[Add] added support for mongodb

[Add] added tests for database and CsvLoaderEngine
[Mod] changed .travis.yaml

.travis.yml

@@ -1,13 +1,19 @@
 language: python
 
+cache: pip
+
 dist: xenial  # required for Python >= 3.7 (travis-ci/travis-ci#9069)
 
 python:
   - "3.7"
+services:
+  - mongodb
+  - mysql
+  - postgresql
 
 script:
   # todo: use python unittest
-  - mkdir run; cd run; python ../tests/load_all.py
+  - cd tests; source travis_env.sh; python test_all.py
 
 matrix:
   include:

tests/app/__init__.py

@@ -0,0 +1 @@
+from .test_csv_loader import *

tests/test_all.py

@@ -0,0 +1,20 @@
+# tests/runner.py
+import unittest
+
+# import your test modules
+import test_import_all
+import trader
+import app
+
+# initialize the test suite
+loader = unittest.TestLoader()
+suite = unittest.TestSuite()
+
+# add tests to the test suite
+suite.addTests(loader.loadTestsFromModule(test_import_all))
+suite.addTests(loader.loadTestsFromModule(trader))
+suite.addTests(loader.loadTestsFromModule(app))
+
+# initialize a runner, pass it your suite and run it
+runner = unittest.TextTestRunner(verbosity=3)
+result = runner.run(suite)

tests/test_import_all.py

@@ -2,23 +2,41 @@
 import unittest
 
 
+# noinspection PyUnresolvedReferences
 class ImportTest(unittest.TestCase):
 
     # noinspection PyUnresolvedReferences
     def test_import_all(self):
         from vnpy.event import EventEngine
 
+    def test_import_main_engine(self):
         from vnpy.trader.engine import MainEngine
+
+    def test_import_ui(self):
         from vnpy.trader.ui import MainWindow, create_qapp
 
+    def test_import_bitmex_gateway(self):
         from vnpy.gateway.bitmex import BitmexGateway
+
+    def test_import_futu_gateway(self):
         from vnpy.gateway.futu import FutuGateway
+
+    def test_import_ib_gateway(self):
         from vnpy.gateway.ib import IbGateway
+
+    def test_import_ctp_gateway(self):
         from vnpy.gateway.ctp import CtpGateway
+
+    def test_import_tiger_gateway(self):
         from vnpy.gateway.tiger import TigerGateway
+
+    def test_import_oes_gateway(self):
         from vnpy.gateway.oes import OesGateway
 
+    def test_import_cta_strategy_app(self):
         from vnpy.app.cta_strategy import CtaStrategyApp
+
+    def test_import_csv_loader_app(self):
         from vnpy.app.csv_loader import CsvLoaderApp
 
 

tests/trader/__init__.py

@@ -0,0 +1,2 @@
+from .test_database import *
+from .test_settings import *

tests/trader/test_database.py

@@ -0,0 +1,125 @@
+"""
+Test if database works fine
+"""
+import os
+import unittest
+from datetime import datetime, timedelta
+
+from vnpy.trader.constant import Exchange, Interval
+from vnpy.trader.database.database import Driver
+from vnpy.trader.object import BarData, TickData
+
+os.environ['VNPY_TESTING'] = '1'
+
+profiles = {
+    Driver.SQLITE: {
+        "driver": "sqlite",
+        "database": "test_db.db",
+    },
+    Driver.MYSQL: {
+        "driver": "mysql",
+        "database": os.environ['VNPY_TEST_MYSQL_DATABASE'],
+        "host": os.environ['VNPY_TEST_MYSQL_HOST'],
+        "port": int(os.environ['VNPY_TEST_MYSQL_PORT']),
+        "user": os.environ["VNPY_TEST_MYSQL_USER"],
+        "password": os.environ['VNPY_TEST_MYSQL_PASSWORD'],
+    },
+    Driver.POSTGRESQL: {
+        "driver": "postgresql",
+        "database": os.environ['VNPY_TEST_POSTGRESQL_DATABASE'],
+        "host": os.environ['VNPY_TEST_POSTGRESQL_HOST'],
+        "port": int(os.environ['VNPY_TEST_POSTGRESQL_PORT']),
+        "user": os.environ["VNPY_TEST_POSTGRESQL_USER"],
+        "password": os.environ['VNPY_TEST_POSTGRESQL_PASSWORD'],
+    },
+    Driver.MONGODB: {
+        "driver": "mongodb",
+        "database": os.environ['VNPY_TEST_MONGODB_DATABASE'],
+        "host": os.environ['VNPY_TEST_MONGODB_HOST'],
+        "port": int(os.environ['VNPY_TEST_MONGODB_PORT']),
+        "user": "",
+        "password": "",
+        "authentication_source": "",
+    },
+}
+
+
+def now():
+    return datetime.utcnow()
+
+
+bar = BarData(
+    gateway_name="DB",
+    symbol="test_symbol",
+    exchange=Exchange.BITMEX,
+    datetime=now(),
+    interval=Interval.MINUTE,
+)
+
+tick = TickData(
+    gateway_name="DB",
+    symbol="test_symbol",
+    exchange=Exchange.BITMEX,
+    datetime=now(),
+    name="DB_test_symbol",
+)
+
+
+class TestDatabase(unittest.TestCase):
+
+    def connect(self, settings: dict):
+        from vnpy.trader.database.initialize import init  # noqa
+        self.manager = init(settings)
+
+    def test_upsert_bar(self):
+        for driver, settings in profiles.items():
+            with self.subTest(driver=driver, settings=settings):
+                self.connect(settings)
+                self.manager.save_bar_data([bar])
+                self.manager.save_bar_data([bar])
+
+    def test_save_load_bar(self):
+        for driver, settings in profiles.items():
+            with self.subTest(driver=driver, settings=settings):
+                self.connect(settings)
+                # save first
+                self.manager.save_bar_data([bar])
+
+                # and load
+                results = self.manager.load_bar_data(
+                    symbol=bar.symbol,
+                    exchange=bar.exchange,
+                    interval=bar.interval,
+                    start=bar.datetime - timedelta(seconds=1),  # time is not accuracy
+                    end=now() + timedelta(seconds=1),  # time is not accuracy
+                )
+                count = len(results)
+                self.assertNotEqual(count, 0)
+
+    def test_upsert_tick(self):
+        for driver, settings in profiles.items():
+            with self.subTest(driver=driver, settings=settings):
+                self.connect(settings)
+                self.manager.save_tick_data([tick])
+                self.manager.save_tick_data([tick])
+
+    def test_save_load_tick(self):
+        for driver, settings in profiles.items():
+            with self.subTest(driver=driver, settings=settings):
+                self.connect(settings)
+                # save first
+                self.manager.save_tick_data([tick])
+
+                # and load
+                results = self.manager.load_tick_data(
+                    symbol=bar.symbol,
+                    exchange=bar.exchange,
+                    start=bar.datetime - timedelta(seconds=1),  # time is not accuracy
+                    end=now() + timedelta(seconds=1),  # time is not accuracy
+                )
+                count = len(results)
+                self.assertNotEqual(count, 0)
+
+
+if __name__ == '__main__':
+    unittest.main()

tests/trader/test_settings.py

@@ -0,0 +1,24 @@
+"""
+Test if database works fine
+"""
+import unittest
+from vnpy.trader.setting import SETTINGS, get_settings
+
+
+class TestSettings(unittest.TestCase):
+
+    def test_get_settings(self):
+        SETTINGS['a'] = 1
+        got = get_settings()
+        self.assertIn('a', got)
+        self.assertEqual(got['a'], 1)
+
+    def test_get_settings_with_prefix(self):
+        SETTINGS['a.a'] = 1
+        got = get_settings()
+        self.assertIn('a', got)
+        self.assertEqual(got['a'], 1)
+
+
+if __name__ == '__main__':
+    unittest.main()

tests/travis_env.sh

@@ -0,0 +1,16 @@
+#!/usr/bin/env bash
+
+export VNPY_TEST_MYSQL_DATABASE=vnpy
+export VNPY_TEST_MYSQL_HOST=127.0.0.1
+export VNPY_TEST_MYSQL_PORT=3306
+export VNPY_TEST_MYSQL_USER=root
+export VNPY_TEST_MYSQL_PASSWORD=
+export VNPY_TEST_POSTGRESQL_DATABASE=vnpy
+export VNPY_TEST_POSTGRESQL_HOST=127.0.0.1
+export VNPY_TEST_POSTGRESQL_PORT=5432
+export VNPY_TEST_POSTGRESQL_USER=postgres
+export VNPY_TEST_POSTGRESQL_PASSWORD=
+export VNPY_TEST_MONGODB_DATABASE=vnpy
+export VNPY_TEST_MONGODB_HOST=127.0.0.1
+export VNPY_TEST_MONGODB_PORT=27017
+

vnpy/app/csv_loader/engine.py

@@ -26,8 +26,9 @@ from typing import TextIO
 
 from vnpy.event import EventEngine
 from vnpy.trader.constant import Exchange, Interval
-from vnpy.trader.database import DbBarData
+from vnpy.trader.database import database_manager
 from vnpy.trader.engine import BaseEngine, MainEngine
+from vnpy.trader.object import BarData
 
 APP_NAME = "CsvLoader"
 
@@ -70,7 +71,7 @@ class CsvLoaderEngine(BaseEngine):
         """
         reader = csv.DictReader(f)
 
-        db_bars = []
+        bars = []
         start = None
         count = 0
         for item in reader:
@@ -79,29 +80,29 @@ class CsvLoaderEngine(BaseEngine):
             else:
                 dt = datetime.fromisoformat(item[datetime_head])
 
-            db_bar = DbBarData(
+            bar = BarData(
                 symbol=symbol,
-                exchange=exchange.value,
+                exchange=exchange,
                 datetime=dt,
-                interval=interval.value,
+                interval=interval,
                 volume=item[volume_head],
                 open_price=item[open_head],
                 high_price=item[high_head],
                 low_price=item[low_head],
                 close_price=item[close_head],
+                gateway_name="DB",
             )
 
-            db_bars.append(db_bar)
+            bars.append(bar)
 
             # do some statistics
             count += 1
             if not start:
-                start = db_bar.datetime
+                start = bar.datetime
-        end = db_bar.datetime
+        end = bar.datetime
 
         # insert into database
-        DbBarData.save_all(db_bars)
+        database_manager.save_bar_data(bars)
-
         return start, end, count
 
     def load(

vnpy/app/cta_strategy/backtesting.py

@@ -12,9 +12,9 @@ from pandas import DataFrame
 
 from vnpy.trader.constant import (Direction, Offset, Exchange, 
                                   Interval, Status)
-from vnpy.trader.database import DbBarData, DbTickData
+from vnpy.trader.database import database_manager
-from vnpy.trader.object import OrderData, TradeData
+from vnpy.trader.object import OrderData, TradeData, BarData, TickData
-from vnpy.trader.utility import round_to_pricetick
+from vnpy.trader.utility import round_to_pricetick, extract_vt_symbol
 
 from .base import (
     BacktestingMode,
@@ -103,8 +103,8 @@ class BacktestingEngine:
 
         self.strategy_class = None
         self.strategy = None
-        self.tick = None
+        self.tick: TickData
-        self.bar = None
+        self.bar: BarData
         self.datetime = None
 
         self.interval = None
@@ -199,14 +199,16 @@ class BacktestingEngine:
 
         if self.mode == BacktestingMode.BAR:
             self.history_data = load_bar_data(
-                self.vt_symbol,
+                self.symbol,
+                self.exchange,
                 self.interval,
                 self.start,
                 self.end
             )
         else:
             self.history_data = load_tick_data(
-                self.vt_symbol,
+                self.symbol,
+                self.exchange,
                 self.start,
                 self.end
             )
@@ -519,7 +521,7 @@ class BacktestingEngine:
         else:
             self.daily_results[d] = DailyResult(d, price)
 
-    def new_bar(self, bar: DbBarData):
+    def new_bar(self, bar: BarData):
         """"""
         self.bar = bar
         self.datetime = bar.datetime
@@ -530,7 +532,7 @@ class BacktestingEngine:
 
         self.update_daily_close(bar.close_price)
 
-    def new_tick(self, tick: DbTickData):
+    def new_tick(self, tick: TickData):
         """"""
         self.tick = tick
         self.datetime = tick.datetime
@@ -965,41 +967,27 @@ def optimize(
 
 @lru_cache(maxsize=10)
 def load_bar_data(
-    vt_symbol: str, 
+    symbol: str,
-    interval: str, 
+    exchange: Exchange,
+    interval: Interval,
     start: datetime,
     end: datetime
 ):
     """"""
-    s = (
+    return database_manager.load_bar_data(
-        DbBarData.select()
+        symbol, exchange, interval, start, end
-        .where(
-            (DbBarData.vt_symbol == vt_symbol) 
-            & (DbBarData.interval == interval) 
-            & (DbBarData.datetime >= start) 
-            & (DbBarData.datetime <= end)
     )
-        .order_by(DbBarData.datetime)
-    )
-    data = [db_bar.to_bar() for db_bar in s]
-    return data
 
 
 @lru_cache(maxsize=10)
 def load_tick_data(
-    vt_symbol: str, 
+    symbol: str,
+    exchange: Exchange,
     start: datetime,
     end: datetime
 ):
     """"""
-    s = (
+    return database_manager.load_tick_data(
-        DbTickData.select()
+        symbol, exchange, start, end
-        .where(
-            (DbTickData.vt_symbol == vt_symbol) 
-            & (DbTickData.datetime >= start) 
-            & (DbTickData.datetime <= end)
     )
-        .order_by(DbTickData.datetime)
+
-    )
-    data = [db_tick.db_tick() for db_tick in s]
-    return data

vnpy/app/cta_strategy/engine.py

@@ -5,7 +5,7 @@ import os
 import traceback
 from collections import defaultdict
 from pathlib import Path
-from typing import Any, Callable
+from typing import Any, Callable, List
 from datetime import datetime, timedelta
 from threading import Thread
 from queue import Queue
@@ -36,7 +36,7 @@ from vnpy.trader.constant import (
     Status
 )
 from vnpy.trader.utility import load_json, save_json
-from vnpy.trader.database import DbTickData, DbBarData
+from vnpy.trader.database import database_manager
 from vnpy.trader.setting import SETTINGS
 
 from .base import (
@@ -146,13 +146,12 @@ class CtaEngine(BaseEngine):
         self.write_log("RQData数据接口初始化成功")
 
     def query_bar_from_rq(
-        self, vt_symbol: str, interval: Interval, start: datetime, end: datetime
+        self, symbol: str, exchange: Exchange, interval: Interval, start: datetime, end: datetime
     ):
         """
         Query bar data from RQData.
         """
-        symbol, exchange_str = vt_symbol.split(".")
+        rq_symbol = to_rq_symbol(symbol, exchange)
-        rq_symbol = to_rq_symbol(vt_symbol)
         if rq_symbol not in self.rq_symbols:
             return None
         
@@ -166,11 +165,11 @@ class CtaEngine(BaseEngine):
             end_date=end
         )
 
-        data = []
+        data: List[BarData] = []
         for ix, row in df.iterrows():
             bar = BarData(
                 symbol=symbol,
-                exchange=Exchange(exchange_str),
+                exchange=exchange,
                 interval=interval,
                 datetime=row.name.to_pydatetime(),
                 open_price=row["open"],
@@ -529,46 +528,41 @@ class CtaEngine(BaseEngine):
         return self.engine_type
 
     def load_bar(
-        self, vt_symbol: str, days: int, interval: Interval, callback: Callable
+        self, symbol: str, exchange: Exchange, days: int, interval: Interval,
+        callback: Callable[[BarData], None]
     ):
         """"""
         end = datetime.now()
         start = end - timedelta(days)
 
-        # Query data from RQData by default, if not found, load from database.
+        # Query bars from RQData by default, if not found, load from database.
-        data = self.query_bar_from_rq(vt_symbol, interval, start, end)
+        bars = self.query_bar_from_rq(symbol, exchange, interval, start, end)
-        if not data:
+        if not bars:
-            s = (
+            bars = database_manager.load_bar_data(
-                DbBarData.select()
+                symbol=symbol,
-                .where(
+                exchange=exchange,
-                    (DbBarData.vt_symbol == vt_symbol)
+                interval=interval,
-                    & (DbBarData.interval == interval.value)
+                start=start,
-                    & (DbBarData.datetime >= start)
+                end=end,
-                    & (DbBarData.datetime <= end)
             )
-                .order_by(DbBarData.datetime)
-            )
-            data = [db_bar.to_bar() for db_bar in s]
 
-        for bar in data:
+        for bar in bars:
             callback(bar)
 
-    def load_tick(self, vt_symbol: str, days: int, callback: Callable):
+    def load_tick(self, symbol: str, exchange: Exchange, days: int,
+                  callback: Callable[[TickData], None]):
         """"""
         end = datetime.now()
         start = end - timedelta(days)
 
-        s = (
+        ticks = database_manager.load_tick_data(
-            DbTickData.select()
+            symbol=symbol,
-            .where(
+            exchange=exchange,
-                (DbBarData.vt_symbol == vt_symbol)
+            start=start,
-                & (DbBarData.datetime >= start)
+            end=end,
-                & (DbBarData.datetime <= end)
-            )
-            .order_by(DbBarData.datetime)
         )
 
-        for tick in s:
+        for tick in ticks:
             callback(tick)
 
     def call_strategy_func(
@@ -757,7 +751,7 @@ class CtaEngine(BaseEngine):
         """
         Load strategy class from certain folder.
         """
-        for dirpath, dirnames, filenames in os.walk(path):
+        for dirpath, dirnames, filenames in os.walk(str(path)):
             for filename in filenames:
                 if filename.endswith(".py"):
                     strategy_module_name = ".".join(
@@ -914,19 +908,19 @@ class CtaEngine(BaseEngine):
         self.main_engine.send_email(subject, msg)
 
 
-def to_rq_symbol(vt_symbol: str):
+def to_rq_symbol(symbol: str, exchange: Exchange):
     """
     CZCE product of RQData has symbol like "TA1905" while
     vt symbol is "TA905.CZCE" so need to add "1" in symbol.
     """
-    symbol, exchange_str = vt_symbol.split(".")
+    if exchange is not Exchange.CZCE:
-    if exchange_str != "CZCE":
         return symbol.upper()
 
     for count, word in enumerate(symbol):
         if word.isdigit():
             break
 
+    # noinspection PyUnboundLocalVariable
     product = symbol[:count]
     year = symbol[count]
     month = symbol[count + 1:]

vnpy/trader/database/__init__.py

@@ -0,0 +1,12 @@
+import os
+from typing import TYPE_CHECKING
+
+if TYPE_CHECKING:
+    from vnpy.trader.database.database import BaseDatabaseManager
+
+if "VNPY_TESTING" not in os.environ:
+    from vnpy.trader.setting import get_settings
+    from .initialize import init
+
+    settings = get_settings("database.")
+    database_manager: "BaseDatabaseManager" = init(settings=settings)

vnpy/trader/database/database.py

@@ -0,0 +1,53 @@
+from abc import ABC, abstractmethod
+from datetime import datetime
+from enum import Enum
+from typing import Sequence, TYPE_CHECKING
+
+if TYPE_CHECKING:
+    from vnpy.trader.constant import Interval, Exchange
+    from vnpy.trader.object import BarData, TickData
+
+
+class Driver(Enum):
+    SQLITE = "sqlite"
+    MYSQL = "mysql"
+    POSTGRESQL = "postgresql"
+    MONGODB = "mongodb"
+
+
+class BaseDatabaseManager(ABC):
+
+    @abstractmethod
+    def load_bar_data(
+        self,
+        symbol: str,
+        exchange: "Exchange",
+        interval: "Interval",
+        start: datetime,
+        end: datetime
+    ) -> Sequence["BarData"]:
+        pass
+
+    @abstractmethod
+    def load_tick_data(
+        self,
+        symbol: str,
+        exchange: "Exchange",
+        start: datetime,
+        end: datetime
+    ) -> Sequence["TickData"]:
+        pass
+
+    @abstractmethod
+    def save_bar_data(
+        self,
+        datas: Sequence["BarData"],
+    ):
+        pass
+
+    @abstractmethod
+    def save_tick_data(
+        self,
+        datas: Sequence["TickData"],
+    ):
+        pass

vnpy/trader/database/database_mongo.py

@@ -1,99 +1,59 @@
-""""""
+from datetime import datetime
 from enum import Enum
-from typing import List
+from typing import Sequence
 
-from peewee import (
+from mongoengine import DateTimeField, Document, FloatField, StringField, connect
-    AutoField,
-    CharField,
-    Database,
-    DateTimeField,
-    FloatField,
-    Model,
-    MySQLDatabase,
-    PostgresqlDatabase,
-    SqliteDatabase,
-    chunked,
-)
 
-from .constant import Exchange, Interval
+from vnpy.trader.constant import Exchange, Interval
-from .object import BarData, TickData
+from vnpy.trader.object import BarData, TickData
-from .setting import SETTINGS
+from .database import BaseDatabaseManager, Driver
-from .utility import get_file_path
 
 
-class Driver(Enum):
+def init(_: Driver, settings: dict):
-    SQLITE = "sqlite"
-    MYSQL = "mysql"
-    POSTGRESQL = "postgresql"
-
-
-_db: Database
-_driver: Driver
-
-
-def init():
-    global _driver
-    db_settings = {k[9:]: v for k, v in SETTINGS.items() if k.startswith("database.")}
-    _driver = Driver(db_settings["driver"])
-
-    init_funcs = {
-        Driver.SQLITE: init_sqlite,
-        Driver.MYSQL: init_mysql,
-        Driver.POSTGRESQL: init_postgresql,
-    }
-
-    assert _driver in init_funcs
-    del db_settings["driver"]
-    return init_funcs[_driver](db_settings)
-
-
-def init_sqlite(settings: dict):
-    global _db
     database = settings["database"]
-
+    host = settings["host"]
-    _db = SqliteDatabase(str(get_file_path(database)))
+    port = settings["port"]
+    username = settings["user"]
+    password = settings["password"]
+    authentication_source = settings["authentication_source"]
+    if not username:  # if username == '' or None, skip username
+        username = None
+        password = None
+        authentication_source = None
+    connect(
+        db=database,
+        host=host,
+        port=port,
+        username=username,
+        password=password,
+        authentication_source=authentication_source,
+    )
+    return MongoManager()
 
 
-def init_mysql(settings: dict):
+class DbBarData(Document):
-    global _db
-    _db = MySQLDatabase(**settings)
-
-
-def init_postgresql(settings: dict):
-    global _db
-    _db = PostgresqlDatabase(**settings)
-
-
-init()
-
-
-class ModelBase(Model):
-    def to_dict(self):
-        return self.__data__
-
-
-class DbBarData(ModelBase):
     """
     Candlestick bar data for database storage.
 
     Index is defined unique with datetime, interval, symbol
     """
 
-    id = AutoField()
+    symbol: str = StringField()
-    symbol = CharField()
+    exchange: str = StringField()
-    exchange = CharField()
+    datetime: datetime = DateTimeField()
-    datetime = DateTimeField()
+    interval: str = StringField()
-    interval = CharField()
 
-    volume = FloatField()
+    volume: float = FloatField()
-    open_price = FloatField()
+    open_price: float = FloatField()
-    high_price = FloatField()
+    high_price: float = FloatField()
-    low_price = FloatField()
+    low_price: float = FloatField()
-    close_price = FloatField()
+    close_price: float = FloatField()
 
-    class Meta:
+    meta = {
-        database = _db
+        "indexes": [
-        indexes = ((("datetime", "interval", "symbol"), True),)
+            {"fields": ("datetime", "interval", "symbol", "exchange"), "unique": True}
+        ]
+    }
 
     @staticmethod
     def from_bar(bar: BarData):
@@ -132,80 +92,56 @@ class DbBarData(ModelBase):
         )
         return bar
 
-    @staticmethod
-    def save_all(objs: List["DbBarData"]):
-        """
-        save a list of objects, update if exists.
-        """
-        with _db.atomic():
-            if _driver is Driver.POSTGRESQL:
-                for bar in objs:
-                    DbBarData.insert(bar.to_dict()).on_conflict(
-                        update=bar.to_dict(),
-                        conflict_target=(
-                            DbBarData.datetime,
-                            DbBarData.interval,
-                            DbBarData.symbol,
-                        ),
-                    ).execute()
-            else:
-                for c in chunked(objs, 50):
-                    DbBarData.insert_many(c).on_conflict_replace()
 
-
+class DbTickData(Document):
-class DbTickData(ModelBase):
     """
     Tick data for database storage.
 
     Index is defined unique with (datetime, symbol)
     """
 
-    id = AutoField()
+    symbol: str = StringField()
+    exchange: str = StringField()
+    datetime: datetime = DateTimeField()
 
-    symbol = CharField()
+    name: str = StringField()
-    exchange = CharField()
+    volume: float = FloatField()
-    datetime = DateTimeField()
+    last_price: float = FloatField()
+    last_volume: float = FloatField()
+    limit_up: float = FloatField()
+    limit_down: float = FloatField()
 
-    name = CharField()
+    open_price: float = FloatField()
-    volume = FloatField()
+    high_price: float = FloatField()
-    last_price = FloatField()
+    low_price: float = FloatField()
-    last_volume = FloatField()
+    close_price: float = FloatField()
-    limit_up = FloatField()
+    pre_close: float = FloatField()
-    limit_down = FloatField()
 
-    open_price = FloatField()
+    bid_price_1: float = FloatField()
-    high_price = FloatField()
+    bid_price_2: float = FloatField()
-    low_price = FloatField()
+    bid_price_3: float = FloatField()
-    close_price = FloatField()
+    bid_price_4: float = FloatField()
-    pre_close = FloatField()
+    bid_price_5: float = FloatField()
 
-    bid_price_1 = FloatField()
+    ask_price_1: float = FloatField()
-    bid_price_2 = FloatField()
+    ask_price_2: float = FloatField()
-    bid_price_3 = FloatField()
+    ask_price_3: float = FloatField()
-    bid_price_4 = FloatField()
+    ask_price_4: float = FloatField()
-    bid_price_5 = FloatField()
+    ask_price_5: float = FloatField()
 
-    ask_price_1 = FloatField()
+    bid_volume_1: float = FloatField()
-    ask_price_2 = FloatField()
+    bid_volume_2: float = FloatField()
-    ask_price_3 = FloatField()
+    bid_volume_3: float = FloatField()
-    ask_price_4 = FloatField()
+    bid_volume_4: float = FloatField()
-    ask_price_5 = FloatField()
+    bid_volume_5: float = FloatField()
 
-    bid_volume_1 = FloatField()
+    ask_volume_1: float = FloatField()
-    bid_volume_2 = FloatField()
+    ask_volume_2: float = FloatField()
-    bid_volume_3 = FloatField()
+    ask_volume_3: float = FloatField()
-    bid_volume_4 = FloatField()
+    ask_volume_4: float = FloatField()
-    bid_volume_5 = FloatField()
+    ask_volume_5: float = FloatField()
 
-    ask_volume_1 = FloatField()
+    meta = {"indexes": [{"fields": ("datetime", "symbol", "exchange"), "unique": True}]}
-    ask_volume_2 = FloatField()
-    ask_volume_3 = FloatField()
-    ask_volume_4 = FloatField()
-    ask_volume_5 = FloatField()
-
-    class Meta:
-        database = _db
-        indexes = ((("datetime", "symbol"), True),)
 
     @staticmethod
     def from_tick(tick: TickData):
@@ -254,7 +190,7 @@ class DbTickData(ModelBase):
             db_tick.ask_volume_4 = tick.ask_volume_4
             db_tick.ask_volume_5 = tick.ask_volume_5
 
-        return tick
+        return db_tick
 
     def to_tick(self):
         """
@@ -304,20 +240,63 @@ class DbTickData(ModelBase):
 
         return tick
 
+
+class MongoManager(BaseDatabaseManager):
+    def load_bar_data(
+        self,
+        symbol: str,
+        exchange: Exchange,
+        interval: Interval,
+        start: datetime,
+        end: datetime,
+    ) -> Sequence[BarData]:
+        s = DbBarData.objects(
+            symbol=symbol,
+            exchange=exchange.value,
+            interval=interval.value,
+            datetime__gte=start,
+            datetime__lte=end,
+        )
+        data = [db_bar.to_bar() for db_bar in s]
+        return data
+
+    def load_tick_data(
+        self, symbol: str, exchange: Exchange, start: datetime, end: datetime
+    ) -> Sequence[TickData]:
+        s = DbTickData.objects(
+            symbol=symbol,
+            exchange=exchange.value,
+            datetime__gte=start,
+            datetime__lte=end,
+        )
+        data = [db_tick.to_tick() for db_tick in s]
+        return data
+
     @staticmethod
-    def save_all(objs: List["DbTickData"]):
+    def to_update_param(d):
-        with _db.atomic():
+        return {
-            if _driver is Driver.POSTGRESQL:
+            "set__" + k: v.value if isinstance(v, Enum) else v
-                for bar in objs:
+            for k, v in d.__dict__.items()
-                    DbTickData.insert(bar.to_dict()).on_conflict(
+        }
-                        update=bar.to_dict(),
-                        preserve=(DbTickData.id),
-                        conflict_target=(DbTickData.datetime, DbTickData.symbol),
-                    ).execute()
-            else:
-                for c in chunked(objs, 50):
-                    DbBarData.insert_many(c).on_conflict_replace()
 
+    def save_bar_data(self, datas: Sequence[BarData]):
+        for d in datas:
+            updates = self.to_update_param(d)
+            updates.pop("set__gateway_name")
+            updates.pop("set__vt_symbol")
+            (
+                DbBarData.objects(
+                    symbol=d.symbol, interval=d.interval.value, datetime=d.datetime
+                ).update_one(upsert=True, **updates)
+            )
 
-_db.connect()
+    def save_tick_data(self, datas: Sequence[TickData]):
-_db.create_tables([DbBarData, DbTickData])
+        for d in datas:
+            updates = self.to_update_param(d)
+            updates.pop("set__gateway_name")
+            updates.pop("set__vt_symbol")
+            (
+                DbTickData.objects(
+                    symbol=d.symbol, exchange=d.exchange.value, datetime=d.datetime
+                ).update_one(upsert=True, **updates)
+            )

vnpy/trader/database/database_sql.py

@@ -0,0 +1,370 @@
+""""""
+from datetime import datetime
+from typing import List, Sequence, Type
+
+from peewee import (
+    AutoField,
+    CharField,
+    Database,
+    DateTimeField,
+    FloatField,
+    Model,
+    MySQLDatabase,
+    PostgresqlDatabase,
+    SqliteDatabase,
+    chunked,
+)
+
+from vnpy.trader.constant import Exchange, Interval
+from vnpy.trader.object import BarData, TickData
+from vnpy.trader.utility import get_file_path
+from .database import BaseDatabaseManager, Driver
+
+
+def init(driver: Driver, settings: dict):
+    init_funcs = {
+        Driver.SQLITE: init_sqlite,
+        Driver.MYSQL: init_mysql,
+        Driver.POSTGRESQL: init_postgresql,
+    }
+    assert driver in init_funcs
+
+    db = init_funcs[driver](settings)
+    bar, tick = init_models(db, driver)
+    return SqlManager(bar, tick)
+
+
+def init_sqlite(settings: dict):
+    database = settings["database"]
+    path = str(get_file_path(database))
+    db = SqliteDatabase(path)
+    return db
+
+
+def init_mysql(settings: dict):
+    keys = {"database", "user", "password", "host", "port"}
+    settings = {k: v for k, v in settings.items() if k in keys}
+    db = MySQLDatabase(**settings)
+    return db
+
+
+def init_postgresql(settings: dict):
+    keys = {"database", "user", "password", "host", "port"}
+    settings = {k: v for k, v in settings.items() if k in keys}
+    db = PostgresqlDatabase(**settings)
+    return db
+
+
+class ModelBase(Model):
+
+    def to_dict(self):
+        return self.__data__
+
+
+def init_models(db: Database, driver: Driver):
+    class DbBarData(ModelBase):
+        """
+        Candlestick bar data for database storage.
+
+        Index is defined unique with datetime, interval, symbol
+        """
+
+        id = AutoField()
+        symbol: str = CharField()
+        exchange: str = CharField()
+        datetime: datetime = DateTimeField()
+        interval: str = CharField()
+
+        volume: float = FloatField()
+        open_price: float = FloatField()
+        high_price: float = FloatField()
+        low_price: float = FloatField()
+        close_price: float = FloatField()
+
+        class Meta:
+            database = db
+            indexes = ((("datetime", "interval", "symbol", "exchange"), True),)
+
+        @staticmethod
+        def from_bar(bar: BarData):
+            """
+            Generate DbBarData object from BarData.
+            """
+            db_bar = DbBarData()
+
+            db_bar.symbol = bar.symbol
+            db_bar.exchange = bar.exchange.value
+            db_bar.datetime = bar.datetime
+            db_bar.interval = bar.interval.value
+            db_bar.volume = bar.volume
+            db_bar.open_price = bar.open_price
+            db_bar.high_price = bar.high_price
+            db_bar.low_price = bar.low_price
+            db_bar.close_price = bar.close_price
+
+            return db_bar
+
+        def to_bar(self):
+            """
+            Generate BarData object from DbBarData.
+            """
+            bar = BarData(
+                symbol=self.symbol,
+                exchange=Exchange(self.exchange),
+                datetime=self.datetime,
+                interval=Interval(self.interval),
+                volume=self.volume,
+                open_price=self.open_price,
+                high_price=self.high_price,
+                low_price=self.low_price,
+                close_price=self.close_price,
+                gateway_name="DB",
+            )
+            return bar
+
+        @staticmethod
+        def save_all(objs: List["DbBarData"]):
+            """
+            save a list of objects, update if exists.
+            """
+            dicts = [i.to_dict() for i in objs]
+            with db.atomic():
+                if driver is Driver.POSTGRESQL:
+                    for bar in dicts:
+                        DbBarData.insert(bar).on_conflict(
+                            update=bar,
+                            conflict_target=(
+                                DbBarData.datetime,
+                                DbBarData.interval,
+                                DbBarData.symbol,
+                                DbBarData.exchange,
+                            ),
+                        ).execute()
+                else:
+                    for c in chunked(dicts, 50):
+                        DbBarData.insert_many(c).on_conflict_replace().execute()
+
+    class DbTickData(ModelBase):
+        """
+        Tick data for database storage.
+
+        Index is defined unique with (datetime, symbol)
+        """
+
+        id = AutoField()
+
+        symbol: str = CharField()
+        exchange: str = CharField()
+        datetime: datetime = DateTimeField()
+
+        name: str = CharField()
+        volume: float = FloatField()
+        last_price: float = FloatField()
+        last_volume: float = FloatField()
+        limit_up: float = FloatField()
+        limit_down: float = FloatField()
+
+        open_price: float = FloatField()
+        high_price: float = FloatField()
+        low_price: float = FloatField()
+        pre_close: float = FloatField()
+
+        bid_price_1: float = FloatField()
+        bid_price_2: float = FloatField(null=True)
+        bid_price_3: float = FloatField(null=True)
+        bid_price_4: float = FloatField(null=True)
+        bid_price_5: float = FloatField(null=True)
+
+        ask_price_1: float = FloatField()
+        ask_price_2: float = FloatField(null=True)
+        ask_price_3: float = FloatField(null=True)
+        ask_price_4: float = FloatField(null=True)
+        ask_price_5: float = FloatField(null=True)
+
+        bid_volume_1: float = FloatField()
+        bid_volume_2: float = FloatField(null=True)
+        bid_volume_3: float = FloatField(null=True)
+        bid_volume_4: float = FloatField(null=True)
+        bid_volume_5: float = FloatField(null=True)
+
+        ask_volume_1: float = FloatField()
+        ask_volume_2: float = FloatField(null=True)
+        ask_volume_3: float = FloatField(null=True)
+        ask_volume_4: float = FloatField(null=True)
+        ask_volume_5: float = FloatField(null=True)
+
+        class Meta:
+            database = db
+            indexes = ((("datetime", "symbol", "exchange"), True),)
+
+        @staticmethod
+        def from_tick(tick: TickData):
+            """
+            Generate DbTickData object from TickData.
+            """
+            db_tick = DbTickData()
+
+            db_tick.symbol = tick.symbol
+            db_tick.exchange = tick.exchange.value
+            db_tick.datetime = tick.datetime
+            db_tick.name = tick.name
+            db_tick.volume = tick.volume
+            db_tick.last_price = tick.last_price
+            db_tick.last_volume = tick.last_volume
+            db_tick.limit_up = tick.limit_up
+            db_tick.limit_down = tick.limit_down
+            db_tick.open_price = tick.open_price
+            db_tick.high_price = tick.high_price
+            db_tick.low_price = tick.low_price
+            db_tick.pre_close = tick.pre_close
+
+            db_tick.bid_price_1 = tick.bid_price_1
+            db_tick.ask_price_1 = tick.ask_price_1
+            db_tick.bid_volume_1 = tick.bid_volume_1
+            db_tick.ask_volume_1 = tick.ask_volume_1
+
+            if tick.bid_price_2:
+                db_tick.bid_price_2 = tick.bid_price_2
+                db_tick.bid_price_3 = tick.bid_price_3
+                db_tick.bid_price_4 = tick.bid_price_4
+                db_tick.bid_price_5 = tick.bid_price_5
+
+                db_tick.ask_price_2 = tick.ask_price_2
+                db_tick.ask_price_3 = tick.ask_price_3
+                db_tick.ask_price_4 = tick.ask_price_4
+                db_tick.ask_price_5 = tick.ask_price_5
+
+                db_tick.bid_volume_2 = tick.bid_volume_2
+                db_tick.bid_volume_3 = tick.bid_volume_3
+                db_tick.bid_volume_4 = tick.bid_volume_4
+                db_tick.bid_volume_5 = tick.bid_volume_5
+
+                db_tick.ask_volume_2 = tick.ask_volume_2
+                db_tick.ask_volume_3 = tick.ask_volume_3
+                db_tick.ask_volume_4 = tick.ask_volume_4
+                db_tick.ask_volume_5 = tick.ask_volume_5
+
+            return db_tick
+
+        def to_tick(self):
+            """
+            Generate TickData object from DbTickData.
+            """
+            tick = TickData(
+                symbol=self.symbol,
+                exchange=Exchange(self.exchange),
+                datetime=self.datetime,
+                name=self.name,
+                volume=self.volume,
+                last_price=self.last_price,
+                last_volume=self.last_volume,
+                limit_up=self.limit_up,
+                limit_down=self.limit_down,
+                open_price=self.open_price,
+                high_price=self.high_price,
+                low_price=self.low_price,
+                pre_close=self.pre_close,
+                bid_price_1=self.bid_price_1,
+                ask_price_1=self.ask_price_1,
+                bid_volume_1=self.bid_volume_1,
+                ask_volume_1=self.ask_volume_1,
+                gateway_name="DB",
+            )
+
+            if self.bid_price_2:
+                tick.bid_price_2 = self.bid_price_2
+                tick.bid_price_3 = self.bid_price_3
+                tick.bid_price_4 = self.bid_price_4
+                tick.bid_price_5 = self.bid_price_5
+
+                tick.ask_price_2 = self.ask_price_2
+                tick.ask_price_3 = self.ask_price_3
+                tick.ask_price_4 = self.ask_price_4
+                tick.ask_price_5 = self.ask_price_5
+
+                tick.bid_volume_2 = self.bid_volume_2
+                tick.bid_volume_3 = self.bid_volume_3
+                tick.bid_volume_4 = self.bid_volume_4
+                tick.bid_volume_5 = self.bid_volume_5
+
+                tick.ask_volume_2 = self.ask_volume_2
+                tick.ask_volume_3 = self.ask_volume_3
+                tick.ask_volume_4 = self.ask_volume_4
+                tick.ask_volume_5 = self.ask_volume_5
+
+            return tick
+
+        @staticmethod
+        def save_all(objs: List["DbTickData"]):
+            dicts = [i.to_dict() for i in objs]
+            with db.atomic():
+                if driver is Driver.POSTGRESQL:
+                    for tick in dicts:
+                        DbTickData.insert(tick).on_conflict(
+                            update=tick,
+                            conflict_target=(
+                                DbTickData.datetime,
+                                DbTickData.symbol,
+                                DbTickData.exchange,
+                            ),
+                        ).execute()
+                else:
+                    for c in chunked(dicts, 50):
+                        DbTickData.insert_many(c).on_conflict_replace().execute()
+
+    db.connect()
+    db.create_tables([DbBarData, DbTickData])
+    return DbBarData, DbTickData
+
+
+class SqlManager(BaseDatabaseManager):
+
+    def __init__(self, class_bar: Type[Model], class_tick: Type[Model]):
+        self.class_bar = class_bar
+        self.class_tick = class_tick
+
+    def load_bar_data(
+        self,
+        symbol: str,
+        exchange: Exchange,
+        interval: Interval,
+        start: datetime,
+        end: datetime,
+    ) -> Sequence[BarData]:
+        s = (
+            self.class_bar.select()
+                .where(
+                (self.class_bar.symbol == symbol)
+                & (self.class_bar.exchange == exchange.value)
+                & (self.class_bar.interval == interval.value)
+                & (self.class_bar.datetime >= start)
+                & (self.class_bar.datetime <= end)
+            )
+                .order_by(self.class_bar.datetime)
+        )
+        data = [db_bar.to_bar() for db_bar in s]
+        return data
+
+    def load_tick_data(
+        self, symbol: str, exchange: Exchange, start: datetime, end: datetime
+    ) -> Sequence[TickData]:
+        s = (
+            self.class_tick.select()
+                .where(
+                (self.class_tick.symbol == symbol)
+                & (self.class_tick.exchange == exchange.value)
+                & (self.class_tick.datetime >= start)
+                & (self.class_tick.datetime <= end)
+            )
+                .order_by(self.class_tick.datetime)
+        )
+        data = [db_tick.to_tick() for db_tick in s]
+        return data
+
+    def save_bar_data(self, datas: Sequence[BarData]):
+        ds = [self.class_bar.from_bar(i) for i in datas]
+        self.class_bar.save_all(ds)
+
+    def save_tick_data(self, datas: Sequence[TickData]):
+        ds = [self.class_tick.from_tick(i) for i in datas]
+        self.class_tick.save_all(ds)

vnpy/trader/database/initialize.py

@@ -0,0 +1,24 @@
+""""""
+from .database import BaseDatabaseManager, Driver
+
+
+def init(settings: dict) -> BaseDatabaseManager:
+    driver = Driver(settings["driver"])
+    if driver is Driver.MONGODB:
+        return init_nosql(driver=driver, settings=settings)
+    else:
+        return init_sql(driver=driver, settings=settings)
+
+
+def init_sql(driver: Driver, settings: dict):
+    from .database_sql import init
+    keys = {'database', "host", "port", "user", "password"}
+    settings = {k: v for k, v in settings.items() if k in keys}
+    _database_manager = init(driver, settings)
+    return _database_manager
+
+
+def init_nosql(driver: Driver, settings: dict):
+    from .database_mongo import init
+    _database_manager = init(driver, settings=settings)
+    return _database_manager

vnpy/trader/setting.py

@@ -30,9 +30,15 @@ SETTINGS = {
     "database.host": "localhost",
     "database.port": 3306,
     "database.user": "root",
-    "database.password": ""
+    "database.password": "",
+    "database.authentication_source": "admin",  # for mongodb
 }
 
 # Load global setting from json file.
 SETTING_FILENAME = "vt_setting.json"
 SETTINGS.update(load_json(SETTING_FILENAME))
+
+
+def get_settings(prefix: str = ""):
+    prefix_length = len(prefix)
+    return {k[prefix_length:]: v for k, v in SETTINGS.items() if k.startswith(prefix)}

vnpy/trader/utility.py

@@ -3,20 +3,28 @@ General utility functions.
 """
 
 import json
-import os
 from pathlib import Path
-from typing import Callable
+from typing import Callable, TYPE_CHECKING
 
 import numpy as np
 import talib
 
 from .object import BarData, TickData
 
+if TYPE_CHECKING:
+    from vnpy.trader.constant import Exchange
 
-def resolve_path(pattern: str):
+
-    env = dict(os.environ)
+def extract_vt_symbol(vt_symbol: str):
-    env.update({"VNPY_TEMP": str(TEMP_DIR)})
+    """
-    return pattern.format(**env)
+    :return: (symbol, exchange)
+    """
+    symbol, exchange = vt_symbol.split('.')
+    return symbol, exchange
+
+
+def generate_vt_symbol(symbol: str, exchange: "Exchange"):
+    return f'{symbol}.{exchange.value}'
 
 
 def _get_trader_dir(temp_name: str):