[Mod]改进DataRecoder中的DrEngine使用BarManager来合成K线

examples/DataRecording/DR_setting.json

@@ -5,17 +5,29 @@
     [
         ["rb1801", "CTP"],
         ["m1801", "CTP"],
-        ["TA801", "CTP"]
+        ["SR801", "CTP"],
+        ["IF1712", "CTP"],
+        ["IH1712", "CTP"],
+        ["IC1712", "CTP"]
     ],
 
     "bar":
     [
         ["rb1801", "CTP"],
         ["m1801", "CTP"],
-        ["TA801", "CTP"]
+        ["SR801", "CTP"],
+        ["IF1712", "CTP"],
+        ["IH1712", "CTP"],
+        ["IC1712", "CTP"]
     ],
 
     "active":
     {
+        "rb.HOT": "rb1801",
+        "m.HOT": "m1801",
+        "SR.HOT": "SR801",
+        "IF.HOT": "IF1712",
+        "IH.HOT": "IH1712",
+        "IC.HOT": "IC1712"   
     }
 }

examples/DataRecording/VT_setting.json

@@ -12,5 +12,7 @@
 	"logActive": false,
 	"logLevel": "debug",
 	"logConsole": true,
-	"logFile": true
+	"logFile": true,
+
+	"tdPenalty": ["IF", "IH", "IC"]
 }

examples/VnTrader/DR_setting.json

@@ -3,16 +3,31 @@
 
     "tick":
     [
+        ["rb1801", "CTP"],
+        ["m1801", "CTP"],
+        ["SR801", "CTP"],
+        ["IF1712", "CTP"],
+        ["IH1712", "CTP"],
+        ["IC1712", "CTP"]
     ],
 
     "bar":
     [
-        ["BTC_CNY_SPOT", "OKCOIN"],
+        ["rb1801", "CTP"],
-        ["LTC_CNY_SPOT", "OKCOIN"],
+        ["m1801", "CTP"],
-        ["ETH_CNY_SPOT", "OKCOIN"]
+        ["SR801", "CTP"],
+        ["IF1712", "CTP"],
+        ["IH1712", "CTP"],
+        ["IC1712", "CTP"]
     ],
 
     "active":
     {
+        "rb.HOT": "rb1801",
+        "m.HOT": "m1801",
+        "SR.HOT": "SR801",
+        "IF.HOT": "IF1712",
+        "IH.HOT": "IH1712",
+        "IC.HOT": "IC1712"   
     }
 }

vnpy/trader/app/dataRecorder/drEngine.py

@@ -19,9 +19,10 @@ from vnpy.event import Event
 from vnpy.trader.vtEvent import *
 from vnpy.trader.vtFunction import todayDate, getJsonPath
 from vnpy.trader.vtObject import VtSubscribeReq, VtLogData, VtBarData, VtTickData
+from vnpy.trader.app.ctaStrategy.ctaTemplate import BarManager
 
-from vnpy.trader.app.dataRecorder.drBase import *
+from .drBase import *
-from vnpy.trader.app.dataRecorder.language import text
+from .language import text
 
 
 ########################################################################
@@ -44,10 +45,10 @@ class DrEngine(object):
         self.activeSymbolDict = {}
         
         # Tick对象字典
-        self.tickDict = {}
+        self.tickSymbolSet = set()
         
-        # K线对象字典
+        # K线合成器字典
-        self.barDict = {}
+        self.bmDict = {}
         
         # 配置字典
         self.settingDict = OrderedDict()
@@ -77,11 +78,13 @@ class DrEngine(object):
             if not working:
                 return
 
+            # Tick记录配置
             if 'tick' in drSetting:
                 l = drSetting['tick']
 
                 for setting in l:
                     symbol = setting[0]
+                    gateway = setting[1]
                     vtSymbol = symbol
 
                     req = VtSubscribeReq()
@@ -97,16 +100,17 @@ class DrEngine(object):
                         req.currency = setting[3]
                         req.productClass = setting[4]
 
-                    self.mainEngine.subscribe(req, setting[1])
+                    self.mainEngine.subscribe(req, gateway)
 
-                    tick = VtTickData()           # 该tick实例可以用于缓存部分数据（目前未使用）
+                    #tick = VtTickData()           # 该tick实例可以用于缓存部分数据（目前未使用）
-                    self.tickDict[vtSymbol] = tick
+                    #self.tickDict[vtSymbol] = tick
+                    self.tickSymbolSet.add(vtSymbol)
                     
                     # 保存到配置字典中
                     if vtSymbol not in self.settingDict:
                         d = {
                             'symbol': symbol,
-                            'gateway': setting[1],
+                            'gateway': gateway,
                             'tick': True
                         }
                         self.settingDict[vtSymbol] = d
@@ -114,11 +118,13 @@ class DrEngine(object):
                         d = self.settingDict[vtSymbol]
                         d['tick'] = True
 
+            # 分钟线记录配置
             if 'bar' in drSetting:
                 l = drSetting['bar']
 
                 for setting in l:
                     symbol = setting[0]
+                    gateway = setting[1]
                     vtSymbol = symbol
 
                     req = VtSubscribeReq()
@@ -132,16 +138,13 @@ class DrEngine(object):
                         req.currency = setting[3]
                         req.productClass = setting[4]                    
 
-                    self.mainEngine.subscribe(req, setting[1])  
+                    self.mainEngine.subscribe(req, gateway)  
-
-                    bar = VtBarData() 
-                    self.barDict[vtSymbol] = bar
                     
                     # 保存到配置字典中
                     if vtSymbol not in self.settingDict:
                         d = {
                             'symbol': symbol,
-                            'gateway': setting[1],
+                            'gateway': gateway,
                             'bar': True
                         }
                         self.settingDict[vtSymbol] = d
@@ -149,114 +152,64 @@ class DrEngine(object):
                         d = self.settingDict[vtSymbol]
                         d['bar'] = True     
                         
+                    # 创建BarManager对象
+                    self.bmDict[vtSymbol] = BarManager(self.onBar)
+
+            # 主力合约记录配置
             if 'active' in drSetting:
                 d = drSetting['active']
-
+                self.activeSymbolDict = {vtSymbol:activeSymbol for activeSymbol, vtSymbol in d.items()}
-                # 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
-                for activeSymbol, vtSymbol in d.items():
-                    self.activeSymbolDict[vtSymbol] = activeSymbol    
-                    
-                    # 保存到配置字典中
-                    if vtSymbol not in self.settingDict:
-                        d = {
-                            'symbol': symbol,
-                            'gateway': setting[1],
-                            'active': True
-                        }
-                        self.settingDict[vtSymbol] = d
-                    else:
-                        d = self.settingDict[vtSymbol]
-                        d['active'] = True                    
-    
-    ##----------------------------------------------------------------------
-    #def loadCsvSetting(self):
-        #"""加载CSV配置"""
-        #with open(self.settingFileName) as f:
-            #drSetting = csv.DictReader(f)
-            
-            #for d in drSetting:
-                ## 读取配置
-                #gatewayName = d['gateway']
-                #symbol = d['symbol']
-                #exchange = d['exchange']
-                #currency = d['currency']
-                #productClass = d['product']
-                #recordTick = d['tick']
-                #recordBar = d['bar']
-                #activeSymbol = d['active']
-                
-                #if exchange:
-                    #vtSymbol = '.'.join([symbol, exchange])
-                #else:
-                    #vtSymbol = symbol
-                
-                ## 订阅行情
-                #req = VtSubscribeReq()
-                #req.symbol = symbol
-                #req.exchange = exchange
-                #req.currency = currency
-                #req.productClass = productClass
-                #self.mainEngine.subscribe(req, gatewayName)
-                
-                ## 设置需要记录的数据
-                #if recordTick:
-                    #tick = VtTickData()
-                    #self.tickDict[vtSymbol] = VtTickData()
-                    
-                #if recordBar:
-                    #self.barDict[vtSymbol] = VtBarData()
-                    
-                #if activeSymbol:
-                    #self.activeSymbolDict[vtSymbol] = activeSymbol
-                    
-                ## 保存配置到缓存中
-                #self.settingDict[vtSymbol] = d
     
     #----------------------------------------------------------------------
     def getSetting(self):
         """获取配置"""
-        return self.settingDict
+        return self.settingDict, self.activeSymbolDict
 
     #----------------------------------------------------------------------
     def procecssTickEvent(self, event):
-        """处理行情推送"""
+        """处理行情事件"""
         tick = event.dict_['data']
         vtSymbol = tick.vtSymbol
         
-        # 转化Tick格式
+        # 生成datetime对象
         if not tick.datetime:
             tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')            
 
-        # 更新Tick数据
+        self.onTick(tick)
-        if vtSymbol in self.tickDict:
+        
+        bm = self.bmDict.get(vtSymbol, None)
+        if bm:
+            bm.updateTick(tick)
+        
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """Tick更新"""
+        vtSymbol = tick.vtSymbol
+        
+        if vtSymbol in self.tickSymbolSet:
             self.insertData(TICK_DB_NAME, vtSymbol, tick)
             
             if vtSymbol in self.activeSymbolDict:
                 activeSymbol = self.activeSymbolDict[vtSymbol]
                 self.insertData(TICK_DB_NAME, activeSymbol, tick)
             
-            # 发出日志
+            
             self.writeDrLog(text.TICK_LOGGING_MESSAGE.format(symbol=tick.vtSymbol,
                                                              time=tick.time, 
                                                              last=tick.lastPrice, 
                                                              bid=tick.bidPrice1, 
                                                              ask=tick.askPrice1))
     
-        # 更新分钟线数据
+    #----------------------------------------------------------------------
-        if vtSymbol in self.barDict:
+    def onBar(self, bar):
-            bar = self.barDict[vtSymbol]
+        """分钟线更新"""
+        vtSymbol = bar.vtSymbol
         
-            # 如果第一个TICK或者新的一分钟
+        self.insertData(MINUTE_DB_NAME, vtSymbol, bar)
-            if (not bar.datetime or 
-                bar.datetime.minute != tick.datetime.minute or
-                bar.datetime.hour != tick.datetime.hour):    
-                if bar.vtSymbol:
-                    newBar = copy.copy(bar)
-                    self.insertData(MINUTE_DB_NAME, vtSymbol, newBar)
         
         if vtSymbol in self.activeSymbolDict:
             activeSymbol = self.activeSymbolDict[vtSymbol]
-                        self.insertData(MINUTE_DB_NAME, activeSymbol, newBar)                    
+            self.insertData(MINUTE_DB_NAME, activeSymbol, bar)                    
         
         self.writeDrLog(text.BAR_LOGGING_MESSAGE.format(symbol=bar.vtSymbol, 
                                                         time=bar.time, 
@@ -265,26 +218,6 @@ class DrEngine(object):
                                                         low=bar.low, 
                                                         close=bar.close))        
 
-                bar.vtSymbol = tick.vtSymbol
-                bar.symbol = tick.symbol
-                bar.exchange = tick.exchange
-                
-                bar.open = tick.lastPrice
-                bar.high = tick.lastPrice
-                bar.low = tick.lastPrice
-                bar.close = tick.lastPrice
-                
-                bar.date = tick.date
-                bar.time = tick.time
-                bar.datetime = tick.datetime.replace(second=0, microsecond=0)
-                bar.volume = tick.volume
-                bar.openInterest = tick.openInterest        
-            # 否则继续累加新的K线
-            else:                               
-                bar.high = max(bar.high, tick.lastPrice)
-                bar.low = min(bar.low, tick.lastPrice)
-                bar.close = tick.lastPrice            
-
     #----------------------------------------------------------------------
     def registerEvent(self):
         """注册事件监听"""

vnpy/trader/app/dataRecorder/uiDrWidget.py

@@ -115,7 +115,7 @@ class DrEngineManager(QtWidgets.QWidget):
     #----------------------------------------------------------------------
     def updateSetting(self):
         """显示引擎行情记录配置"""
-        setting = self.drEngine.getSetting()
+        setting, activeSetting = self.drEngine.getSetting()
         
         for d in setting.values():
             if 'tick' in d and d['tick']:
@@ -128,10 +128,10 @@ class DrEngineManager(QtWidgets.QWidget):
                 self.barTable.setItem(0, 0, TableCell(d['symbol']))
                 self.barTable.setItem(0, 1, TableCell(d['gateway'])) 
 
-            if 'active'in d and d['active']:
+        for vtSymbol, activeSymbol in activeSetting.items():
             self.activeTable.insertRow(0)
-                self.activeTable.setItem(0, 0, TableCell(d['active']))
+            self.activeTable.setItem(0, 0, TableCell(activeSymbol))
-                self.activeTable.setItem(0, 1, TableCell(d['symbol']))
+            self.activeTable.setItem(0, 1, TableCell(vtSymbol))
                 
         self.tickTable.resizeColumnsToContents()
         self.barTable.resizeColumnsToContents()