完成上海中期历史行情接口vn.shcifco
This commit is contained in:
vn.py
parent
676ce4a649
commit
9eee8ea166
@ -17,8 +17,7 @@ from vnpy.trader.gateway import (ctpGateway, femasGateway, xspeedGateway,
|
||||
shzdGateway, huobiGateway, okcoinGateway)
|
||||
|
||||
# 加载上层应用
|
||||
from vnpy.trader.app import (riskManager, dataRecorder,
|
||||
ctaStrategy, spreadTrading)
|
||||
from vnpy.trader.app import (riskManager, ctaStrategy, spreadTrading)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -43,7 +42,6 @@ def main():
|
||||
|
||||
# 添加上层应用
|
||||
me.addApp(riskManager)
|
||||
me.addApp(dataRecorder)
|
||||
me.addApp(ctaStrategy)
|
||||
me.addApp(spreadTrading)
|
||||
|
||||
|
||||
27
vnpy/data/shcifco/test.py
Normal file
27
vnpy/data/shcifco/test.py
Normal file
@ -0,0 +1,27 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
from vnshcifco import ShcifcoApi, PERIOD_1MIN
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
ip = '101.231.179.199'
|
||||
port = '10102'
|
||||
token = 'testd2cda34b2d317779e812eb84ee4224a6_qpweqf1'
|
||||
symbol = 'cu1709'
|
||||
|
||||
# 创建API对象
|
||||
api = ShcifcoApi(ip, port, token)
|
||||
|
||||
# 获取最新tick
|
||||
print api.getLastTick(symbol)
|
||||
|
||||
# 获取最新价格
|
||||
print api.getLastPrice(symbol)
|
||||
|
||||
# 获取最新分钟线
|
||||
print api.getLastBar(symbol)
|
||||
|
||||
# 获取历史分钟线
|
||||
print api.getHisBar(symbol, 502, period=PERIOD_1MIN)
|
||||
|
||||
|
||||
@ -5,6 +5,12 @@ import requests
|
||||
|
||||
HTTP_OK = 200
|
||||
|
||||
PERIOD_1MIN = '1m'
|
||||
PERIOD_5MIN = '5m'
|
||||
PERIOD_15MIN = '15m'
|
||||
PERIOD_60MIN = '60m'
|
||||
PERIOD_1DAY = '1d'
|
||||
|
||||
|
||||
########################################################################
|
||||
class ShcifcoApi(object):
|
||||
@ -38,8 +44,12 @@ class ShcifcoApi(object):
|
||||
"""获取最新Tick"""
|
||||
path = 'lasttick'
|
||||
params = {'ids': symbol}
|
||||
data = self.getData(path, params)
|
||||
|
||||
data = self.getData(path, params)
|
||||
if not data:
|
||||
return None
|
||||
|
||||
data = data.split(';')[0]
|
||||
l = data.split(',')
|
||||
d = {
|
||||
'symbol': l[0],
|
||||
@ -58,8 +68,12 @@ class ShcifcoApi(object):
|
||||
"""获取最新成交价"""
|
||||
path = 'lastprice'
|
||||
params = {'ids': symbol}
|
||||
data = self.getData(path, params)
|
||||
|
||||
data = self.getData(path, params)
|
||||
if not data:
|
||||
return None
|
||||
|
||||
data = data.split(';')[0]
|
||||
price = float(data)
|
||||
return price
|
||||
|
||||
@ -67,9 +81,13 @@ class ShcifcoApi(object):
|
||||
def getLastBar(self, symbol):
|
||||
"""获取最新的一分钟K线数据"""
|
||||
path = 'lastbar'
|
||||
params = {'ids': symbol}
|
||||
data = self.getData(path, params)
|
||||
params = {'id': symbol}
|
||||
|
||||
data = self.getData(path, params)
|
||||
if not data:
|
||||
return None
|
||||
|
||||
data = data.split(';')[0]
|
||||
l = data.split(',')
|
||||
d = {
|
||||
'symbol': l[0],
|
||||
@ -78,18 +96,19 @@ class ShcifcoApi(object):
|
||||
'high': float(l[3]),
|
||||
'low': float(l[4]),
|
||||
'close': float(l[5]),
|
||||
'volume': int([6])
|
||||
'volume': int(l[6]),
|
||||
'openInterest': int(l[7])
|
||||
}
|
||||
return d
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getHisBar(self, symbol, num, date='', period=''):
|
||||
"""获取历史K线数据"""
|
||||
path = 'lastbar'
|
||||
path = 'hisbar'
|
||||
|
||||
# 默认参数
|
||||
params = {
|
||||
'ids': symbol,
|
||||
'id': symbol,
|
||||
'num': num
|
||||
}
|
||||
# 可选参数
|
||||
@ -99,40 +118,31 @@ class ShcifcoApi(object):
|
||||
params[period] = period
|
||||
|
||||
data = self.getData(path, params)
|
||||
if not data:
|
||||
return None
|
||||
|
||||
barList = []
|
||||
l = data.split(';')
|
||||
|
||||
for barStr in l:
|
||||
# 过滤某些空数据
|
||||
if ',' not in barStr:
|
||||
continue
|
||||
|
||||
barData = barStr.split(',')
|
||||
d = {
|
||||
'symbol': barData[0],
|
||||
'time': barData[1],
|
||||
'open': float(barData[2]),
|
||||
'high': float(barData[3]),
|
||||
'low': float(barData[4]),
|
||||
'close': float(barData[5]),
|
||||
'volume': int([6])
|
||||
'date': barData[1],
|
||||
'time': barData[2],
|
||||
'open': float(barData[3]),
|
||||
'high': float(barData[4]),
|
||||
'low': float(barData[5]),
|
||||
'close': float(barData[6]),
|
||||
'volume': int(barData[7]),
|
||||
'openInterest': int(barData[8])
|
||||
}
|
||||
barList.append(d)
|
||||
|
||||
return barList
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
ip = '101.231.179.199'
|
||||
port = '10102'
|
||||
token = 'testd2cda34b2d317779e812eb84ee4224a6_123456'
|
||||
|
||||
api = ShcifcoApi(ip, port, token)
|
||||
api.getData(path, params)
|
||||
|
||||
print api.getLastTick('cu1709')
|
||||
|
||||
print api.getLastPrice('cu1709')
|
||||
|
||||
print api.getLastBar('cu1709')
|
||||
|
||||
print api.getHisBar('cu1709', 50)
|
||||
|
||||
|
||||
@ -77,7 +77,7 @@ class DrEngine(object):
|
||||
# 读取配置
|
||||
gatewayName = d['gateway']
|
||||
symbol = d['symbol']
|
||||
exchange = d['symbol']
|
||||
exchange = d['exchange']
|
||||
currency = d['currency']
|
||||
productClass = d['product']
|
||||
recordTick = d['tick']
|
||||
|
||||
@ -1,4 +1,25 @@
|
||||
[
|
||||
{
|
||||
"name": "m.09-01",
|
||||
|
||||
"activeLeg":
|
||||
{
|
||||
"vtSymbol": "m1709",
|
||||
"ratio": 1,
|
||||
"multiplier": 1.0,
|
||||
"payup": 2
|
||||
},
|
||||
|
||||
"passiveLegs": [
|
||||
{
|
||||
"vtSymbol": "m1801",
|
||||
"ratio": -1,
|
||||
"multiplier": -1.0,
|
||||
"payup": 2
|
||||
}
|
||||
]
|
||||
},
|
||||
|
||||
{
|
||||
"name": "IF.07-09",
|
||||
|
||||
|
||||
@ -117,7 +117,8 @@ class StAlgoTemplate(object):
|
||||
#----------------------------------------------------------------------
|
||||
def writeLog(self, content):
|
||||
"""输出算法日志"""
|
||||
content = ':'.join([self.spreadName, content])
|
||||
prefix = ' '.join([self.spreadName, self.algoName])
|
||||
content = ':'.join([prefix, content])
|
||||
self.algoEngine.writeLog(content)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -287,6 +288,8 @@ class SniperAlgo(StAlgoTemplate):
|
||||
self.hedgeCount = 0
|
||||
|
||||
self.active = True
|
||||
self.writeLog(u'算法启动')
|
||||
|
||||
return self.active
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -296,7 +299,9 @@ class SniperAlgo(StAlgoTemplate):
|
||||
self.hedgingTaskDict.clear()
|
||||
self.cancelAllOrders()
|
||||
|
||||
self.active = False
|
||||
self.active = False
|
||||
self.writeLog(u'算法停止')
|
||||
|
||||
return self.active
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -448,7 +453,7 @@ class SniperAlgo(StAlgoTemplate):
|
||||
cancelPassive = False
|
||||
|
||||
for vtSymbol in self.passiveVtSymbols:
|
||||
if self.legOrderDict[vtSymbol]:
|
||||
if vtSymbol in self.legOrderDict and self.legOrderDict[vtSymbol]:
|
||||
self.cancelLegOrder(vtSymbol)
|
||||
cancelPassive = True
|
||||
|
||||
|
||||
@ -93,10 +93,10 @@ class StDataEngine(object):
|
||||
activeSetting = setting['activeLeg']
|
||||
|
||||
activeLeg = StLeg()
|
||||
activeLeg.vtSymbol = activeSetting['vtSymbol']
|
||||
activeLeg.ratio = activeSetting['ratio']
|
||||
activeLeg.multiplier = activeSetting['multiplier']
|
||||
activeLeg.payup = activeSetting['payup']
|
||||
activeLeg.vtSymbol = str(activeSetting['vtSymbol'])
|
||||
activeLeg.ratio = float(activeSetting['ratio'])
|
||||
activeLeg.multiplier = float(activeSetting['multiplier'])
|
||||
activeLeg.payup = int(activeSetting['payup'])
|
||||
|
||||
spread.addActiveLeg(activeLeg)
|
||||
self.legDict[activeLeg.vtSymbol] = activeLeg
|
||||
@ -110,10 +110,10 @@ class StDataEngine(object):
|
||||
|
||||
for d in passiveSettingList:
|
||||
passiveLeg = StLeg()
|
||||
passiveLeg.vtSymbol = d['vtSymbol']
|
||||
passiveLeg.ratio = d['ratio']
|
||||
passiveLeg.multiplier = d['multiplier']
|
||||
passiveLeg.payup = d['payup']
|
||||
passiveLeg.vtSymbol = str(d['vtSymbol'])
|
||||
passiveLeg.ratio = float(d['ratio'])
|
||||
passiveLeg.multiplier = float(d['multiplier'])
|
||||
passiveLeg.payup = int(d['payup'])
|
||||
|
||||
spread.addPassiveLeg(passiveLeg)
|
||||
self.legDict[passiveLeg.vtSymbol] = passiveLeg
|
||||
@ -176,7 +176,7 @@ class StDataEngine(object):
|
||||
# 更新腿持仓
|
||||
leg = self.legDict[trade.vtSymbol]
|
||||
direction = trade.direction
|
||||
offset = trade.offst
|
||||
offset = trade.offset
|
||||
|
||||
if direction == DIRECTION_LONG:
|
||||
if offset == OFFSET_OPEN:
|
||||
@ -212,7 +212,7 @@ class StDataEngine(object):
|
||||
return
|
||||
|
||||
# 更新腿持仓
|
||||
leg = self.legDict[trade.vtSymbol]
|
||||
leg = self.legDict[pos.vtSymbol]
|
||||
direction = pos.direction
|
||||
|
||||
if direction == DIRECTION_LONG:
|
||||
@ -222,7 +222,7 @@ class StDataEngine(object):
|
||||
leg.netPos = leg.longPos - leg.shortPos
|
||||
|
||||
# 更新价差持仓
|
||||
spread = self.vtSymbolSpreadDict[trade.vtSymbol]
|
||||
spread = self.vtSymbolSpreadDict[pos.vtSymbol]
|
||||
spread.calculatePos()
|
||||
|
||||
# 推送价差持仓更新
|
||||
@ -327,7 +327,7 @@ class StAlgoEngine(object):
|
||||
"""处理成交事件"""
|
||||
trade = event.dict_['data']
|
||||
|
||||
algo = self.algoDict.get(trade.vtSymbol, None)
|
||||
algo = self.vtSymbolAlgoDict.get(trade.vtSymbol, None)
|
||||
if algo:
|
||||
algo.updateTrade(trade)
|
||||
|
||||
@ -335,8 +335,8 @@ class StAlgoEngine(object):
|
||||
def processOrderEvent(self, event):
|
||||
"""处理委托事件"""
|
||||
order = event.dict_['data']
|
||||
algo = self.vtSymbolAlgoDict.get(order.vtSymbol, None)
|
||||
|
||||
algo = self.algoDict.get(order.vtSymbol, None)
|
||||
if algo:
|
||||
algo.updateOrder(order)
|
||||
|
||||
@ -358,7 +358,7 @@ class StAlgoEngine(object):
|
||||
req.exchange = contract.exchange
|
||||
req.direction = direction
|
||||
req.offset = offset
|
||||
req.volume = volume
|
||||
req.volume = int(volume)
|
||||
req.priceType = PRICETYPE_LIMITPRICE
|
||||
|
||||
if direction == DIRECTION_LONG:
|
||||
@ -443,7 +443,12 @@ class StAlgoEngine(object):
|
||||
# 创建算法对象
|
||||
l = self.dataEngine.getAllSpreads()
|
||||
for spread in l:
|
||||
self.algoDict[spread.name] = SniperAlgo(self, spread)
|
||||
algo = SniperAlgo(self, spread)
|
||||
self.algoDict[spread.name] = algo
|
||||
|
||||
# 保存腿代码和算法对象的映射
|
||||
for leg in spread.allLegs:
|
||||
self.vtSymbolAlgoDict[leg.vtSymbol] = algo
|
||||
|
||||
# 加载配置
|
||||
f = shelve.open(self.algoFilePath)
|
||||
|
||||
@ -319,7 +319,7 @@ class StActiveButton(QtWidgets.QPushButton):
|
||||
def buttonClicked(self):
|
||||
"""改变运行模式"""
|
||||
if self.active:
|
||||
self.stop
|
||||
self.stop()
|
||||
else:
|
||||
self.start()
|
||||
|
||||
@ -334,7 +334,6 @@ class StActiveButton(QtWidgets.QPushButton):
|
||||
def start(self):
|
||||
"""启动"""
|
||||
algoActive = self.algoEngine.startAlgo(self.spreadName)
|
||||
|
||||
if algoActive:
|
||||
self.setStarted()
|
||||
|
||||
|
||||
@ -1,6 +1,7 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
import psutil
|
||||
import traceback
|
||||
|
||||
from vnpy.trader.vtFunction import loadIconPath
|
||||
from vnpy.trader.vtGlobal import globalSetting
|
||||
@ -257,18 +258,25 @@ class MainWindow(QtWidgets.QMainWindow):
|
||||
#----------------------------------------------------------------------
|
||||
def loadWindowSettings(self, settingName):
|
||||
"""载入窗口设置"""
|
||||
settings = QtCore.QSettings('vn.trader', settingName)
|
||||
# 这里由于PyQt4的版本不同，settings.value('state')调用返回的结果可能是：
|
||||
# 1. None（初次调用，注册表里无相应记录，因此为空）
|
||||
# 2. QByteArray（比较新的PyQt4）
|
||||
# 3. QVariant（以下代码正确执行所需的返回结果）
|
||||
# 所以为了兼容考虑，这里加了一个try...except，如果是1、2的情况就pass
|
||||
# 可能导致主界面的设置无法载入（每次退出时的保存其实是成功了）
|
||||
try:
|
||||
self.restoreState(settings.value('state').toByteArray())
|
||||
self.restoreGeometry(settings.value('geometry').toByteArray())
|
||||
except AttributeError:
|
||||
pass
|
||||
settings = QtCore.QSettings('vn.trader', settingName)
|
||||
state = settings.value('state')
|
||||
geometry = settings.value('geometry')
|
||||
|
||||
# 尚未初始化
|
||||
if state is None:
|
||||
return
|
||||
# 老版PyQt
|
||||
elif isinstance(state, QtCore.QVariant):
|
||||
self.restoreState(state.toByteArray())
|
||||
self.restoreGeometry(geometry.toByteArray())
|
||||
# 新版PyQt
|
||||
elif isinstance(state, QtCore.QByteArray):
|
||||
self.restoreState(state)
|
||||
self.restoreGeometry(geometry)
|
||||
# 异常
|
||||
else:
|
||||
content = u'载入窗口配置异常，请检查'
|
||||
self.mainEngine.writeLog(content)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def restoreWindow(self):
|
||||
|
||||
Loading…
Reference in New Issue
Block a user