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vn.datayes/README.md
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vn.datayes/README.md
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#VN.DATAYES - Welcome!
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##0. Tutorial - ipythonNotebook
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http://nbviewer.ipython.org/github/zedyang/vn.past-demo/blob/master/static/tutorial.ipynb
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##1. Preface
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###1.1
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vn.datayes是一个从属于vnpy的开源历史数据模块；使用通联数据API以及MongoDB进行数据的下载和存储管理。项目目前与将来主要解决\准备解决以下问题：
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* 从通联数据等API高效地爬取、更新、清洗历史数据。
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* 基于MongoDB的数据库管理、快速查询、转换输出格式；支持自定义符合需求的行情历史数据库。
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* 基于Python.Matplotlib或R.ggplot2，快速绘制K线图等可视化对象。
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项目目前主要包括了通联API开发者试用方案中大部分的市场行情日线数据（股票、期货、期权、指数、基金等），以及部分基本面数据。数据下载与更新主要采用多线程设计，测试效率如下：
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| 数据集举例 | 数据集容量 | 下载时间估计 |
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| :-------------: | :-------------: | :-------------: |
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| 股票日线数据，2800个交易代码，2013年1月1日至2015年8月1日 | 2800个collection，约500条/each | 7-10分钟 |
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| 股票分钟线数据，2个交易代码，2013年1月1日至2015年8月1日 | 2个collection，约20万条/each | 1-2分钟 |
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| 股票日线数据更新任务，2800个交易代码，2015年8月1日至2015年8月15日 | 2800个collection，约10条/each | 1-2分钟 |
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vn.datayes基于MongoDB数据库，通过一个json配置文件简化数据库的初始化、设置、动态更新过程。较为精细的数据库操作仍需编写脚本进行。若对MongoDB与pymongo不熟悉，推荐使用Robomongo等窗口化查看工具作为辅助。
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###1.2 主要依赖：
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pymongo, pandas, requests, json
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###1.3 开发测试环境：
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Mac OS X 10.10; Windows 7 || Anaconda.Python 2.7
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##2. Get Started
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###2.1 准备
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* 下载并安装MongoDB: https://www.mongodb.org/downloads
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* 获取API token，以通联数据为例。
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* 更新pymongo至3.0以上版本; 更新requests等包。
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```
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~$ pip install pymongo --upgrade
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~$ pip install requests --upgrade
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```
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* [ ! 注意，本模块需要pymongo3.0新加入的部分方法，使用vnpy本体所用的2.7版本对应方法将无法正常插入数据。依赖冲突的问题会尽快被解决，目前推荐制作一个virtual environment来单独运行这个模块；或者暴力切换pymongo的版本：]
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```
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~$ pip install pymongo==3.0.3 # this module.
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~$ pip install pymongo==2.7.2 # pymongo 2.7.
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```
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* 启动MongoDB
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```
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~$ mongod
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```
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###2.2 数据库初始化与下载
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* **api.Config** 对象包含了向API进行数据请求所需的信息，我们需要一个用户token来初始化这个对象。
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```
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from storage import *
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myConfig = Config(head="Zed's Config",
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token='7c2e59e212dbff90ffd6b382c7afb57bc987a99307d382b058af6748f591d723')
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myConfig.body
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```
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```
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{'domain': 'api.wmcloud.com/data',
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'header': {'Authorization': 'Bearer 7c2e59e212dbff90ffd6b382c7afb57bc987a99307d382b058af6748f591d723',
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'Connection': 'keep-alive'},
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'ssl': False,
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'version': 'v1'}
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```
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* **storage.DBConfig** 对象包含了数据库配置。我们需要自己编写一个json字典来填充这个对象。举例来说，我们希望下载股票日线数据和指数日线数据，数据库名称为DATAYES_EQUITY_D1和DATAYES_INDEX_D1，index为日期“date”。那么json字典是这样的：
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```
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client = pymongo.MongoClient() # pymongo.connection object.
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body = {
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'client': client, # connection object.
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'dbs': {
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'EQU_D1': { # in-python alias: 'EQU_D1'
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'self': client['DATAYES_EQUITY_D1'], # pymongo.database[name] object.
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'index': 'date', # index name.
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'collNames': 'equTicker' # what are collection names consist of.
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},
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'IDX_D1': { # Another database
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'self': client['DATAYES_INDEX_D1'],
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'index': 'date',
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'collNames': 'idxTicker'
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}
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},
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'dbNames': ['EQU_D1','IDX_D1'] # List of alias.
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}
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myDbConfig_ = DBConfig(body=body)
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# 这看上去有些麻烦；不想这么做的话可以直接使用DBConfig的默认构造函数。
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myDbConfig = DBConfig()
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myDbConfig.body
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```
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```
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{'client': MongoClient('localhost', 27017),
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'dbNames': ['EQU_M1', 'EQU_D1', 'FUT_D1', 'OPT_D1', 'FUD_D1', 'IDX_D1'],
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'dbs': {'EQU_D1': {'collNames': 'equTicker',
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'index': 'date',
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'self': Database(MongoClient('localhost', 27017), u'DATAYES_EQUITY_D1')},
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'EQU_M1': {'collNames': 'secID',
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'index': 'dateTime',
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'self': Database(MongoClient('localhost', 27017), u'DATAYES_EQUITY_M1')},
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'FUD_D1': {'collNames': 'fudTicker',
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'index': 'date',
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'self': Database(MongoClient('localhost', 27017), u'DATAYES_FUND_D1')},
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'FUT_D1': {'collNames': 'futTicker',
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'index': 'date',
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'self': Database(MongoClient('localhost', 27017), u'DATAYES_FUTURE_D1')},
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'IDX_D1': {'collNames': 'idxTicker',
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'index': 'date',
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'self': Database(MongoClient('localhost', 27017), u'DATAYES_INDEX_D1')},
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'OPT_D1': {'collNames': 'optTicker',
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'index': 'date',
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'self': Database(MongoClient('localhost', 27017), u'DATAYES_OPTION_D1')}}}
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```
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* **api.PyApi**是向网络数据源进行请求的主要对象。**storage.MongodController**是进行数据库管理的对象。当我们完成了配置对象的构造，即可初始化PyApi与MongodController。**MongodController._get_coll_names()** 和**MongodController._ensure_index()** 是数据库初始化所调用的方法，为了模块开发的方便，它们暂时没有被放进构造函数中自动执行。
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```
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myApi = PyApi(myConfig) # construct PyApi object.
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mc = MongodController(api=myApi, config=myDbConfig) # construct MongodController object,
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# on the top of PyApi.
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mc._get_coll_names() # get names of collections.
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mc._ensure_index() # ensure collection indices.
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```
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```
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[MONGOD]: Collection names gotten.
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[MONGOD]: MongoDB index set.
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```
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* 使用**MongodController.download#()**方法进行下载。
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mc.download_index_D1('20150101','20150801')
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###2.3 数据库更新
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* 使用**MongodController.update#()**方法进行更新。脚本会自动寻找数据库中的最后一日并更新至最新交易日。
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```
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from datetime import datetime
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datetime.now()
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```
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```
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datetime.datetime(2015, 8, 17, 10, 49, 21, 37758)
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```
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```
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mc.update_index_D1()
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```
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###2.4 Mac OS或Linux下的下载与更新
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模块中包含了一些shell脚本，方面在linux-like os下的数据下载、更新。
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```
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~$ cd path/of/vn/datayes
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~$ chmod +x prepare.sh
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~$ ./prepare.sh
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```
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0
vn.datayes/__init__.py
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vn.datayes/__init__.py
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1561
vn.datayes/api.py
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1561
vn.datayes/api.py
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Load Diff
2801
vn.datayes/config/db_EQU_D1.csv
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2801
vn.datayes/config/db_EQU_D1.csv
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Load Diff
51
vn.datayes/download.sh
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vn.datayes/download.sh
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#!/bin/bash
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echo [API]: Prepare to construct DATAYES_FUTURE_D1, {20150101, 20150801}...
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python - << EOF
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from storage import *
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dc = DBConfig()
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api = PyApi(Config())
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mc = MongodController(dc, api)
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mc.download_future_D1('20150101','20150801')
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EOF
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echo [MONGOD]: DATAYES_FUTURE_D1 constructed.
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echo [API]: Prepare to construct DATAYES_OPTION_D1, {20150101, 20150801}...
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python - << EOF
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from storage import *
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dc = DBConfig()
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api = PyApi(Config())
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mc = MongodController(dc, api)
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mc.download_option_D1('20150101','20150801')
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EOF
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echo [MONGOD]: DATAYES_OPTION_D1 constructed.
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echo [API]: Prepare to construct DATAYES_INDEX_D1, {20150101, 20150801}...
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python - << EOF
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from storage import *
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dc = DBConfig()
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api = PyApi(Config())
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mc = MongodController(dc, api)
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mc.download_index_D1('20150101','20150801')
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EOF
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echo [MONGOD]: DATAYES_INDEX_D1 constructed.
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echo [API]: Prepare to construct DATAYES_FUND_D1, {20150101, 20150801}...
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python - << EOF
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from storage import *
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dc = DBConfig()
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api = PyApi(Config())
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mc = MongodController(dc, api)
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mc.download_fund_D1('20150101','20150801')
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EOF
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echo [MONGOD]: DATAYES_FUND_D1 constructed.
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echo [API]: Prepare to construct DATAYES_EQUITY_D1, {20130101, 20150801}...
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python - << EOF
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from storage import *
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dc = DBConfig()
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api = PyApi(Config())
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mc = MongodController(dc, api)
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mc.download_equity_D1('20130101','20150801')
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EOF
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echo [MONGOD]: DATAYES_EQUITY_D1 constructed.
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vn.datayes/errors.py
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vn.datayes/errors.py
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class VNPAST_ConfigError(Exception):
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"""
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Config file error, raised when config.json or python object
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is broken or invalid.
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"""
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pass
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class VNPAST_RequestError(Exception):
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"""
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HTTP Request Error, raised when response is not properly gotten:
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* GET response.status code != 200.
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* POST response.status code != 201.
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* Connection timed out.
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* ...
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"""
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pass
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class VNPAST_DatabaseError(Exception):
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"""
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"""
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pass
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class VNPAST_DataConstructorError(Exception):
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"""
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"""
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pass
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58
vn.datayes/fun/fetch.R
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vn.datayes/fun/fetch.R
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ensure_pkgs = function(){
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if (!'data.table' %in% installed.packages()){
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install.packages('data.table')
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}
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if (!'rmongodb' %in% installed.packages()){
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install.packages('rmongodb')
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}
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require(data.table)
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require(rmongodb)
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return(1)
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}
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get_connection = function(){
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client = mongo.create()
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return(client)
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}
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get_dbs = function(){
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client = mongo.create()
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if(mongo.is.connected(client) == TRUE) {
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dbs = mongo.get.databases(client)
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}
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return(dbs)
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}
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get_colls = function(db){
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client = mongo.create()
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if(mongo.is.connected(client) == TRUE) {
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colls = mongo.get.database.collections(client, db)
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}
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return(colls)
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}
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view_doc = function(coll, one=1){
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client = mongo.create()
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if(mongo.is.connected(client) == TRUE) {
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if(one==1){
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doc = mongo.find.one(client, coll)
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}
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else{
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doc = mongo.find.all(client, coll)
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}
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}
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return(doc)
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}
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fetch = function(coll, start, end){
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client = mongo.create()
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if(mongo.is.connected(client) == TRUE) {
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docs = mongo.find.all(client, coll,
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query = list(
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'date'=list('lte'=end),
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'date'=list('gte'=start)
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))
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}
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return(docs)
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}
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1
vn.datayes/names/equTicker.json
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1
vn.datayes/names/equTicker.json
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1
vn.datayes/names/fudTicker.json
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1
vn.datayes/names/fudTicker.json
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|
||||
["150001", "150008", "150009", "150012", "150013", "150016", "150017", "150018", "150019", "150020", "150021", "150022", "150023", "150027", "150028", "150029", "150030", "150031", "150032", "150033", "150034", "150035", "150036", "150037", "150039", "150040", "150042", "150047", "150048", "150049", "150050", "150051", "150052", "150053", "150054", "150055", "150056", "150057", "150058", "150059", "150060", "150064", "150065", "150066", "150067", "150073", "150075", "150076", "150077", "150080", "150083", "150084", "150085", "150086", "150088", "150089", "150090", "150091", "150092", "150093", "150094", "150095", "150096", "150097", "150098", "150099", "150100", "150101", "150102", "150104", "150105", "150106", "150107", "150108", "150109", "150112", "150113", "150114", "150117", "150118", "150120", "150121", "150122", "150123", "150124", "150128", "150129", "150130", "150131", "150133", "150134", "150135", "150136", "150137", "150138", "150139", "150140", "150141", "150142", "150143", "150144", "150145", "150146", "150147", "150148", "150149", "150150", "150151", "150152", "150153", "150154", "150156", "150157", "150158", "150160", "150161", "150164", "150165", "150167", "150168", "150169", "150170", "150171", "150172", "150173", "150174", "150175", "150176", "150177", "150178", "150179", "150180", "150181", "150182", "150184", "150185", "150186", "150187", "150188", "150189", "150190", "150191", "150192", "150193", "150194", "150195", "150196", "150197", "150198", "150199", "150200", "150201", "150203", "150204", "150205", "150206", "150207", "150208", "150209", "150210", "150211", "150212", "150213", "150214", "150215", "150216", "150217", "150218", "150219", "150220", "150221", "150222", "150223", "150224", "150227", "150228", "150229", "150230", "150241", "150242", "159001", "159003", "159005", "159901", "159902", "159903", "159905", "159906", "159907", "159908", "159909", "159910", "159911", "159912", "159913", "159915", "159916", "159917", "159918", "159919", "159920", "159921", "159922", "159923", "159924", "159925", "159926", "159927", "159928", "159929", "159930", "159931", "159932", "159933", "159934", "159935", "159936", "159937", "159938", "159939", "159940", "160105", "160106", "160119", "160123", "160125", "160128", "160130", "160131", "160133", "160211", "160212", "160215", "160216", "160220", "160311", "160314", "160415", "160416", "160505", "160512", "160513", "160515", "160607", "160610", "160611", "160613", "160615", "160616", "160617", "160618", "160621", "160706", "160716", "160717", "160719", "160720", "160805", "160807", "160810", "160812", "160813", "160910", "160915", "160916", "160918", "160919", "161005", "161010", "161015", "161017", "161019", "161115", "161116", "161117", "161119", "161210", "161213", "161216", "161217", "161219", "161222", "161224", "161505", "161607", "161610", "161614", "161706", "161713", "161714", "161716", "161810", "161813", "161815", "161820", "161821", "161831", "161903", "161907", "161908", "161911", "162006", "162105", "162207", "162307", "162308", "162411", "162605", "162607", "162703", "162711", "162712", "162715", "163001", "163110", "163208", "163210", "163302", "163402", "163407", "163409", "163412", "163415", "163503", "163801", "163819", "163821", "163824", "163827", "164105", "164208", "164606", "164701", "164702", "164705", "164808", "164810", "164814", "164815", "164902", "165309", "165311", "165313", "165508", "165509", "165510", "165512", "165513", "165516", "165517", "165705", "165806", "166001", "166006", "166007", "166008", "166009", "166011", "166401", "166902", "166904", "167901", "169101", "184721", "184722", "184728", "500038", "500056", "500058", "502000", "502001", "502002", "502048", "502049", "502050", "505888", "510010", "510020", "510030", "510050", "510060", "510070", "510090", "510110", "510120", "510130", "510150", "510160", "510170", "510180", "510190", "510210", "510220", "510230", "510260", "510270", "510280", "510290", "510300", "510310", "510330", "510410", "510420", "510430", "510440", "510450", "510500", "510510", "510520", "510610", "510620", "510630", "510650", "510660", "510680", "510700", "510880", "510900", "511010", "511210", "511220", "511800", "511810", "511860", "511880", "511990", "512010", "512070", "512110", "512120", "512210", "512220", "512230", "512300", "512310", "512600", "512610", "512640", "512990", "513030", "513100", "513500", "513600", "513660", "518800", "518880"]
|
||||
1
vn.datayes/names/futTicker.json
Normal file
1
vn.datayes/names/futTicker.json
Normal file
@ -0,0 +1 @@
|
||||
["a1505", "a1507", "a1509", "a1511", "a1601", "a1603", "a1605", "a1607", "a1609", "Ag(T+D)", "ag1505", "ag1506", "ag1507", "ag1508", "ag1509", "ag1510", "ag1511", "ag1512", "ag1601", "ag1602", "ag1603", "ag1604", "al1505", "al1506", "al1507", "al1508", "al1509", "al1510", "al1511", "al1512", "al1601", "al1602", "al1603", "al1604", "Au(T+D)", "au1505", "au1506", "au1507", "au1508", "au1510", "au1512", "au1602", "au1604", "b1505", "b1507", "b1509", "b1511", "b1601", "b1603", "bb1505", "bb1506", "bb1507", "bb1508", "bb1509", "bb1510", "bb1511", "bb1512", "bb1601", "bb1602", "bb1603", "bb1604", "bu1505", "bu1506", "bu1507", "bu1508", "bu1509", "bu1510", "bu1512", "bu1603", "bu1606", "bu1609", "bu1612", "bu1703", "c1505", "c1507", "c1509", "c1511", "c1601", "c1603", "CBOZF", "CBOZL", "CBOZN", "CBOZT", "CF505", "CF507", "CF509", "CF511", "CF601", "CF603", "COMGC", "COMHG", "COMSI", "cs1505", "cs1507", "cs1509", "cs1511", "cs1601", "cs1603", "cu1505", "cu1506", "cu1507", "cu1508", "cu1509", "cu1510", "cu1511", "cu1512", "cu1601", "cu1602", "cu1603", "cu1604", "fb1505", "fb1506", "fb1507", "fb1508", "fb1509", "fb1510", "fb1511", "fb1512", "fb1601", "fb1602", "fb1603", "fb1604", "FG505", "FG506", "FG507", "FG508", "FG509", "FG510", "FG511", "FG512", "FG601", "FG602", "FG603", "FG604", "fu1506", "fu1507", "fu1508", "fu1509", "fu1510", "fu1511", "fu1512", "fu1601", "fu1603", "fu1604", "fu1605", "hc1505", "hc1506", "hc1507", "hc1508", "hc1509", "hc1510", "hc1511", "hc1512", "hc1601", "hc1602", "hc1603", "hc1604", "i1505", "i1506", "i1507", "i1508", "i1509", "i1510", "i1511", "i1512", "i1601", "i1602", "i1603", "i1604", "IC1505", "IC1506", "IC1509", "IC1512", "IF1505", "IF1506", "IF1509", "IF1512", "IH1505", "IH1506", "IH1509", "IH1512", "j1505", "j1506", "j1507", "j1508", "j1509", "j1510", "j1511", "j1512", "j1601", "j1602", "j1603", "j1604", "jd1505", "jd1506", "jd1509", "jd1510", "jd1511", "jd1512", "jd1601", "jd1602", "jd1603", "jd1604", "jm1505", "jm1506", "jm1507", "jm1508", "jm1509", "jm1510", "jm1511", "jm1512", "jm1601", "jm1602", "jm1603", "jm1604", "JR505", "JR507", "JR509", "JR511", "JR601", "JR603", "l1505", "l1506", "l1507", "l1508", "l1509", "l1510", "l1511", "l1512", "l1601", "l1602", "l1603", "l1604", "LLG", "LR505", "LR507", "LR509", "LR511", "LR601", "LR603", "m1505", "m1507", "m1508", "m1509", "m1511", "m1512", "m1601", "m1603", "MA506", "MA507", "MA508", "MA509", "MA510", "MA511", "MA512", "MA601", "MA602", "MA603", "MA604", "ME505", "ni1507", "ni1508", "ni1509", "ni1510", "ni1511", "ni1512", "ni1601", "ni1602", "ni1603", "ni1604", "NYMBZ", "NYMNG", "OI505", "OI507", "OI509", "OI511", "OI601", "OI603", "p1505", "p1506", "p1507", "p1508", "p1509", "p1510", "p1511", "p1512", "p1601", "p1602", "p1603", "p1604", "pb1505", "pb1506", "pb1507", "pb1508", "pb1509", "pb1510", "pb1511", "pb1512", "pb1601", "pb1602", "pb1603", "pb1604", "PM505", "PM507", "PM509", "PM511", "PM601", "PM603", "pp1505", "pp1506", "pp1507", "pp1508", "pp1509", "pp1510", "pp1511", "pp1512", "pp1601", "pp1602", "pp1603", "pp1604", "rb1505", "rb1506", "rb1507", "rb1508", "rb1509", "rb1510", "rb1511", "rb1512", "rb1601", "rb1602", "rb1603", "rb1604", "RI505", "RI507", "RI509", "RI511", "RI601", "RI603", "RM505", "RM507", "RM508", "RM509", "RM511", "RM601", "RM603", "RS507", "RS508", "RS509", "RS511", "ru1505", "ru1506", "ru1507", "ru1508", "ru1509", "ru1510", "ru1511", "ru1601", "ru1603", "ru1604", "SF505", "SF506", "SF507", "SF508", "SF509", "SF510", "SF511", "SF512", "SF601", "SF602", "SF603", "SF604", "SM505", "SM506", "SM507", "SM508", "SM509", "SM510", "SM511", "SM512", "SM601", "SM602", "SM603", "SM604", "sn1507", "sn1508", "sn1509", "sn1510", "sn1511", "sn1512", "sn1601", "sn1602", "sn1603", "sn1604", "SR505", "SR507", "SR509", "SR511", "SR601", "SR603", "SR605", "SR607", "SR609", "T1509", "T1512", "T1603", "TA505", "TA506", "TA507", "TA508", "TA509", "TA510", "TA511", "TA512", "TA601", "TA602", "TA603", "TA604", "TC506", "TC507", "TC508", "TC509", "TC510", "TC511", "TC512", "TC601", "TC602", "TC603", "TC604", "TF1506", "TF1509", "TF1512", "TOCRU", "v1505", "v1506", "v1507", "v1508", "v1509", "v1510", "v1511", "v1512", "v1601", "v1602", "v1603", "v1604", "WH505", "WH507", "WH509", "WH511", "WH601", "WH603", "wr1505", "wr1506", "wr1507", "wr1508", "wr1509", "wr1510", "wr1511", "wr1512", "wr1601", "wr1602", "wr1603", "wr1604", "y1505", "y1507", "y1508", "y1509", "y1511", "y1512", "y1601", "y1603", "zn1505", "zn1506", "zn1507", "zn1508", "zn1509", "zn1510", "zn1511", "zn1512", "zn1601", "zn1602", "zn1603", "zn1604"]
|
||||
1
vn.datayes/names/idxTicker.json
Normal file
1
vn.datayes/names/idxTicker.json
Normal file
File diff suppressed because one or more lines are too long
1
vn.datayes/names/optTicker.json
Normal file
1
vn.datayes/names/optTicker.json
Normal file
@ -0,0 +1 @@
|
||||
["510050C1512M02950", "510050P1512M03500", "510050C1512M02900", "510050P1512M02950", "510050P1512M02900", "510050C1505M03200", "510050P1505M03200", "510050C1506M03200", "510050P1506M03200", "510050C1509M03200", "510050P1509M03200", "510050C1506M03500", "510050P1505M03500", "510050C1509M03500", "510050P1506M03500", "510050P1512M03300", "510050P1512M03200", "510050C1505M03500", "510050P1512M03400", "510050P1506M02500", "510050C1509M02500", "510050P1509M02500", "510050C1512M03500", "510050P1509M03500", "510050C1506M02500", "510050C1506M03400", "510050P1505M03400", "510050C1509M03300", "510050P1506M03300", "510050C1506M03300", "510050P1505M03300", "510050C1505M03400", "510050P1509M03300", "510050C1505M03300", "510050P1509M02450", "510050C1509M02450", "510050P1506M02450", "510050C1506M02450", "510050P1509M02400", "510050P1506M03000", "510050C1509M03000", "510050P1505M03000", "510050C1506M03000", "510050C1505M03000", "510050P1509M02950", "510050C1509M02950", "510050P1509M02900", "510050P1509M02600", "510050P1506M02600", "510050C1509M02600", "510050C1506M02650", "510050P1506M02650", "510050C1509M02650", "510050P1509M03000", "510050C1505M03100", "510050C1506M03100", "510050P1505M03100", "510050C1509M03100", "510050P1506M03100", "510050P1509M03100", "510050C1506M02750", "510050P1506M02750", "510050C1509M02750", "510050P1509M02750", "510050P1509M02550", "510050C1506M02550", "510050C1509M02550", "510050P1506M02550", "510050C1506M02600", "510050P1506M02850", "510050C1509M02850", "510050P1509M02850", "510050P1509M02700", "510050C1505M02850", "510050P1505M02800", "510050P1505M02850", "510050C1506M02850", "510050P1509M02650", "510050C1509M02700", "510050P1506M02700", "510050C1506M02700", "510050P1509M02200", "510050P1509M02250", "510050C1509M02350", "510050C1509M02400", "510050C1509M02250", "510050C1509M02300", "510050P1506M02400", "510050C1509M02200", "510050P1509M02300", "510050P1509M02350", "510050P1506M02900", "510050C1506M02950", "510050C1506M02900", "510050P1505M02950", "510050P1505M02900", "510050C1505M02950", "510050C1505M02900", "510050C1509M02900", "510050P1506M02950", "510050C1505M02650", "510050C1505M02700", "510050P1506M02800", "510050C1509M02800", "510050C1506M02800", "510050C1505M02550", "510050C1505M02600", "510050P1509M02800", "510050C1505M02500", "510050P1509M03400", "510050P1506M02300", "510050C1505M02800", "510050C1505M02750", "510050P1505M02700", "510050P1505M02750", "510050P1505M02550", "510050P1505M02500", "510050P1505M02650", "510050P1505M02600", "510050C1506M02300", "510050C1506M02250", "510050P1506M02350", "510050C1512M03000", "510050P1506M03400", "510050C1509M03400", "510050C1512M03300", "510050C1512M03400", "510050C1512M03100", "510050C1512M03200", "510050C1506M02200", "510050P1512M03000", "510050P1512M03100", "510050C1506M02400", "510050C1506M02350", "510050P1506M02250", "510050P1506M02200"]
|
||||
1
vn.datayes/names/secID.json
Normal file
1
vn.datayes/names/secID.json
Normal file
File diff suppressed because one or more lines are too long
84
vn.datayes/prepare.sh
Executable file
84
vn.datayes/prepare.sh
Executable file
@ -0,0 +1,84 @@
|
||||
#!/bin/bash
|
||||
|
||||
dir_n=names
|
||||
if [ ! -d $dir_n ]; then
|
||||
mkdir $dir_n
|
||||
fi
|
||||
|
||||
dir_c=config
|
||||
if [ ! -d $dir_c ]; then
|
||||
mkdir $dir_c
|
||||
fi
|
||||
|
||||
echo [vn-past]: Configuration starts.
|
||||
|
||||
python - << EOF
|
||||
|
||||
from storage import *
|
||||
import pandas as pd
|
||||
import os
|
||||
dc = DBConfig()
|
||||
api = PyApi(Config())
|
||||
mc = MongodController(dc, api)
|
||||
|
||||
mc._collNames['equTicker'] = mc._allEquTickers()
|
||||
print '[MONGOD]: Equity tickers collected.'
|
||||
|
||||
mc._collNames['secID'] = mc._allSecIds()
|
||||
print '[MONGOD]: Security IDs collected.'
|
||||
|
||||
mc._collNames['futTicker'] = mc._allFutTickers()
|
||||
print '[MONGOD]: Future tickers collected.'
|
||||
|
||||
mc._collNames['optTicker'] = mc._allOptTickers()
|
||||
print '[MONGOD]: Option symbols collected.'
|
||||
|
||||
mc._collNames['fudTicker'] = mc._allFudTickers()
|
||||
print '[MONGOD]: Mutual Fund symbols collected.'
|
||||
|
||||
mc._collNames['idxTicker'] = mc._allIdxTickers()
|
||||
print '[MONGOD]: Index symbols collected.'
|
||||
|
||||
mc._ensure_index()
|
||||
|
||||
EOF
|
||||
|
||||
|
||||
echo [vn-past]: Configuration finished.
|
||||
echo [vn-past]: Selected databases:
|
||||
cd ./names
|
||||
ls -l
|
||||
|
||||
echo [vn-past]: Prepare to construct[c]/update[u] databases...
|
||||
|
||||
read -r -p "[vn-past]: Waiting for orders[c/u]: " response
|
||||
if [[ $response =~ ^([uU][pP][dD][aA][tT][eE]|[uU])$ ]]
|
||||
then
|
||||
echo [API]: Prepare to update data...
|
||||
read -r -p "[API]: Confirm? [y/N] " response
|
||||
if [[ $response =~ ^([yY][eE][sS]|[yY])$ ]]
|
||||
then
|
||||
cd -
|
||||
chmod +x update.sh
|
||||
./update.sh
|
||||
|
||||
else
|
||||
echo [vn-past]: Do not update.
|
||||
:
|
||||
fi
|
||||
|
||||
else
|
||||
echo [API]: Prepare to download Bars...
|
||||
read -r -p "[API]: Confirm? [y/N] " response
|
||||
if [[ $response =~ ^([yY][eE][sS]|[yY])$ ]]
|
||||
then
|
||||
cd -
|
||||
chmod +x download.sh
|
||||
./download.sh
|
||||
|
||||
else
|
||||
echo [vn-past]: Do not download.
|
||||
:
|
||||
fi
|
||||
fi
|
||||
echo [vn-past]: Finished.
|
||||
BIN
vn.datayes/static/figs/fig1.png
Normal file
BIN
vn.datayes/static/figs/fig1.png
Normal file
Binary file not shown.
|
After Width: | Height: | Size: 618 KiB |
BIN
vn.datayes/static/figs/fig2.png
Normal file
BIN
vn.datayes/static/figs/fig2.png
Normal file
Binary file not shown.
|
After Width: | Height: | Size: 234 KiB |
BIN
vn.datayes/static/figs/fig3.png
Normal file
BIN
vn.datayes/static/figs/fig3.png
Normal file
Binary file not shown.
|
After Width: | Height: | Size: 465 KiB |
BIN
vn.datayes/static/figs/fig4.png
Normal file
BIN
vn.datayes/static/figs/fig4.png
Normal file
Binary file not shown.
|
After Width: | Height: | Size: 465 KiB |
BIN
vn.datayes/static/figs/fig5.png
Normal file
BIN
vn.datayes/static/figs/fig5.png
Normal file
Binary file not shown.
|
After Width: | Height: | Size: 320 KiB |
BIN
vn.datayes/static/figs/fig6.png
Normal file
BIN
vn.datayes/static/figs/fig6.png
Normal file
Binary file not shown.
|
After Width: | Height: | Size: 319 KiB |
348
vn.datayes/static/tutorial.ipynb
Normal file
348
vn.datayes/static/tutorial.ipynb
Normal file
@ -0,0 +1,348 @@
|
||||
{
|
||||
"cells": [
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"#VN.DATAYES - Welcome!\n",
|
||||
"***\n",
|
||||
"##1. Preface\n",
|
||||
"\n",
|
||||
"###1.1\n",
|
||||
"vn.datayes是一个从属于vnpy的开源历史数据模块；使用通联数据API以及MongoDB进行数据的下载和存储管理。项目目前与将来主要解决\\准备解决以下问题：\n",
|
||||
"\n",
|
||||
"* 从通联数据等API高效地爬取、更新、清洗历史数据。\n",
|
||||
"* 基于MongoDB的数据库管理、快速查询、转换输出格式；支持自定义符合需求的行情历史数据库。\n",
|
||||
"* 基于Python.Matplotlib或R.ggplot2，快速绘制K线图等可视化对象。\n",
|
||||
"\n",
|
||||
"项目目前主要包括了通联API开发者试用方案中大部分的市场行情日线数据（股票、期货、期权、指数、基金等），以及部分基本面数据。数据下载与更新主要采用多线程设计，测试效率如下：\n",
|
||||
"\n",
|
||||
"| 数据集举例 | 数据集容量 | 下载时间估计 |\n",
|
||||
"| :-------------: | :-------------: | :-------------: |\n",
|
||||
"| 股票日线数据，2800个交易代码，2013年1月1日至2015年8月1日 | 2800个collection，约500条/each | 7-10分钟 |\n",
|
||||
"| 股票分钟线数据，2个交易代码，2013年1月1日至2015年8月1日 | 2个collection，约20万条/each | 1-2分钟 |\n",
|
||||
"| 股票日线数据更新任务，2800个交易代码，2015年8月1日至2015年8月15日 | 2800个collection，约10条/each | 1-2分钟 |\n",
|
||||
"\n",
|
||||
"vn.datayes基于MongoDB数据库，通过一个json配置文件简化数据库的初始化、设置、动态更新过程。较为精细的数据库操作仍需编写脚本进行。若对MongoDB与pymongo不熟悉，推荐使用Robomongo等窗口化查看工具作为辅助。\n",
|
||||
"\n",
|
||||
"###1.2 主要依赖：\n",
|
||||
"pymongo, pandas, requests, json\n",
|
||||
"###1.3 开发测试环境：\n",
|
||||
"Mac OS X 10.10; Windows 7 || Anaconda.Python 2.7"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"* * *\n",
|
||||
"##2. Get Started\n",
|
||||
"###2.1 准备\n",
|
||||
"\n",
|
||||
"* 下载并安装MongoDB: https://www.mongodb.org/downloads\n",
|
||||
"* 获取API token，以通联数据为例。\n",
|
||||
"\n",
|
||||
"\n",
|
||||
"\n",
|
||||
"* 更新pymongo至3.0以上版本; 更新requests等包。 \n",
|
||||
"```\n",
|
||||
"~$ pip install pymongo --upgrade\n",
|
||||
"~$ pip install requests --upgrade\n",
|
||||
"```\n",
|
||||
"\n",
|
||||
"* [ ! 注意，本模块需要pymongo3.0新加入的部分方法，使用vnpy本体所用的2.7版本对应方法将无法正常插入数据。依赖冲突的问题会尽快被解决，目前推荐制作一个virtual environment来单独运行这个模块；或者暴力切换pymongo的版本：]\n",
|
||||
"```\n",
|
||||
"~$ pip install pymongo==3.0.3 # this module.\n",
|
||||
"~$ pip install pymongo==2.7.2 # pymongo 2.7.\n",
|
||||
"```\n",
|
||||
"\n",
|
||||
"* 启动MongoDB\n",
|
||||
"```\n",
|
||||
"~$ mongod\n",
|
||||
"```\n",
|
||||
"\n",
|
||||
"\n",
|
||||
"###2.2 数据库初始化与下载\n",
|
||||
"* **api.Config** 对象包含了向API进行数据请求所需的信息，我们需要一个用户token来初始化这个对象。"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 2,
|
||||
"metadata": {
|
||||
"collapsed": false
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"{'domain': 'api.wmcloud.com/data',\n",
|
||||
" 'header': {'Authorization': 'Bearer 7c2e59e212dbff90ffd6b382c7afb57bc987a99307d382b058af6748f591d723',\n",
|
||||
" 'Connection': 'keep-alive'},\n",
|
||||
" 'ssl': False,\n",
|
||||
" 'version': 'v1'}"
|
||||
]
|
||||
},
|
||||
"execution_count": 2,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"from storage import *\n",
|
||||
"\n",
|
||||
"myConfig = Config(head=\"Zed's Config\", \n",
|
||||
" token='7c2e59e212dbff90ffd6b382c7afb57bc987a99307d382b058af6748f591d723')\n",
|
||||
"myConfig.body"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"* * *\n",
|
||||
"* **storage.DBConfig** 对象包含了数据库配置。我们需要自己编写一个json字典来填充这个对象。举例来说，我们希望下载股票日线数据和指数日线数据，数据库名称为DATAYES_EQUITY_D1和DATAYES_INDEX_D1，index为日期“date”。那么json字典是这样的："
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 3,
|
||||
"metadata": {
|
||||
"collapsed": false
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"{'client': MongoClient('localhost', 27017),\n",
|
||||
" 'dbNames': ['EQU_M1', 'EQU_D1', 'FUT_D1', 'OPT_D1', 'FUD_D1', 'IDX_D1'],\n",
|
||||
" 'dbs': {'EQU_D1': {'collNames': 'equTicker',\n",
|
||||
" 'index': 'date',\n",
|
||||
" 'self': Database(MongoClient('localhost', 27017), u'DATAYES_EQUITY_D1')},\n",
|
||||
" 'EQU_M1': {'collNames': 'secID',\n",
|
||||
" 'index': 'dateTime',\n",
|
||||
" 'self': Database(MongoClient('localhost', 27017), u'DATAYES_EQUITY_M1')},\n",
|
||||
" 'FUD_D1': {'collNames': 'fudTicker',\n",
|
||||
" 'index': 'date',\n",
|
||||
" 'self': Database(MongoClient('localhost', 27017), u'DATAYES_FUND_D1')},\n",
|
||||
" 'FUT_D1': {'collNames': 'futTicker',\n",
|
||||
" 'index': 'date',\n",
|
||||
" 'self': Database(MongoClient('localhost', 27017), u'DATAYES_FUTURE_D1')},\n",
|
||||
" 'IDX_D1': {'collNames': 'idxTicker',\n",
|
||||
" 'index': 'date',\n",
|
||||
" 'self': Database(MongoClient('localhost', 27017), u'DATAYES_INDEX_D1')},\n",
|
||||
" 'OPT_D1': {'collNames': 'optTicker',\n",
|
||||
" 'index': 'date',\n",
|
||||
" 'self': Database(MongoClient('localhost', 27017), u'DATAYES_OPTION_D1')}}}"
|
||||
]
|
||||
},
|
||||
"execution_count": 3,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"client = pymongo.MongoClient() # pymongo.connection object.\n",
|
||||
"\n",
|
||||
"body = {\n",
|
||||
" 'client': client, # connection object.\n",
|
||||
" 'dbs': {\n",
|
||||
" 'EQU_D1': { # in-python alias: 'EQU_D1'\n",
|
||||
" 'self': client['DATAYES_EQUITY_D1'], # pymongo.database[name] object.\n",
|
||||
" 'index': 'date', # index name.\n",
|
||||
" 'collNames': 'equTicker' # what are collection names consist of.\n",
|
||||
" },\n",
|
||||
" 'IDX_D1': { # Another database\n",
|
||||
" 'self': client['DATAYES_INDEX_D1'],\n",
|
||||
" 'index': 'date',\n",
|
||||
" 'collNames': 'idxTicker'\n",
|
||||
" }\n",
|
||||
" },\n",
|
||||
" 'dbNames': ['EQU_D1','IDX_D1'] # List of alias.\n",
|
||||
"}\n",
|
||||
"\n",
|
||||
"myDbConfig_ = DBConfig(body=body)\n",
|
||||
"\n",
|
||||
"# 这看上去有些麻烦；不想这么做的话可以直接使用DBConfig的默认构造函数。\n",
|
||||
"\n",
|
||||
"myDbConfig = DBConfig()\n",
|
||||
"\n",
|
||||
"myDbConfig.body"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"* * *\n",
|
||||
"* **api.PyApi**是向网络数据源进行请求的主要对象。**storage.MongodController**是进行数据库管理的对象。当我们完成了配置对象的构造，即可初始化PyApi与MongodController。**MongodController._get_coll_names()** 和**MongodController._ensure_index()** 是数据库初始化所调用的方法，为了模块开发的方便，它们暂时没有被放进构造函数中自动执行。"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 4,
|
||||
"metadata": {
|
||||
"collapsed": false
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"[MONGOD]: Collection names gotten.\n",
|
||||
"[MONGOD]: MongoDB index set.\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"1"
|
||||
]
|
||||
},
|
||||
"execution_count": 4,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"myApi = PyApi(myConfig) # construct PyApi object.\n",
|
||||
"mc = MongodController(api=myApi, config=myDbConfig) # construct MongodController object, \n",
|
||||
" # on the top of PyApi.\n",
|
||||
"mc._get_coll_names() # get names of collections.\n",
|
||||
"mc._ensure_index() # ensure collection indices."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
""
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"* 使用**MongodController.download#()**方法进行下载。"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {
|
||||
"collapsed": true
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"mc.download_index_D1('20150101','20150801')"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
""
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"###2.3 数据库更新\n",
|
||||
"* 使用**MongodController.update#()**方法进行更新。脚本会自动寻找数据库中的最后一日并更新至最新交易日。"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 8,
|
||||
"metadata": {
|
||||
"collapsed": false
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"datetime.datetime(2015, 8, 17, 10, 49, 21, 37758)"
|
||||
]
|
||||
},
|
||||
"execution_count": 8,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"from datetime import datetime\n",
|
||||
"datetime.now()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {
|
||||
"collapsed": true
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"mc.update_index_D1()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
""
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"###2.4 Mac OS或Linux下的下载与更新\n",
|
||||
"模块中包含了一些shell脚本，方面在linux-like os下的数据下载、更新。\n",
|
||||
"```\n",
|
||||
"~$ cd path/of/vn/datayes\n",
|
||||
"~$ chmod +x prepare.sh\n",
|
||||
"~$ ./prepare.sh\n",
|
||||
"```"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"\n",
|
||||
""
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {
|
||||
"collapsed": true
|
||||
},
|
||||
"outputs": [],
|
||||
"source": []
|
||||
}
|
||||
],
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "Python 2",
|
||||
"language": "python",
|
||||
"name": "python2"
|
||||
},
|
||||
"language_info": {
|
||||
"codemirror_mode": {
|
||||
"name": "ipython",
|
||||
"version": 2
|
||||
},
|
||||
"file_extension": ".py",
|
||||
"mimetype": "text/x-python",
|
||||
"name": "python",
|
||||
"nbconvert_exporter": "python",
|
||||
"pygments_lexer": "ipython2",
|
||||
"version": "2.7.10"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 0
|
||||
}
|
||||
194
vn.datayes/static/tutorial.md
Normal file
194
vn.datayes/static/tutorial.md
Normal file
@ -0,0 +1,194 @@
|
||||
|
||||
#VN.DATAYES - Welcome!
|
||||
***
|
||||
##1. Preface
|
||||
|
||||
###1.1
|
||||
vn.datayes是一个从属于vnpy的开源历史数据模块；使用通联数据API以及MongoDB进行数据的下载和存储管理。项目目前与将来主要解决\准备解决以下问题：
|
||||
|
||||
* 从通联数据等API高效地爬取、更新、清洗历史数据。
|
||||
* 基于MongoDB的数据库管理、快速查询、转换输出格式；支持自定义符合需求的行情历史数据库。
|
||||
* 基于Python.Matplotlib或R.ggplot2，快速绘制K线图等可视化对象。
|
||||
|
||||
项目目前主要包括了通联API开发者试用方案中大部分的市场行情日线数据（股票、期货、期权、指数、基金等），以及部分基本面数据。数据下载与更新主要采用多线程设计，测试效率如下：
|
||||
|
||||
| 数据集举例 | 数据集容量 | 下载时间估计 |
|
||||
| :-------------: | :-------------: | :-------------: |
|
||||
| 股票日线数据，2800个交易代码，2013年1月1日至2015年8月1日 | 2800个collection，约500条/each | 7-10分钟 |
|
||||
| 股票分钟线数据，2个交易代码，2013年1月1日至2015年8月1日 | 2个collection，约20万条/each | 1-2分钟 |
|
||||
| 股票日线数据更新任务，2800个交易代码，2015年8月1日至2015年8月15日 | 2800个collection，约10条/each | 1-2分钟 |
|
||||
|
||||
vn.datayes基于MongoDB数据库，通过一个json配置文件简化数据库的初始化、设置、动态更新过程。较为精细的数据库操作仍需编写脚本进行。若对MongoDB与pymongo不熟悉，推荐使用Robomongo等窗口化查看工具作为辅助。
|
||||
|
||||
###1.2 主要依赖：
|
||||
pymongo, pandas, requests, json
|
||||
###1.3 开发测试环境：
|
||||
Mac OS X 10.10; Windows 7 || Anaconda.Python 2.7
|
||||
|
||||
* * *
|
||||
##2. Get Started
|
||||
###2.1 准备
|
||||
|
||||
* 下载并安装MongoDB: https://www.mongodb.org/downloads
|
||||
* 获取API token，以通联数据为例。
|
||||
|
||||
|
||||
|
||||
* 更新pymongo至3.0以上版本; 更新requests等包。
|
||||
```
|
||||
~$ pip install pymongo --upgrade
|
||||
~$ pip install requests --upgrade
|
||||
```
|
||||
|
||||
* [ ! 注意，本模块需要pymongo3.0新加入的部分方法，使用vnpy本体所用的2.7版本对应方法将无法正常插入数据。依赖冲突的问题会尽快被解决，目前推荐制作一个virtual environment来单独运行这个模块；或者暴力切换pymongo的版本：]
|
||||
```
|
||||
~$ pip install pymongo==3.0.3 # this module.
|
||||
~$ pip install pymongo==2.7.2 # pymongo 2.7.
|
||||
```
|
||||
|
||||
* 启动MongoDB
|
||||
```
|
||||
~$ mongod
|
||||
```
|
||||
|
||||
|
||||
###2.2 数据库初始化与下载
|
||||
* **api.Config** 对象包含了向API进行数据请求所需的信息，我们需要一个用户token来初始化这个对象。
|
||||
|
||||
|
||||
from storage import *
|
||||
|
||||
myConfig = Config(head="Zed's Config",
|
||||
token='7c2e59e212dbff90ffd6b382c7afb57bc987a99307d382b058af6748f591d723')
|
||||
myConfig.body
|
||||
|
||||
|
||||
|
||||
|
||||
{'domain': 'api.wmcloud.com/data',
|
||||
'header': {'Authorization': 'Bearer 7c2e59e212dbff90ffd6b382c7afb57bc987a99307d382b058af6748f591d723',
|
||||
'Connection': 'keep-alive'},
|
||||
'ssl': False,
|
||||
'version': 'v1'}
|
||||
|
||||
|
||||
|
||||
* * *
|
||||
* **storage.DBConfig** 对象包含了数据库配置。我们需要自己编写一个json字典来填充这个对象。举例来说，我们希望下载股票日线数据和指数日线数据，数据库名称为DATAYES_EQUITY_D1和DATAYES_INDEX_D1，index为日期“date”。那么json字典是这样的：
|
||||
|
||||
|
||||
client = pymongo.MongoClient() # pymongo.connection object.
|
||||
|
||||
body = {
|
||||
'client': client, # connection object.
|
||||
'dbs': {
|
||||
'EQU_D1': { # in-python alias: 'EQU_D1'
|
||||
'self': client['DATAYES_EQUITY_D1'], # pymongo.database[name] object.
|
||||
'index': 'date', # index name.
|
||||
'collNames': 'equTicker' # what are collection names consist of.
|
||||
},
|
||||
'IDX_D1': { # Another database
|
||||
'self': client['DATAYES_INDEX_D1'],
|
||||
'index': 'date',
|
||||
'collNames': 'idxTicker'
|
||||
}
|
||||
},
|
||||
'dbNames': ['EQU_D1','IDX_D1'] # List of alias.
|
||||
}
|
||||
|
||||
myDbConfig_ = DBConfig(body=body)
|
||||
|
||||
# 这看上去有些麻烦；不想这么做的话可以直接使用DBConfig的默认构造函数。
|
||||
|
||||
myDbConfig = DBConfig()
|
||||
|
||||
myDbConfig.body
|
||||
|
||||
|
||||
|
||||
|
||||
{'client': MongoClient('localhost', 27017),
|
||||
'dbNames': ['EQU_M1', 'EQU_D1', 'FUT_D1', 'OPT_D1', 'FUD_D1', 'IDX_D1'],
|
||||
'dbs': {'EQU_D1': {'collNames': 'equTicker',
|
||||
'index': 'date',
|
||||
'self': Database(MongoClient('localhost', 27017), u'DATAYES_EQUITY_D1')},
|
||||
'EQU_M1': {'collNames': 'secID',
|
||||
'index': 'dateTime',
|
||||
'self': Database(MongoClient('localhost', 27017), u'DATAYES_EQUITY_M1')},
|
||||
'FUD_D1': {'collNames': 'fudTicker',
|
||||
'index': 'date',
|
||||
'self': Database(MongoClient('localhost', 27017), u'DATAYES_FUND_D1')},
|
||||
'FUT_D1': {'collNames': 'futTicker',
|
||||
'index': 'date',
|
||||
'self': Database(MongoClient('localhost', 27017), u'DATAYES_FUTURE_D1')},
|
||||
'IDX_D1': {'collNames': 'idxTicker',
|
||||
'index': 'date',
|
||||
'self': Database(MongoClient('localhost', 27017), u'DATAYES_INDEX_D1')},
|
||||
'OPT_D1': {'collNames': 'optTicker',
|
||||
'index': 'date',
|
||||
'self': Database(MongoClient('localhost', 27017), u'DATAYES_OPTION_D1')}}}
|
||||
|
||||
|
||||
|
||||
* * *
|
||||
* **api.PyApi**是向网络数据源进行请求的主要对象。**storage.MongodController**是进行数据库管理的对象。当我们完成了配置对象的构造，即可初始化PyApi与MongodController。**MongodController._get_coll_names()** 和**MongodController._ensure_index()** 是数据库初始化所调用的方法，为了模块开发的方便，它们暂时没有被放进构造函数中自动执行。
|
||||
|
||||
|
||||
myApi = PyApi(myConfig) # construct PyApi object.
|
||||
mc = MongodController(api=myApi, config=myDbConfig) # construct MongodController object,
|
||||
# on the top of PyApi.
|
||||
mc._get_coll_names() # get names of collections.
|
||||
mc._ensure_index() # ensure collection indices.
|
||||
|
||||
[MONGOD]: Collection names gotten.
|
||||
[MONGOD]: MongoDB index set.
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
1
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
* 使用**MongodController.download#()**方法进行下载。
|
||||
|
||||
|
||||
mc.download_index_D1('20150101','20150801')
|
||||
|
||||
|
||||
|
||||
###2.3 数据库更新
|
||||
* 使用**MongodController.update#()**方法进行更新。脚本会自动寻找数据库中的最后一日并更新至最新交易日。
|
||||
|
||||
|
||||
from datetime import datetime
|
||||
datetime.now()
|
||||
|
||||
|
||||
|
||||
|
||||
datetime.datetime(2015, 8, 17, 10, 49, 21, 37758)
|
||||
|
||||
|
||||
|
||||
|
||||
mc.update_index_D1()
|
||||
|
||||
|
||||
|
||||
###2.4 Mac OS或Linux下的下载与更新
|
||||
模块中包含了一些shell脚本，方面在linux-like os下的数据下载、更新。
|
||||
```
|
||||
~$ cd path/of/vn/datayes
|
||||
~$ chmod +x prepare.sh
|
||||
~$ ./prepare.sh
|
||||
```
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
657
vn.datayes/storage.py
Normal file
657
vn.datayes/storage.py
Normal file
@ -0,0 +1,657 @@
|
||||
import os
|
||||
import json
|
||||
import pymongo
|
||||
import pandas as pd
|
||||
|
||||
from datetime import datetime, timedelta
|
||||
from api import Config, PyApi
|
||||
from api import BaseDataContainer, History, Bar
|
||||
|
||||
from errors import (VNPAST_ConfigError, VNPAST_RequestError,
|
||||
VNPAST_DataConstructorError, VNPAST_DatabaseError)
|
||||
|
||||
class DBConfig(Config):
|
||||
"""
|
||||
Json-like config object; inherits from Config()
|
||||
|
||||
Contains all kinds of settings relating to database settings.
|
||||
|
||||
privates
|
||||
--------
|
||||
Inherited from api.Config, plus:
|
||||
|
||||
* client: pymongo.MongoClient object, the connection
|
||||
that is to be used for this session.
|
||||
* body: dictionary; the main content of config.
|
||||
|
||||
- client: pymongo.MongoClient(), refers to self.client.
|
||||
|
||||
- dbs: dictionary, is a mapping from database alias
|
||||
to another dictionary, which inclues configurations
|
||||
and themselves(i.e. pymongo.database entity)
|
||||
Concretely, dbs has the structure like:
|
||||
{
|
||||
alias1 : {
|
||||
'self': client[dbName1],
|
||||
'index': dbIndex1,
|
||||
'collNames': collectionNameType1
|
||||
},
|
||||
alias2 : {
|
||||
'self': client[dbName2],
|
||||
'index': dbIndex2,
|
||||
'collNames': collectionNameType2
|
||||
}, ...
|
||||
}
|
||||
where alias#: string;
|
||||
dbs.alias#.self: pymongo.database;
|
||||
dbs.alias#.index: string;
|
||||
dbs.alias#.collNames: string;
|
||||
|
||||
- dbNames: list; a list of database alias.
|
||||
|
||||
"""
|
||||
head = 'DB config'
|
||||
|
||||
client = pymongo.MongoClient()
|
||||
body = {
|
||||
'client': client,
|
||||
'dbs': {
|
||||
'EQU_M1': {
|
||||
'self': client['DATAYES_EQUITY_M1'],
|
||||
'index': 'dateTime',
|
||||
'collNames': 'secID'
|
||||
},
|
||||
'EQU_D1': {
|
||||
'self': client['DATAYES_EQUITY_D1'],
|
||||
'index': 'date',
|
||||
'collNames': 'equTicker'
|
||||
},
|
||||
'FUT_D1': {
|
||||
'self': client['DATAYES_FUTURE_D1'],
|
||||
'index': 'date',
|
||||
'collNames': 'futTicker'
|
||||
},
|
||||
'OPT_D1': {
|
||||
'self': client['DATAYES_OPTION_D1'],
|
||||
'index': 'date',
|
||||
'collNames': 'optTicker'
|
||||
},
|
||||
'FUD_D1': {
|
||||
'self': client['DATAYES_FUND_D1'],
|
||||
'index': 'date',
|
||||
'collNames': 'fudTicker'
|
||||
},
|
||||
'IDX_D1': {
|
||||
'self': client['DATAYES_INDEX_D1'],
|
||||
'index': 'date',
|
||||
'collNames': 'idxTicker'
|
||||
}
|
||||
},
|
||||
'dbNames': ['EQU_M1', 'EQU_D1', 'FUT_D1',
|
||||
'OPT_D1', 'FUD_D1', 'IDX_D1']
|
||||
}
|
||||
|
||||
def __init__(self, head=None, token=None, body=None):
|
||||
"""
|
||||
Inherited constructor.
|
||||
|
||||
parameters
|
||||
----------
|
||||
* head: string; the name of config file. Default is None.
|
||||
* token: string; user's token.
|
||||
* body: dictionary; the main content of config
|
||||
"""
|
||||
super(DBConfig, self).__init__(head, token, body)
|
||||
|
||||
def view(self):
|
||||
""" Reloaded Prettify printing method. """
|
||||
config_view = {
|
||||
'dbConfig_head' : self.head,
|
||||
'dbConfig_body' : str(self.body),
|
||||
}
|
||||
print json.dumps(config_view,
|
||||
indent=4,
|
||||
sort_keys=True)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# MongoDB Controller class
|
||||
|
||||
class MongodController(object):
|
||||
"""
|
||||
The MongoDB controller interface.
|
||||
|
||||
MongodController is initialized with a DBConfig configuration
|
||||
object and a PyApi object, which has already been contructed with
|
||||
its own Config json. The default version of constructor actually
|
||||
does nothing special about the database. Yet if user executes shell
|
||||
script prepare.sh to prepare the connection, MongodController will
|
||||
firstly gather symbols that are going to become collection names
|
||||
in corresponding databases. This process is done one database by another,
|
||||
user can skip useless databases by editing the scripts.
|
||||
Then, it ensures the index of each collection due to the 'index' value
|
||||
in DBConfig.body.dbs. Concretely, for D1 bars, the index will be 'date',
|
||||
and for intraday bars, it will be 'dateTime'; both take the form of
|
||||
datetime.datetime timestamp.
|
||||
|
||||
download() and update() methods of controller dynamically construct
|
||||
and maintain the databases, requesting data via PyApi. Once the database
|
||||
is constructed, MongodController can access required data via its fetch()
|
||||
method.
|
||||
|
||||
|
||||
privates
|
||||
--------
|
||||
* _config: DBConfig object; a container of all useful settings for the
|
||||
databases.
|
||||
|
||||
* _api: PyApi object; is responsible for making requests.
|
||||
|
||||
* _client: pymongo.MongoClient object; the connection to MongoDB.
|
||||
|
||||
* _dbs: dictionary; a mapping from database names to another dictionary,
|
||||
which includes configurations of the database and the pymongo.database
|
||||
entity. Inherited from _config.body.['dbs']. Note that keys
|
||||
self._dbs are mere strings, only self._dbs[key]['self'] refers to the
|
||||
pymongo.Database object.
|
||||
|
||||
* _dbNames: list; a list of names of databases.
|
||||
|
||||
* _collNames: dictionary; mapping from self._db[key]['collNames'] attribute
|
||||
to the names of collections(i.e. tickers) within.
|
||||
- example: _collNames['equTicker'] = ['000001', '000002', ...]
|
||||
|
||||
* _connected: boolean; whether the MongoClient was connected to or not.
|
||||
|
||||
* _mapTickersToSecIDs: dictionary; mapping from stock tickers to
|
||||
its security ID.
|
||||
|
||||
|
||||
example
|
||||
-------
|
||||
>> myApi = PyApi(Config())
|
||||
>> mydbs = DBConfig()
|
||||
>> controller = MongodController(mydbs, myApi)
|
||||
>> controller._get_coll_names()
|
||||
>> controller._ensure_index()
|
||||
>> controller.download_equity_D1(20130101, 20150801)
|
||||
>> controller.update_equity_D1()
|
||||
|
||||
"""
|
||||
_config = DBConfig()
|
||||
_api = None
|
||||
|
||||
_client = None
|
||||
_dbs = None
|
||||
_dbNames = []
|
||||
_collNames = dict()
|
||||
_connected = False
|
||||
|
||||
_mapTickersToSecIDs = dict()
|
||||
|
||||
def __init__(self, config, api):
|
||||
"""
|
||||
Constructor.
|
||||
|
||||
parameters
|
||||
----------
|
||||
* config: DBConfig object; specifies database configs.
|
||||
* api: PyApi object.
|
||||
|
||||
"""
|
||||
self._api = api # Set Datayes PyApi.
|
||||
if config.body:
|
||||
try:
|
||||
self._config = config.body
|
||||
self._client = config.body['client']
|
||||
self._dbs = config.body['dbs']
|
||||
self._dbNames = config.body['dbNames']
|
||||
self._connected = True
|
||||
except KeyError:
|
||||
msg = '[MONGOD]: Unable to configure database; ' + \
|
||||
'config file is incomplete.'
|
||||
raise VNPAST_ConfigError(msg)
|
||||
except Exception,e:
|
||||
msg = '[MONGOD]: Unable to configure database; ' + str(e)
|
||||
raise VNPAST_ConfigError(msg)
|
||||
|
||||
if self._connected:
|
||||
#self._get_coll_names()
|
||||
#self._ensure_index()
|
||||
pass
|
||||
|
||||
def view(self):
|
||||
"""
|
||||
NOT IMPLEMENTED
|
||||
"""
|
||||
return
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# Get collection names methods.
|
||||
|
||||
"""
|
||||
Decorator;
|
||||
Targeting at path dName, if exists, read data from this file;
|
||||
if not, execute handle() which returns a json-like data and
|
||||
stores the data at dName path.
|
||||
|
||||
parameters
|
||||
----------
|
||||
* dName: string; the specific path of file that __md looks at.
|
||||
"""
|
||||
def __md(dName):
|
||||
def _md(get):
|
||||
def handle(*args, **kwargs):
|
||||
try:
|
||||
if os.path.isfile(dName):
|
||||
# if directory exists, read from it.
|
||||
jsonFile = open(dName,'r')
|
||||
data = json.loads(jsonFile.read())
|
||||
jsonFile.close()
|
||||
else:
|
||||
# if not, get data via *get method,
|
||||
# then write to the file.
|
||||
data = get(*args, **kwargs)
|
||||
jsonFile = open(dName, 'w+')
|
||||
jsonFile.write(json.dumps(data))
|
||||
jsonFile.close()
|
||||
#print data
|
||||
return data
|
||||
except Exception,e:
|
||||
raise e
|
||||
return handle
|
||||
return _md
|
||||
|
||||
@__md('names/equTicker.json')
|
||||
def _allEquTickers(self):
|
||||
"""get all equity tickers, decorated by @__md()."""
|
||||
data = self._api.get_equity_D1()
|
||||
allEquTickers = list(data.body['ticker'])
|
||||
return allEquTickers
|
||||
|
||||
@__md('names/secID.json')
|
||||
def _allSecIds(self):
|
||||
"""get all security IDs, decorated by @__md()."""
|
||||
data = self._api.get_equity_D1()
|
||||
allTickers = list(data.body['ticker'])
|
||||
exchangeCDs = list(data.body['exchangeCD'])
|
||||
allSecIds = [allTickers[k]+'.'+exchangeCDs[k] for k in range(
|
||||
len(allTickers))]
|
||||
return allSecIds
|
||||
|
||||
@__md('names/futTicker.json')
|
||||
def _allFutTickers(self):
|
||||
"""get all future tickers, decorated by @__md()."""
|
||||
data = self._api.get_future_D1()
|
||||
allFutTickers = list(data.body['ticker'])
|
||||
return allFutTickers
|
||||
|
||||
@__md('names/optTicker.json')
|
||||
def _allOptTickers(self):
|
||||
"""get all option tickers, decorated by @__md()."""
|
||||
data = self._api.get_option_D1()
|
||||
allOptTickers = list(data.body['ticker'])
|
||||
return allOptTickers
|
||||
|
||||
@__md('names/fudTicker.json')
|
||||
def _allFudTickers(self):
|
||||
"""get all fund tickers, decorated by @__md()."""
|
||||
data = self._api.get_fund_D1()
|
||||
allFudTickers = list(data.body['ticker'])
|
||||
return allFudTickers
|
||||
|
||||
@__md('names/idxTicker.json')
|
||||
def _allIdxTickers(self):
|
||||
"""get all index tickers, decorated by @__md()."""
|
||||
data = self._api.get_index_D1()
|
||||
allIdxTickers = list(data.body['ticker'])
|
||||
return allIdxTickers
|
||||
|
||||
@__md('names/bndTicker.json')
|
||||
def _allBndTickers(self):
|
||||
"""get all bond tickers, decorated by @__md()."""
|
||||
data = self._api.get_bond_D1()
|
||||
allBndTickers = list(data.body['ticker'])
|
||||
return allBndTickers
|
||||
|
||||
def _get_coll_names(self):
|
||||
"""
|
||||
get all instruments'names and store them in self._collNames.
|
||||
|
||||
"""
|
||||
try:
|
||||
if not os.path.exists('names'):
|
||||
os.makedirs('names')
|
||||
|
||||
self._collNames['equTicker'] = self._allEquTickers()
|
||||
self._collNames['fudTicker'] = self._allFudTickers()
|
||||
self._collNames['secID'] = self._allSecIds()
|
||||
self._collNames['futTicker'] = self._allFutTickers()
|
||||
self._collNames['optTicker'] = self._allOptTickers()
|
||||
self._collNames['idxTicker'] = self._allIdxTickers()
|
||||
|
||||
print '[MONGOD]: Collection names gotten.'
|
||||
return 1
|
||||
except AssertionError:
|
||||
warning = '[MONGOD]: Warning, collection names ' + \
|
||||
'is an empty list.'
|
||||
print warning
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to set collection names; ' + \
|
||||
str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# Ensure collection index method.
|
||||
|
||||
def _ensure_index(self):
|
||||
"""
|
||||
Ensure indices for all databases and collections.
|
||||
|
||||
first access self._dbs config to get index column names;
|
||||
then get collection names from self._collNames and loop
|
||||
over all collections.
|
||||
|
||||
"""
|
||||
if self._collNames and self._dbs:
|
||||
try:
|
||||
for dbName in self._dbs:
|
||||
# Iterate over database configurations.
|
||||
|
||||
db = self._dbs[dbName]
|
||||
dbSelf = db['self']
|
||||
index = db['index']
|
||||
collNames = self._collNames[db['collNames']]
|
||||
# db['self'] is the pymongo.Database object.
|
||||
|
||||
for name in collNames:
|
||||
coll = dbSelf[name]
|
||||
coll.ensure_index([(index,
|
||||
pymongo.DESCENDING)], unique=True)
|
||||
print '[MONGOD]: MongoDB index set.'
|
||||
return 1
|
||||
except KeyError:
|
||||
msg = '[MONGOD]: Unable to set collection indices; ' + \
|
||||
'infomation in Config.body["dbs"] is incomplete.'
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to set collection indices; ' + str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# Download method.
|
||||
|
||||
def download_equity_D1(self, start, end, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
try:
|
||||
db = self._dbs['EQU_D1']['self']
|
||||
self._api.get_equity_D1_mongod(db, start, end, sessionNum)
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to download data; ' + str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
def download_equity_M1(self, tasks, startYr=2012, endYr=2015):
|
||||
"""
|
||||
|
||||
"""
|
||||
|
||||
try:
|
||||
# map equity tickers to security IDs.
|
||||
if self._mapTickersToSecIDs:
|
||||
maps = self._mapTickersToSecIDs
|
||||
else:
|
||||
assert os.isfile('./names/secID.json')
|
||||
jsonFile = open(dName,'r')
|
||||
allSecIds = json.loads(jsonFile.read())
|
||||
jsonFile.close()
|
||||
allTickers = [s.split('.')[0] for s in allSecIds]
|
||||
maps = dict(zip(allTickers, allSecIds))
|
||||
self._mapTickersToSecIDs = maps
|
||||
tasks_ = [maps[task] for task in tasks]
|
||||
|
||||
db = self._dbs['EQU_M1']['self']
|
||||
self._api.get_equity_M1_interMonth(db, id=1,
|
||||
startYr = startYr,
|
||||
endYr = endYr,
|
||||
tasks = tasks_)
|
||||
except AssertionError:
|
||||
msg = '[MONGOD]: Cannot map tickers to secIDs; ' + \
|
||||
'secID.json does not exist.'
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to download data; ' + str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
def download_bond_D1(self, start, end, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
pass
|
||||
|
||||
def download_future_D1(self, start, end, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
try:
|
||||
db = self._dbs['FUT_D1']['self']
|
||||
self._api.get_future_D1_mongod(db, start, end, sessionNum)
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to download data; ' + str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
def download_option_D1(self, start, end, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
try:
|
||||
db = self._dbs['OPT_D1']['self']
|
||||
self._api.get_option_D1_mongod(db, start, end, sessionNum)
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to download data; ' + str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
def download_index_D1(self, start, end, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
try:
|
||||
db = self._dbs['IDX_D1']['self']
|
||||
self._api.get_index_D1_mongod(db, start, end, sessionNum)
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to download data; ' + str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
def download_fund_D1(self, start, end, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
try:
|
||||
db = self._dbs['FUD_D1']['self']
|
||||
self._api.get_fund_D1_mongod(db, start, end, sessionNum)
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to download data; ' + str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# Update methods.
|
||||
|
||||
def __update(self, key, target1, target2, sessionNum):
|
||||
"""
|
||||
Basic update method.
|
||||
Looks into the database specified by 'key', find the latest
|
||||
record in the collection of it. Then update the collections
|
||||
till last trading date.
|
||||
|
||||
parameters
|
||||
----------
|
||||
* key: string; a database alias (refer to the database config)
|
||||
e.g., 'EQU_D1'.
|
||||
* target1: method; pointer to the function with which controller
|
||||
obtain all tickers in the database. Concretely, target1 are
|
||||
self._all#Tickers methods.
|
||||
* target2: method; pointer to the api overlord requesting functions
|
||||
i.e. self._api.get_###_mongod methods.
|
||||
* sessionNum: integer; the number of threads.
|
||||
|
||||
"""
|
||||
try:
|
||||
# get databases and tickers
|
||||
db = self._dbs[key]['self']
|
||||
index = self._dbs[key]['index']
|
||||
allTickers = target1()
|
||||
coll = db[allTickers[0]]
|
||||
|
||||
# find the latest timestamp in collection.
|
||||
latest = coll.find_one(
|
||||
sort=[(index, pymongo.DESCENDING)])[index]
|
||||
start = datetime.strftime(
|
||||
latest + timedelta(days=1),'%Y%m%d')
|
||||
end = datetime.strftime(datetime.now(), '%Y%m%d')
|
||||
|
||||
# then download.
|
||||
target2(db, start, end, sessionNum)
|
||||
return db
|
||||
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to update data; ' + str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
|
||||
def update_equity_D1(self, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
db = self.__update(key = 'EQU_D1',
|
||||
target1 = self._allEquTickers,
|
||||
target2 = self._api.get_equity_D1_mongod,
|
||||
sessionNum = sessionNum)
|
||||
return db
|
||||
|
||||
def update_future_D1(self, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
db = self.__update(key = 'FUT_D1',
|
||||
target1 = self._allFutTickers,
|
||||
target2 = self._api.get_future_D1_mongod,
|
||||
sessionNum = sessionNum)
|
||||
return db
|
||||
|
||||
def update_option_D1(self, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
db = self.__update(key = 'OPT_D1',
|
||||
target1 = self._allOptTickers,
|
||||
target2 = self._api.get_option_D1_mongod,
|
||||
sessionNum = sessionNum)
|
||||
return db
|
||||
|
||||
def update_index_D1(self, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
db = self.__update(key = 'IDX_D1',
|
||||
target1 = self._allIdxTickers,
|
||||
target2 = self._api.get_index_D1_mongod,
|
||||
sessionNum = sessionNum)
|
||||
return db
|
||||
|
||||
def update_fund_D1(self, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
db = self.__update(key = 'FUD_D1',
|
||||
target1 = self._allFudTickers,
|
||||
target2 = self._api.get_fund_D1_mongod,
|
||||
sessionNum = sessionNum)
|
||||
return db
|
||||
|
||||
#----------------------------------------------------------------------#
|
||||
# stuff that will be deprecated
|
||||
|
||||
def update_equity_D1_(self, sessionNum=30):
|
||||
"""
|
||||
|
||||
"""
|
||||
try:
|
||||
# set databases and tickers
|
||||
db = self._dbs['EQU_D1']['self']
|
||||
index = self._dbs['EQU_D1']['index']
|
||||
allEquTickers = self._allEquTickers()
|
||||
coll = db[allEquTickers[0]]
|
||||
|
||||
# find the latest timestamp in collection.
|
||||
latest = coll.find_one(
|
||||
sort=[(index, pymongo.DESCENDING)])[index]
|
||||
start = datetime.strftime(latest + timedelta(days=1),'%Y%m%d')
|
||||
end = datetime.strftime(datetime.now(), '%Y%m%d')
|
||||
|
||||
# then download.
|
||||
self._api.get_equity_D1_mongod(db, start, end, sessionNum)
|
||||
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Unable to update data; ' + str(e)
|
||||
raise VNPAST_DatabaseError(msg)
|
||||
|
||||
def update_equity_M1(self):
|
||||
"""
|
||||
|
||||
"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# Fetch method.
|
||||
|
||||
def fetch(self, dbName, ticker, start, end, output='list'):
|
||||
"""
|
||||
|
||||
"""
|
||||
# check inputs' validity.
|
||||
if output not in ['df', 'list', 'json']:
|
||||
raise ValueError('[MONGOD]: Unsupported output type.')
|
||||
if dbName not in self._dbNames:
|
||||
raise ValueError('[MONGOD]: Unable to locate database name.')
|
||||
|
||||
db = self._dbs[dbName]
|
||||
dbSelf = db['self']
|
||||
dbIndex = db['index']
|
||||
try:
|
||||
coll = db[ticker]
|
||||
if len(start)==8 and len(end)==8:
|
||||
# yyyymmdd, len()=8
|
||||
start = datetime.strptime(start, '%Y%m%d')
|
||||
end = datetime.strptime(end, '%Y%m%d')
|
||||
elif len(start)==14 and len(end)==14:
|
||||
# yyyymmdd HH:MM, len()=14
|
||||
start = datetime.strptime(start, '%Y%m%d %H:%M')
|
||||
end = datetime.strptime(end, '%Y%m%d %H:%M')
|
||||
else:
|
||||
pass
|
||||
docs = []
|
||||
|
||||
# find in MongoDB.
|
||||
for doc in coll.find(filter={dbIndex: {'$lte': end,
|
||||
'$gte': start}}, projection={'_id': False}):
|
||||
docs.append(doc)
|
||||
|
||||
if output == 'list':
|
||||
return docs[::-1]
|
||||
|
||||
except Exception, e:
|
||||
msg = '[MONGOD]: Error encountered when fetching data' + \
|
||||
'from MongoDB; '+ str(e)
|
||||
return -1
|
||||
|
||||
if __name__ == '__main__':
|
||||
dc = DBConfig()
|
||||
api = PyApi(Config())
|
||||
mc = MongodController(dc, api)
|
||||
|
||||
mc.update_index_D1()
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
119
vn.datayes/tests.py
Normal file
119
vn.datayes/tests.py
Normal file
@ -0,0 +1,119 @@
|
||||
from api import *
|
||||
|
||||
def test_config():
|
||||
cfig = Config()
|
||||
print cfig.body, cfig.head, cfig.token
|
||||
cfig.view()
|
||||
|
||||
def test_mktbar_D1():
|
||||
api = PyApi(Config())
|
||||
data = api.get_equity_D1()
|
||||
print data.body
|
||||
|
||||
def test_mktbar_M1():
|
||||
api = PyApi(Config())
|
||||
data = api.get_equity_M1()
|
||||
print data.body.tail()
|
||||
|
||||
def test_bond_D1():
|
||||
api = PyApi(Config())
|
||||
data = api.get_bond_D1()
|
||||
print data.body.tail()
|
||||
|
||||
def test_fut_D1():
|
||||
api = PyApi(Config())
|
||||
data = api.get_future_D1()
|
||||
print data.body
|
||||
|
||||
def test_fund_D1():
|
||||
api = PyApi(Config())
|
||||
data = api.get_fund_D1()
|
||||
print data.body
|
||||
|
||||
def test_index_D1():
|
||||
api = PyApi(Config())
|
||||
data = api.get_index_D1()
|
||||
print data.body
|
||||
|
||||
def test_option_D1():
|
||||
api = PyApi(Config())
|
||||
data = api.get_option_D1()
|
||||
print data.body
|
||||
|
||||
def test_factors_D1():
|
||||
api = PyApi(Config())
|
||||
data = api.get_stockFactor_D1()
|
||||
print data.body
|
||||
|
||||
def test_bs():
|
||||
api = PyApi(Config())
|
||||
data = api.get_balanceSheet()
|
||||
print data.body
|
||||
|
||||
def test_cf():
|
||||
api = PyApi(Config())
|
||||
data = api.get_cashFlow()
|
||||
print data.body
|
||||
|
||||
def test_is():
|
||||
api = PyApi(Config())
|
||||
data = api.get_incomeStatement()
|
||||
print data.body
|
||||
|
||||
def test_output():
|
||||
api = PyApi(Config())
|
||||
data = api.get_equity_D1(ticker='000001',output='list')
|
||||
print data
|
||||
|
||||
def test_mongod_get_drudgery():
|
||||
c = MongoClient()
|
||||
db = c['test_dy']
|
||||
api = PyApi(Config())
|
||||
api.get_equity_D1_drudgery(id=1, db=db,
|
||||
start='20130101', end='20150801',
|
||||
tasks=['000001','000002'])
|
||||
|
||||
def test_mongod_get_all():
|
||||
c = MongoClient()
|
||||
db = c['test_dy']
|
||||
api = PyApi(Config())
|
||||
api.get_equity_D1_mongod(db=db, start='20130101', end='20150801')
|
||||
|
||||
def test_mktbar_M1_get_drudgery():
|
||||
c = MongoClient()
|
||||
db = c['test_dy_m1']
|
||||
api = PyApi(Config())
|
||||
api.get_equity_M1_drudgery(id=1, db=db,
|
||||
start='20150701', end='20150801',
|
||||
tasks=['000001.XSHE','000002.XSHE'])
|
||||
|
||||
def test_mktbar_M1_get_all():
|
||||
c = MongoClient()
|
||||
db = c['test_dy_m1']
|
||||
api = PyApi(Config())
|
||||
api.get_equity_M1_mongod(db=db)
|
||||
|
||||
def test_mktbar_M1_get_interM():
|
||||
c = MongoClient()
|
||||
db = c['test_dy_m1']
|
||||
api = PyApi(Config())
|
||||
api.get_equity_M1_interMonth(db=db, id=0, tasks=['000001.XSHE','000002.XSHE'])
|
||||
|
||||
if __name__ == '__main__':
|
||||
#test_config()
|
||||
#test_mktbar_D1()
|
||||
#test_bond_D1()
|
||||
#test_fut_D1()
|
||||
#test_fund_D1()
|
||||
#test_index_D1()
|
||||
#test_option_D1()
|
||||
#test_factors_D1()
|
||||
#test_mktbar_M1()
|
||||
#test_bs()
|
||||
#test_cf()
|
||||
#test_is()
|
||||
#test_output()
|
||||
#test_mongod_get_all()
|
||||
#test_mktbar_M1_get_drudgery()
|
||||
#test_mktbar_M1_get_all()
|
||||
test_mktbar_M1_get_interM()
|
||||
52
vn.datayes/update.sh
Executable file
52
vn.datayes/update.sh
Executable file
@ -0,0 +1,52 @@
|
||||
#!/bin/bash
|
||||
|
||||
echo [API]: Prepare to update DATAYES_FUTURE_D1...
|
||||
python - << EOF
|
||||
from storage import *
|
||||
dc = DBConfig()
|
||||
api = PyApi(Config())
|
||||
mc = MongodController(dc, api)
|
||||
mc.update_future_D1()
|
||||
EOF
|
||||
echo [API]: DATAYES_FUTURE_D1 updated.
|
||||
|
||||
echo [API]: Prepare to update DATAYES_INDEX_D1...
|
||||
python - << EOF
|
||||
from storage import *
|
||||
dc = DBConfig()
|
||||
api = PyApi(Config())
|
||||
mc = MongodController(dc, api)
|
||||
mc.update_index_D1()
|
||||
EOF
|
||||
echo [API]: DATAYES_INDEX_D1 updated.
|
||||
|
||||
echo [API]: Prepare to update DATAYES_OPTION_D1...
|
||||
python - << EOF
|
||||
from storage import *
|
||||
dc = DBConfig()
|
||||
api = PyApi(Config())
|
||||
mc = MongodController(dc, api)
|
||||
mc.update_option_D1()
|
||||
EOF
|
||||
echo [API]: DATAYES_OPTION_D1 updated.
|
||||
|
||||
echo [API]: Prepare to update DATAYES_FUND_D1...
|
||||
python - << EOF
|
||||
from storage import *
|
||||
dc = DBConfig()
|
||||
api = PyApi(Config())
|
||||
mc = MongodController(dc, api)
|
||||
mc.update_fund_D1()
|
||||
EOF
|
||||
echo [API]: DATAYES_FUND_D1 updated.
|
||||
echo [MONGOD]: Update finished.
|
||||
|
||||
echo [API]: Prepare to update DATAYES_EQUITY_D1...
|
||||
python - << EOF
|
||||
from storage import *
|
||||
dc = DBConfig()
|
||||
api = PyApi(Config())
|
||||
mc = MongodController(dc, api)
|
||||
mc.update_equity_D1()
|
||||
EOF
|
||||
echo [API]: DATAYES_EQUITY_D1 updated.
|
||||
@ -477,12 +477,13 @@ class DemoTdApi(TdApi):
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQrySettlementInfo(self, data, error, n, last):
|
||||
"""查询结算信息回报"""
|
||||
event = Event(type_=EVENT_LOG)
|
||||
log = u'结算信息查询完成'
|
||||
event.dict_['log'] = log
|
||||
self.__eventEngine.put(event)
|
||||
|
||||
self.confirmSettlement() # 查询完成后立即确认结算信息
|
||||
if last:
|
||||
event = Event(type_=EVENT_LOG)
|
||||
log = u'结算信息查询完成'
|
||||
event.dict_['log'] = log
|
||||
self.__eventEngine.put(event)
|
||||
|
||||
self.confirmSettlement() # 查询完成后立即确认结算信息
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryTransferBank(self, data, error, n, last):
|
||||
|
||||
@ -477,12 +477,13 @@ class DemoTdApi(TdApi):
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQrySettlementInfo(self, data, error, n, last):
|
||||
"""查询结算信息回报"""
|
||||
event = Event(type_=EVENT_LOG)
|
||||
log = u'结算信息查询完成'
|
||||
event.dict_['log'] = log
|
||||
self.__eventEngine.put(event)
|
||||
|
||||
self.confirmSettlement() # 查询完成后立即确认结算信息
|
||||
if last:
|
||||
event = Event(type_=EVENT_LOG)
|
||||
log = u'结算信息查询完成'
|
||||
event.dict_['log'] = log
|
||||
self.__eventEngine.put(event)
|
||||
|
||||
self.confirmSettlement() # 查询完成后立即确认结算信息
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryTransferBank(self, data, error, n, last):
|
||||
|
||||
991
vn.trader/ctpGateway.py
Normal file
991
vn.trader/ctpGateway.py
Normal file
@ -0,0 +1,991 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
from vnctpmd import MdApi
|
||||
from vnctptd import TdApi
|
||||
|
||||
from gateway import *
|
||||
|
||||
import os
|
||||
|
||||
|
||||
########################################################################
|
||||
class CtpGateway(VtGateway):
|
||||
"""CTP接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine):
|
||||
"""Constructor"""
|
||||
super(CtpGateway, self).__init__(eventEngine)
|
||||
|
||||
self.mdApi = None # 行情API
|
||||
self.tdApi = None # 交易API
|
||||
|
||||
self.mdConnected = False # 行情API连接状态
|
||||
self.tdConnected = False # 交易API连接状态
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
########################################################################
|
||||
class CtpMdApi(MdApi):
|
||||
"""CTP行情API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, gateway, userID, password, brokerID, address):
|
||||
"""Constructor"""
|
||||
super(CtpMdApi, self).__init__()
|
||||
|
||||
self.gateway = gateway # gateway对象
|
||||
self.gatewayName = gateway.gatewayName # gateway对象名称
|
||||
|
||||
self.reqID = EMPTY_INT # 操作请求编号
|
||||
|
||||
self.connectionStatus = False # 连接状态
|
||||
self.loginStatus = False # 登录状态
|
||||
|
||||
self.userID = userID # 账号
|
||||
self.password = password # 密码
|
||||
self.brokerID = brokerID # 经纪商代码
|
||||
self.address = address # 服务器地址
|
||||
|
||||
self.subscribedSymbols = set() # 已订阅合约代码
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onFrontConnected(self):
|
||||
"""服务器连接"""
|
||||
self.connectionStatus = True
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'行情服务器连接成功'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onFrontDisconnected(self, n):
|
||||
"""服务器断开"""
|
||||
self.connectionStatus = False
|
||||
self.loginStatus = False
|
||||
self.gateway.mdConnected = False
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'行情服务器连接断开'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onHeartBeatWarning(self, n):
|
||||
"""心跳报警"""
|
||||
# 因为API的心跳报警比较常被触发，且与API工作关系不大，因此选择忽略
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspError(self, error, n, last):
|
||||
"""错误回报"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspUserLogin(self, data, error, n, last):
|
||||
"""登陆回报"""
|
||||
# 如果登录成功，推送日志信息
|
||||
if error['ErrorID'] == 0:
|
||||
self.loginStatus = True
|
||||
self.gateway.mdConnected = True
|
||||
|
||||
log = VtLogData()
|
||||
log.logContent = u'行情服务器登录完成'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
# 重新订阅之前订阅的合约
|
||||
for subscribeReq in self.subscribedSymbols:
|
||||
self.subscribe(subscribeReq)
|
||||
|
||||
# 否则，推送错误信息
|
||||
else:
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspUserLogout(self, data, error, n, last):
|
||||
"""登出回报"""
|
||||
# 如果登出成功，推送日志信息
|
||||
if error['ErrorID'] == 0:
|
||||
self.loginStatus = False
|
||||
self.gateway.tdConnected = False
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'行情服务器登出完成'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
# 否则，推送错误信息
|
||||
else:
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspSubMarketData(self, data, error, n, last):
|
||||
"""订阅合约回报"""
|
||||
# 通常不在乎订阅错误，选择忽略
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspUnSubMarketData(self, data, error, n, last):
|
||||
"""退订合约回报"""
|
||||
# 同上
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnDepthMarketData(self, data):
|
||||
"""行情推送"""
|
||||
tick = VtTickData()
|
||||
|
||||
tick.symbol = data['InstrumentID']
|
||||
tick.vtSymbol = '.'.join([self.gatewayName, tick.symbol])
|
||||
|
||||
tick.lastPrice = data['LastPrice']
|
||||
tick.volume = data['Volume']
|
||||
tick.openInterest = data['OpenInterest']
|
||||
tick.tickTime = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100]))
|
||||
|
||||
# CTP只有一档行情
|
||||
tick.bidPrice1 = data['BidPrice1']
|
||||
tick.bidVolume1 = data['BidVolume1']
|
||||
tick.askPrice1 = data['AskPrice1']
|
||||
tick.askVolume1 = data['AskVolume1']
|
||||
|
||||
self.gateway.onTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspSubForQuoteRsp(self, data, error, n, last):
|
||||
"""订阅期权询价"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspUnSubForQuoteRsp(self, data, error, n, last):
|
||||
"""退订期权询价"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnForQuoteRsp(self, data):
|
||||
"""期权询价推送"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""初始化连接"""
|
||||
# 如果尚未建立服务器连接，则进行连接
|
||||
if not self.connectionStatus:
|
||||
# 创建C++环境中的API对象，这里传入的参数是需要用来保存.con文件的文件夹路径
|
||||
path = os.getcwd() + '\\temp\\' + self.gatewayName + '\\'
|
||||
if not os.path.exists(path):
|
||||
os.makedirs(path)
|
||||
self.createFtdcMdApi(path)
|
||||
|
||||
# 注册服务器地址
|
||||
self.registerFront(self.address)
|
||||
|
||||
# 初始化连接，成功会调用onFrontConnected
|
||||
self.init()
|
||||
|
||||
# 若已经连接但尚未登录，则进行登录
|
||||
else:
|
||||
if not self.loginStatus:
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅合约"""
|
||||
self.subscribeMarketData(subscribeReq.symbol)
|
||||
self.subscribedSymbols.add(subscribeReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def login(self):
|
||||
"""登录"""
|
||||
# 如果填入了用户名密码等，则登录
|
||||
if self.userID and self.password and self.brokerID:
|
||||
req = {}
|
||||
req['UserID'] = self.userID
|
||||
req['Password'] = self.password
|
||||
req['BrokerID'] = self.brokerID
|
||||
self.reqID += 1
|
||||
self.reqUserLogin(req, self.reqID)
|
||||
|
||||
|
||||
########################################################################
|
||||
class CtpTdApi(TdApi):
|
||||
"""CTP交易API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, gateway, userID, password, brokerID, address):
|
||||
"""API对象的初始化函数"""
|
||||
super(CtpTdApi, self).__init__()
|
||||
|
||||
self.gateway = gateway # gateway对象
|
||||
self.gatewayName = gateway.gatewayName # gateway对象名称
|
||||
|
||||
self.reqID = EMPTY_INT # 操作请求编号
|
||||
self.orderRef = EMPTY_INT # 订单编号
|
||||
|
||||
self.connectionStatus = False # 连接状态
|
||||
self.loginStatus = False # 登录状态
|
||||
|
||||
self.userID = userID # 账号
|
||||
self.password = password # 密码
|
||||
self.brokerID = brokerID # 经纪商代码
|
||||
self.address = address # 服务器地址
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onFrontConnected(self):
|
||||
"""服务器连接"""
|
||||
self.connectionStatus = True
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'交易服务器连接成功'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
self.login()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onFrontDisconnected(self, n):
|
||||
"""服务器断开"""
|
||||
self.connectionStatus = False
|
||||
self.loginStatus = False
|
||||
self.gateway.tdConnected = False
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'交易服务器连接断开'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onHeartBeatWarning(self, n):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspAuthenticate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspUserLogin(self, data, error, n, last):
|
||||
"""登陆回报"""
|
||||
# 如果登录成功，推送日志信息
|
||||
if error['ErrorID'] == 0:
|
||||
self.loginStatus = True
|
||||
self.gateway.mdConnected = True
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'交易服务器登录完成'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
# 确认结算信息
|
||||
req = {}
|
||||
req['BrokerID'] = self.brokerID
|
||||
req['InvestorID'] = self.userID
|
||||
self.reqID += 1
|
||||
self.reqSettlementInfoConfirm(req, self.reqID)
|
||||
|
||||
# 否则，推送错误信息
|
||||
else:
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gateway
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspUserLogout(self, data, error, n, last):
|
||||
"""登出回报"""
|
||||
# 如果登出成功，推送日志信息
|
||||
if error['ErrorID'] == 0:
|
||||
self.loginStatus = False
|
||||
self.gateway.tdConnected = False
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'交易服务器登出完成'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
# 否则，推送错误信息
|
||||
else:
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspUserPasswordUpdate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspTradingAccountPasswordUpdate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspOrderInsert(self, data, error, n, last):
|
||||
"""发单错误（柜台）"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspParkedOrderInsert(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspParkedOrderAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspOrderAction(self, data, error, n, last):
|
||||
"""撤单错误（柜台）"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQueryMaxOrderVolume(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspSettlementInfoConfirm(self, data, error, n, last):
|
||||
"""确认结算信息回报"""
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'结算信息确认完成'
|
||||
self.gateway.onLog(log)
|
||||
|
||||
# 查询合约代码
|
||||
self.reqID += 1
|
||||
self.reqQryInstrument({}, self.reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspRemoveParkedOrder(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspRemoveParkedOrderAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspExecOrderInsert(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspExecOrderAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspForQuoteInsert(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQuoteInsert(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQuoteAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryOrder(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryTrade(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryInvestorPosition(self, data, error, n, last):
|
||||
"""持仓查询回报"""
|
||||
if error['ErrorID'] == 0:
|
||||
event = Event(type_=EVENT_POSITION)
|
||||
event.dict_['data'] = data
|
||||
self.__eventEngine.put(event)
|
||||
else:
|
||||
event = Event(type_=EVENT_LOG)
|
||||
log = u'持仓查询回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
|
||||
event.dict_['log'] = log
|
||||
self.__eventEngine.put(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryTradingAccount(self, data, error, n, last):
|
||||
"""资金账户查询回报"""
|
||||
if error['ErrorID'] == 0:
|
||||
event = Event(type_=EVENT_ACCOUNT)
|
||||
event.dict_['data'] = data
|
||||
self.__eventEngine.put(event)
|
||||
else:
|
||||
event = Event(type_=EVENT_LOG)
|
||||
log = u'账户查询回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
|
||||
event.dict_['log'] = log
|
||||
self.__eventEngine.put(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryInvestor(self, data, error, n, last):
|
||||
"""投资者查询回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryTradingCode(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryInstrumentMarginRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryInstrumentCommissionRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryExchange(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryProduct(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryInstrument(self, data, error, n, last):
|
||||
"""
|
||||
合约查询回报
|
||||
由于该回报的推送速度极快，因此不适合全部存入队列中处理，
|
||||
选择先储存在一个本地字典中，全部收集完毕后再推送到队列中
|
||||
（由于耗时过长目前使用其他进程读取）
|
||||
"""
|
||||
if error['ErrorID'] == 0:
|
||||
event = Event(type_=EVENT_INSTRUMENT)
|
||||
event.dict_['data'] = data
|
||||
event.dict_['last'] = last
|
||||
self.__eventEngine.put(event)
|
||||
else:
|
||||
event = Event(type_=EVENT_LOG)
|
||||
log = u'合约投资者回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
|
||||
event.dict_['log'] = log
|
||||
self.__eventEngine.put(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryDepthMarketData(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQrySettlementInfo(self, data, error, n, last):
|
||||
"""查询结算信息回报"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryTransferBank(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryInvestorPositionDetail(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryNotice(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQrySettlementInfoConfirm(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryInvestorPositionCombineDetail(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryCFMMCTradingAccountKey(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryEWarrantOffset(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryInvestorProductGroupMargin(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryExchangeMarginRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryExchangeMarginRateAdjust(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryExchangeRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQrySecAgentACIDMap(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryOptionInstrTradeCost(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryOptionInstrCommRate(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryExecOrder(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryForQuote(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryQuote(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryTransferSerial(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryAccountregister(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspError(self, error, n, last):
|
||||
"""错误回报"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnOrder(self, data):
|
||||
"""报单回报"""
|
||||
# 更新最大报单编号
|
||||
newref = data['OrderRef']
|
||||
self.orderRef = max(self.orderRef, int(newref))
|
||||
|
||||
# 创建报单数据对象
|
||||
order = VtOrderData()
|
||||
order.gatewayName = self.gatewayName
|
||||
|
||||
# 保存代码和报单号
|
||||
order.symbol = data['InstrumentID']
|
||||
order.vtSymbol = '.'.join([self.gatewayName, order.symbol])
|
||||
|
||||
order.orderID = data['OrderRef']
|
||||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||||
|
||||
# 方向
|
||||
if data['Direction'] == '0':
|
||||
order.direction = DIRECTION_LONG
|
||||
elif data['Direction'] == '1':
|
||||
order.direction = DIRECTION_SHORT
|
||||
else:
|
||||
order.direction = DIRECTION_UNKNOWN
|
||||
|
||||
# 多空
|
||||
if data['']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnTrade(self, data):
|
||||
"""成交回报"""
|
||||
# 常规成交事件
|
||||
event1 = Event(type_=EVENT_TRADE)
|
||||
event1.dict_['data'] = data
|
||||
self.__eventEngine.put(event1)
|
||||
|
||||
# 特定合约成交事件
|
||||
event2 = Event(type_=(EVENT_TRADE_CONTRACT+data['InstrumentID']))
|
||||
event2.dict_['data'] = data
|
||||
self.__eventEngine.put(event2)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnOrderInsert(self, data, error):
|
||||
"""发单错误回报（交易所）"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnOrderAction(self, data, error):
|
||||
"""撤单错误回报（交易所）"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = error['ErrorID']
|
||||
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnInstrumentStatus(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnTradingNotice(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnErrorConditionalOrder(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnExecOrder(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnExecOrderInsert(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnExecOrderAction(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnForQuoteInsert(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnQuote(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnQuoteInsert(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnQuoteAction(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnForQuoteRsp(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryContractBank(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryParkedOrder(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryParkedOrderAction(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryTradingNotice(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryBrokerTradingParams(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQryBrokerTradingAlgos(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnFromBankToFutureByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnFromFutureToBankByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnRepealFromBankToFutureByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnRepealFromFutureToBankByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnFromBankToFutureByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnFromFutureToBankByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnRepealFromBankToFutureByFutureManual(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnRepealFromFutureToBankByFutureManual(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnQueryBankBalanceByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnBankToFutureByFuture(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnFutureToBankByFuture(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnRepealBankToFutureByFutureManual(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnRepealFutureToBankByFutureManual(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onErrRtnQueryBankBalanceByFuture(self, data, error):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnRepealFromBankToFutureByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnRepealFromFutureToBankByFuture(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspFromBankToFutureByFuture(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspFromFutureToBankByFuture(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRspQueryBankAccountMoneyByFuture(self, data, error, n, last):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnOpenAccountByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnCancelAccountByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onRtnChangeAccountByBank(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def login(self, address, userid, password, brokerid):
|
||||
"""连接服务器"""
|
||||
self.__userid = userid
|
||||
self.__password = password
|
||||
self.__brokerid = brokerid
|
||||
|
||||
# 数据重传模式设为从本日开始
|
||||
self.subscribePrivateTopic(0)
|
||||
self.subscribePublicTopic(0)
|
||||
|
||||
# 注册服务器地址
|
||||
self.registerFront(address)
|
||||
|
||||
# 初始化连接，成功会调用onFrontConnected
|
||||
self.init()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getInstrument(self):
|
||||
"""查询合约"""
|
||||
self.__reqid = self.__reqid + 1
|
||||
self.reqQryInstrument({}, self.__reqid)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getAccount(self):
|
||||
"""查询账户"""
|
||||
self.__reqid = self.__reqid + 1
|
||||
self.reqQryTradingAccount({}, self.__reqid)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getInvestor(self):
|
||||
"""查询投资者"""
|
||||
self.__reqid = self.__reqid + 1
|
||||
self.reqQryInvestor({}, self.__reqid)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getPosition(self):
|
||||
"""查询持仓"""
|
||||
self.__reqid = self.__reqid + 1
|
||||
req = {}
|
||||
req['BrokerID'] = self.__brokerid
|
||||
req['InvestorID'] = self.__userid
|
||||
self.reqQryInvestorPosition(req, self.__reqid)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset):
|
||||
"""发单"""
|
||||
self.__reqid = self.__reqid + 1
|
||||
req = {}
|
||||
|
||||
req['InstrumentID'] = instrumentid
|
||||
req['OrderPriceType'] = pricetype
|
||||
req['LimitPrice'] = price
|
||||
req['VolumeTotalOriginal'] = volume
|
||||
req['Direction'] = direction
|
||||
req['CombOffsetFlag'] = offset
|
||||
|
||||
self.__orderref = self.__orderref + 1
|
||||
req['OrderRef'] = str(self.__orderref)
|
||||
|
||||
req['InvestorID'] = self.__userid
|
||||
req['UserID'] = self.__userid
|
||||
req['BrokerID'] = self.__brokerid
|
||||
req['CombHedgeFlag'] = defineDict['THOST_FTDC_HF_Speculation'] # 投机单
|
||||
req['ContingentCondition'] = defineDict['THOST_FTDC_CC_Immediately'] # 立即发单
|
||||
req['ForceCloseReason'] = defineDict['THOST_FTDC_FCC_NotForceClose'] # 非强平
|
||||
req['IsAutoSuspend'] = 0 # 非自动挂起
|
||||
req['TimeCondition'] = defineDict['THOST_FTDC_TC_GFD'] # 今日有效
|
||||
req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV'] # 任意成交量
|
||||
req['MinVolume'] = 1 # 最小成交量为1
|
||||
|
||||
self.reqOrderInsert(req, self.__reqid)
|
||||
|
||||
# 返回订单号，便于某些算法进行动态管理
|
||||
return self.__orderref
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, instrumentid, exchangeid, orderref, frontid, sessionid):
|
||||
"""撤单"""
|
||||
self.__reqid = self.__reqid + 1
|
||||
req = {}
|
||||
|
||||
req['InstrumentID'] = instrumentid
|
||||
req['ExchangeID'] = exchangeid
|
||||
req['OrderRef'] = orderref
|
||||
req['FrontID'] = frontid
|
||||
req['SessionID'] = sessionid
|
||||
|
||||
req['ActionFlag'] = defineDict['THOST_FTDC_AF_Delete']
|
||||
req['BrokerID'] = self.__brokerid
|
||||
req['InvestorID'] = self.__userid
|
||||
|
||||
self.reqOrderAction(req, self.__reqid)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getSettlement(self):
|
||||
"""查询结算信息"""
|
||||
self.__reqid = self.__reqid + 1
|
||||
req = {}
|
||||
|
||||
req['BrokerID'] = self.__brokerid
|
||||
req['InvestorID'] = self.__userid
|
||||
|
||||
self.reqQrySettlementInfo(req, self.__reqid)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def confirmSettlement(self):
|
||||
"""确认结算信息"""
|
||||
self.__reqid = self.__reqid + 1
|
||||
req = {}
|
||||
|
||||
req['BrokerID'] = self.__brokerid
|
||||
req['InvestorID'] = self.__userid
|
||||
|
||||
self.reqSettlementInfoConfirm(req, self.__reqid)
|
||||
196
vn.trader/eventEngine.py
Normal file
196
vn.trader/eventEngine.py
Normal file
@ -0,0 +1,196 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
# 系统模块
|
||||
from Queue import Queue, Empty
|
||||
from threading import Thread
|
||||
|
||||
# 第三方模块
|
||||
from PyQt4.QtCore import QTimer
|
||||
|
||||
# 自己开发的模块
|
||||
from eventType import *
|
||||
|
||||
|
||||
########################################################################
|
||||
class EventEngine:
|
||||
"""
|
||||
事件驱动引擎
|
||||
|
||||
事件驱动引擎中所有的变量都设置为了私有，这是为了防止不小心
|
||||
从外部修改了这些变量的值或状态，导致bug。
|
||||
|
||||
变量说明
|
||||
__queue：私有变量，事件队列
|
||||
__active：私有变量，事件引擎开关
|
||||
__thread：私有变量，事件处理线程
|
||||
__timer：私有变量，计时器
|
||||
__handlers：私有变量，事件处理函数字典
|
||||
|
||||
|
||||
方法说明
|
||||
__run: 私有方法，事件处理线程连续运行用
|
||||
__process: 私有方法，处理事件，调用注册在引擎中的监听函数
|
||||
__onTimer：私有方法，计时器固定事件间隔触发后，向事件队列中存入计时器事件
|
||||
start: 公共方法，启动引擎
|
||||
stop：公共方法，停止引擎
|
||||
register：公共方法，向引擎中注册监听函数
|
||||
unregister：公共方法，向引擎中注销监听函数
|
||||
put：公共方法，向事件队列中存入新的事件
|
||||
|
||||
事件监听函数必须定义为输入参数仅为一个event对象，即：
|
||||
|
||||
函数
|
||||
def func(event)
|
||||
...
|
||||
|
||||
对象方法
|
||||
def method(self, event)
|
||||
...
|
||||
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""初始化事件引擎"""
|
||||
# 事件队列
|
||||
self.__queue = Queue()
|
||||
|
||||
# 事件引擎开关
|
||||
self.__active = False
|
||||
|
||||
# 事件处理线程
|
||||
self.__thread = Thread(target = self.__run)
|
||||
|
||||
# 计时器，用于触发计时器事件
|
||||
self.__timer = QTimer()
|
||||
self.__timer.timeout.connect(self.__onTimer)
|
||||
|
||||
# 这里的__handlers是一个字典，用来保存对应的事件调用关系
|
||||
# 其中每个键对应的值是一个列表，列表中保存了对该事件进行监听的函数功能
|
||||
self.__handlers = {}
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __run(self):
|
||||
"""引擎运行"""
|
||||
while self.__active == True:
|
||||
try:
|
||||
event = self.__queue.get(block = True, timeout = 1) # 获取事件的阻塞时间设为1秒
|
||||
self.__process(event)
|
||||
except Empty:
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __process(self, event):
|
||||
"""处理事件"""
|
||||
# 检查是否存在对该事件进行监听的处理函数
|
||||
if event.type_ in self.__handlers:
|
||||
# 若存在，则按顺序将事件传递给处理函数执行
|
||||
[handler(event) for handler in self.__handlers[event.type_]]
|
||||
|
||||
# 以上语句为Python列表解析方式的写法，对应的常规循环写法为：
|
||||
#for handler in self.__handlers[event.type_]:
|
||||
#handler(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __onTimer(self):
|
||||
"""向事件队列中存入计时器事件"""
|
||||
# 创建计时器事件
|
||||
event = Event(type_=EVENT_TIMER)
|
||||
|
||||
# 向队列中存入计时器事件
|
||||
self.put(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def start(self):
|
||||
"""引擎启动"""
|
||||
# 将引擎设为启动
|
||||
self.__active = True
|
||||
|
||||
# 启动事件处理线程
|
||||
self.__thread.start()
|
||||
|
||||
# 启动计时器，计时器事件间隔默认设定为1秒
|
||||
self.__timer.start(1000)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""停止引擎"""
|
||||
# 将引擎设为停止
|
||||
self.__active = False
|
||||
|
||||
# 停止计时器
|
||||
self.__timer.stop()
|
||||
|
||||
# 等待事件处理线程退出
|
||||
self.__thread.join()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def register(self, type_, handler):
|
||||
"""注册事件处理函数监听"""
|
||||
# 尝试获取该事件类型对应的处理函数列表，若无则创建
|
||||
try:
|
||||
handlerList = self.__handlers[type_]
|
||||
except KeyError:
|
||||
handlerList = []
|
||||
self.__handlers[type_] = handlerList
|
||||
|
||||
# 若要注册的处理器不在该事件的处理器列表中，则注册该事件
|
||||
if handler not in handlerList:
|
||||
handlerList.append(handler)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def unregister(self, type_, handler):
|
||||
"""注销事件处理函数监听"""
|
||||
# 尝试获取该事件类型对应的处理函数列表，若无则忽略该次注销请求
|
||||
try:
|
||||
handlerList = self.handlers[type_]
|
||||
|
||||
# 如果该函数存在于列表中，则移除
|
||||
if handler in handlerList:
|
||||
handlerList.remove(handler)
|
||||
|
||||
# 如果函数列表为空，则从引擎中移除该事件类型
|
||||
if not handlerList:
|
||||
del self.handlers[type_]
|
||||
except KeyError:
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def put(self, event):
|
||||
"""向事件队列中存入事件"""
|
||||
self.__queue.put(event)
|
||||
|
||||
|
||||
########################################################################
|
||||
class Event:
|
||||
"""事件对象"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, type_=None):
|
||||
"""Constructor"""
|
||||
self.type_ = type_ # 事件类型
|
||||
self.dict_ = {} # 字典用于保存具体的事件数据
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def test():
|
||||
"""测试函数"""
|
||||
import sys
|
||||
from datetime import datetime
|
||||
from PyQt4.QtCore import QCoreApplication
|
||||
|
||||
def simpletest(event):
|
||||
print u'处理每秒触发的计时器事件：%s' % str(datetime.now())
|
||||
|
||||
app = QCoreApplication(sys.argv)
|
||||
|
||||
ee = EventEngine()
|
||||
ee.register(EVENT_TIMER, simpletest)
|
||||
ee.start()
|
||||
|
||||
app.exec_()
|
||||
|
||||
|
||||
# 直接运行脚本可以进行测试
|
||||
if __name__ == '__main__':
|
||||
test()
|
||||
53
vn.trader/eventType.py
Normal file
53
vn.trader/eventType.py
Normal file
@ -0,0 +1,53 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
'''
|
||||
本文件仅用于存放对于事件类型常量的定义。
|
||||
|
||||
由于python中不存在真正的常量概念，因此选择使用全大写的变量名来代替常量。
|
||||
这里设计的命名规则以EVENT_前缀开头。
|
||||
|
||||
常量的内容通常选择一个能够代表真实意义的字符串（便于理解）。
|
||||
|
||||
建议将所有的常量定义放在该文件中，便于检查是否存在重复的现象。
|
||||
'''
|
||||
|
||||
# 系统相关
|
||||
EVENT_TIMER = 'eTimer' # 计时器事件，每隔1秒发送一次
|
||||
EVENT_LOG = 'eLog' # 日志事件，全局通用
|
||||
|
||||
# Gateway相关
|
||||
EVENT_TICK = 'eTick.' # TICK行情事件，可后接具体的vtSymbol
|
||||
EVENT_TRADE = 'eTrade.' # 成交回报事件
|
||||
EVENT_ORDER = 'eOrder.' # 报单回报事件
|
||||
EVENT_POSITION = 'ePosition.' # 持仓回报事件
|
||||
EVENT_ACCOUNT = 'eAccount.' # 账户回报事件
|
||||
EVENT_ERROR = 'eError.' # 错误回报事件
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def test():
|
||||
"""检查是否存在内容重复的常量定义"""
|
||||
check_dict = {}
|
||||
|
||||
global_dict = globals()
|
||||
|
||||
for key, value in global_dict.items():
|
||||
if '__' not in key: # 不检查python内置对象
|
||||
if value in check_dict:
|
||||
check_dict[value].append(key)
|
||||
else:
|
||||
check_dict[value] = [key]
|
||||
|
||||
for key, value in check_dict.items():
|
||||
if len(value)>1:
|
||||
print u'存在重复的常量定义:' + str(key)
|
||||
for name in value:
|
||||
print name
|
||||
print ''
|
||||
|
||||
print u'测试完毕'
|
||||
|
||||
|
||||
# 直接运行脚本可以进行测试
|
||||
if __name__ == '__main__':
|
||||
test()
|
||||
348
vn.trader/gateway.py
Normal file
348
vn.trader/gateway.py
Normal file
@ -0,0 +1,348 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
from eventEngine import *
|
||||
|
||||
# 默认空值
|
||||
EMPTY_STRING = ''
|
||||
EMPTY_UNICODE = u''
|
||||
EMPTY_INT = 0
|
||||
EMPTY_FLOAT = 0.0
|
||||
|
||||
# 方向常量
|
||||
DIRECTION_NONE = 'none'
|
||||
DIRECTION_LONG = 'long'
|
||||
DIRECTION_SHORT = 'short'
|
||||
DIRECTION_UNKNOWN = 'unknown'
|
||||
|
||||
# 开平常量
|
||||
OFFSET_NONE = 'none'
|
||||
OFFSET_OPEN = 'open'
|
||||
OFFSET_CLOSE = 'close'
|
||||
OFFSET_UNKNOWN = 'unknown'
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtGateway(object):
|
||||
"""交易接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine):
|
||||
"""Constructor"""
|
||||
self.eventEngine = eventEngine
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""市场行情推送"""
|
||||
# 通用事件
|
||||
event1 = Event(type_=EVENT_TICK)
|
||||
event1.dict_['data'] = tick
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
# 特定合约代码的事件
|
||||
event2 = Event(type_=EVENT_TICK+tick.vtSymbol)
|
||||
event2.dict_['data'] = tick
|
||||
self.eventEngine.put(event2)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
"""成交信息推送"""
|
||||
# 因为成交通常都是事后才会知道成交编号，因此只需要推送通用事件
|
||||
event1 = Event(type_=EVENT_TRADE)
|
||||
event1.dict_['data'] = trade
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""订单变化推送"""
|
||||
# 通用事件
|
||||
event1 = Event(type_=EVENT_ORDER)
|
||||
event1.dict_['data'] = order
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
# 特定订单编号的事件
|
||||
event2 = Event(type_=EVENT_ORDER+order.vtOrderID)
|
||||
event2.dict_['data'] = order
|
||||
self.eventEngine.put(event2)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onPosition(self, position):
|
||||
"""持仓信息推送"""
|
||||
# 通用事件
|
||||
event1 = Event(type_=EVENT_POSITION)
|
||||
event1.dict_['data'] = position
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
# 特定合约代码的事件
|
||||
event2 = Event(type_=EVENT_POSITION+position.vtPositionName)
|
||||
event2.dict_['data'] = position
|
||||
self.eventEngine.put(event2)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onAccount(self, account):
|
||||
"""账户信息推送"""
|
||||
# 通用事件
|
||||
event1 = Event(type_=EVENT_ACCOUNT)
|
||||
event1.dict_['data'] = account
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
# 特定合约代码的事件
|
||||
event2 = Event(type_=EVENT_ACCOUNT+account.vtAccountID)
|
||||
event2.dict_['data'] = account
|
||||
self.eventEngine.put(event2)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, error):
|
||||
"""错误信息推送"""
|
||||
# 通用事件
|
||||
event1 = Event(type_=EVENT_ERROR)
|
||||
event1.dict_['data'] = error
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onLog(self, log):
|
||||
"""日志推送"""
|
||||
# 通用事件
|
||||
event1 = Event(type_=EVENT_LOG)
|
||||
event1.dict_['data'] = log
|
||||
self.eventEngine.put(event1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self):
|
||||
"""订阅行情"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self):
|
||||
"""发单"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self):
|
||||
"""撤单"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
pass
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtBaseData(object):
|
||||
"""回调函数推送数据的基础类，其他数据类继承于此"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
self.gatewayName = EMPTY_STRING # Gateway名称
|
||||
self.rawData = None # 原始数据
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtTickData(VtBaseData):
|
||||
"""Tick行情数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtTickData, self).__init__()
|
||||
|
||||
# 代码相关
|
||||
self.symbol = EMPTY_STRING # 合约代码
|
||||
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
|
||||
|
||||
# 成交数据
|
||||
self.lastPrice = EMPTY_FLOAT # 最新成交价
|
||||
self.volume = EMPTY_INT # 最新成交量
|
||||
self.openInterest = EMPTY_INT # 持仓量
|
||||
self.tickTime = EMPTY_STRING # 更新时间
|
||||
|
||||
# 五档行情
|
||||
self.bidPrice1 = EMPTY_FLOAT
|
||||
self.bidPrice2 = EMPTY_FLOAT
|
||||
self.bidPrice3 = EMPTY_FLOAT
|
||||
self.bidPrice4 = EMPTY_FLOAT
|
||||
self.bidPrice5 = EMPTY_FLOAT
|
||||
|
||||
self.askPrice1 = EMPTY_FLOAT
|
||||
self.askPrice2 = EMPTY_FLOAT
|
||||
self.askPrice3 = EMPTY_FLOAT
|
||||
self.askPrice4 = EMPTY_FLOAT
|
||||
self.askPrice5 = EMPTY_FLOAT
|
||||
|
||||
self.bidVolume1 = EMPTY_INT
|
||||
self.bidVolume2 = EMPTY_INT
|
||||
self.bidVolume3 = EMPTY_INT
|
||||
self.bidVolume4 = EMPTY_INT
|
||||
self.bidVolume5 = EMPTY_INT
|
||||
|
||||
self.askVolume1 = EMPTY_INT
|
||||
self.askVolume2 = EMPTY_INT
|
||||
self.askVolume3 = EMPTY_INT
|
||||
self.askVolume4 = EMPTY_INT
|
||||
self.askVolume5 = EMPTY_INT
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtTradeData(VtBaseData):
|
||||
"""成交数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtTradeData, self).__init__()
|
||||
|
||||
# 代码编号相关
|
||||
self.symbol = EMPTY_STRING # 合约代码
|
||||
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
|
||||
|
||||
self.tradeID = EMPTY_STRING # 成交编号
|
||||
self.vtTradeID = EMPTY_STRING # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
|
||||
|
||||
self.orderID = EMPTY_STRING # 订单编号
|
||||
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
|
||||
|
||||
# 成交相关
|
||||
self.direction = EMPTY_STRING # 成交方向
|
||||
self.offset = EMPTY_STRING # 成交开平仓
|
||||
self.price = EMPTY_FLOAT # 成交价格
|
||||
self.volume = EMPTY_INT # 成交数量
|
||||
self.tradeTime = EMPTY_STRING # 成交时间
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtOrderData(VtBaseData):
|
||||
"""订单数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtOrderData, self).__init__()
|
||||
|
||||
# 代码编号相关
|
||||
self.symbol = EMPTY_STRING # 合约代码
|
||||
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
|
||||
|
||||
self.orderID = EMPTY_STRING # 订单编号
|
||||
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
|
||||
|
||||
# 报单相关
|
||||
self.direction = EMPTY_STRING # 报单方向
|
||||
self.offset = EMPTY_STRING # 报单开平仓
|
||||
self.price = EMPTY_FLOAT # 报单价格
|
||||
self.totalVolume = EMPTY_INT # 报单总数量
|
||||
self.tradedVolume = EMPTY_INT # 报单成交数量
|
||||
self.status = EMPTY_STRING # 报单状态
|
||||
|
||||
self.orderTime = EMPTY_STRING # 发单时间
|
||||
self.cancelTime = EMPTY_STRING # 撤单时间
|
||||
|
||||
# CTP/LTS相关
|
||||
self.frontID = EMPTY_INT # 前置机编号
|
||||
self.sessionID = EMPTY_INT # 连接编号
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtPositionData(VtBaseData):
|
||||
"""持仓数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtPositionData, self).__init__()
|
||||
|
||||
# 代码编号相关
|
||||
self.symbol = EMPTY_STRING # 合约代码
|
||||
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
|
||||
|
||||
# 持仓相关
|
||||
self.direction = EMPTY_STRING # 持仓方向
|
||||
self.position = EMPTY_INT # 持仓量
|
||||
self.frozen = EMPTY_INT # 冻结数量
|
||||
self.price = EMPTY_FLOAT # 持仓均价
|
||||
self.vtPositionName = EMPTY_STRING # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtAccountData(VtBaseData):
|
||||
"""账户数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtAccountData, self).__init__()
|
||||
|
||||
# 账号代码相关
|
||||
self.accountID = EMPTY_STRING # 账户代码
|
||||
self.vtAccountID = EMPTY_STRING # 账户在vt中的唯一代码，通常是 Gateway名.账户代码
|
||||
|
||||
# 代码相关
|
||||
self.preBalance = EMPTY_FLOAT # 昨日账户结算净值
|
||||
self.balance = EMPTY_FLOAT # 账户净值
|
||||
self.available = EMPTY_FLOAT # 可用资金
|
||||
self.commission = EMPTY_FLOAT # 今日手续费
|
||||
self.margin = EMPTY_FLOAT # 保证金占用
|
||||
self.closeProfit = EMPTY_FLOAT # 平仓盈亏
|
||||
self.positionProfit = EMPTY_FLOAT # 持仓盈亏
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtErrorData(VtBaseData):
|
||||
"""错误数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtErrorData, self).__init__()
|
||||
|
||||
self.errorID = EMPTY_STRING # 错误代码
|
||||
self.errorMsg = EMPTY_UNICODE # 错误信息
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtLogData(VtBaseData):
|
||||
"""日志数据类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtLogData, self).__init__()
|
||||
|
||||
self.logContent = EMPTY_UNICODE # 日志信息
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtContractData(VtBaseData):
|
||||
"""合约详细信息类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
super(VtBaseData, self).__init__()
|
||||
|
||||
self.priceTick = EMPTY_FLOAT
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtSubscribeReq:
|
||||
"""订阅行情时传入的对象类"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
self.symbol = EMPTY_STRING
|
||||
self.exchange = EMPTY_STRING
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
5
vn.trader/test.json
Normal file
5
vn.trader/test.json
Normal file
@ -0,0 +1,5 @@
|
||||
{
|
||||
"1": 1,
|
||||
"b": 2,
|
||||
"c": "_____"
|
||||
}
|
||||
BIN
vn.trader/thostmduserapi.dll
Normal file
BIN
vn.trader/thostmduserapi.dll
Normal file
Binary file not shown.
BIN
vn.trader/thosttraderapi.dll
Normal file
BIN
vn.trader/thosttraderapi.dll
Normal file
Binary file not shown.
BIN
vn.trader/vnctpmd.pyd
Normal file
BIN
vn.trader/vnctpmd.pyd
Normal file
Binary file not shown.
BIN
vn.trader/vnctptd.pyd
Normal file
BIN
vn.trader/vnctptd.pyd
Normal file
Binary file not shown.
Loading…
Reference in New Issue
Block a user