|
||||
return True, f'成功停止策略{strategy_name}'
|
||||
|
||||
def edit_strategy(self, strategy_name: str, setting: dict):
|
||||
"""
|
||||
@ -994,8 +1018,9 @@ class CtaEngine(BaseEngine):
|
||||
"""
|
||||
strategy = self.strategies[strategy_name]
|
||||
if strategy.trading:
|
||||
self.write_error(f"策略{strategy.strategy_name}移除失败，请先停止")
|
||||
return
|
||||
err_msg = f"策略{strategy.strategy_name}移除失败，请先停止"
|
||||
self.write_error(err_msg)
|
||||
return False, err_msg
|
||||
|
||||
# Remove setting
|
||||
self.remove_strategy_setting(strategy_name)
|
||||
@ -1020,7 +1045,7 @@ class CtaEngine(BaseEngine):
|
||||
self.write_log(f'移除{strategy_name}策略实例')
|
||||
self.strategies.pop(strategy_name)
|
||||
|
||||
return True
|
||||
return True, f'成功移除{strategy_name}策略实例'
|
||||
|
||||
def reload_strategy(self, strategy_name: str, vt_symbol: str = '', setting: dict = {}):
|
||||
"""
|
||||
@ -1034,8 +1059,9 @@ class CtaEngine(BaseEngine):
|
||||
|
||||
# 优先判断重启的策略，是否已经加载
|
||||
if strategy_name not in self.strategies or strategy_name not in self.strategy_setting:
|
||||
self.write_error(f"{strategy_name}不在运行策略中，不能重启")
|
||||
return False
|
||||
err_msg = f"{strategy_name}不在运行策略中，不能重启"
|
||||
self.write_error(err_msg)
|
||||
return False, err_msg
|
||||
|
||||
# 从本地配置文件中读取
|
||||
if len(setting) == 0:
|
||||
@ -1053,7 +1079,9 @@ class CtaEngine(BaseEngine):
|
||||
module_name = self.class_module_map[class_name]
|
||||
# 重新load class module
|
||||
if not self.load_strategy_class_from_module(module_name):
|
||||
return False
|
||||
err_msg = f'不能加载模块:{module_name}'
|
||||
self.write_error(err_msg)
|
||||
return False, err_msg
|
||||
|
||||
# 停止当前策略实例的运行，撤单
|
||||
self.stop_strategy(strategy_name)
|
||||
@ -1069,8 +1097,9 @@ class CtaEngine(BaseEngine):
|
||||
auto_init=old_strategy_config.get('auto_init', False),
|
||||
auto_start=old_strategy_config.get('auto_start', False))
|
||||
|
||||
self.write_log(f'重新运行策略{strategy_name}执行完毕')
|
||||
return True
|
||||
msg = f'成功重载策略{strategy_name}'
|
||||
self.write_log(msg)
|
||||
return True, msg
|
||||
|
||||
def save_strategy_data(self, select_name: str):
|
||||
""" save strategy data"""
|
||||
@ -1152,6 +1181,11 @@ class CtaEngine(BaseEngine):
|
||||
return
|
||||
|
||||
# 剩下工作：保存本地文件/数据库
|
||||
snapshot_folder = get_folder_path(f'data/snapshots/{strategy_name}')
|
||||
snapshot_file = snapshot_folder.joinpath('{}.pkb2'.format(datetime.now().strftime('%Y%m%d_%H%M%S')))
|
||||
with bz2.BZ2File(str(snapshot_file), 'wb') as f:
|
||||
pickle.dump(snapshot, f)
|
||||
self.write_log(u'切片保存成功:{}'.format(str(snapshot_file)))
|
||||
|
||||
except Exception as ex:
|
||||
self.write_error(u'获取策略{}切片数据异常:'.format(strategy_name, str(ex)))
|
||||
@ -1236,12 +1270,11 @@ class CtaEngine(BaseEngine):
|
||||
|
||||
def get_strategy_status(self):
|
||||
"""
|
||||
return strategy name list with inited/trading status
|
||||
:param :
|
||||
return strategy inited/trading status
|
||||
:param strategy_name:
|
||||
:return:
|
||||
"""
|
||||
return [{k: {'inited': v.inited, 'trading': v.trading}} for k, v in self.strategies.items()]
|
||||
|
||||
return {k: {'inited': v.inited, 'trading': v.trading} for k, v in self.strategies.items()}
|
||||
|
||||
def get_strategy_pos(self, name, strategy=None):
|
||||
"""
|
||||
@ -1408,6 +1441,146 @@ class CtaEngine(BaseEngine):
|
||||
d.update(strategy.get_parameters())
|
||||
return d
|
||||
|
||||
def compare_pos(self):
|
||||
"""
|
||||
对比账号&策略的持仓,不同的话则发出微信提醒
|
||||
:return:
|
||||
"""
|
||||
# 当前没有接入网关
|
||||
if len(self.main_engine.gateways) == 0:
|
||||
return False, u'当前没有接入网关'
|
||||
|
||||
self.write_log(u'开始对比账号&策略的持仓')
|
||||
|
||||
# 获取当前策略得持仓
|
||||
strategy_pos_list = self.get_all_strategy_pos()
|
||||
self.write_log(u'策略持仓清单:{}'.format(strategy_pos_list))
|
||||
|
||||
# 需要进行对比得合约集合（来自策略持仓/账号持仓）
|
||||
vt_symbols = set()
|
||||
|
||||
# 账号的持仓处理 => account_pos
|
||||
|
||||
compare_pos = dict() # vt_symbol: {'账号多单': xx, '账号空单':xxx, '策略空单':[], '策略多单':[]}
|
||||
|
||||
for holding_key in list(self.offset_converter.holdings.keys()):
|
||||
# gateway_name.symbol.exchange => symbol.exchange
|
||||
vt_symbol = '.'.join(holding_key.split('.')[-2:])
|
||||
|
||||
vt_symbols.add(vt_symbol)
|
||||
holding = self.offset_converter.holdings.get(holding_key, None)
|
||||
if holding is None:
|
||||
continue
|
||||
|
||||
compare_pos[vt_symbol] = OrderedDict(
|
||||
{
|
||||
"账号空单": holding.short_pos,
|
||||
'账号多单': holding.long_pos,
|
||||
'策略空单': 0,
|
||||
'策略多单': 0,
|
||||
'空单策略': [],
|
||||
'多单策略': []
|
||||
}
|
||||
)
|
||||
|
||||
# 逐一根据策略仓位，与Account_pos进行处理比对
|
||||
for strategy_pos in strategy_pos_list:
|
||||
for pos in strategy_pos.get('pos', []):
|
||||
vt_symbol = pos.get('vt_symbol')
|
||||
if not vt_symbol:
|
||||
continue
|
||||
vt_symbols.add(vt_symbol)
|
||||
symbol_pos = compare_pos.get(vt_symbol, None)
|
||||
if symbol_pos is None:
|
||||
self.write_log(u'账号持仓信息获取不到{}，创建一个'.format(vt_symbol))
|
||||
symbol_pos = OrderedDict(
|
||||
{
|
||||
"账号空单": 0,
|
||||
'账号多单': 0,
|
||||
'策略空单': 0,
|
||||
'策略多单': 0,
|
||||
'空单策略': [],
|
||||
'多单策略': []
|
||||
}
|
||||
)
|
||||
|
||||
if pos.get('direction') == 'short':
|
||||
symbol_pos.update({'策略空单': symbol_pos.get('策略空单', 0) + abs(pos.get('volume', 0))})
|
||||
symbol_pos['空单策略'].append(
|
||||
u'{}({})'.format(strategy_pos['strategy_name'], abs(pos.get('volume', 0))))
|
||||
self.write_log(u'更新{}策略持空仓=>{}'.format(vt_symbol, symbol_pos.get('策略空单', 0)))
|
||||
if pos.get('direction') == 'long':
|
||||
symbol_pos.update({'策略多单': symbol_pos.get('策略多单', 0) + abs(pos.get('volume', 0))})
|
||||
symbol_pos['多单策略'].append(
|
||||
u'{}({})'.format(strategy_pos['strategy_name'], abs(pos.get('volume', 0))))
|
||||
self.write_log(u'更新{}策略持多仓=>{}'.format(vt_symbol, symbol_pos.get('策略多单', 0)))
|
||||
|
||||
pos_compare_result = ''
|
||||
# 精简输出
|
||||
compare_info = ''
|
||||
for vt_symbol in sorted(vt_symbols):
|
||||
# 发送不一致得结果
|
||||
symbol_pos = compare_pos.pop(vt_symbol)
|
||||
d_long = {
|
||||
'account_id': self.engine_config.get('account_id', '-'),
|
||||
'vt_symbol': vt_symbol,
|
||||
'direction': Direction.LONG.value,
|
||||
'strategy_list': symbol_pos.get('多单策略', [])}
|
||||
|
||||
d_short = {
|
||||
'account_id': self.engine_config.get('account_id', '-'),
|
||||
'vt_symbol': vt_symbol,
|
||||
'direction': Direction.SHORT.value,
|
||||
'strategy_list': symbol_pos.get('多单策略', [])}
|
||||
|
||||
# 多空都一致
|
||||
if round(symbol_pos['账号空单'], 7) == round(symbol_pos['策略空单'], 7) and \
|
||||
round(symbol_pos['账号多单'], 7) == round(symbol_pos['策略多单'], 7):
|
||||
msg = u'{}多空都一致.{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))
|
||||
self.write_log(msg)
|
||||
compare_info += msg
|
||||
else:
|
||||
pos_compare_result += '\n{}: '.format(vt_symbol)
|
||||
# 多单不一致
|
||||
if round(symbol_pos['策略多单'], 7) != round(symbol_pos['账号多单'], 7):
|
||||
msg = '{}多单[账号({}), 策略{},共({})], ' \
|
||||
.format(vt_symbol,
|
||||
symbol_pos['账号多单'],
|
||||
symbol_pos['多单策略'],
|
||||
symbol_pos['策略多单'])
|
||||
|
||||
pos_compare_result += msg
|
||||
self.write_error(u'{}不一致:{}'.format(vt_symbol, msg))
|
||||
compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg)
|
||||
# 空单不一致
|
||||
if round(symbol_pos['策略空单'], 7) != round(symbol_pos['账号空单'], 7):
|
||||
msg = '{}空单[账号({}), 策略{},共({})], ' \
|
||||
.format(vt_symbol,
|
||||
symbol_pos['账号空单'],
|
||||
symbol_pos['空单策略'],
|
||||
symbol_pos['策略空单'])
|
||||
pos_compare_result += msg
|
||||
self.write_error(u'{}不一致:{}'.format(vt_symbol, msg))
|
||||
compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg)
|
||||
|
||||
# 不匹配，输入到stdErr通道
|
||||
if pos_compare_result != '':
|
||||
msg = u'账户{}持仓不匹配: {}' \
|
||||
.format(self.engine_config.get('account_id', '-'),
|
||||
pos_compare_result)
|
||||
try:
|
||||
from vnpy.trader.util_wechat import send_wx_msg
|
||||
send_wx_msg(content=msg)
|
||||
except Exception as ex:
|
||||
pass
|
||||
ret_msg = u'持仓不匹配: {}' \
|
||||
.format(pos_compare_result)
|
||||
self.write_error(ret_msg)
|
||||
return True, compare_info + ret_msg
|
||||
else:
|
||||
self.write_log(u'账户持仓与策略一致')
|
||||
return True, compare_info
|
||||
|
||||
def init_all_strategies(self):
|
||||
"""
|
||||
"""
|
||||
@ -1516,13 +1689,16 @@ class CtaEngine(BaseEngine):
|
||||
strategy_logger = self.strategy_loggers.get(strategy_name, None)
|
||||
if not strategy_logger:
|
||||
log_path = get_folder_path('log')
|
||||
log_filename = os.path.abspath(os.path.join(log_path, str(strategy_name)))
|
||||
log_filename = str(log_path.joinpath(str(strategy_name)))
|
||||
print(u'create logger:{}'.format(log_filename))
|
||||
self.strategy_loggers[strategy_name] = setup_logger(file_name=log_filename,
|
||||
name=str(strategy_name))
|
||||
strategy_logger = self.strategy_loggers.get(strategy_name)
|
||||
if strategy_logger:
|
||||
strategy_logger.log(level, msg)
|
||||
else:
|
||||
if self.logger:
|
||||
self.logger.log(level, msg)
|
||||
|
||||
# 如果日志数据异常，错误和告警，输出至sys.stderr
|
||||
if level in [logging.CRITICAL, logging.ERROR, logging.WARNING]:
|
||||
|
||||
@ -248,13 +248,13 @@ class PortfolioTestingEngine(BackTestingEngine):
|
||||
bar.high_price = float(bar_data['high'])
|
||||
bar.low_price = float(bar_data['low'])
|
||||
bar.volume = int(bar_data['volume'])
|
||||
bar.date = dt.strftime('%Y-%m-%d')
|
||||
bar.time = dt.strftime('%H:%M:%S')
|
||||
bar.date = bar_datetime.strftime('%Y-%m-%d')
|
||||
bar.time = bar_datetime.strftime('%H:%M:%S')
|
||||
str_td = str(bar_data.get('trading_day', ''))
|
||||
if len(str_td) == 8:
|
||||
bar.trading_day = str_td[0:4] + '-' + str_td[4:6] + '-' + str_td[6:8]
|
||||
else:
|
||||
bar.trading_day = get_trading_date(dt)
|
||||
bar.trading_day = get_trading_date(bar_datetime)
|
||||
|
||||
if last_trading_day != bar.trading_day:
|
||||
self.output(u'回测数据日期:{},资金:{}'.format(bar.trading_day, self.net_capital))
|
||||
|
||||
@ -185,7 +185,7 @@ class CtaGridTrade(CtaComponent):
|
||||
self.min_dn_open_price = 0.0 # 下网格最小开仓价
|
||||
|
||||
# 网格json文件的路径
|
||||
self.json_file_path = os.path.join(get_folder_path('data'), f'{self.json_name}_Grids.json')
|
||||
self.json_file_path = str(get_folder_path('data').joinpath(f'{self.json_name}_Grids.json'))
|
||||
|
||||
def get_volume_rate(self, idx: int = 0):
|
||||
"""获取网格索引对应的开仓数量比例"""
|
||||
@ -887,7 +887,7 @@ class CtaGridTrade(CtaComponent):
|
||||
self.json_name = self.strategy.strategy_name
|
||||
|
||||
# 新版网格持久化文件
|
||||
grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.json_name))
|
||||
grid_json_file = str(grids_save_path.joinpath(u'{}_Grids.json'.format(self.json_name)))
|
||||
self.json_file_path = grid_json_file
|
||||
|
||||
data = {}
|
||||
@ -921,7 +921,7 @@ class CtaGridTrade(CtaComponent):
|
||||
self.json_name = self.strategy.strategy_name
|
||||
|
||||
# 若json文件不存在，就保存一个；若存在，就优先使用数据文件
|
||||
grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.json_name))
|
||||
grid_json_file = str(grids_save_path.joinpath(u'{}_Grids.json'.format(self.json_name)))
|
||||
if not os.path.exists(grid_json_file):
|
||||
data['up_grids'] = []
|
||||
data['dn_grids'] = []
|
||||
@ -981,7 +981,7 @@ class CtaGridTrade(CtaComponent):
|
||||
|
||||
self.json_name = new_name
|
||||
# 旧文件
|
||||
old_json_file = os.path.join(data_folder, u'{0}_Grids.json'.format(old_name))
|
||||
old_json_file = str(data_folder.joinpath(u'{0}_Grids.json'.format(old_name)))
|
||||
|
||||
if os.path.isfile(old_json_file): # 新文件若存在，移除
|
||||
try:
|
||||
|
||||
@ -72,8 +72,7 @@ class CtaPolicy(CtaComponent):
|
||||
从持久化文件中获取
|
||||
:return:
|
||||
"""
|
||||
json_file = os.path.abspath(
|
||||
os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.strategy_name)))
|
||||
json_file = str(get_folder_path('data').joinpath(u'{}_Policy.json'.format(self.strategy.strategy_name)))
|
||||
|
||||
json_data = {}
|
||||
if os.path.exists(json_file):
|
||||
@ -93,8 +92,7 @@ class CtaPolicy(CtaComponent):
|
||||
保存至持久化文件
|
||||
:return:
|
||||
"""
|
||||
json_file = os.path.abspath(
|
||||
os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.strategy_name)))
|
||||
json_file = str(get_folder_path('data').joinpath(u'{}_Policy.json'.format(self.strategy.strategy_name)))
|
||||
|
||||
try:
|
||||
# 修改为：回测时不保存
|
||||
|
||||
@ -110,6 +110,7 @@ class BinancefGateway(BaseGateway):
|
||||
def __init__(self, event_engine: EventEngine, gateway_name="BINANCEF"):
|
||||
"""Constructor"""
|
||||
super().__init__(event_engine, gateway_name)
|
||||
self.count = 0
|
||||
|
||||
self.trade_ws_api = BinancefTradeWebsocketApi(self)
|
||||
self.market_ws_api = BinancefDataWebsocketApi(self)
|
||||
@ -168,9 +169,19 @@ class BinancefGateway(BaseGateway):
|
||||
and self.status.get('mdws_con', False):
|
||||
self.status.update({'con': True})
|
||||
|
||||
self.count += 1
|
||||
if self.count < 2:
|
||||
return
|
||||
self.count = 0
|
||||
|
||||
func = self.query_functions.pop(0)
|
||||
func()
|
||||
self.query_functions.append(func)
|
||||
|
||||
def get_order(self, orderid: str):
|
||||
return self.rest_api.get_order(orderid)
|
||||
|
||||
|
||||
class BinancefRestApi(RestClient):
|
||||
"""
|
||||
BINANCE REST API
|
||||
@ -201,6 +212,7 @@ class BinancefRestApi(RestClient):
|
||||
|
||||
self.orders = {}
|
||||
|
||||
|
||||
def sign(self, request: Request) -> Request:
|
||||
"""
|
||||
Generate BINANCE signature.
|
||||
@ -280,7 +292,8 @@ class BinancefRestApi(RestClient):
|
||||
|
||||
self.gateway.write_log("REST API启动成功")
|
||||
self.gateway.status.update({'td_con': True, 'td_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
|
||||
|
||||
if self.gateway.status.get('md_con', False):
|
||||
self.gateway.status.update({'con': True})
|
||||
self.query_time()
|
||||
self.query_account()
|
||||
self.query_position()
|
||||
@ -290,6 +303,10 @@ class BinancefRestApi(RestClient):
|
||||
|
||||
self.start_user_stream()
|
||||
|
||||
# 添加到定时查询队列中
|
||||
self.gateway.query_functions = [self.query_account, self.query_position]
|
||||
|
||||
|
||||
def query_time(self) -> Request:
|
||||
""""""
|
||||
data = {
|
||||
@ -516,7 +533,7 @@ class BinancefRestApi(RestClient):
|
||||
short_position = PositionData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.BINANCE,
|
||||
direction=Direction.LONG,
|
||||
direction=Direction.SHORT,
|
||||
volume=0,
|
||||
price=0,
|
||||
pnl=0,
|
||||
@ -805,6 +822,8 @@ class BinancefTradeWebsocketApi(WebsocketClient):
|
||||
""""""
|
||||
self.gateway.write_log("交易Websocket API连接成功")
|
||||
self.gateway.status.update({'tdws_con': True, 'tdws_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
|
||||
if self.gateway.status.get('td_con', False):
|
||||
self.gateway.status.update({'con': True})
|
||||
|
||||
def on_packet(self, packet: dict) -> None: # type: (dict)->None
|
||||
""""""
|
||||
@ -923,6 +942,8 @@ class BinancefDataWebsocketApi(WebsocketClient):
|
||||
""""""
|
||||
self.gateway.write_log("行情Websocket API连接刷新")
|
||||
self.gateway.status.update({'md_con': True, 'md_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
|
||||
if self.gateway.status.get('td_con', False):
|
||||
self.gateway.status.update({'con': True})
|
||||
|
||||
def subscribe(self, req: SubscribeRequest) -> None:
|
||||
""""""
|
||||
|
||||
@ -295,6 +295,7 @@ class BaseEngine(ABC):
|
||||
self.engine_name = engine_name
|
||||
|
||||
self.logger = None
|
||||
self.create_logger(engine_name)
|
||||
|
||||
def create_logger(self, logger_name: str = 'base_engine'):
|
||||
"""
|
||||
@ -303,7 +304,7 @@ class BaseEngine(ABC):
|
||||
:return:
|
||||
"""
|
||||
log_path = get_folder_path("log")
|
||||
log_filename = os.path.abspath(os.path.join(log_path, logger_name))
|
||||
log_filename = str(log_path.joinpath(logger_name))
|
||||
print(u'create logger:{}'.format(log_filename))
|
||||
self.logger = setup_logger(file_name=log_filename, name=logger_name,
|
||||
log_level=SETTINGS.get('log.level', logging.DEBUG))
|
||||
|
||||
@ -97,13 +97,15 @@ class BaseGateway(ABC):
|
||||
self.klines = {}
|
||||
self.status = {'name': gateway_name, 'con': False}
|
||||
|
||||
self.query_functions = []
|
||||
|
||||
def create_logger(self):
|
||||
"""
|
||||
创建engine独有的日志
|
||||
:return:
|
||||
"""
|
||||
log_path = get_folder_path("log")
|
||||
log_filename = os.path.abspath(os.path.join(log_path, self.gateway_name))
|
||||
log_filename = str(log_path.joinpath(self.gateway_name))
|
||||
print(u'create logger:{}'.format(log_filename))
|
||||
from vnpy.trader.setting import SETTINGS
|
||||
self.logger = setup_logger(file_name=log_filename, name=self.gateway_name,
|
||||
|
||||
@ -1417,9 +1417,11 @@ class KLineWidget(KeyWraper):
|
||||
class GridKline(QtWidgets.QWidget):
|
||||
"""多kline"""
|
||||
|
||||
def __init__(self, parent=None, kline_settings={}):
|
||||
def __init__(self, parent=None, kline_settings={}, title=''):
|
||||
self.parent = parent
|
||||
super(GridKline, self).__init__(parent)
|
||||
if title:
|
||||
self.setWindowTitle(title)
|
||||
|
||||
self.kline_settings = kline_settings
|
||||
self.kline_names = list(self.kline_settings.keys())
|
||||
@ -1479,6 +1481,9 @@ class GridKline(QtWidgets.QWidget):
|
||||
continue
|
||||
|
||||
# 加载K线
|
||||
if 'data_frame' in kline_setting:
|
||||
df = kline_setting['data_frame']
|
||||
else:
|
||||
data_file = kline_setting.get('data_file', None)
|
||||
if not data_file:
|
||||
continue
|
||||
|
||||
72
vnpy/trader/ui/kline/ui_snapshot.py
Normal file
72
vnpy/trader/ui/kline/ui_snapshot.py
Normal file
@ -0,0 +1,72 @@
|
||||
# flake8: noqa
|
||||
"""
|
||||
多周期显示K线切片，
|
||||
华富资产
|
||||
"""
|
||||
|
||||
import sys
|
||||
import os
|
||||
import ctypes
|
||||
import bz2
|
||||
import pickle
|
||||
import zlib
|
||||
import pandas as pd
|
||||
|
||||
from vnpy.trader.ui.kline.crosshair import Crosshair
|
||||
from vnpy.trader.ui.kline.kline import *
|
||||
|
||||
class UiSnapshot(object):
|
||||
"""查看切片"""
|
||||
def __init__(self):
|
||||
|
||||
pass
|
||||
|
||||
def show(self, snapshot_file: str):
|
||||
|
||||
if not os.path.exists(snapshot_file):
|
||||
print(f'{snapshot_file}不存在', file=sys.stderr)
|
||||
return
|
||||
|
||||
d = None
|
||||
with bz2.BZ2File(snapshot_file, 'rb') as f:
|
||||
d = pickle.load(f)
|
||||
|
||||
use_zlib = d.get('zlib', False)
|
||||
klines = d.pop('klines', None)
|
||||
|
||||
# 如果使用压缩，则解压
|
||||
if use_zlib and klines:
|
||||
print('use zlib decompress klines')
|
||||
klines = pickle.loads(zlib.decompress(klines))
|
||||
|
||||
kline_settings = {}
|
||||
for k, v in klines.items():
|
||||
# 获取bar各种数据/指标列表
|
||||
data_list = v.pop('data_list', None)
|
||||
if data_list is None:
|
||||
continue
|
||||
|
||||
# 主图指标 / 附图指标清单
|
||||
main_indicators = v.get('main_indicators', [])
|
||||
sub_indicators = v.get('sub_indicators', [])
|
||||
|
||||
df = pd.DataFrame(data_list)
|
||||
df = df.set_index(pd.DatetimeIndex(df['datetime']))
|
||||
|
||||
kline_settings.update(
|
||||
{
|
||||
k:
|
||||
{
|
||||
"data_frame": df,
|
||||
"main_indicators": [x.get('name') for x in main_indicators],
|
||||
"sub_indicators": [x.get('name') for x in sub_indicators]
|
||||
}
|
||||
}
|
||||
)
|
||||
# K线界面
|
||||
try:
|
||||
w = GridKline(kline_settings=kline_settings, title=d.get('strategy',''))
|
||||
w.showMaximized()
|
||||
|
||||
except Exception as ex:
|
||||
print(u'exception:{},trace:{}'.format(str(ex), traceback.format_exc()))
|
||||
186
vnpy/trader/util_monitor.py
Normal file
186
vnpy/trader/util_monitor.py
Normal file
@ -0,0 +1,186 @@
|
||||
# encoding: UTF-8
|
||||
# 华富资产
|
||||
|
||||
import os
|
||||
from collections import OrderedDict
|
||||
from typing import Any, Dict
|
||||
|
||||
from .utility import get_folder_path
|
||||
from .util_logger import setup_logger
|
||||
from .event import (
|
||||
EVENT_TRADE,
|
||||
EVENT_ORDER,
|
||||
EVENT_POSITION,
|
||||
EVENT_ACCOUNT,
|
||||
EVENT_LOG
|
||||
)
|
||||
|
||||
|
||||
########################################################################
|
||||
class BasicMonitor(object):
|
||||
"""
|
||||
基础监控
|
||||
|
||||
headers中的值对应的字典格式如下
|
||||
{'display': u'中文名', 'cell': ""}
|
||||
|
||||
"""
|
||||
event_type: str = ""
|
||||
data_key: str = ""
|
||||
headers: Dict[str, dict] = {}
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def __init__(self, event_engine=None, monitor_name='BasicMonitor'):
|
||||
self.event_engine = event_engine
|
||||
|
||||
self.logger = None
|
||||
|
||||
self.create_logger(monitor_name)
|
||||
self.register_event()
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def register_event(self):
|
||||
if self.event_type:
|
||||
self.event_engine.register(self.event_type, self.update_event)
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def update_event(self, event):
|
||||
"""收到事件更新"""
|
||||
data = event.data
|
||||
self.update_data(data)
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def update_data(self, data):
|
||||
"""将数据更新到表格中"""
|
||||
s = []
|
||||
for header, value in self.headers.items():
|
||||
v = getattr(data, header)
|
||||
s.append('%s: %s' % (value['display'], str(v)))
|
||||
if self.logger is not None:
|
||||
self.logger.info(' '.join(s))
|
||||
|
||||
def create_logger(self, monitor_name):
|
||||
"""创建日志写入"""
|
||||
filename = str(get_folder_path('log').joinpath(monitor_name))
|
||||
print(u'create logger:{}'.format(filename))
|
||||
self.logger = setup_logger(file_name=filename, name=monitor_name)
|
||||
|
||||
|
||||
class LogMonitor(BasicMonitor):
|
||||
"""
|
||||
Monitor for log data.
|
||||
"""
|
||||
|
||||
event_type = EVENT_LOG
|
||||
data_key = ""
|
||||
|
||||
headers = {
|
||||
"time": {"display": "时间", "update": False},
|
||||
"msg": {"display": "信息", "update": False},
|
||||
"gateway_name": {"display": "接口", "update": False},
|
||||
}
|
||||
|
||||
def __init__(self, event_engine=None, monitor_name='LogMonitor'):
|
||||
super().__init__(event_engine, monitor_name)
|
||||
|
||||
class TradeMonitor(BasicMonitor):
|
||||
"""
|
||||
Monitor for trade data.
|
||||
"""
|
||||
|
||||
event_type = EVENT_TRADE
|
||||
data_key = ""
|
||||
sorting = True
|
||||
|
||||
headers: Dict[str, dict] = {
|
||||
"tradeid": {"display": "成交号 ", "update": False},
|
||||
"orderid": {"display": "委托号", "update": False},
|
||||
"symbol": {"display": "代码", "update": False},
|
||||
"exchange": {"display": "交易所", "update": False},
|
||||
"direction": {"display": "方向", "update": False},
|
||||
"offset": {"display": "开平", "update": False},
|
||||
"price": {"display": "价格", "update": False},
|
||||
"volume": {"display": "数量", "update": False},
|
||||
"time": {"display": "时间", "update": False},
|
||||
"gateway_name": {"display": "接口", "update": False},
|
||||
}
|
||||
|
||||
def __init__(self, event_engine=None, monitor_name='TradeMonitor'):
|
||||
super().__init__(event_engine, monitor_name)
|
||||
|
||||
class OrderMonitor(BasicMonitor):
|
||||
"""
|
||||
Monitor for order data.
|
||||
"""
|
||||
|
||||
event_type = EVENT_ORDER
|
||||
data_key = "vt_orderid"
|
||||
sorting = True
|
||||
|
||||
headers: Dict[str, dict] = {
|
||||
"orderid": {"display": "委托号", "update": False},
|
||||
"symbol": {"display": "代码", "update": False},
|
||||
"exchange": {"display": "交易所", "update": False},
|
||||
"type": {"display": "类型", "update": False},
|
||||
"direction": {"display": "方向", "update": False},
|
||||
"offset": {"display": "开平", "update": False},
|
||||
"price": {"display": "价格", "update": False},
|
||||
"volume": {"display": "总数量", "update": True},
|
||||
"traded": {"display": "已成交", "update": True},
|
||||
"status": {"display": "状态", "update": True},
|
||||
"time": {"display": "时间", "update": True},
|
||||
"gateway_name": {"display": "接口", "update": False},
|
||||
}
|
||||
|
||||
def __init__(self, event_engine=None, monitor_name='OrderMonitor'):
|
||||
super().__init__(event_engine, monitor_name)
|
||||
|
||||
class PositionMonitor(BasicMonitor):
|
||||
"""
|
||||
Monitor for position data.
|
||||
"""
|
||||
|
||||
event_type = EVENT_POSITION
|
||||
data_key = "vt_positionid"
|
||||
sorting = True
|
||||
|
||||
headers = {
|
||||
"symbol": {"display": "代码", "update": False},
|
||||
"exchange": {"display": "交易所", "update": False},
|
||||
"direction": {"display": "方向", "update": False},
|
||||
"volume": {"display": "数量", "update": True},
|
||||
"yd_volume": {"display": "昨仓", "update": True},
|
||||
"frozen": {"display": "冻结", "update": True},
|
||||
"price": {"display": "均价", "update": True},
|
||||
"pnl": {"display": "盈亏", "update": True},
|
||||
"gateway_name": {"display": "接口", "update": False},
|
||||
}
|
||||
|
||||
def __init__(self, event_engine=None, monitor_name='PositionMonitor'):
|
||||
super().__init__(event_engine, monitor_name)
|
||||
|
||||
|
||||
class AccountMonitor(BasicMonitor):
|
||||
"""
|
||||
Monitor for account data.
|
||||
"""
|
||||
|
||||
event_type = EVENT_ACCOUNT
|
||||
data_key = "vt_accountid"
|
||||
sorting = True
|
||||
|
||||
headers = {
|
||||
"accountid": {"display": "账号", "update": False},
|
||||
"pre_balance": {"display": "昨净值", "update": False},
|
||||
"balance": {"display": "净值", "update": True},
|
||||
"frozen": {"display": "冻结", "update": True},
|
||||
"margin": {"display": "保证金", "update": True},
|
||||
"available": {"display": "可用", "update": True},
|
||||
"commission": {"display": "手续费", "update": True},
|
||||
"close_profit": {"display": "平仓收益", "update": True},
|
||||
"holding_profit": {"display": "持仓收益", "update": True},
|
||||
"gateway_name": {"display": "接口", "update": False},
|
||||
}
|
||||
|
||||
def __init__(self, event_engine=None, monitor_name='AccountMonitor'):
|
||||
super().__init__(event_engine, monitor_name)
|
||||
@ -8,7 +8,7 @@ import os
|
||||
# 一般使用与运行服务，且唯一进程
|
||||
|
||||
# 日志文件路径
|
||||
logs_path = os.path.abspath(os.path.join(os.getcwd(), 'logs'))
|
||||
logs_path = os.path.abspath(os.path.join(os.getcwd(), 'log'))
|
||||
if not os.path.isdir(logs_path):
|
||||
os.mkdir(logs_path)
|
||||
assert os.path.isdir(logs_path)
|
||||
@ -16,7 +16,6 @@ assert os.path.isdir(logs_path)
|
||||
# 记录pid得文件
|
||||
pid_file = os.path.abspath(os.path.join(logs_path, 'pid.txt'))
|
||||
|
||||
|
||||
def _check_pid(pid):
|
||||
"""
|
||||
检查pid是否与当前进程pid一致
|
||||
|
||||
@ -233,7 +233,8 @@ def get_folder_path(folder_name: str) -> Path:
|
||||
"""
|
||||
folder_path = TEMP_DIR.joinpath(folder_name)
|
||||
if not folder_path.exists():
|
||||
folder_path.mkdir()
|
||||
os.makedirs(str(folder_path))
|
||||
#folder_path.mkdir()
|
||||
return folder_path
|
||||
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user