[Add]自动安装脚本中增加python-snappy模块

install.bat

@@ -5,6 +5,7 @@ pip install -r requirements.txt
 conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/
 conda config --set show_channel_urls yes
 conda install -c quantopian ta-lib=0.4.9
+conda install -c conda-forge python-snappy 
 
 :: Install vn.py
 python setup.py install

install.sh

@@ -24,6 +24,7 @@ pip install -r requirements.txt
 conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/
 conda config --set show_channel_urls yes
 conda install -c quantopian ta-lib=0.4.9
+conda install -c conda-forge python-snappy 
 
 #Install vn.py
 python setup.py install

vnpy/trader/app/optionMaster/omEngine.py

@@ -9,7 +9,7 @@ from collections import OrderedDict
 
 from vnpy.event import Event
 from vnpy.trader.vtEvent import (EVENT_TICK, EVENT_TRADE, EVENT_CONTRACT,
-                                 EVENT_ORDER)
+                                 EVENT_ORDER, EVENT_TIMER)
 from vnpy.trader.vtFunction import getTempPath, getJsonPath
 from vnpy.trader.vtObject import (VtLogData, VtSubscribeReq, 
                                   VtOrderReq, VtCancelOrderReq)
@@ -22,6 +22,7 @@ from vnpy.pricing import black, bs, crr
 from .omBase import (OmOption, OmUnderlying, OmChain, OmPortfolio,
                      EVENT_OM_LOG,
                      OM_DB_NAME)
+from .strategy import STRATEGY_CLASS
 
 
 
@@ -225,6 +226,8 @@ class OmEngine(object):
 ########################################################################
 class OmStrategyEngine(object):
     """策略引擎"""
+    settingFileName = 'OM_setting.json'
+    settingfilePath = getJsonPath(settingFileName, __file__)    
 
     #----------------------------------------------------------------------
     def __init__(self, omEngine, eventEngine):
@@ -238,6 +241,8 @@ class OmStrategyEngine(object):
         self.strategyDict = {}          # name: strategy
         self.symbolStrategyDict = {}    # vtSymbol：strategy list
         self.orderStrategyDict= {}      # vtOrderID: strategy
+        
+        self.registerEvent()
     
     #----------------------------------------------------------------------
     def registerEvent(self):
@@ -245,6 +250,7 @@ class OmStrategyEngine(object):
         self.eventEngine.register(EVENT_TICK, self.processTickEvent)
         self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
         self.eventEngine.register(EVENT_ORDER, self.processOrdervent)
+        self.eventEngine.register(EVENT_TIMER, self.processTimerEvent)
     
     #----------------------------------------------------------------------
     def writeLog(self, content):
@@ -293,11 +299,53 @@ class OmStrategyEngine(object):
         strategy = self.orderStrategyDict.get(order.vtOrderID, None)
         if strategy:
             self.callStrategyFunc(strategy, strategy.onOrder, order)
+    
+    #----------------------------------------------------------------------
+    def processTimerEvent(self, event):
+        """处理定时事件"""
+        for strategy in self.strategyDict.values():
+            self.callStrategyFunc(strategy, strategy.onTimer)
             
     #----------------------------------------------------------------------
     def loadSetting(self):
         """加载配置"""
         self.portfolio = self.omEngine.portfolio
+        
+        with open(self.settingfilePath) as f:
+            l = json.load(f)
+            
+            for setting in l:
+                self.loadStrategy(setting)        
+        
+    #----------------------------------------------------------------------
+    def loadStrategy(self, setting):
+        """加载策略"""
+        try:
+            name = setting['name']
+            className = setting['className']
+        except Exception:
+            msg = traceback.format_exc()
+            self.writeLog(u'载入策略出错：%s' %msg)
+            return
+        
+        # 获取策略类
+        strategyClass = STRATEGY_CLASS.get(className, None)
+        if not strategyClass:
+            self.writeLog(u'找不到策略类：%s' %className)
+            return
+        
+        # 防止策略重名
+        if name in self.strategyDict:
+            self.writeLog(u'策略实例重名：%s' %name)
+        else:
+            # 创建策略实例
+            strategy = strategyClass(self, setting)  
+            self.strategyDict[name] = strategy
+            
+            # 保存Tick映射关系
+            for vtSymbol in strategy.vtSymbols:
+                l = self.symbolStrategyDict.setdefault(vtSymbol, [])
+                l.append(strategy)    
     
     #----------------------------------------------------------------------
     def initStrategy(self, name):

vnpy/trader/app/optionMaster/omStrategy.py

@@ -7,17 +7,36 @@ from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
 ########################################################################
 class OmStrategyTemplate(object):
     """策略模板"""
+    className = 'OmStrategyTemplate'
+    author = EMPTY_UNICODE
+    name = EMPTY_UNICODE           # 策略实例名称
+    vtSymbols = []                 # 交易的合约vt系统代码   
+    
+    inited = False                 # 是否进行了初始化
+    trading = False                # 是否启动交易，由引擎管理
+
+    # 参数列表，保存了参数的名称
+    paramList = ['name',
+                 'className',
+                 'author',
+                 'vtSymbols']
+
+    # 变量列表，保存了变量的名称
+    varList = ['inited',
+               'trading']
 
     #----------------------------------------------------------------------
-    def __init__(self, engine):
+    def __init__(self, engine, setting):
         """Constructor"""
         self.engine = engine
         
-        self.name = ''
+        self.vtSymbols = []
-        
-        self.inited = False
-        self.trading = False
         
+        # 设置策略的参数
+        for key in self.paramList:
+            if key in setting:
+                self.__setattr__(key, setting[key])
+                
     #----------------------------------------------------------------------
     def onInit(self):
         """初始化"""
@@ -47,7 +66,12 @@ class OmStrategyTemplate(object):
     def onOrder(self, order):
         """委托推送"""
         raise NotImplementedError
-        
+    
+    #----------------------------------------------------------------------
+    def onTimer(self, order):
+        """定时推送"""
+        raise NotImplementedError        
+
     #----------------------------------------------------------------------
     def cancelOrder(self, vtOrderID):
         """撤单"""

vnpy/trader/app/optionMaster/strategy/__init__.py

@@ -0,0 +1,50 @@
+# encoding: UTF-8
+
+'''
+动态载入所有的策略类
+'''
+
+import os
+import importlib
+import traceback
+
+# 用来保存策略类的字典
+STRATEGY_CLASS = {}
+
+#----------------------------------------------------------------------
+def loadStrategyModule(moduleName):
+    """使用importlib动态载入模块"""
+    try:
+        module = importlib.import_module(moduleName)
+        
+        # 遍历模块下的对象，只有名称中包含'Strategy'的才是策略类
+        for k in dir(module):
+            if 'Strategy' in k:
+                v = module.__getattribute__(k)
+                STRATEGY_CLASS[k] = v
+    except:
+        print ('-' * 20)
+        print ('Failed to import strategy file %s:' %moduleName)
+        traceback.print_exc()    
+
+
+# 遍历strategy目录下的文件
+path = os.path.abspath(os.path.dirname(__file__))
+for root, subdirs, files in os.walk(path):
+    for name in files:
+        # 只有文件名中包含strategy且非.pyc的文件，才是策略文件
+        if 'omStrategy' in name and '.pyc' not in name:
+            # 模块名称需要模块路径前缀
+            moduleName = 'vnpy.trader.app.optionMaster.strategy.' + name.replace('.py', '')
+            loadStrategyModule(moduleName)
+
+
+# 遍历工作目录下的文件
+workingPath = os.getcwd()
+for root, subdirs, files in os.walk(workingPath):
+    for name in files:
+        # 只有文件名中包含strategy且非.pyc的文件，才是策略文件
+        if 'omStrategy' in name and '.pyc' not in name:
+            # 模块名称无需前缀
+            moduleName = name.replace('.py', '')
+            loadStrategyModule(moduleName)