[增强功能] 算法代理，接收来自RabbitMQ传送的算法启动指令
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msincenselee
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vnpy/app/algo_broker/README.md
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vnpy/app/algo_broker/README.md
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RabbitMQ => worker => AlgoEngine
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vnpy/app/algo_broker/__init__.py
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vnpy/app/algo_broker/__init__.py
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# encoding: UTF-8
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from pathlib import Path
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from vnpy.trader.app import BaseApp
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from .engine import AlgoBroker, APP_NAME
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class AlgoBrokerApp(BaseApp):
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""""""
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app_name = APP_NAME
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app_module = __module__
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app_path = Path(__file__).parent
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display_name = "算法交易代理"
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engine_class = AlgoBroker
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widget_name = None
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icon_name = "algo.ico"
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vnpy/app/algo_broker/engine.py
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vnpy/app/algo_broker/engine.py
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# encoding: UTF-8
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# 算法引擎的代理
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from vnpy.amqp.consumer import worker, rpc_server, pika
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import json, os, random
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import traceback
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import logging
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from threading import Thread
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from datetime import datetime
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from vnpy.event import Event, EventEngine
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from vnpy.trader.event import EVENT_LOG, EVENT_TIMER
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from vnpy.trader.constant import (Direction, OrderType, Offset, Exchange)
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from vnpy.trader.engine import BaseEngine, MainEngine
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from vnpy.trader.object import SubscribeRequest, OrderRequest, CancelRequest, PositionData
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from vnpy.trader.utility import get_stock_exchange
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from vnpy.trader.util_logger import setup_logger
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from vnpy.data.mongo.mongo_data import MongoData
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APP_NAME = "AlgoBroker"
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SERVICE_DB_NAME = 'Service' # 运行服务信息记录库
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ALGO_INFO_COL = 'algo_info' # 算法引擎实例
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class AlgoWorker(worker):
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"""
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算法任务执行者
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它处理 algo task queue,
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"""
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def __init__(self, algo_broker, gateway_name='', host='localhost', port=5672, user='admin', password='admin',
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exchange='x_work_queue', queue='algo_task_queue', routing_key='default'):
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self.algo_broker = algo_broker
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self.gateway_name = gateway_name
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self.routing_key = routing_key
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self.start_time = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
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super().__init__(host=host, port=port, user=user, password=password, queue=queue, routing_key=routing_key)
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self.thread = Thread(target=self.start)
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self.thread.start()
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def callback(self, chan, method_frame, _header_frame, body, userdata=None):
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try:
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mission = body.decode('utf-8')
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self.algo_broker.write_log(" [AlgoWorker] received task: {}".format(mission))
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mission = json.loads(mission)
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action = mission.get('action')
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if action == 'add_algo':
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self.add_algo(mission.get('setting'))
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elif action == 'stop_algo':
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self.stop_algo(mission.get('algo_name'))
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chan.basic_ack(delivery_tag=method_frame.delivery_tag)
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self.algo_broker.write_log(" [AlgoWorker] task finished ")
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except Exception as ex:
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self.algo_broker.write_error('AlgoWorker Exception:{}'.format(str(ex)))
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self.algo_broker.write_error(traceback.format_exc())
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chan.basic_ack(delivery_tag=method_frame.delivery_tag)
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self.algo_broker.write_log(" [AlgoWorker] task fail ")
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def add_algo(self, algo_setting):
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"""添加算法实例"""
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self.algo_broker.write_log(f'准备添加算法实例:{algo_setting}')
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algo_engine = getattr(self.algo_broker.main_engine, 'algo_engine', None)
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if algo_engine is None:
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self.algo_broker.write_error(u'算法引擎未启动')
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return False
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vt_symbol = algo_setting.get('vt_symbol')
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if vt_symbol.isdigit() and algo_setting.get('is_stock', False):
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exchange_str = get_stock_exchange(vt_symbol)
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if exchange_str:
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vt_symbol = vt_symbol + '.' + exchange_str
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algo_setting.update({'vt_symbol': vt_symbol})
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# 算法引擎
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algoName = algo_engine.start_algo(algo_setting)
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self.algo_broker.write_log(u'start_algo {} : params {}'.format(algoName, str(algo_setting)))
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return True
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def stop_algo(self, algo_name):
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"""停止算法实例"""
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self.algo_broker.write_log(f'准备停止算法实例:{algo_name}')
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algo_engine = getattr(self.algo_broker.main_engine, 'algo_engine', None)
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if algo_engine is None:
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self.algo_broker.write_error(u'算法引擎未启动')
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return False
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algo_engine.stop_algo(algo_name)
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return True
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def stop(self):
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self.algo_broker.write_log(u'worker停止')
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try:
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self.channel.stop_comsuming()
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self.connection.close()
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if self.thread:
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self.thread.join()
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except:
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pass
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class MqRpcServer(rpc_server):
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"""rabbitmq rpc server"""
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def __init__(self, algo_broker, gateway_name='', host='localhost', port=5672, user='admin', password='admin',
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exchange='x_rpc', queue='rpc_queue', routing_key='default'):
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"""
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构造函数
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:param algo_broker: 代理应用
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:param gateway_name: 缺省gateway名称
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:param host: rabbitmq host
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:param port: rabbitmq port
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:param user: rabbitmq user
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:param password: rabbitmq password
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:param exchange: rabbitmq exchange for rpc
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:param queue: rabbitmq queue for rpc
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:param routing_key: 接收过滤key，在这里，建议自身
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"""
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# 算法代理APP
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self.algo_broker = algo_broker
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# 主引擎
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self.main_engine = self.algo_broker.main_engine
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super().__init__(host=host, port=port, user=user, password=password, exchange=exchange, queue=queue,
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routing_key=routing_key)
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self.algo_broker.write_log(
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u'创建 rpc server: host:{}, port:{}, exchange:{},queue:{},routing_key:{}'.format(host, port, exchange, queue,
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routing_key))
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self.thread = Thread(target=self.start)
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self.thread.start()
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def on_request(self, chan, method_frame, _header_frame, body, userdata=None):
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"""
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响应rpc请求得处理函数
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:param chan:
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:param method_frame:
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:param _header_frame:
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:param body:
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:param userdata:
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:return:
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"""
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if isinstance(body, bytes):
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body = body.decode('utf-8')
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if isinstance(body, str):
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body = json.loads(body)
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self.algo_broker.write_log(" [RPC Server] on_request: %r" % body)
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# 判断body内容类型
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if not isinstance(body, dict):
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resp_data = {'err_code': -1, 'err_msg': u'请求不是dict格式', 'corr_id': _header_frame.correlation_id}
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self.reply(chan, resp_data, _header_frame.reply_to, _header_frame.correlation_id, method_frame.delivery_tag)
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return
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method = body.get('method', None)
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params = body.get('params', {})
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request_time = body.get('time', None)
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if method is None or method not in self.method_dict:
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resp_data = {'err_code': -1, 'err_msg': u'请求方法:{}不在配置中'.format(method),
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'corr_id': _header_frame.correlation_id}
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self.reply(chan, resp_data, _header_frame.reply_to, _header_frame.correlation_id,
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method_frame.delivery_tag)
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return
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if request_time is not None:
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request_dt = datetime.strptime(request_time, '%Y-%m-%d %H:%M%S')
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now_dt = datetime.now()
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if (now_dt - request_dt).total_seconds() > 10:
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resp_data = {'err_code': -1,
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'err_msg': u'响应超时:{},当前:{}'.format(request_time, now_dt.strftime('%Y-%m-%d %H:%M%S')),
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'corr_id': _header_frame.correlation_id}
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self.reply(chan, resp_data, _header_frame.reply_to, _header_frame.correlation_id,
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method_frame.delivery_tag)
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return
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function = self.method_dict.get(method)
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try:
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ret = function(**params)
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resp_data = {'err_code': 0, 'data': ret, 'corr_id': _header_frame.correlation_id}
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self.reply(chan, resp_data, _header_frame.reply_to, _header_frame.correlation_id,
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method_frame.delivery_tag)
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except Exception as ex:
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self.algo_broker.write_error('mq rpc server exception:{}'.format(str(ex)))
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self.algo_broker.write_error(traceback.format_exc())
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resp_data = {'err_code': -1, 'err_msg': '执行异常:{}'.format(str(ex)), 'corr_id': _header_frame.correlation_id}
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self.reply(chan, resp_data, _header_frame.reply_to, _header_frame.correlation_id,
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method_frame.delivery_tag)
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def stop(self):
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self.algo_broker.write_log(u'mq rpc server 停止')
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try:
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self.channel.stop_comsuming()
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self.connection.close()
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if self.thread:
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self.thread.join()
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except:
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pass
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class AlgoBroker(BaseEngine):
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# 算法引擎的代理
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# ==》接收rabbitmq的指令请求，启动响应算法
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# ----------------------------------------------------------------------
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def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
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""""""
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super().__init__(
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main_engine, event_engine, APP_NAME)
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self.main_engine = main_engine
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self.event_engine = event_engine
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self.app_name = APP_NAME
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self.gateway_name = ""
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self.settings = {}
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self.worker = None
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self.rpc_server = None
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from vnpy.trader.setting import SETTINGS
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self.mongo_db = MongoData(host=SETTINGS.get('hams.host', 'localhost'),
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port=SETTINGS.get('hams.port', 27017))
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#self.logger = None
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#self.create_logger()
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self.last_dt = None
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self.registerEvent()
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self.init_engine()
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def write_error(self, msg: str, strategy_name: str = ''):
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"""写入错误日志"""
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self.write_log(msg=msg, source=strategy_name, level=logging.ERROR)
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# ----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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def process_timer_event(self, event):
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"""定时执行事件"""
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if self.last_dt is not None:
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if (datetime.now() - self.last_dt).total_seconds() < 60:
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return
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self.last_dt = datetime.now()
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if self.worker is None:
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return
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gw = self.main_engine.get_gateway(self.gateway_name)
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if gw:
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account_id = gw.accountid
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else:
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self.write_error(f'算法代理，找不到网关:{self.gateway_name}')
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return
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flt = {
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'gateway_name': self.gateway_name,
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'account_id': account_id
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}
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data = {
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'algo_engine_name': u'算法引擎',
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'gateway_name': self.gateway_name,
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'start_time': self.worker.start_time,
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'update_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S'),
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'exchange': self.worker.exchange,
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'queue': self.worker.queue,
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'routing_key': self.worker.routing_key,
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'status': 'opened'
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}
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self.mongo_db.db_update(db_name=SERVICE_DB_NAME,
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col_name=ALGO_INFO_COL,
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data_dict=data,
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filter_dict=flt,
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replace=True)
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def init_engine(self):
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"""初始化worker"""
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if self.worker:
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return
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# 读取配置文件
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self.load_setting()
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host = self.settings.get('host', 'localhost')
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port = self.settings.get('port', 5672)
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user = self.settings.get('admin', 'admin')
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password = self.settings.get('password', 'admin')
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worker_exchange = self.settings.get('worker_exchange', 'x_work_queue')
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self.gateway_name = self.settings.get('gateway_name', 'gateway_name')
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worker_queue = self.settings.get('worker_queue', 'q_algo_task_{}'.format(self.gateway_name))
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rpc_exchange = self.settings.get('rpc_exchange', 'x_rpc')
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rpc_queue = self.settings.get('rpc_queue', 'q_rpc_svr_{}'.format(self.gateway_name))
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# 创建一个worker
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self.write_log(u'创建rabbitmq worker实例')
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self.worker = AlgoWorker(algo_broker=self, gateway_name=self.gateway_name,
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host=host, port=port, user=user, password=password,
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exchange=worker_exchange, routing_key=self.gateway_name)
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if self.rpc_server:
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return
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self.write_log(u'创建rabbitmq rpc server实例')
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self.rpc_server = MqRpcServer(algo_broker=self, gateway_name=self.gateway_name,
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host=host, port=port, user=user, password=password,
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exchange=rpc_exchange, queue=rpc_queue, routing_key=self.gateway_name)
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self.register_rpc_methods()
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def wrapper_send_order(self, **args):
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"""
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发送委托 rpc-> vtEngine
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:param params:
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:return:
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"""
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self.write_log(u'received rabbit mq rpc call send_order:{}'.format(args))
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symbol = str(args.get('symbol'))
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contract = self.main_engine.get_contract(symbol)
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if contract:
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exchange = contract.exchange
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else:
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self.write_error(f'合约{symbol}找不到配置信息,无法发送委托')
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return ""
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direction = Direction.LONG if args.get('direction', '') in [Direction.LONG, 'long'] else Direction.SHORT
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if str(args.get('offset', '')) in ['None', '']:
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offset = Offset.NONE
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else:
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offset = Offset.OPEN if args.get('offset', '') in [Offset.OPEN, 'open'] else Offset.CLOSE
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price_type = args.get('price_type')
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if price_type in [OrderType.MARKET, u'市价']:
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order_type = OrderType.MARKET
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elif price_type in [OrderType.FAK, 'FAK']:
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order_type = OrderType.FAK
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elif price_type in [OrderType.FOK, 'FOK']:
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order_type = OrderType.FOK
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else:
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order_type = OrderType.LIMIT
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order_req = OrderRequest(
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symbol=symbol,
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exchange=exchange,
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direction=direction,
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offset=offset,
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type=order_type,
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price=float(args.get('price')),
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volume=args.get('volume'),
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strategy_name=args.get('strategy_name', "")
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)
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ref = self.main_engine.send_order(order_req, args.get('gateway_name'))
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self.write_log(u'委托编号:{}'.format(ref))
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return ref
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def wrapper_cancel_order(self, **args):
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"""
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发送委托撤单 rpc-> vtEngine
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:param params:
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:return:
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"""
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self.write_log(u'received rabbit mq rpc call cancel_order:{}'.format(args))
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symbol = args.get('symbol', None)
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contract = self.main_engine.get_contract(symbol)
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if contract:
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exchange = contract.exchange
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else:
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self.write_error(f'合约{symbol}找不到配置信息,无法发送撤销')
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return False
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cancel_req = CancelRequest(
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symbol=symbol,
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exchange=exchange,
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orderid=args.get('order_id')
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)
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ref = self.main_engine.cancel_order(cancel_req, args.get('gateway_name'))
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return ref
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def wrapper_cancel_all(self, **args):
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"""
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发送委托撤单 rpc-> vtEngine
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:param params:
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:return:
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"""
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self.write_log(u'received rabbit mq rpc call cancel_all:{}'.format(args))
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active_orders = self.main_engine.get_all_active_orders()
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cancel_count = len(active_orders)
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for order in active_orders:
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req = CancelRequest(
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symbol=order.symbol,
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exchange=order.exchange,
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orderid=order.orderid
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)
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self.main_engine.cancel_order(req, order.gateway_name)
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return cancel_count
|
||||
|
||||
def register_rpc_methods(self):
|
||||
""" 注册rpc的各个可调用方法"""
|
||||
if not self.rpc_server:
|
||||
return
|
||||
|
||||
# 注册主引擎的方法到服务器的RPC函数
|
||||
self.rpc_server.register_method('send_order', self.wrapper_send_order)
|
||||
self.rpc_server.register_method('cancel_order', self.wrapper_cancel_order)
|
||||
self.rpc_server.register_method('cancel_all', self.wrapper_cancel_all)
|
||||
self.rpc_server.register_method('init_strategy', self.main_engine.init_strategy)
|
||||
self.rpc_server.register_method('start_strategy', self.main_engine.start_strategy)
|
||||
self.rpc_server.register_method('stop_strategy', self.main_engine.stop_strategy)
|
||||
self.rpc_server.register_method('reload_strategy', self.main_engine.reload_strategy)
|
||||
self.rpc_server.register_method('get_strategy_status', self.main_engine.get_strategy_status)
|
||||
self.rpc_server.register_method('save_strategy_data', self.main_engine.save_strategy_data)
|
||||
self.rpc_server.register_method('save_strategy_snapshot', self.main_engine.save_strategy_snapshot)
|
||||
self.rpc_server.register_method('clean_strategy_cache', self.main_engine.clean_strategy_cache)
|
||||
|
||||
self.write_log(u'完成RPC函数注册:{}'.format(sorted(self.rpc_server.method_dict.keys())))
|
||||
|
||||
def load_setting(self):
|
||||
"""
|
||||
读取配置文件
|
||||
:return:
|
||||
"""
|
||||
try:
|
||||
# 设置里面，所有得 {rabbitmq.xxxx: value} => { xxxx: value}
|
||||
from vnpy.trader.setting import SETTINGS
|
||||
self.settings = {k.replace('rabbitmq.', ''): v for k, v in SETTINGS.items() if k.startswith('rabbitmq')}
|
||||
self.settings.update({'gateway_name': SETTINGS.get('gateway_name')})
|
||||
|
||||
except Exception as ex:
|
||||
self.write_error(u'加载算法代理配置异常:{},{}'.format(str(ex), traceback.format_exc()))
|
||||
|
||||
self.write_log(u'加载算法代理配置成功:{}'.format(self.settings))
|
||||
|
||||
def close(self):
|
||||
print('AlgoBroker close')
|
||||
if self.rpc_server:
|
||||
self.rpc_server.stop()
|
||||
|
||||
if self.worker:
|
||||
self.worker.stop()
|
||||
Loading…
Reference in New Issue
Block a user