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This commit is contained in:
msincenselee 2017-06-11 20:36:13 +08:00
parent 2bb2f072f1
commit 46b3c96861
7 changed files with 20 additions and 118 deletions
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3
vn.trader/VT_setting.json
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@ -2,8 +2,9 @@
"fontFamily": "微软雅黑",
"fontSize": 12,
"mongoHost": "localhost",
"mongoHost": "mongodb://vnpy:vnpy@localhost",
"mongoPort": 27017,
"mongoLogging": true,
"darkStyle": true,
"language": "chinese"

1
vn.trader/ctaStrategy/TestLogs/README.md
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@ -1 +0,0 @@
存放回测日志

110
vn.trader/ctaStrategy/ctaHistoryData.py
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@ -16,9 +16,12 @@ from collections import OrderedDict
import pandas as pd
from ctaBase import *
from datayesClient import DatayesClient
sys.path.append('..')
from vtConstant import *
from vtFunction import loadMongoSetting
from datayesClient import DatayesClient
# 以下为vn.trader和通联数据规定的交易所代码映射
@ -353,107 +356,6 @@ def loadMcCsv(fileName, dbName, symbol):
print u'插入完毕，耗时：%s' % (time()-start)
def load_ticks_from_file(file_name,symbol,trading_day):
"""从csv tick文件中UnicodeDictReader读取tick
file_name,文件全路径
symbol，合约代码，RB01, RBMI 等
trading_day,交易日字符串
"""
# 先读取数据到Dict，以日期时间为key
ticks = OrderedDict()
if not os.path.isfile(file_name):
print u'{0}文件不存在'.format(file_name)
return ticks
dt = None
csvReadFile = file(file_name, 'rb')
start_time = time.clock()
df = pd.read_csv(file_name, encoding='gbk', parse_dates=False)
df.columns = ['date', 'time', 'lastPrice', 'lastVolume', 'totalInterest', 'position',
'bidPrice1', 'bidVolume1', 'bidPrice2', 'bidVolume2', 'bidPrice3', 'bidVolume3',
'askPrice1', 'askVolume1', 'askPrice2', 'askVolume2', 'askPrice3', 'askVolume3', 'BS']
readed_ticks = len(df)
for i in range(0, len(df)):
# 日期, 时间, 成交价, 成交量, 总量, 属性(持仓增减), B1价, B1量, B2价, B2量, B3价, B3量, S1价, S1量, S2价, S2量, S3价, S3量, BS
# 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18
row = df.iloc[i].to_dict()
tick = CtaTickData()
tick.vtSymbol = symbol
tick.symbol = symbol
tick.date = row['date']
tick.tradingDay = trading_day
tick.time = row['time']
try:
tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
except Exception as ex:
print u'日期转换错误:{0},{1}:{2}'.format(tick.date + ' ' + tick.time, Exception, ex)
continue
tick.date = tick.datetime.strftime('%Y%m%d')
# 修正毫秒
if tick.datetime.replace(microsecond=0) == dt:
# 与上一个tick的时间（去除毫秒后）相同,修改为500毫秒
tick.datetime = tick.datetime.replace(microsecond=500)
tick.time = tick.datetime.strftime('%H:%M:%S.%f')
else:
tick.datetime = tick.datetime.replace(microsecond=0)
tick.time = tick.datetime.strftime('%H:%M:%S.%f')
dt = tick.datetime
tick.lastPrice = float(row['lastPrice'])
tick.volume = int(float(row['lastVolume']))
tick.bidPrice1 = float(row['bidPrice1']) # 叫买价（价格低）
tick.bidVolume1 = int(float(row['bidVolume1']))
tick.askPrice1 = float(row['askPrice1']) # 叫卖价（价格高）
tick.askVolume1 = int(float(row['askVolume1']))
# 排除涨停/跌停的数据
if (tick.bidPrice1 == float('1.79769E308') and tick.bidVolume1 == 0) :
tick.bidPrice1 = 0
if (tick.askPrice1 == float('1.79769E308') and tick.askVolume1 == 0):
tick.askPrice1 = 0
dtStr = tick.date + ' ' + tick.time
if dtStr not in ticks:
ticks[dtStr] = tick
if len(ticks)!= readed_ticks:
print u'分析tick对象数量{0}与读取数据数量{1}不一致'.format(len(ticks),readed_ticks)
print u'读取{0},共加载{1}条数据，耗时:{2}seconds}'.format(file_name, readed_ticks, str(time.clock()-start_time))
return ticks
def impot_ticks_from_folder(folder_path):
for dirpath, _, file_names in os.walk(folder_path):
for file_name in file_names:
file_path = os.path.join(dirpath, file_name)
if file_name.lower().find('.csv') != -1:
s = file_name.replace('.csv', '').split('_')
if len(s)!=2:
print u'{0} not match format'.format(file_path)
continue
symbol = s[0]
trading_day = s[1]
if len(trading_day)!=8:
print u'{0} trading_day not match format'.format(file_path)
continue
ticks = load_ticks_from_file(file_name=file_path,symbol=symbol,trading_day=trading_day)
print ('finish.')
if __name__ == '__main__':
## 简单的测试脚本可以写在这里
#from time import sleep
@ -462,7 +364,5 @@ if __name__ == '__main__':
#e.downloadEquityDailyBar('000001')
# 这里将项目中包含的股指日内分钟线csv导入MongoDB，作者电脑耗时大约3分钟
#loadMcCsv('IF0000_1min.csv', MINUTE_DB_NAME, 'IF0000')
loadMcCsv('IF0000_1min.csv', MINUTE_DB_NAME, 'IF0000')
csv_ticks_folder_path = '/home/ubuntu/Ticks/SQ/2017'
impot_ticks_from_folder()

0
vn.trader/ctaStrategy/research/__init__.py
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1
vn.trader/logs/README.md
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@ -1 +0,0 @@
存放运行日志

13
vn.trader/noUiMain.py
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@ -37,6 +37,7 @@ class NoUiMain(object):
self.strategies = [u'S28_HCRB']
self.g_count = 0
self.disconnect_signal = 0
self.last_dt = datetime.now()
@ -94,18 +95,20 @@ class NoUiMain(object):
self.mainEngine.writeLog(u'重新连接{0}'.format(self.gateway_name))
self.mainEngine.connect(self.gateway_name)
self.connected = True
self.disconnect_signal = 0
return
else:
if not self.mainEngine.checkGatewayStatus(self.gateway_name):
self.disconnect_signal += 1
if self.disconnect_signal >= 5:
self.mainEngine.writeLog(u'检查连接{0}异常，重新启动连接'.format(self.gateway_name))
self.mainEngine.writeLog(u'断开连接{0}'.format(self.gateway_name))
self.disconnect()
self.mainEngine.clearData()
self.connected = False
#self.mainEngine.writeLog(u'清空数据引擎')
#self.mainEngine.clearData()
#self.mainEngine.writeLog(u'重新连接{0}'.format(self.gateway_name))
#self.mainEngine.connect(self.gateway_name)
#self.connected = True
else:
self.disconnect_signal = 0
#
def Start(self):
"""启动"""

2
vn.trader/vtEngine.py
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@ -54,7 +54,7 @@ class MainEngine(object):
self.gatewayDict = OrderedDict()
# 初始化的接口模块，以及其指定的名称,CTP是模块，value，是该模块下的多个连接配置文件,如 CTP_JR_connect.json
init_gateway_names = {'CTP': ['CTP', 'CTP_Prod', 'CTP_Post', 'CTP_EBF', 'CTP_JR']}
init_gateway_names = {'CTP': ['CTP', 'CTP_Prod', 'CTP_Post', 'CTP_EBF', 'CTP_JR', 'CTP_JR2']}
# 遍历接口字典并自动创建所有的接口对象
for gatewayModule in GATEWAY_DICT.values():