合并json文件为一个

vnpy/trader/app/ctaStrategy/ctaGridTrade.py

@@ -5,6 +5,8 @@ import os,sys
 from datetime import datetime
 import json
 import uuid
+import shutil
+
 from vnpy.trader.app.ctaStrategy.ctaBase import *
 from vnpy.trader.vtConstant import *
 
@@ -110,7 +112,7 @@ class CtaGridTrade(object):
     包括两个方向的网格队列，
     v1, 基本版
     v2，增加更新最小价格跳动，增加动态上下网格间距
-    v3, 增加持久化到Mongo数据库
+    v3, 合并up/dn为一个文件
     """
 
     def __init__(self, strategy, maxlots=5, height=2, win=2, vol=1, minDiff = 1):
@@ -142,6 +144,8 @@ class CtaGridTrade(object):
         self.max_up_open_price = EMPTY_FLOAT  # 上网格开仓均价
         self.min_dn_open_price = EMPTY_FLOAT  # 下网格开仓均价
 
+        self.json_file_path = os.path.join(self.get_data_folder(), u'{}_Grids.json'.format(self.jsonName))    # 网格的路径
+
     def getVolumeRate(self, gridIndex=EMPTY_INT):
         """获取网格索引对应的开仓数量比例"""
         if gridIndex >= len(self.volumeList) or gridIndex < 0:
@@ -168,7 +172,7 @@ class CtaGridTrade(object):
         if len(self.upGrids) == 0:
             self.upGrids = self.load(direction= DIRECTION_SHORT)
             if len(self.upGrids) > 0:
-                self.writeCtaLog(u'上网格从文件加载完成')
+                self.writeCtaLog(u'上网格从文件{}加载完成'.format(self.json_file_path))
             else:
                 # 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省
                 for i in range(0, lots, 1):
@@ -185,7 +189,7 @@ class CtaGridTrade(object):
         if len(self.dnGrids) == 0:
             self.dnGrids = self.load(direction= DIRECTION_LONG)
             if len(self.dnGrids) > 0:
-                self.writeCtaLog(u'下网格从文件加载完成')
+                self.writeCtaLog(u'下网格从文件{}加载完成'.format(self.json_file_path))
             else:
                 for i in range(0, lots, 1):
                     # 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省
@@ -794,43 +798,47 @@ class CtaGridTrade(object):
 
         # 更新开仓均价
         self.recount_avg_open_price()
+        grids_save_path = self.get_data_folder()
 
-        # 工作目录
+        # 确保json名字与策略一致
-        currentFolder = os.path.abspath(os.path.join(os.getcwd(), u'data'))
+        if self.jsonName != self.strategy.name:
-        if os.path.isdir(currentFolder):
+            self.writeCtaLog(u'JsonName {} 与 上层策略名{} 不一致.'.format(self.jsonName, self.strategy.name))
-            # 如果工作目录下，存在data子目录，就使用data子目录
+            self.jsonName = self.strategy.name
-            path = currentFolder
-        else:
-            # 否则，使用缺省保存目录 vnpy/trader/app/ctaStrategy/data
-            path = os.path.abspath(os.path.join(os.path.dirname(__file__), u'data'))
 
-        # 保存上网格列表
+        # 移除旧版上/下网格列表
-        if direction == DIRECTION_SHORT:
+        old_up_json_file = os.path.join(grids_save_path, u'{0}_upGrids.json'.format(self.jsonName))
-            jsonFileName = os.path.join(path, u'{0}_upGrids.json'.format(self.jsonName))
+        old_dn_json_file = os.path.join(grids_save_path, u'{0}_dnGrids.json'.format(self.jsonName))
+        if os.path.exists(old_up_json_file):
+            try:
+                os.remove(old_up_json_file)
+            except:
+                pass
 
-            l = []
+        if os.path.exists(old_dn_json_file):
-            for grid in self.upGrids:
+            try:
-                l.append(grid.toJson())
+                os.remove(old_dn_json_file)
+            except:
+                pass
 
-            with open(jsonFileName, 'w') as f:
+        # 新版网格持久化文件
-                jsonL = json.dumps(l, indent=4)
+        grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.jsonName))
-                f.write(jsonL)
+        self.json_file_path = grid_json_file
 
-            #self.writeCtaLog(u'上网格保存文件{0}完成'.format(jsonFileName))
+        data = {}
+        up_grids = []
+        for grid in self.upGrids:
+            up_grids.append(grid.toJson())
+        dn_grids = []
+        for grid in self.dnGrids:
+            dn_grids.append(grid.toJson())
+        data[u'up_grids'] = up_grids
+        data[u'dn_grids'] = dn_grids
 
-        # 保存上网格列表
+        with open(grid_json_file, 'w') as f:
-        if direction == DIRECTION_LONG:
+            json_data = json.dumps(data, indent=4)
-            jsonFileName = os.path.join(path, u'{0}_dnGrids.json'.format(self.jsonName))
+            f.write(json_data)
 
-            l = []
+        self.writeCtaLog(u'GrideTrade保存文件{}完成'.format(grid_json_file))
-            for grid in self.dnGrids:
-                l.append(grid.toJson())
-
-            with open(jsonFileName, 'w') as f:
-                jsonL = json.dumps(l, indent=4)
-                f.write(jsonL)
-
-            #self.writeCtaLog(u'下网格保存文件{0}完成'.format(jsonFileName))
 
     def load(self, direction, openStatusFilter=[]):
         """
@@ -839,112 +847,230 @@ class CtaGridTrade(object):
         :param openStatusFilter: 缺省，不做过滤；True，只提取已开仓的数据，False，只提取未开仓的数据
         :return: 
         """
+        data = {}
+        grids_save_path = self.get_data_folder()
 
+        if self.jsonName != self.strategy.name:
+            self.writeCtaLog(u'JsonName {} 与 上层策略名{} 不一致.'.format(self.jsonName, self.strategy.name))
+            self.jsonName = self.strategy.name
+
+        # 移除旧版上/下网格列表
+        old_up_json_file = os.path.join(grids_save_path, u'{0}_upGrids.json'.format(self.jsonName))
+        old_dn_json_file = os.path.join(grids_save_path, u'{0}_dnGrids.json'.format(self.jsonName))
+
+        if os.path.exists(old_up_json_file):
+            try:
+                with open(old_up_json_file, 'r', encoding='utf8') as f:
+                    # 解析json文件
+                    data['up_grids'] = json.load(f)
+            except IOError:
+                self.writeCtaLog(u'读取网格{}出错'.format(old_up_json_file))
+                data['up_grids'] = []
+            try:    # 移除旧版上网格文件
+                os.remove(old_up_json_file)
+            except:
+                pass
+
+        if os.path.exists(old_dn_json_file):
+            try:
+                with open(old_dn_json_file, 'r', encoding='utf8') as f:
+                    # 解析json文件
+                    data['dn_grids'] = json.load(f)
+            except IOError as ex:
+                self.writeCtaLog(u'读取网格{}出错,ex:{}'.format(old_dn_json_file,str(ex)))
+                data['dn_grids'] = []
+            try:    # 移除旧版下网格文件
+                os.remove(old_dn_json_file)
+            except:
+                pass
+
+        # 若新版文件不存在，就保存；若存在，就优先使用新版数据文件
+        grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.jsonName))
+        if not os.path.exists(grid_json_file):
+            if len(data) == 0:
+                data['up_grids'] = []
+                data['dn_grids'] = []
+                self.writeCtaLog(u'{}不存在，初始化')
+            else:
+                self.writeCtaLog(u'{}不存在，保存')
+            try:
+                with open(grid_json_file, 'w') as f:
+                    json_data = json.dumps(data, indent=4)
+                    f.write(json_data)
+            except IOError as ex:
+                self.writeCtaLog(u'写入网格文件{}异常:{}'.format(grid_json_file,str(ex)))
+        else:
+            # 读取json文件
+            try:
+                with open(grid_json_file, 'r', encoding='utf8') as f:
+                    data = json.load(f)
+            except IOError as ex:
+                self.writeCtaLog(u'读取网格文件{}异常:{}'.format(grid_json_file,str(ex)))
+
+        #  从文件获取数据
+        json_grids = []
+        if direction == DIRECTION_SHORT :
+            json_grids = data['up_grids'] if 'up_grids' in data else []
+
+        elif direction == DIRECTION_LONG:
+            json_grids = data['dn_grids'] if 'dn_grids' in data else []
+
+        grids = []
+        for i in json_grids:
+
+            closePrice = float(i['closePrice'])
+            openPrice = float(i['openPrice'])
+            stopPrice = float(i['stopPrice'])
+
+            self.writeCtaLog(u'load Grid:open:{0},close:{1},stop:{2}'.format(openPrice, closePrice, stopPrice))
+
+            grid = CtaGrid(direction=i['direction'], openprice=openPrice, closeprice=closePrice,
+                               stopprice=stopPrice, volume=i['volume'])
+            grid.orderStatus = i['orderStatus']       # 挂单状态: True,已挂单，False，未挂单
+            grid.orderRef = i['orderRef']           # OrderId
+            grid.openStatus = i['openStatus']         # 开仓状态
+            grid.closeStatus = i['closeStatus']         # 平仓状态
+
+            strTime = i['openDatetime']
+            if strTime == EMPTY_STRING or type(strTime)==type(None):
+                grid.openDatetime = None
+            else:
+                grid.openDatetime = datetime.strptime(strTime, '%Y-%m-%d %H:%M:%S')
+
+            try:
+                grid.tradedVolume = i['tradedVolume']   # 已交易的合约数量
+            except KeyError:
+                grid.tradedVolume = EMPTY_INT
+            try:
+                grid.lockGrids = i['lockGrids']
+            except KeyError:
+                grid.lockGrids = []
+
+            try:
+                grid.type = i['type']
+                if grid.type == False:
+                    grid.type = EMPTY_STRING
+            except KeyError:
+                grid.type = EMPTY_STRING
+
+            try:
+                grid.reuse = i['reuse']
+            except KeyError:
+                grid.reuse = False
+
+            try:
+                grid.openPrices = i['openPrices']
+            except KeyError:
+                grid.openPrices = {}
+
+            try:
+                grid.snapshot = i['snapshot']
+            except KeyError:
+                grid.snapshot = {}
+
+            self.writeCtaLog(grid.toStr())
+
+            # 增加对开仓状态的过滤，满足某些策略只提取已开仓的网格数据
+            if len(openStatusFilter) > 0:
+                if grid.openStatus not in openStatusFilter:
+                    continue
+
+            grids.append(grid)
+
+        # 更新开仓均价
+        self.recount_avg_open_price()
+        return grids
+
+    def get_data_folder(self):
+        """获取数据目录"""
         # 工作目录
         currentFolder = os.path.abspath(os.path.join(os.getcwd(), u'data'))
         if os.path.isdir(currentFolder):
             # 如果工作目录下，存在data子目录，就使用data子目录
-            path = currentFolder
+            return currentFolder
         else:
             # 否则，使用缺省保存目录 vnpy/trader/app/ctaStrategy/data
-            path = os.path.abspath(os.path.join(os.path.dirname(__file__), u'data'))
+            return os.path.abspath(os.path.join(os.path.dirname(__file__), u'data'))
 
-        if direction == DIRECTION_SHORT:
+    def changeStrategyName(self, old_name, new_name):
-            jsonFileName = os.path.join(path, '{0}_upGrids.json'.format(self.jsonName))
+        """
-            self.writeCtaLog(u'开始加载上网格文件{0}'.format(jsonFileName))
+        在线更换策略实例名称，需要把Json文件也转移
-        if direction == DIRECTION_LONG:
+        :param old_name: 
-            jsonFileName = os.path.join(path, u'{0}_dnGrids.json'.format(self.jsonName))
+        :param new_name: 
-            self.writeCtaLog(u'开始加载上网格文件{0}'.format(jsonFileName))
+        :return: 
+        """
+        if old_name == new_name:
+            self.writeCtaLog(u'更换策略实例名称失败,old:{} =>new:{}'.format(old_name, new_name))
+            return
 
-        if not os.path.isfile(jsonFileName):
+        data_folder = self.get_data_folder()
-            self.writeCtaLog(u'网格保存文件{0}不存在'.format(jsonFileName))
-            return []
 
-        try:
+        self.jsonName = new_name
-            f = open(jsonFileName,'r',encoding='utf8')
+        # 旧文件
-        except IOError:
+        old_up_json_file = os.path.join(data_folder, u'{0}_upGrids.json'.format(old_name))
-            self.writeCtaLog(u'读取网格出错，请检查')
+        old_dn_json_file = os.path.join(data_folder, u'{0}_dnGrids.json'.format(old_name))
-            return []
+        old_json_file = os.path.join(data_folder, u'{0}_Grids.json'.format(old_name))
 
-        # 解析json文件
+        # 新文件
-        l = json.load(f)
+        self.json_file_path = os.path.join(data_folder, u'{0}_Grids.json'.format(new_name))
-        grids = []
+        if os.path.isfile(self.json_file_path):         # 新文件若存在，移除
-
+            try:
-        if len(l) > 0:
+                os.remove(self.json_file_path)
-
+            except Exception as ex:
-            for i in l:
+                self.writeCtaLog(u'GridTrade.changeStrategyName 删除文件：{}异常:{}'.format(old_up_json_file,str(ex)))
-
-                closePrice = float(i['closePrice'])
-                openPrice = float(i['openPrice'])
-                stopPrice = float(i['stopPrice'])
-
-                self.writeCtaLog(u'load Grid:open:{0},close:{1},stop:{2}'.format(openPrice, closePrice, stopPrice))
-
-                grid = CtaGrid(direction=i['direction'], openprice=openPrice, closeprice=closePrice,
-                                   stopprice=stopPrice, volume=i['volume'])
-                grid.orderStatus = i['orderStatus']       # 挂单状态: True,已挂单，False，未挂单
-                grid.orderRef = i['orderRef']           # OrderId
-                grid.openStatus = i['openStatus']         # 开仓状态
-                grid.closeStatus = i['closeStatus']         # 平仓状态
-
-                strTime = i['openDatetime']
-                if strTime == EMPTY_STRING or type(strTime)==type(None):
-                    grid.openDatetime = None
-                else:
-                    grid.openDatetime = datetime.strptime(strTime, '%Y-%m-%d %H:%M:%S')
-
-                try:
-                    grid.tradedVolume = i['tradedVolume']   # 已交易的合约数量
-                except KeyError:
-                    grid.tradedVolume = EMPTY_INT
-                try:
-                    grid.lockGrids = i['lockGrids']
-                except KeyError:
-                    grid.lockGrids = []
-
-                try:
-                    grid.type = i['type']
-                    if grid.type == False:
-                        grid.type = EMPTY_STRING
-                except KeyError:
-                    grid.type = EMPTY_STRING
-
-                try:
-                    grid.reuse = i['reuse']
-                except KeyError:
-                    grid.reuse = False
-
-                try:
-                    grid.openPrices = i['openPrices']
-                except KeyError:
-                    grid.openPrices = {}
-
-                try:
-                    grid.snapshot = i['snapshot']
-                except KeyError:
-                    grid.snapshot = {}
-
-                self.writeCtaLog(grid.toStr())
-
-                # 增加对开仓状态的过滤，满足某些策略只提取已开仓的网格数据
-                if len(openStatusFilter) > 0:
-                    if grid.openStatus not in openStatusFilter:
-                        continue
-
-                grids.append(grid)
 
+        # 移动文件
+        if os.path.isfile(old_json_file):
+            try:
+                shutil.move(old_json_file, self.json_file_path)
+                return
+            except Exception as ex:
+                self.writeCtaLog(u'GridTrade.changeStrategyName 移动文件：{}=》{}异常:{}'.format(old_up_json_file, self.json_file_path, str(ex)))
         else:
-            self.writeCtaLog(u'解析网格出错，设置为空列表')
+            data = {}
-
+            if os.path.isfile(old_up_json_file):
-        f.close()
+                try:
-
+                    with open(old_up_json_file, 'r', encoding='utf8') as f:
-        # 更新开仓均价
+                        # 解析json文件
-        self.recount_avg_open_price()
+                        data['up_grids'] = json.load(f)
-
+                except IOError:
-        return grids
+                    self.writeCtaLog(u'读取网格{}出错'.format(old_up_json_file))
+                    data['up_grids'] = []
+                try:    # 移除旧版上网格文件
+                    os.remove(old_up_json_file)
+                except IOError:
+                    self.writeCtaLog(u'移除网格{}出错'.format(old_up_json_file))
 
+            else:
+                data['up_grids'] = []
+            if os.path.isfile(old_dn_json_file):
+                try:
+                    with open(old_dn_json_file, 'r', encoding='utf8') as f:
+                        # 解析json文件
+                        data['dn_grids'] = json.load(f)
+                except IOError:
+                    self.writeCtaLog(u'读取网格{}出错'.format(old_dn_json_file))
+                    data['dn_grids'] = []
+                try:    # 移除旧版上网格文件
+                    os.remove(old_dn_json_file)
+                except IOError:
+                    self.writeCtaLog(u'移除网格{}出错'.format(old_dn_json_file))
+            else:
+                data['dn_grids'] = []
 
+            try:
+                with open(self.json_file_path, 'w') as f:
+                    json_data = json.dumps(data, indent=4)
+                    f.write(json_data)
+            except IOError as ex:
+                self.writeCtaLog(u'写入网格文件{}异常:{}'.format(self.json_file_path, str(ex)))
 
+    def getJsonFilePath(self):
+        """
+        返回上下网格的文件路径
+        :return: 
+        """
+        return self.json_file_path