新增无界面CTA策略交易的Example，修改DataRecorder的配置文件为csv格式
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vn.py
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@ -21,7 +21,17 @@ def printLog(content):
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def processLogEvent(event):
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"""处理日志事件"""
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log = event.dict_['data']
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if log.gatewayName:
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content = '%s:%s' %(log.gatewayName, log.logContent)
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else:
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content = '%s:%s' %('MainEngine', log.logContent)
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printLog(content)
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#----------------------------------------------------------------------
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def processCtaLogEvent(event):
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"""处理CTA模块日志事件"""
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log = event.dict_['data']
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content = '%s:%s' %('CTA Engine', log.logContent)
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printLog(content)
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#----------------------------------------------------------------------
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@ -39,12 +49,14 @@ def runChildProcess():
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printLog(u'主引擎创建成功')
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ee.register(EVENT_LOG, processLogEvent)
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ee.register(EVENT_CTA_LOG, processLogEvent)
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ee.register(EVENT_CTA_LOG, processCtaLogEvent)
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printLog(u'注册日志事件监听')
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me.connect('CTP')
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printLog(u'连接CTP接口')
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sleep(5) # 等待CTP接口初始化
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cta = me.appDict[ctaStrategy.appName]
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cta.loadSetting()
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@ -101,4 +113,7 @@ def runParentProcess():
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if __name__ == '__main__':
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runParentProcess()
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runChildProcess()
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# 尽管同样实现了无人值守，但强烈建议每天启动时人工检查，为自己的PNL负责
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# runParentProcess()
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@ -20,7 +20,10 @@ def printLog(content):
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def processLogEvent(event):
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"""处理日志事件"""
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log = event.dict_['data']
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if log.gatewayName:
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content = '%s:%s' %(log.gatewayName, log.logContent)
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else:
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content = '%s:%s' %('MainEngine', log.logContent)
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printLog(content)
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#----------------------------------------------------------------------
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@ -88,4 +91,5 @@ def runParentProcess():
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if __name__ == '__main__':
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runParentProcess()
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runChildProcess()
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#runParentProcess()
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@ -6,6 +6,6 @@
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* DataRecording：全自动行情记录工具（无需用户每日定时重启）
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* CtaTrading：纯命令行模式的CTA策略交易（尽管同样实现了无人值守，但强烈建议每天启动时人工检查，为自己的PNL负责）
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* CtaTrading：无图形界面模式的CTA策略交易
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* CtaBacktesting：CTA策略的回测和优化
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7
vnpy/trader/app/dataRecorder/DR_setting.csv
Normal file
7
vnpy/trader/app/dataRecorder/DR_setting.csv
Normal file
@ -0,0 +1,7 @@
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gateway,symbol,exchange,currency,product,tick,bar,active
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CTP,IF1709,,,,y,y,IF0000
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CTP,IC1709,,,,y,,
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CTP,m1709,,,,y,,
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SGIT,IH1709,,,,y,y,IH0000
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LTS,600036,SZSE,,,y,,
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IB,EUR.USD,IDEALPRO,USD,Íâ»ã,y,y,
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@ -1,32 +0,0 @@
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{
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"working": false,
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"tick":
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[
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["m1609", "XSPEED"],
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["IF1606", "SGIT"],
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["IH1606", "SGIT"],
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["IH1606", "SGIT"],
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["IC1606", "SGIT"],
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["IC1606", "SGIT"],
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["600036", "LTS", "SZSE"],
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["EUR.USD", "IB", "IDEALPRO", "USD", "外汇"]
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],
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"bar":
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[
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["IF1605", "SGIT"],
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["IF1606", "SGIT"],
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["IH1606", "SGIT"],
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["IH1606", "SGIT"],
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["IC1606", "SGIT"],
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["IC1606", "SGIT"]
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],
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"active":
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{
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"IF0000": "IF1605",
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"IH0000": "IH1605",
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"IC0000": "IC1605"
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}
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}
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@ -6,7 +6,8 @@
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使用DR_setting.json来配置需要收集的合约，以及主力合约代码。
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'''
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import json
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#import json
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import csv
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import os
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import copy
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from collections import OrderedDict
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@ -27,7 +28,7 @@ from vnpy.trader.app.dataRecorder.language import text
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class DrEngine(object):
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"""数据记录引擎"""
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settingFileName = 'DR_setting.json'
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settingFileName = 'DR_setting.csv'
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path = os.path.abspath(os.path.dirname(__file__))
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settingFileName = os.path.join(path, settingFileName)
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@ -57,78 +58,52 @@ class DrEngine(object):
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# 载入设置，订阅行情
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self.loadSetting()
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#----------------------------------------------------------------------
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def loadSetting(self):
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"""载入设置"""
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with open(self.settingFileName) as f:
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drSetting = json.load(f)
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# 如果working设为False则不启动行情记录功能
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working = drSetting['working']
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if not working:
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return
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if 'tick' in drSetting:
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l = drSetting['tick']
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for setting in l:
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symbol = setting[0]
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vtSymbol = symbol
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req = VtSubscribeReq()
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req.symbol = setting[0]
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# 针对LTS和IB接口，订阅行情需要交易所代码
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if len(setting)>=3:
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req.exchange = setting[2]
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vtSymbol = '.'.join([symbol, req.exchange])
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# 针对IB接口，订阅行情需要货币和产品类型
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if len(setting)>=5:
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req.currency = setting[3]
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req.productClass = setting[4]
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self.mainEngine.subscribe(req, setting[1])
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tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
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self.tickDict[vtSymbol] = tick
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if 'bar' in drSetting:
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l = drSetting['bar']
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for setting in l:
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symbol = setting[0]
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vtSymbol = symbol
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req = VtSubscribeReq()
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req.symbol = symbol
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if len(setting)>=3:
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req.exchange = setting[2]
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vtSymbol = '.'.join([symbol, req.exchange])
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if len(setting)>=5:
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req.currency = setting[3]
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req.productClass = setting[4]
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self.mainEngine.subscribe(req, setting[1])
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bar = VtBarData()
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self.barDict[vtSymbol] = bar
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if 'active' in drSetting:
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d = drSetting['active']
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# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
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for activeSymbol, vtSymbol in d.items():
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self.activeSymbolDict[vtSymbol] = activeSymbol
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# 启动数据插入线程
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self.start()
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# 注册事件监听
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self.registerEvent()
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#----------------------------------------------------------------------
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def loadSetting(self):
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"""加载配置"""
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with open(self.settingFileName) as f:
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drSetting = csv.DictReader(f)
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for d in drSetting:
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# 读取配置
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gatewayName = d['gateway']
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symbol = d['symbol']
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exchange = d['symbol']
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currency = d['currency']
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productClass = d['product']
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recordTick = d['tick']
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recordBar = d['bar']
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activeSymbol = d['active']
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if exchange:
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vtSymbol = '.'.join([symbol, exchange])
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else:
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vtSymbol = symbol
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# 订阅行情
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req = VtSubscribeReq()
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req.symbol = symbol
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req.exchange = exchange
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req.currency = currency
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req.productClass = productClass
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self.mainEngine.subscribe(req, gatewayName)
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# 设置需要记录的数据
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if recordTick:
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self.tickDict[vtSymbol] = VtTickData()
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if recordBar:
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self.barDict[vtSymbol] = VtBarData()
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if activeSymbol:
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self.activeSymbolDict[vtSymbol] = activeSymbol
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#----------------------------------------------------------------------
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def procecssTickEvent(self, event):
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"""处理行情推送"""
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