From 50f1524c1259ee351a53666b9862d1710b1e12b1 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Thu, 6 Dec 2018 13:00:19 +0800 Subject: [PATCH] =?UTF-8?q?[Add]CTA=E7=AD=96=E7=95=A5=E5=AE=9E=E7=9B=98?= =?UTF-8?q?=E4=BA=A4=E6=98=93=E5=BC=95=E6=93=8E=E5=8A=A0=E5=85=A5=E5=AF=B9?= =?UTF-8?q?RQData=E7=9A=84=E6=95=B0=E6=8D=AE=E6=94=AF=E6=8C=81?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/VnTrader/CTA_setting.json | 6 +- examples/VnTrader/VT_setting.json | 5 +- vnpy/trader/VT_setting.json | 5 +- vnpy/trader/app/ctaStrategy/ctaEngine.py | 77 +++++++++++++++++++++++- vnpy/trader/vtEngine.py | 5 +- 5 files changed, 91 insertions(+), 7 deletions(-) diff --git a/examples/VnTrader/CTA_setting.json b/examples/VnTrader/CTA_setting.json index c1d08f4a..37bbd46d 100644 --- a/examples/VnTrader/CTA_setting.json +++ b/examples/VnTrader/CTA_setting.json @@ -2,18 +2,18 @@ { "name": "double ema", "className": "DoubleMaStrategy", - "vtSymbol": "rb1805" + "vtSymbol": "rb1905" }, { "name": "atr rsi", "className": "AtrRsiStrategy", - "vtSymbol": "IC1802" + "vtSymbol": "IC1901" }, { "name": "king keltner", "className": "KkStrategy", - "vtSymbol": "IH1802" + "vtSymbol": "IH1901" } ] \ No newline at end of file diff --git a/examples/VnTrader/VT_setting.json b/examples/VnTrader/VT_setting.json index 473017fb..01cefad2 100644 --- a/examples/VnTrader/VT_setting.json +++ b/examples/VnTrader/VT_setting.json @@ -16,5 +16,8 @@ "tdPenalty": ["IF", "IH", "IC"], - "maxDecimal": 4 + "maxDecimal": 4, + + "rqUsername": "", + "rqPassword": "" } \ No newline at end of file diff --git a/vnpy/trader/VT_setting.json b/vnpy/trader/VT_setting.json index 473017fb..01cefad2 100644 --- a/vnpy/trader/VT_setting.json +++ b/vnpy/trader/VT_setting.json @@ -16,5 +16,8 @@ "tdPenalty": ["IF", "IH", "IC"], - "maxDecimal": 4 + "maxDecimal": 4, + + "rqUsername": "", + "rqPassword": "" } \ No newline at end of file diff --git a/vnpy/trader/app/ctaStrategy/ctaEngine.py b/vnpy/trader/app/ctaStrategy/ctaEngine.py index a45e1db2..0991d41b 100644 --- a/vnpy/trader/app/ctaStrategy/ctaEngine.py +++ b/vnpy/trader/app/ctaStrategy/ctaEngine.py @@ -20,6 +20,7 @@ from vnpy.trader.vtObject import VtTickData, VtBarData from vnpy.trader.vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData from vnpy.trader.vtFunction import todayDate, getJsonPath from vnpy.trader.app import AppEngine +from vnpy.trader.vtGlobal import globalSetting from .ctaBase import * from .strategy import STRATEGY_CLASS @@ -74,6 +75,15 @@ class CtaEngine(AppEngine): # 引擎类型为实盘 self.engineType = ENGINETYPE_TRADING + # RQData数据服务 + self.rq = None + + # RQData能获取的合约代码列表 + self.rqSymbolSet = set() + + # 初始化RQData服务 + self.initRqData() + # 注册日式事件类型 self.mainEngine.registerLogEvent(EVENT_CTA_LOG) @@ -343,6 +353,12 @@ class CtaEngine(AppEngine): #---------------------------------------------------------------------- def loadBar(self, dbName, collectionName, days): """从数据库中读取Bar数据，startDate是datetime对象""" + # 优先尝试从RQData获取数据 + if dbName == MINUTE_DB_NAME and collectionName.upper() in self.rqSymbolSet: + l = self.loadRqBar(collectionName, days) + return l + + # 如果没有则从数据库中读取数据 startDate = self.today - timedelta(days) d = {'datetime':{'$gte':startDate}} @@ -663,4 +679,63 @@ class CtaEngine(AppEngine): return contract.priceTick return 0 - \ No newline at end of file + #---------------------------------------------------------------------- + def initRqData(self): + """初始化RQData客户端""" + # 检查是否填写了RQData配置 + username = globalSetting.get('rqUsername') + password = globalSetting.get('rqPassword') + if not username or not password: + print globalSetting + return + + # 加载RQData + try: + import rqdatac as rq + except ImportError: + print 'import fail' + return + + # 登录RQData + self.rq = rq + self.rq.init(username, password) + + # 获取本日可交易合约代码 + try: + df = self.rq.all_instruments(type='Future', date=datetime.now()) + for ix, row in df.iterrows(): + self.rqSymbolSet.add(row['order_book_id']) + except RuntimeError: + print 'download fail' + pass + + #---------------------------------------------------------------------- + def loadRqBar(self, symbol, days): + """从RQData加载K线数据""" + endDate = datetime.now() + startDate = endDate - timedelta(days) + + df = self.rq.get_price(symbol.upper(), + frequency='1m', + fields=['open', 'high', 'low', 'close', 'volume'], + start_date=startDate, + end_date=endDate) + + l = [] + + for ix, row in df.iterrows(): + bar = VtBarData() + bar.symbol = symbol + bar.vtSymbol = symbol + bar.open = row['open'] + bar.high = row['high'] + bar.low = row['low'] + bar.close = row['close'] + bar.volume = row['volume'] + bar.datetime = row.name + bar.date = bar.datetime.strftime("%Y%m%d") + bar.time = bar.datetime.strftime("%H:%M:%S") + + l.append(bar) + + return l \ No newline at end of file diff --git a/vnpy/trader/vtEngine.py b/vnpy/trader/vtEngine.py index ee683840..f824957c 100644 --- a/vnpy/trader/vtEngine.py +++ b/vnpy/trader/vtEngine.py @@ -113,6 +113,8 @@ class MainEngine(object): if gateway: gateway.connect() + + self.dbConnect() #---------------------------------------------------------------------- def subscribe(self, subscribeReq, gatewayName): @@ -196,7 +198,7 @@ class MainEngine(object): # 读取MongoDB的设置 try: # 设置MongoDB操作的超时时间为0.5秒 - self.dbClient = MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'], connectTimeoutMS=500) + self.dbClient = MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'], serverSelectionTimeoutMS=500) # 调用server_info查询服务器状态，防止服务器异常并未连接成功 self.dbClient.server_info() @@ -208,6 +210,7 @@ class MainEngine(object): self.eventEngine.register(EVENT_LOG, self.dbLogging) except ConnectionFailure: + self.dbClient = None self.writeLog(text.DATABASE_CONNECTING_FAILED) #----------------------------------------------------------------------