[Add]自动安装脚本中增加python-snappy模块
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vn.py
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@ -5,6 +5,7 @@ pip install -r requirements.txt
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conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/
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conda config --set show_channel_urls yes
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conda install -c quantopian ta-lib=0.4.9
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conda install -c conda-forge python-snappy
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:: Install vn.py
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python setup.py install
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@ -24,6 +24,7 @@ pip install -r requirements.txt
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conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/
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conda config --set show_channel_urls yes
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conda install -c quantopian ta-lib=0.4.9
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conda install -c conda-forge python-snappy
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#Install vn.py
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python setup.py install
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@ -9,7 +9,7 @@ from collections import OrderedDict
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from vnpy.event import Event
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from vnpy.trader.vtEvent import (EVENT_TICK, EVENT_TRADE, EVENT_CONTRACT,
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EVENT_ORDER)
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EVENT_ORDER, EVENT_TIMER)
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from vnpy.trader.vtFunction import getTempPath, getJsonPath
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from vnpy.trader.vtObject import (VtLogData, VtSubscribeReq,
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VtOrderReq, VtCancelOrderReq)
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@ -22,6 +22,7 @@ from vnpy.pricing import black, bs, crr
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from .omBase import (OmOption, OmUnderlying, OmChain, OmPortfolio,
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EVENT_OM_LOG,
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OM_DB_NAME)
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from .strategy import STRATEGY_CLASS
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@ -225,6 +226,8 @@ class OmEngine(object):
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########################################################################
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class OmStrategyEngine(object):
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"""策略引擎"""
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settingFileName = 'OM_setting.json'
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settingfilePath = getJsonPath(settingFileName, __file__)
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#----------------------------------------------------------------------
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def __init__(self, omEngine, eventEngine):
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@ -238,6 +241,8 @@ class OmStrategyEngine(object):
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self.strategyDict = {} # name: strategy
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self.symbolStrategyDict = {} # vtSymbol：strategy list
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self.orderStrategyDict= {} # vtOrderID: strategy
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self.registerEvent()
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#----------------------------------------------------------------------
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def registerEvent(self):
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@ -245,6 +250,7 @@ class OmStrategyEngine(object):
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self.eventEngine.register(EVENT_TICK, self.processTickEvent)
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self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
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self.eventEngine.register(EVENT_ORDER, self.processOrdervent)
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self.eventEngine.register(EVENT_TIMER, self.processTimerEvent)
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#----------------------------------------------------------------------
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def writeLog(self, content):
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@ -293,11 +299,53 @@ class OmStrategyEngine(object):
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strategy = self.orderStrategyDict.get(order.vtOrderID, None)
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if strategy:
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self.callStrategyFunc(strategy, strategy.onOrder, order)
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#----------------------------------------------------------------------
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def processTimerEvent(self, event):
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"""处理定时事件"""
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for strategy in self.strategyDict.values():
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self.callStrategyFunc(strategy, strategy.onTimer)
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#----------------------------------------------------------------------
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def loadSetting(self):
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"""加载配置"""
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self.portfolio = self.omEngine.portfolio
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with open(self.settingfilePath) as f:
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l = json.load(f)
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for setting in l:
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self.loadStrategy(setting)
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#----------------------------------------------------------------------
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def loadStrategy(self, setting):
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"""加载策略"""
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try:
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name = setting['name']
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className = setting['className']
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except Exception:
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msg = traceback.format_exc()
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self.writeLog(u'载入策略出错：%s' %msg)
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return
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# 获取策略类
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strategyClass = STRATEGY_CLASS.get(className, None)
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if not strategyClass:
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self.writeLog(u'找不到策略类：%s' %className)
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return
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# 防止策略重名
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if name in self.strategyDict:
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self.writeLog(u'策略实例重名：%s' %name)
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else:
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# 创建策略实例
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strategy = strategyClass(self, setting)
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self.strategyDict[name] = strategy
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# 保存Tick映射关系
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for vtSymbol in strategy.vtSymbols:
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l = self.symbolStrategyDict.setdefault(vtSymbol, [])
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l.append(strategy)
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#----------------------------------------------------------------------
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def initStrategy(self, name):
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@ -7,17 +7,36 @@ from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
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########################################################################
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class OmStrategyTemplate(object):
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"""策略模板"""
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className = 'OmStrategyTemplate'
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author = EMPTY_UNICODE
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name = EMPTY_UNICODE # 策略实例名称
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vtSymbols = [] # 交易的合约vt系统代码
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inited = False # 是否进行了初始化
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trading = False # 是否启动交易，由引擎管理
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# 参数列表，保存了参数的名称
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paramList = ['name',
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'className',
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'author',
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'vtSymbols']
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading']
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#----------------------------------------------------------------------
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def __init__(self, engine):
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def __init__(self, engine, setting):
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"""Constructor"""
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self.engine = engine
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self.name = ''
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self.inited = False
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self.trading = False
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self.vtSymbols = []
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# 设置策略的参数
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for key in self.paramList:
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if key in setting:
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self.__setattr__(key, setting[key])
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#----------------------------------------------------------------------
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def onInit(self):
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"""初始化"""
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@ -47,7 +66,12 @@ class OmStrategyTemplate(object):
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def onOrder(self, order):
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"""委托推送"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onTimer(self, order):
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"""定时推送"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def cancelOrder(self, vtOrderID):
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"""撤单"""
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50
vnpy/trader/app/optionMaster/strategy/__init__.py
Normal file
50
vnpy/trader/app/optionMaster/strategy/__init__.py
Normal file
@ -0,0 +1,50 @@
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# encoding: UTF-8
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'''
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动态载入所有的策略类
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'''
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import os
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import importlib
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import traceback
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# 用来保存策略类的字典
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STRATEGY_CLASS = {}
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#----------------------------------------------------------------------
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def loadStrategyModule(moduleName):
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"""使用importlib动态载入模块"""
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try:
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module = importlib.import_module(moduleName)
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# 遍历模块下的对象，只有名称中包含'Strategy'的才是策略类
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for k in dir(module):
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if 'Strategy' in k:
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v = module.__getattribute__(k)
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STRATEGY_CLASS[k] = v
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except:
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print ('-' * 20)
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print ('Failed to import strategy file %s:' %moduleName)
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traceback.print_exc()
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# 遍历strategy目录下的文件
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path = os.path.abspath(os.path.dirname(__file__))
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for root, subdirs, files in os.walk(path):
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for name in files:
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# 只有文件名中包含strategy且非.pyc的文件，才是策略文件
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if 'omStrategy' in name and '.pyc' not in name:
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# 模块名称需要模块路径前缀
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moduleName = 'vnpy.trader.app.optionMaster.strategy.' + name.replace('.py', '')
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loadStrategyModule(moduleName)
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# 遍历工作目录下的文件
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workingPath = os.getcwd()
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for root, subdirs, files in os.walk(workingPath):
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for name in files:
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# 只有文件名中包含strategy且非.pyc的文件，才是策略文件
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if 'omStrategy' in name and '.pyc' not in name:
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# 模块名称无需前缀
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moduleName = name.replace('.py', '')
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loadStrategyModule(moduleName)
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