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完成上海中期历史行情接口vn.shcifco

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This commit is contained in:
vn.py 2017-06-30 11:22:53 +08:00
parent 676ce4a649
commit 9eee8ea166
9 changed files with 139 additions and 66 deletions
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4
examples/VnTrader/run.py
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@ -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
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@ -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)

70
vnpy/data/shcifco/vnshcifco.py
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@ -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)

2
vnpy/trader/app/dataRecorder/drEngine.py
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@ -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']

21
vnpy/trader/app/spreadTrading/ST_setting.json
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@ -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",

9
vnpy/trader/app/spreadTrading/stAlgo.py
View File

@ -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
#----------------------------------------------------------------------
@ -297,6 +300,8 @@ class SniperAlgo(StAlgoTemplate):
self.cancelAllOrders()
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

35
vnpy/trader/app/spreadTrading/stEngine.py
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@ -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)

3
vnpy/trader/app/spreadTrading/uiStWidget.py
View File

@ -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()

30
vnpy/trader/uiMainWindow.py
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@ -1,6 +1,7 @@
# encoding: UTF-8
import psutil
import traceback
from vnpy.trader.vtFunction import loadIconPath
from vnpy.trader.vtGlobal import globalSetting
@ -258,17 +259,24 @@ 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
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):