[Mod]改进DataRecoder中的DrEngine使用BarManager来合成K线
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vn.py
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@ -5,17 +5,29 @@
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[
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["rb1801", "CTP"],
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["m1801", "CTP"],
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["TA801", "CTP"]
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["SR801", "CTP"],
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["IF1712", "CTP"],
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["IH1712", "CTP"],
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["IC1712", "CTP"]
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],
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"bar":
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[
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["rb1801", "CTP"],
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["m1801", "CTP"],
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["TA801", "CTP"]
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["SR801", "CTP"],
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["IF1712", "CTP"],
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["IH1712", "CTP"],
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["IC1712", "CTP"]
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],
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"active":
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{
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"rb.HOT": "rb1801",
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"m.HOT": "m1801",
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"SR.HOT": "SR801",
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"IF.HOT": "IF1712",
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"IH.HOT": "IH1712",
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"IC.HOT": "IC1712"
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}
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}
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@ -12,5 +12,7 @@
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"logActive": false,
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"logLevel": "debug",
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"logConsole": true,
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"logFile": true
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"logFile": true,
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"tdPenalty": ["IF", "IH", "IC"]
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}
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@ -3,16 +3,31 @@
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"tick":
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[
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["rb1801", "CTP"],
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["m1801", "CTP"],
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["SR801", "CTP"],
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["IF1712", "CTP"],
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["IH1712", "CTP"],
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["IC1712", "CTP"]
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],
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"bar":
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[
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["BTC_CNY_SPOT", "OKCOIN"],
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["LTC_CNY_SPOT", "OKCOIN"],
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["ETH_CNY_SPOT", "OKCOIN"]
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["rb1801", "CTP"],
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["m1801", "CTP"],
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["SR801", "CTP"],
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["IF1712", "CTP"],
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["IH1712", "CTP"],
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["IC1712", "CTP"]
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],
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"active":
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{
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"rb.HOT": "rb1801",
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"m.HOT": "m1801",
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"SR.HOT": "SR801",
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"IF.HOT": "IF1712",
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"IH.HOT": "IH1712",
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"IC.HOT": "IC1712"
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}
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}
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@ -19,9 +19,10 @@ from vnpy.event import Event
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from vnpy.trader.vtEvent import *
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from vnpy.trader.vtFunction import todayDate, getJsonPath
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from vnpy.trader.vtObject import VtSubscribeReq, VtLogData, VtBarData, VtTickData
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from vnpy.trader.app.ctaStrategy.ctaTemplate import BarManager
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from vnpy.trader.app.dataRecorder.drBase import *
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from vnpy.trader.app.dataRecorder.language import text
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from .drBase import *
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from .language import text
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########################################################################
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@ -44,10 +45,10 @@ class DrEngine(object):
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self.activeSymbolDict = {}
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# Tick对象字典
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self.tickDict = {}
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self.tickSymbolSet = set()
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# K线对象字典
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self.barDict = {}
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# K线合成器字典
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self.bmDict = {}
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# 配置字典
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self.settingDict = OrderedDict()
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@ -77,11 +78,13 @@ class DrEngine(object):
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if not working:
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return
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# Tick记录配置
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if 'tick' in drSetting:
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l = drSetting['tick']
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for setting in l:
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symbol = setting[0]
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gateway = setting[1]
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vtSymbol = symbol
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req = VtSubscribeReq()
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@ -97,16 +100,17 @@ class DrEngine(object):
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req.currency = setting[3]
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req.productClass = setting[4]
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self.mainEngine.subscribe(req, setting[1])
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self.mainEngine.subscribe(req, gateway)
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tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
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self.tickDict[vtSymbol] = tick
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#tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
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#self.tickDict[vtSymbol] = tick
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self.tickSymbolSet.add(vtSymbol)
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# 保存到配置字典中
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if vtSymbol not in self.settingDict:
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d = {
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'symbol': symbol,
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'gateway': setting[1],
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'gateway': gateway,
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'tick': True
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}
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self.settingDict[vtSymbol] = d
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@ -114,11 +118,13 @@ class DrEngine(object):
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d = self.settingDict[vtSymbol]
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d['tick'] = True
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# 分钟线记录配置
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if 'bar' in drSetting:
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l = drSetting['bar']
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for setting in l:
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symbol = setting[0]
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gateway = setting[1]
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vtSymbol = symbol
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req = VtSubscribeReq()
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@ -132,16 +138,13 @@ class DrEngine(object):
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req.currency = setting[3]
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req.productClass = setting[4]
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self.mainEngine.subscribe(req, setting[1])
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bar = VtBarData()
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self.barDict[vtSymbol] = bar
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self.mainEngine.subscribe(req, gateway)
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# 保存到配置字典中
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if vtSymbol not in self.settingDict:
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d = {
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'symbol': symbol,
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'gateway': setting[1],
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'gateway': gateway,
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'bar': True
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}
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self.settingDict[vtSymbol] = d
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@ -149,141 +152,71 @@ class DrEngine(object):
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d = self.settingDict[vtSymbol]
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d['bar'] = True
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# 创建BarManager对象
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self.bmDict[vtSymbol] = BarManager(self.onBar)
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# 主力合约记录配置
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if 'active' in drSetting:
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d = drSetting['active']
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# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
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for activeSymbol, vtSymbol in d.items():
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self.activeSymbolDict[vtSymbol] = activeSymbol
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# 保存到配置字典中
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if vtSymbol not in self.settingDict:
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d = {
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'symbol': symbol,
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'gateway': setting[1],
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'active': True
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}
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self.settingDict[vtSymbol] = d
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else:
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d = self.settingDict[vtSymbol]
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d['active'] = True
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##----------------------------------------------------------------------
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#def loadCsvSetting(self):
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#"""加载CSV配置"""
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#with open(self.settingFileName) as f:
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#drSetting = csv.DictReader(f)
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#for d in drSetting:
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## 读取配置
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#gatewayName = d['gateway']
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#symbol = d['symbol']
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#exchange = d['exchange']
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#currency = d['currency']
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#productClass = d['product']
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#recordTick = d['tick']
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#recordBar = d['bar']
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#activeSymbol = d['active']
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#if exchange:
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#vtSymbol = '.'.join([symbol, exchange])
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#else:
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#vtSymbol = symbol
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## 订阅行情
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#req = VtSubscribeReq()
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#req.symbol = symbol
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#req.exchange = exchange
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#req.currency = currency
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#req.productClass = productClass
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#self.mainEngine.subscribe(req, gatewayName)
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## 设置需要记录的数据
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#if recordTick:
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#tick = VtTickData()
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#self.tickDict[vtSymbol] = VtTickData()
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#if recordBar:
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#self.barDict[vtSymbol] = VtBarData()
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#if activeSymbol:
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#self.activeSymbolDict[vtSymbol] = activeSymbol
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## 保存配置到缓存中
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#self.settingDict[vtSymbol] = d
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self.activeSymbolDict = {vtSymbol:activeSymbol for activeSymbol, vtSymbol in d.items()}
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#----------------------------------------------------------------------
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def getSetting(self):
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"""获取配置"""
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return self.settingDict
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return self.settingDict, self.activeSymbolDict
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#----------------------------------------------------------------------
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def procecssTickEvent(self, event):
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"""处理行情推送"""
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"""处理行情事件"""
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tick = event.dict_['data']
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vtSymbol = tick.vtSymbol
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# 转化Tick格式
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# 生成datetime对象
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if not tick.datetime:
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tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
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# 更新Tick数据
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if vtSymbol in self.tickDict:
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self.onTick(tick)
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bm = self.bmDict.get(vtSymbol, None)
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if bm:
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bm.updateTick(tick)
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""Tick更新"""
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vtSymbol = tick.vtSymbol
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if vtSymbol in self.tickSymbolSet:
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self.insertData(TICK_DB_NAME, vtSymbol, tick)
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if vtSymbol in self.activeSymbolDict:
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activeSymbol = self.activeSymbolDict[vtSymbol]
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self.insertData(TICK_DB_NAME, activeSymbol, tick)
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# 发出日志
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self.writeDrLog(text.TICK_LOGGING_MESSAGE.format(symbol=tick.vtSymbol,
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time=tick.time,
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last=tick.lastPrice,
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bid=tick.bidPrice1,
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ask=tick.askPrice1))
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# 更新分钟线数据
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if vtSymbol in self.barDict:
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bar = self.barDict[vtSymbol]
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""分钟线更新"""
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vtSymbol = bar.vtSymbol
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# 如果第一个TICK或者新的一分钟
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if (not bar.datetime or
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bar.datetime.minute != tick.datetime.minute or
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bar.datetime.hour != tick.datetime.hour):
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if bar.vtSymbol:
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newBar = copy.copy(bar)
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self.insertData(MINUTE_DB_NAME, vtSymbol, newBar)
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self.insertData(MINUTE_DB_NAME, vtSymbol, bar)
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if vtSymbol in self.activeSymbolDict:
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activeSymbol = self.activeSymbolDict[vtSymbol]
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self.insertData(MINUTE_DB_NAME, activeSymbol, newBar)
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if vtSymbol in self.activeSymbolDict:
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activeSymbol = self.activeSymbolDict[vtSymbol]
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self.insertData(MINUTE_DB_NAME, activeSymbol, bar)
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self.writeDrLog(text.BAR_LOGGING_MESSAGE.format(symbol=bar.vtSymbol,
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time=bar.time,
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open=bar.open,
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high=bar.high,
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low=bar.low,
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close=bar.close))
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bar.vtSymbol = tick.vtSymbol
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bar.symbol = tick.symbol
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bar.exchange = tick.exchange
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bar.open = tick.lastPrice
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bar.high = tick.lastPrice
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bar.low = tick.lastPrice
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bar.close = tick.lastPrice
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bar.date = tick.date
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bar.time = tick.time
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bar.datetime = tick.datetime.replace(second=0, microsecond=0)
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bar.volume = tick.volume
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bar.openInterest = tick.openInterest
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# 否则继续累加新的K线
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else:
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bar.high = max(bar.high, tick.lastPrice)
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bar.low = min(bar.low, tick.lastPrice)
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bar.close = tick.lastPrice
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self.writeDrLog(text.BAR_LOGGING_MESSAGE.format(symbol=bar.vtSymbol,
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time=bar.time,
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open=bar.open,
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high=bar.high,
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low=bar.low,
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close=bar.close))
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#----------------------------------------------------------------------
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def registerEvent(self):
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@ -115,7 +115,7 @@ class DrEngineManager(QtWidgets.QWidget):
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#----------------------------------------------------------------------
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def updateSetting(self):
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"""显示引擎行情记录配置"""
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setting = self.drEngine.getSetting()
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setting, activeSetting = self.drEngine.getSetting()
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for d in setting.values():
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if 'tick' in d and d['tick']:
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@ -128,14 +128,14 @@ class DrEngineManager(QtWidgets.QWidget):
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self.barTable.setItem(0, 0, TableCell(d['symbol']))
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self.barTable.setItem(0, 1, TableCell(d['gateway']))
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if 'active'in d and d['active']:
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self.activeTable.insertRow(0)
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self.activeTable.setItem(0, 0, TableCell(d['active']))
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self.activeTable.setItem(0, 1, TableCell(d['symbol']))
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for vtSymbol, activeSymbol in activeSetting.items():
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self.activeTable.insertRow(0)
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self.activeTable.setItem(0, 0, TableCell(activeSymbol))
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self.activeTable.setItem(0, 1, TableCell(vtSymbol))
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self.tickTable.resizeColumnsToContents()
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self.barTable.resizeColumnsToContents()
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self.activeTable.resizeColumnsToContents()
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self.tickTable.resizeColumnsToContents()
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self.barTable.resizeColumnsToContents()
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self.activeTable.resizeColumnsToContents()
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