增加vnpy.data用于存放数据相关的功能模块

vnpy/data/README.md

@@ -0,0 +1,5 @@
+# vn.data - 数据相关工具
+
+### 历史数据
+* datayes：通联数据接口
+* shcifco：上海中期接口

vnpy/data/datayes/__init__.py

@@ -0,0 +1 @@
+from vndatayes import DatayesApi

vnpy/data/datayes/vndatayes.py

@@ -0,0 +1,52 @@
+# encoding: UTF-8
+
+'''一个简单的通联数据客户端，主要使用requests开发，比通联官网的python例子更为简洁。'''
+
+import os
+import requests
+import json
+
+
+HTTP_OK = 200
+
+
+########################################################################
+class DatayesApi(object):
+    """通联数据API"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, token, 
+                 domain="http://api.wmcloud.com/data",
+                 version="v1"):
+        """Constructor"""
+        self.domain = domain        # 主域名
+        self.version = version      # API版本
+        self.token = token          # 授权码
+        
+        self.header = {}            # http请求头部
+        self.header['Connection'] = 'keep_alive'
+        self.header['Authorization'] = 'Bearer ' + self.token                
+    
+    #----------------------------------------------------------------------
+    def downloadData(self, path, params):
+        """下载数据"""
+        url = '/'.join([self.domain, self.version, path])
+        r = requests.get(url=url, headers=self.header, params=params)
+        
+        if r.status_code != HTTP_OK:
+            print u'http请求失败，状态代码%s' %r.status_code
+            return None
+        else:
+            result = r.json()
+            if 'retMsg' in result and result['retMsg'] == 'Success':
+                return result['data']
+            else:
+                if 'retMsg' in result:
+                    print u'查询失败，返回信息%s' %result['retMsg']
+                elif 'message' in result:
+                    print u'查询失败，返回信息%s' %result['message']
+                return None
+                    
+                    
+    
+    

vnpy/data/shcifco/vnshcifco.py

@@ -7,7 +7,7 @@ HTTP_OK = 200
 
 
 ########################################################################
-class DataApi(object):
+class ShcifcoApi(object):
     """数据接口"""
 
     #----------------------------------------------------------------------
@@ -124,7 +124,7 @@ if __name__ == "__main__":
     port  = '10102'
     token = 'testd2cda34b2d317779e812eb84ee4224a6_123456'
     
-    api = DataApi(ip, port, token)
+    api = ShcifcoApi(ip, port, token)
     api.getData(path, params)
     
     print api.getLastTick('cu1709')

vnpy/trader/app/ctaStrategy/ctaHistoryData.py

@@ -13,10 +13,10 @@ from multiprocessing.pool import ThreadPool
 
 import pymongo
 
+from vnpy.data.datayes import DatayesApi
 from vnpy.trader.vtGlobal import globalSetting
 from vnpy.trader.vtConstant import *
 from vnpy.trader.vtObject import VtBarData
-from vnpy.trader.app.ctaStrategy.datayesClient import DatayesClient
 
 
 # 以下为vn.trader和通联数据规定的交易所代码映射 
@@ -33,10 +33,10 @@ class HistoryDataEngine(object):
     """CTA模块用的历史数据引擎"""
 
     #----------------------------------------------------------------------
-    def __init__(self):
+    def __init__(self, token):
         """Constructor"""
         self.dbClient = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
-        self.datayesClient = DatayesClient()
+        self.datayesClient = DatayesApi(token)
         
     #----------------------------------------------------------------------
     def lastTradeDate(self):

vnpy/trader/app/spreadTrading/stEngine.py

@@ -11,7 +11,8 @@ from vnpy.trader.vtEvent import (EVENT_TICK, EVENT_TRADE, EVENT_POSITION,
 from vnpy.trader.vtObject import (VtSubscribeReq, VtOrderReq, 
                                   VtCancelOrderReq, VtLogData)
 from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, 
-                                    OFFSET_OPEN, OFFSET_CLOSE)
+                                    OFFSET_OPEN, OFFSET_CLOSE, 
+                                    PRICETYPE_LIMITPRICE)
 
 from .stBase import (StLeg, StSpread, EVENT_SPREADTRADING_TICK,
                      EVENT_SPREADTRADING_POS, EVENT_SPREADTRADING_LOG,
@@ -358,6 +359,7 @@ class StAlgoEngine(object):
         req.direction = direction
         req.offset = offset
         req.volume = volume
+        req.priceType = PRICETYPE_LIMITPRICE
         
         if direction == DIRECTION_LONG:
             req.price = price + payup * contract.priceTick