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[update] json与numpy兼容问题,股票数据问题

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This commit is contained in:
msincenselee 2021-05-19 16:23:15 +08:00
parent 4e006e59fd
commit 2ed5301b6a
12 changed files with 182 additions and 20 deletions
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2
vnpy/api/websocket/websocket_client.py
View File

@ -212,7 +212,7 @@ class WebsocketClient:
recv_data = gzip.decompress(recv_data)
data = self.unpack_data(recv_data)
except ValueError as e:
print("websocket unable to parse data: " + recv_data)
print("websocket unable to parse data: " + recv_data, file=sys.stderr)
raise e
self._log('recv data: %s', data)

26
vnpy/app/cta_crypto/engine.py
View File

@ -204,11 +204,13 @@ class CtaEngine(BaseEngine):
def process_timer_event(self, event: Event):
""" 处理定时器事件"""
all_trading = True
untrading_strategies = []
# 触发每个策略的定时接口
for strategy in list(self.strategies.values()):
strategy.on_timer()
if not strategy.trading:
all_trading = False
untrading_strategies.append(strategy.strategy_name)
dt = datetime.now()
@ -225,6 +227,12 @@ class CtaEngine(BaseEngine):
# 推送到事件
self.put_all_strategy_pos_event(all_strategy_pos)
else:
if len(untrading_strategies) > 0:
account_id = self.engine_config.get('accountid', '-')
msg = f'异常,{account_id}/策略{untrading_strategies}处于停止交易状态，不能推送持仓对比'
self.write_error(msg)
self.send_wechat(msg)
def process_tick_event(self, event: Event):
"""处理tick到达事件"""
@ -1002,6 +1010,7 @@ class CtaEngine(BaseEngine):
"""
Init a strategy.
"""
self.write_log(f'创建独立线程执行{strategy_name} on_init()')
task = self.thread_executor.submit(self._init_strategy, strategy_name, auto_start)
self.thread_tasks.append(task)
return True
@ -1011,14 +1020,13 @@ class CtaEngine(BaseEngine):
Init strategies in queue.
"""
try:
self.write_log(f"{strategy_name} => 开始执行初始化")
strategy = self.strategies[strategy_name]
if strategy.inited:
self.write_error(f"{strategy_name} => 已经完成初始化，禁止重复操作")
return
self.write_log(f"{strategy_name} => 开始执行初始化")
# Call on_init function of strategy
self.call_strategy_func(strategy, strategy.on_init)
@ -1048,7 +1056,7 @@ class CtaEngine(BaseEngine):
except Exception as ex:
msg = f'{strategy_name} => 执行on_init异常:{str(ex)}'
self.write_error(ex)
self.write_error(msg)
self.send_wechat(msg)
self.write_error(traceback.format_exc())
@ -1077,7 +1085,7 @@ class CtaEngine(BaseEngine):
except Exception as ex:
msg = f'{strategy_name} => 执行on_start异常:{str(ex)}'
self.write_error(ex)
self.write_error(msg)
self.send_wechat(msg)
self.write_error(traceback.format_exc())
@ -1112,7 +1120,7 @@ class CtaEngine(BaseEngine):
return True, f'{strategy_name}=> 成功停止'
except Exception as ex:
msg = f'{strategy_name} => 执行stop_strategy()异常:{str(ex)}'
self.write_error(ex)
self.write_error(msg)
self.send_wechat(msg)
self.write_error(traceback.format_exc())
return False, f'停止策略失败{strategy_name},异常:{str(ex)}'
@ -1170,7 +1178,7 @@ class CtaEngine(BaseEngine):
except Exception as ex:
msg = f'执行remove_strategy({strategy_name})异常:{str(ex)}'
self.write_error(ex)
self.write_error(msg)
self.send_wechat(msg)
self.write_error(traceback.format_exc())
return False, f'移除策略失败{strategy_name},异常:{str(ex)}'
@ -1243,7 +1251,7 @@ class CtaEngine(BaseEngine):
return True, msg
except Exception as ex:
msg = f'执行reload_strategy({strategy_name})异常:{str(ex)}'
self.write_error(ex)
self.write_error(msg)
self.send_wechat(msg)
self.write_error(traceback.format_exc())
return False, f'重启策略失败{strategy_name},异常:{str(ex)}'
@ -1281,7 +1289,9 @@ class CtaEngine(BaseEngine):
# 保存策略数据
strategy.sync_data()
except Exception as ex:
self.write_error(u'保存策略{}数据异常:'.format(strategy_name, str(ex)))
msg = u'保存策略{}数据异常:'.format(strategy_name, str(ex))
self.write_error(msg)
self.send_wechat(msg)
self.write_error(traceback.format_exc())
def clean_strategy_cache(self, strategy_name):

4
vnpy/app/cta_crypto/template.py
View File

@ -513,6 +513,7 @@ class CtaFutureTemplate(CtaTemplate):
self.write_log(u'保存policy数据')
self.policy.save()
def save_klines_to_cache(self, kline_names: list = []):
"""
保存K线数据到缓存
@ -600,9 +601,10 @@ class CtaFutureTemplate(CtaTemplate):
return {}
def init_policy(self):
self.write_log(u'init_policy(),初始化执行逻辑')
self.write_log(f'{self.strategy_name} => init_policy(),初始化执行逻辑')
if self.policy:
self.policy.load()
self.write_log(f'{self.strategy_name} => init_policy(),初始化执行逻辑完成')
def init_position(self):
"""

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

@ -1251,7 +1251,7 @@ class CtaProFutureTemplate(CtaProTemplate):
dist_record['symbol'] = trade.vt_symbol
# 处理股指锁单
if trade.exchange == Exchange.CFFEX:
if trade.exchange == Exchange.CFFEX and not self.backtesting:
if trade.direction == Direction.LONG:
if abs(self.position.short_pos) >= trade.volume:
self.position.short_pos += trade.volume

18
vnpy/app/trade_copy/__init__.py Normal file
View File

@ -0,0 +1,18 @@
from pathlib import Path
from vnpy.trader.app import BaseApp
from vnpy.trader.constant import Direction
from vnpy.trader.object import TickData, BarData, TradeData, OrderData
from vnpy.trader.utility import BarGenerator, ArrayManager
from .engine import TradeCopyEngine, APP_NAME
class TradeCopyApp(BaseApp):
""""""
app_name = APP_NAME
app_module = __module__
app_path = Path(__file__).parent
display_name = "跟单软件"
engine_class = TradeCopyEngine
widget_name = "TcManager"
icon_name = "tc.ico"

21
vnpy/component/cta_policy.py
View File

@ -13,6 +13,25 @@ TNS_STATUS_ORDERING = 'ordering'
TNS_STATUS_OPENED = 'opened'
TNS_STATUS_CLOSED = 'closed'
import numpy as np
class MyEncoder(json.JSONEncoder):
"""
自定义转换器，处理np,datetime等不能被json转换得问题
"""
def default(self, obj):
if isinstance(obj, np.integer):
return int(obj)
elif isinstance(obj, np.floating):
return float(obj)
elif isinstance(obj, np.ndarray):
return obj.tolist()
elif isinstance(obj, datetime):
return obj.strftime('%Y-%m-%d %H:%M:%S')
else:
return super(MyEncoder, self).default(obj)
class CtaPolicy(CtaComponent):
"""
@ -103,7 +122,7 @@ class CtaPolicy(CtaComponent):
json_data = self.to_json()
json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
with open(json_file, 'w', encoding='utf8') as f:
data = json.dumps(json_data, indent=4, ensure_ascii=False)
data = json.dumps(json_data, indent=4, ensure_ascii=False, cls=MyEncoder)
f.write(data)
except IOError as ex:

58
vnpy/gateway/ctp/ctp_gateway.py
View File

@ -376,13 +376,17 @@ class CtpGateway(BaseGateway):
def check_status(self):
"""检查状态"""
# 检查交易接口、行情接口的连接状态
if self.td_api.connect_status and self.md_api.connect_status:
self.status.update({'con': True})
# 检查通达信行情接口（直接连通达信）
if self.tdx_api:
self.tdx_api.check_status()
if self.tdx_api is None or self.md_api is None:
return False
# 检查天勤行情接口
if self.tq_api:
self.tq_api.check_status()
if not self.td_api.connect_status or self.md_api.connect_status:
return False
@ -1600,6 +1604,10 @@ class TdxMdApi():
self.check_status()
def check_status(self):
"""
检查通达信直连状态
:return:
"""
# self.write_log(u'检查tdx接口状态')
if len(self.registered_symbol_set) == 0:
return
@ -1826,6 +1834,8 @@ class SubMdApi():
self.symbol_tick_dict = {} # 合约与最后一个Tick得字典
self.registed_symbol_set = set() # 订阅的合约记录集
self.last_tick_dt = None
self.sub = None
self.setting = {}
self.connect_status = False
@ -1852,6 +1862,42 @@ class SubMdApi():
self.gateway.write_error(traceback.format_exc())
self.connect_status = False
def check_status(self):
"""接口状态的健康检查"""
# 订阅的合约
d = {'sub_symbols': sorted(self.symbol_tick_dict.keys())}
# 合约的最后时间
if self.last_tick_dt:
d.update({"sub_tick_time": self.last_tick_dt.strftime('%Y-%m-%d %H:%M:%S')})
if len(self.symbol_tick_dict) > 0:
dt_now = datetime.now()
hh_mm = dt_now.hour * 100 + dt_now.minute
# 期货交易时间内
if 900 <= hh_mm <= 1130 or 1300 <= hh_mm <= 1500 or hh_mm < 230 or hh_mm >= 2100:
# 未有数据到达
if self.last_tick_dt is None:
d.update({"sub_status": False, "sub_error": u"rabbitmq未有行情数据到达"})
else: # 有数据
# 超时15分钟以上
if (dt_now - self.last_tick_dt).total_seconds() > 60 * 15:
d.update({"sub_status": False,
"sub_error": u"{}rabbitmq行情数据超时15分钟以上".format(hh_mm)})
else:
d.update({"sub_status": True})
self.gateway.status.pop("sub_error", None)
# 非交易时间
else:
self.gateway.status.pop("sub_status", None)
self.gateway.status.pop("sub_error", None)
# 更新到gateway的状态中去
self.gateway.status.update(d)
def on_message(self, chan, method_frame, _header_frame, body, userdata=None):
# print(" [x] %r" % body)
try:
@ -1874,6 +1920,7 @@ class SubMdApi():
exchange=Exchange(d.get('exchange')),
symbol=symbol,
datetime=dt)
d.pop('exchange', None)
d.pop('symbol', None)
tick.__dict__.update(d)
@ -1887,6 +1934,8 @@ class SubMdApi():
if tick.last_price > pre_tick.last_price * 1.2 or tick.last_price < pre_tick.last_price * 0.8:
return
self.last_tick_dt = tick.datetime
self.gateway.on_tick(tick)
self.gateway.on_custom_tick(tick)
@ -2016,6 +2065,11 @@ class TqMdApi():
self.update_thread = Thread(target=self.update)
self.update_thread.start()
def check_status(self):
"""检查接口状态"""
pass
def generate_tick_from_quote(self, vt_symbol, quote) -> TickData:
"""
生成TickData

2
vnpy/gateway/gj/gj_gateway.py
View File

@ -1167,7 +1167,7 @@ class TqMdApi():
return
try:
from tqsdk import TqApi
self.api = TqApi(_stock=True, url="wss://u.shinnytech.com/t/nfmd/front/mobile")
self.api = TqApi(_stock=True, url="wss://api.shinnytech.com/t/nfmd/front/mobile")
except Exception as e:
self.gateway.write_log(f'天勤股票行情API接入异常:'.format(str(e)))
self.gateway.write_log(traceback.format_exc())

2
vnpy/gateway/pb/pb_gateway.py
View File

@ -2105,7 +2105,7 @@ class TqMdApi():
return
try:
from tqsdk import TqApi
self.api = TqApi(_stock=True, url="wss://u.shinnytech.com/t/nfmd/front/mobile")
self.api = TqApi(_stock=True, url="wss://api.shinnytech.com/t/nfmd/front/mobile")
except Exception as e:
self.gateway.write_log(f'天勤股票行情API接入异常:'.format(str(e)))
self.gateway.write_log(traceback.format_exc())

2
vnpy/gateway/rohon/rohon_gateway.py
View File

@ -1088,7 +1088,7 @@ class RohonTdApi(TdApi):
price=data["LimitPrice"],
volume=data["VolumeTotalOriginal"],
traded=data["VolumeTraded"],
status=STATUS_ROHON2VT[data["OrderStatus"]],
status=STATUS_ROHON2VT.get(data["OrderStatus"],Status.UNKNOWN),
time=data["InsertTime"],
gateway_name=self.gateway_name
)

59
vnpy/gateway/stockrpc/stock_rpc_gateway.py
View File

@ -1,5 +1,6 @@
import traceback
import json
from copy import deepcopy
from uuid import uuid1
from datetime import datetime, timedelta
from threading import Thread
@ -84,6 +85,16 @@ class StockRpcGateway(BaseGateway):
self.query_all()
def check_status(self):
if self.client:
pass
if self.rabbit_api:
self.rabbit_api.check_status()
return True
def subscribe(self, req: SubscribeRequest):
"""行情订阅"""
self.write_log(f'创建订阅任务=> rabbitMQ')
@ -114,6 +125,8 @@ class StockRpcGateway(BaseGateway):
task.close()
# gateway_name = self.symbol_gateway_map.get(req.vt_symbol, "")
# self.client.subscribe(req, gateway_name)
if self.rabbit_api:
self.rabbit_api.registed_symbol_set.add(req.vt_symbol)
def send_order(self, req: OrderRequest):
"""
@ -161,7 +174,8 @@ class StockRpcGateway(BaseGateway):
for position in positions:
position.gateway_name = self.gateway_name
# 更换 vt_positionid得gateway前缀
position.vt_positionid = position.vt_positionid.replace(f'{position.gateway_name}.', f'{self.gateway_name}.')
position.vt_positionid = position.vt_positionid.replace(f'{position.gateway_name}.',
f'{self.gateway_name}.')
# 更换 vt_accountid得gateway前缀
position.vt_accountid = position.vt_accountid.replace(f'{position.gateway_name}.', f'{self.gateway_name}.')
@ -205,6 +219,8 @@ class StockRpcGateway(BaseGateway):
if event.type == EVENT_TICK:
return
event = deepcopy(event)
data = event.data
if hasattr(data, "gateway_name"):
@ -225,7 +241,7 @@ class StockRpcGateway(BaseGateway):
if hasattr(data, 'vt_positionid'):
data.vt_positionid = data.vt_positionid.replace(f'{self.remote_gw_name}.', f'{self.gateway_name}.')
if event.type in [EVENT_ORDER,EVENT_TRADE]:
if event.type in [EVENT_ORDER, EVENT_TRADE]:
self.write_log(f'{self.remote_gw_name} => {self.gateway_name} event:{data.__dict__}')
self.event_engine.put(event)
@ -242,12 +258,48 @@ class SubMdApi():
self.symbol_tick_dict = {} # 合约与最后一个Tick得字典
self.registed_symbol_set = set() # 订阅的合约记录集
self.last_tick_dt = None
self.sub = None
self.setting = {}
self.connect_status = False
self.thread = None # 用线程运行所有行情接收
def check_status(self):
"""接口状态的健康检查"""
# 订阅的合约
d = {'sub_symbols': sorted(self.symbol_tick_dict.keys())}
# 合约的最后时间
if self.last_tick_dt:
d.update({"sub_tick_time": self.last_tick_dt.strftime('%Y-%m-%d %H:%M:%S')})
if len(self.symbol_tick_dict) > 0:
dt_now = datetime.now()
hh_mm = dt_now.hour * 100 + dt_now.minute
# 期货交易时间内
if 930 <= hh_mm <= 1130 or 1301 <= hh_mm <= 1500:
# 未有数据到达
if self.last_tick_dt is None:
d.update({"sub_status": False, "sub_error": u"rabbitmq未有行情数据到达"})
else: # 有数据
# 超时5分钟以上
if (dt_now - self.last_tick_dt).total_seconds() > 60 * 5:
d.update({"sub_status": False,
"sub_error": u"{}rabbitmq行情数据超时5分钟以上".format(hh_mm)})
else:
d.update({"sub_status": True})
self.gateway.status.pop("sub_error", None)
# 非交易时间
else:
self.gateway.status.pop("sub_status", None)
self.gateway.status.pop("sub_error", None)
# 更新到gateway的状态中去
self.gateway.status.update(d)
def connect(self, setting={}):
"""连接"""
self.setting = setting
@ -295,6 +347,7 @@ class SubMdApi():
self.symbol_tick_dict[symbol] = tick
self.gateway.on_tick(tick)
self.last_tick_dt = tick.datetime
except Exception as ex:
self.gateway.write_error(u'RabbitMQ on_message 异常:{}'.format(str(ex)))

6
vnpy/trader/gateway.py
View File

@ -209,6 +209,12 @@ class BaseGateway(ABC):
self.write_log(msg, level=ERROR, on_log=True)
print(msg, file=sys.stderr)
def check_status(self) -> bool:
"""
check gateway connection or market data status.
"""
return False
@abstractmethod
def connect(self, setting: dict) -> None:
"""