[新功能] tdx 订阅指数全行情=> rabbit_mq =>ctp_gateway多账号接收
This commit is contained in:
msincenselee
parent
c030a5daf6
commit
c567bfe8db
101
prod/linux/index_publisher/run.py
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101
prod/linux/index_publisher/run.py
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@ -0,0 +1,101 @@
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import os
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import sys
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import multiprocessing
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from time import sleep
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from datetime import datetime, time
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from logging import INFO
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# 将repostory的目录i，作为根目录，添加到系统环境中。
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ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
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sys.path.append(ROOT_PATH)
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print(f'append {ROOT_PATH} into sys.path')
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from vnpy.event import EventEngine
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from vnpy.trader.setting import SETTINGS
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from vnpy.trader.engine import MainEngine
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from vnpy.gateway.ctp import CtpGateway
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from vnpy.app.index_tick_publisher import IndexTickPublisherApp
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from vnpy.app.cta_strategy.base import EVENT_CTA_LOG
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SETTINGS["log.active"] = True
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SETTINGS["log.level"] = INFO
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SETTINGS["log.console"] = True
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rebbit_setting = {
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"host": "192.168.1.211"
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}
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def run_child():
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"""
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Running in the child process.
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"""
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SETTINGS["log.file"] = True
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event_engine = EventEngine()
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main_engine = MainEngine(event_engine)
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main_engine.add_gateway(CtpGateway)
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publisher_engine = main_engine.add_app(IndexTickPublisherApp)
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main_engine.write_log("主引擎创建成功")
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log_engine = main_engine.get_engine("log")
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event_engine.register(EVENT_CTA_LOG, log_engine.process_log_event)
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main_engine.write_log("注册日志事件监听")
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sleep(10)
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main_engine.write_log("启动连接tdx & rabbit")
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publisher_engine.connect(rebbit_setting)
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while True:
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sleep(1)
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def run_parent():
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"""
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Running in the parent process.
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"""
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print("启动CTA策略守护父进程")
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# Chinese futures market trading period (day/night)
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DAY_START = time(8, 45)
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DAY_END = time(15, 30)
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NIGHT_START = time(20, 45)
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NIGHT_END = time(2, 45)
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child_process = None
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while True:
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current_time = datetime.now().time()
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trading = False
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# Check whether in trading period
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if (
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(current_time >= DAY_START and current_time <= DAY_END)
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or (current_time >= NIGHT_START)
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or (current_time <= NIGHT_END)
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):
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trading = True
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# Start child process in trading period
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if trading and child_process is None:
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print("启动子进程")
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child_process = multiprocessing.Process(target=run_child)
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child_process.start()
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print("子进程启动成功")
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# 非记录时间则退出子进程
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if not trading and child_process is not None:
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print("关闭子进程")
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child_process.terminate()
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child_process.join()
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child_process = None
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print("子进程关闭成功")
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sleep(5)
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if __name__ == "__main__":
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run_parent()
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@ -37,7 +37,7 @@ def run_child():
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event_engine = EventEngine()
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main_engine = MainEngine(event_engine)
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main_engine.add_gateway(CtpGateway)
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record_engine = main_engine.add_app(TickRecorderApp)
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main_engine.add_app(TickRecorderApp)
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main_engine.write_log("主引擎创建成功")
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log_engine = main_engine.get_engine("log")
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15
vnpy/app/index_tick_publisher/__init__.py
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15
vnpy/app/index_tick_publisher/__init__.py
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# encoding: UTF-8
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import os
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from pathlib import Path
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from vnpy.trader.app import BaseApp
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from .engine import IndexTickPublisher, APP_NAME
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class IndexTickPublisherApp(BaseApp):
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""""""
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app_name = APP_NAME
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app_module = __module__
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app_path = Path(__file__).parent
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display_name = u'指数行情推送'
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engine_class = IndexTickPublisher
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479
vnpy/app/index_tick_publisher/engine.py
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479
vnpy/app/index_tick_publisher/engine.py
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# encoding: UTF-8
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# 通达信指数行情发布器
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# 华富资产
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import os
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import sys
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import copy
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import json
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import traceback
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from threading import Thread
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from datetime import datetime, timedelta
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from time import sleep
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from logging import ERROR
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from pytdx.exhq import TdxExHq_API
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from vnpy.event import EventEngine
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from vnpy.trader.constant import Exchange
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from vnpy.trader.engine import BaseEngine, MainEngine
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from vnpy.trader.event import EVENT_TIMER
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from vnpy.trader.object import TickData
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from vnpy.trader.utility import get_trading_date
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from vnpy.data.tdx.tdx_common import TDX_FUTURE_HOSTS
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from vnpy.app.cta_strategy_pro.base import (
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NIGHT_MARKET_23,
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NIGHT_MARKET_SQ2,
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MARKET_DAY_ONLY)
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from vnpy.amqp.producer import publisher
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APP_NAME = 'INDEXDATAPUBLISHER'
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class IndexTickPublisher(BaseEngine):
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# 指数tick发布服务
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# 通过通达信接口，获取指数行情tick，发布至rabbitMQ
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# ----------------------------------------------------------------------
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def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
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""""""
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super(IndexTickPublisher, self).__init__(
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main_engine, event_engine, APP_NAME)
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self.main_engine = main_engine
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self.event_engine = event_engine
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self.create_logger(logger_name=APP_NAME)
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self.last_minute = None
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self.registerEvent()
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self.req_interval = 0.5 # 操作请求间隔500毫秒
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self.req_id = 0 # 操作请求编号
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self.connection_status = False # 连接状态
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self.symbol_exchange_dict = {} # tdx合约与vn交易所的字典
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self.symbol_market_dict = {} # tdx合约与tdx市场的字典
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self.symbol_tick_dict = {} # tdx合约与最后一个Tick得字典
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# self.queue = Queue() # 请求队列
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self.pool = None # 线程池
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self.req_thread = None # 定时器线程
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self.ip_list = TDX_FUTURE_HOSTS
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# tdx api
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self.fail_ip_dict = {} # 失效得API 的连接服务器配置： IP_port: 分钟倒数
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self.best_ip = None
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self.best_port = None
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self.best_name = None
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self.api = None # API 的连接会话对象
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self.last_tick_dt = None # 记录该会话对象的最后一个tick时间
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self.last_sort_speed_dt = None
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self.instrument_count = 50000
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self.has_qry_instrument = False
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# vt_setting.json内rabbitmq配置项
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self.conf = {}
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self.pub = None
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def write_error(self, content: str):
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self.write_log(msg=content, level=ERROR)
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def create_publisher(self, conf):
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"""创建rabbitmq 消息发布器"""
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if self.pub:
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return
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try:
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# 消息发布
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self.pub = publisher(host=conf.get('host', 'localhost'),
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port=conf.get('port', 5672),
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user=conf.get('user', 'admin'),
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password=conf.get('password', 'admin'),
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channel_number=conf.get('channel_number', 1),
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queue_name=conf.get('queue_name', ''),
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routing_key=conf.get('routing_key', 'default'),
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exchange=conf.get('exchange', 'x_fanout_idx_tick'))
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except Exception as ex:
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self.write_log(u'创建tick发布器异常:{}'.format(str(ex)))
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# ----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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def process_timer_event(self, event):
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"""定时执行"""
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dt = datetime.now()
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if dt.minute == self.last_minute:
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return
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# 更新失效IP地址得counter
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for k in list(self.fail_ip_dict.keys()):
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c = self.fail_ip_dict.get(k, 0)
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if c <= 0:
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self.fail_ip_dict.pop(k, None)
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else:
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c -= 1
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self.fail_ip_dict.update({k: c})
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self.checkStatus()
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# ----------------------------------------------------------------------
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def ping(self, ip, port=7709):
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"""
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ping行情服务器
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:param ip:
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:param port:
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:param type_:
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:return:
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"""
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apix = TdxExHq_API()
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__time1 = datetime.now()
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try:
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with apix.connect(ip, port):
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if apix.get_instrument_count() > 10000:
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_timestamp = (datetime.now() - __time1).total_seconds() * 1000
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self.write_log('服务器{}:{},耗时:{}ms'.format(ip, port, _timestamp))
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return _timestamp
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else:
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self.write_log(u'该服务器IP {}无响应.'.format(ip))
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return timedelta(seconds=10).total_seconds() * 1000
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except Exception as ex:
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self.write_error(u'tdx ping服务器{}，异常的响应{}'.format(ip,str(ex)))
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return timedelta(seconds=10).total_seconds() * 1000
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def sort_ip_speed(self):
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"""
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对所有服务器进行速度排序
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:return:
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"""
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speed_result = []
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for x in self.ip_list:
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speed = self.ping(x['ip'], x['port'])
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x.update({'speed': speed})
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speed_result.append(copy.copy(x))
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# 更新服务器，按照速度排序
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self.ip_list = sorted(speed_result, key=lambda s: s['speed'])
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self.write_log(u'服务器访问速度排序:{}'.format(self.ip_list))
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# ----------------------------------------------------------------------
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def select_best_ip(self):
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"""
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选择行情服务器
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:return: IP地址， 端口， 服务器名称
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"""
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self.write_log(u'选择通达信行情服务器')
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if self.last_sort_speed_dt is None or (datetime.now() - self.last_sort_speed_dt).total_seconds() > 60:
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self.sort_ip_speed()
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self.last_sort_speed_dt = datetime.now()
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valid_ip_list = [x for x in self.ip_list if x.get('speed', 10000) < 10000]
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if len(valid_ip_list) == 0:
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self.write_error(u'未能找到合适速度得行情服务器')
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return None, None, None
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for server in valid_ip_list:
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ip = server.get('ip')
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port = server.get('port')
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name = server.get('name', '{}:{}'.format(ip, port))
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if '{}:{}'.format(ip, port) in self.fail_ip_dict:
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self.write_log(u'{}:{}属于上次异常IP地址，忽略'.format(ip, port))
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continue
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return ip, port, name
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return None, None, None
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def connect(self, rabbit_config: dict):
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"""
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连接通达讯行情服务器
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:param n:
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:return:
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"""
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if self.connection_status:
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if self.api is not None or getattr(self.api, "client", None) is not None:
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self.write_log(u'当前已经连接,不需要重新连接')
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return
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self.write_log(u'开始通达信行情服务器')
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try:
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self.api = TdxExHq_API(heartbeat=True, auto_retry=True, raise_exception=True)
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# 选取最佳服务器
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self.best_ip, self.best_port, self.best_name = self.select_best_ip()
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if self.best_ip is None or self.best_port is None:
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self.write_error(u'未能选择到服务器')
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self.write_log(u'api 选择 {}: {}:{}'.format(self.best_name, self.best_ip, self.best_port))
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self.api.connect(self.best_ip, self.best_port)
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# 尝试获取市场合约统计
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c = self.api.get_instrument_count()
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if c is None or c < 10:
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err_msg = u'该服务器IP {}/{}无响应'.format(self.best_ip, self.best_port)
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self.fail_ip_dict.update({'{}:{}'.format(self.best_ip, self.best_port): 10})
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self.write_error(err_msg)
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else:
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self.write_log(u'创建tdx连接')
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self.last_tick_dt = datetime.now()
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self.connection_status = True
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self.instrument_count = c
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except Exception as ex:
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self.write_error(u'连接服务器tdx异常:{},{}'.format(str(ex), traceback.format_exc()))
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self.fail_ip_dict.update({'{}:{}'.format(self.best_ip, self.best_port): 10})
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return
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# 更新 symbol_exchange_dict , symbol_market_dict
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self.write_log(u'查询合约')
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self.qryInstrument()
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self.conf.update(rabbit_config)
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self.create_publisher(self.conf)
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self.req_thread = Thread(target=self.run)
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self.req_thread.start()
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def reconnect(self):
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"""
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重连
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:return:
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"""
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try:
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self.best_ip, self.best_port, self.best_name = self.select_best_ip()
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self.api = TdxExHq_API(heartbeat=True, auto_retry=True)
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self.api.connect(self.best_ip, self.best_port)
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# 尝试获取市场合约统计
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c = self.api.get_instrument_count()
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if c is None or c < 10:
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err_msg = u'该服务器IP {}/{}无响应'.format(self.best_ip, self.best_port)
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self.fail_ip_dict.update({'{}:{}'.format(self.best_ip, self.best_port): 10})
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self.write_error(err_msg)
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else:
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self.write_log(u'重新创建tdx连接')
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sleep(1)
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except Exception as ex:
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self.write_error(u'重新连接服务器异常:{},{}'.format(str(ex), traceback.format_exc()))
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self.fail_ip_dict.update({'{}:{}'.format(self.best_ip, self.best_port): 10})
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return
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def close(self):
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"""退出API"""
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self.write_log(u'退出tdx API')
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self.connection_status = False
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if self.req_thread is not None:
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self.write_log(u'退出请求线程')
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self.req_thread.join()
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if self.pub:
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self.write_log(u'退出rabbitMQ 发布器')
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self.pub.exit()
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def checkStatus(self):
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# self.write_log(u'检查tdx接口状态')
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# 若还没有启动连接，就启动连接
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over_time = self.last_tick_dt is None or (datetime.now() - self.last_tick_dt).total_seconds() > 60
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if not self.connection_status or self.api is None or over_time:
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self.write_log(u'tdx还没有启动连接，就启动连接')
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self.close()
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self.api = None
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self.reconnect()
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# self.write_log(u'tdx接口状态正常')
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def qryInstrument(self):
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"""
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查询/更新合约信息
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:return:
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"""
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if not self.connection_status:
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self.write_error(u'tdx连接状态为断开，不能查询和更新合约信息')
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return
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if self.has_qry_instrument:
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self.write_error(u'已经查询过一次合约信息，不再查询')
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return
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# 取得所有的合约信息
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num = self.api.get_instrument_count()
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if not isinstance(num, int):
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return
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all_contacts = sum(
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[self.api.get_instrument_info((int(num / 500) - i) * 500, 500) for i in range(int(num / 500) + 1)], [])
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# [{"category":category,"market": int,"code":sting,"name":string,"desc":string},{}]
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|
||||
# 对所有合约处理，更新字典 指数合约-tdx市场，指数合约-交易所
|
||||
for tdx_contract in all_contacts:
|
||||
tdx_symbol = tdx_contract.get('code', None)
|
||||
if tdx_symbol is None or tdx_symbol[-2:] not in ['L9']:
|
||||
continue
|
||||
tdx_market_id = tdx_contract.get('market')
|
||||
self.symbol_market_dict[tdx_symbol] = tdx_market_id
|
||||
if tdx_market_id == 47: # 中金所
|
||||
self.symbol_exchange_dict[tdx_symbol] = Exchange.CFFEX
|
||||
elif tdx_market_id == 28: # 郑商所
|
||||
self.symbol_exchange_dict[tdx_symbol] = Exchange.CZCE
|
||||
elif tdx_market_id == 29: # 大商所
|
||||
self.symbol_exchange_dict[tdx_symbol] = Exchange.DCE
|
||||
elif tdx_market_id == 30: # 上期所+能源
|
||||
self.symbol_exchange_dict[tdx_symbol] = Exchange.SHFE
|
||||
elif tdx_market_id == 60: # 主力合约
|
||||
self.write_log(u'主力合约:{}'.format(tdx_contract))
|
||||
self.has_qry_instrument = True
|
||||
|
||||
def run(self):
|
||||
# 版本3 ：直接查询板块
|
||||
try:
|
||||
last_dt = datetime.now()
|
||||
self.write_log(u'开始运行tdx,{}'.format(last_dt))
|
||||
while self.connection_status:
|
||||
try:
|
||||
self.process_index_req()
|
||||
except BrokenPipeError as bex:
|
||||
self.write_error(u'BrokenPipeError{},重试重连tdx[{}]'.format(str(bex), 0))
|
||||
self.fail_ip_dict.update({'{}:{}'.format(self.best_ip, self.best_port): 10})
|
||||
self.reconnect()
|
||||
sleep(5)
|
||||
break
|
||||
except Exception as ex:
|
||||
self.write_error(u'tdx exception:{},{}'.format(str(ex), traceback.format_exc()))
|
||||
self.fail_ip_dict.update({'{}:{}'.format(self.best_ip, self.best_port): 10})
|
||||
self.reconnect()
|
||||
|
||||
sleep(self.req_interval)
|
||||
dt = datetime.now()
|
||||
if last_dt.minute != dt.minute:
|
||||
self.write_log('tdxcheck point. {},last_tick_dt:{}'.format(dt, self.last_tick_dt))
|
||||
last_dt = dt
|
||||
except Exception as ex:
|
||||
self.write_error(u'tdx pool.run exception:{},{}'.format(str(ex), traceback.format_exc()))
|
||||
|
||||
self.write_error(u'tdx 线程 {}退出'.format(datetime.now()))
|
||||
|
||||
def process_index_req(self):
|
||||
"""处理板块获取指数行情tick"""
|
||||
|
||||
# 获取通达信指数板块所有行情
|
||||
rt_list = self.api.get_instrument_quote_list(42, 3, 0, 100)
|
||||
|
||||
if rt_list is None or len(rt_list) == 0:
|
||||
self.write_log(u'tdx:get_instrument_quote_list() rt_list为空')
|
||||
return
|
||||
|
||||
# 记录该接口的行情最后更新时间
|
||||
self.last_tick_dt = datetime.now()
|
||||
|
||||
for d in list(rt_list):
|
||||
tdx_symbol = d.get('code', None)
|
||||
if tdx_symbol.endswith('L9'):
|
||||
vn_symbol = tdx_symbol.replace('L9', '99').upper()
|
||||
else:
|
||||
vn_symbol = tdx_symbol.upper()
|
||||
|
||||
tick_datetime = datetime.now()
|
||||
# 修正毫秒
|
||||
last_tick = self.symbol_tick_dict.get(vn_symbol, None)
|
||||
if (last_tick is not None) and tick_datetime.replace(microsecond=0) == last_tick.datetime:
|
||||
# 与上一个tick的时间（去除毫秒后）相同,修改为500毫秒
|
||||
tick_datetime = tick_datetime.replace(microsecond=500)
|
||||
else:
|
||||
tick_datetime = tick_datetime.replace(microsecond=0)
|
||||
|
||||
tick = TickData(
|
||||
gateway_name='tdx',
|
||||
symbol=vn_symbol,
|
||||
datetime=tick_datetime,
|
||||
exchange=self.symbol_exchange_dict.get(tdx_symbol, Exchange.LOCAL)
|
||||
)
|
||||
|
||||
tick.pre_close = float(d.get('ZuoJie', 0.0))
|
||||
tick.high_price = float(d.get('ZuiGao', 0.0))
|
||||
tick.open_price = float(d.get('JinKai', 0.0))
|
||||
tick.low_price = float(d.get('ZuiDi', 0.0))
|
||||
tick.last_price = float(d.get('MaiChu', 0.0))
|
||||
|
||||
tick.volume = int(d.get('XianLiang', 0))
|
||||
tick.open_interest = d.get('ChiCangLiang')
|
||||
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S.%f')[0:12]
|
||||
tick.date = tick.datetime.strftime('%Y-%m-%d')
|
||||
|
||||
tick.trading_day = get_trading_date(tick_datetime)
|
||||
|
||||
# 指数没有涨停和跌停，就用昨日收盘价正负10%
|
||||
tick.limit_up = tick.pre_close * 1.1
|
||||
tick.limit_down = tick.pre_close * 0.9
|
||||
|
||||
# CTP只有一档行情
|
||||
tick.bid_price_1 = float(d.get('MaiRuJia', 0.0))
|
||||
tick.bid_volume_1 = int(d.get('MaiRuLiang', 0))
|
||||
tick.ask_price_1 = float(d.get('MaiChuJia', 0.0))
|
||||
tick.ask_volume_1 = int(d.get('MaiChuLiang', 0))
|
||||
|
||||
underlying_symbol = vn_symbol.replace('99', '').upper()
|
||||
|
||||
# 排除非交易时间得tick
|
||||
if tick.exchange is Exchange.CFFEX:
|
||||
if tick.datetime.hour not in [9, 10, 11, 13, 14, 15]:
|
||||
continue
|
||||
if tick.datetime.hour == 9 and tick.datetime.minute < 15:
|
||||
continue
|
||||
# 排除早盘 11:30~12:00
|
||||
if tick.datetime.hour == 11 and tick.datetime.minute >= 30:
|
||||
continue
|
||||
if tick.datetime.hour == 15 and tick.datetime.minute >= 15 and underlying_symbol in ['T', 'TF', 'TS']:
|
||||
continue
|
||||
if tick.datetime.hour == 15 and underlying_symbol in ['IH', 'IF', 'IC']:
|
||||
continue
|
||||
|
||||
else: # 大商所/郑商所，上期所，上海能源
|
||||
# 排除非开盘小时
|
||||
if tick.datetime.hour in [3, 4, 5, 6, 7, 8, 12, 15, 16, 17, 18, 19, 20]:
|
||||
continue
|
||||
# 排除早盘 10:15~10:30
|
||||
if tick.datetime.hour == 10 and 15 <= tick.datetime.minute < 30:
|
||||
continue
|
||||
# 排除早盘 11:30~12:00
|
||||
if tick.datetime.hour == 11 and tick.datetime.minute >= 30:
|
||||
continue
|
||||
# 排除午盘 13:00 ~13:30
|
||||
if tick.datetime.hour == 13 and tick.datetime.minute < 30:
|
||||
continue
|
||||
# 排除凌晨2:30~3:00
|
||||
if tick.datetime.hour == 2 and tick.datetime.minute >= 30:
|
||||
continue
|
||||
|
||||
# 排除大商所/郑商所/上期所夜盘数据上期所夜盘数据 23:00 收盘
|
||||
if underlying_symbol in NIGHT_MARKET_23:
|
||||
if tick.datetime.hour in [23, 0, 1, 2]:
|
||||
continue
|
||||
|
||||
# 排除上期所夜盘数据 1:00 收盘
|
||||
if underlying_symbol in NIGHT_MARKET_SQ2:
|
||||
if tick.datetime.hour in [1, 2]:
|
||||
continue
|
||||
|
||||
# 排除日盘合约在夜盘得数据
|
||||
if underlying_symbol in MARKET_DAY_ONLY and (tick.datetime.hour < 9 or tick.datetime.hour > 16):
|
||||
# self.write_log(u'排除日盘合约{}在夜盘得数据'.format(short_symbol))
|
||||
continue
|
||||
|
||||
self.symbol_tick_dict[tick.symbol] = tick
|
||||
|
||||
if self.pub:
|
||||
d = copy.copy(tick.__dict__)
|
||||
if isinstance(tick.datetime, datetime):
|
||||
d.update({'datetime': tick.datetime.strftime('%Y-%m-%d %H:%M:%S.%f')})
|
||||
d.update({'exchange': tick.exchange.value()})
|
||||
d = json.dumps(d)
|
||||
self.pub.pub(d)
|
||||
@ -1,7 +1,9 @@
|
||||
"""
|
||||
"""
|
||||
|
||||
from datetime import datetime
|
||||
import traceback
|
||||
import json
|
||||
from datetime import datetime, timedelta
|
||||
from copy import copy
|
||||
|
||||
from vnpy.api.ctp import (
|
||||
MdApi,
|
||||
@ -60,10 +62,26 @@ from vnpy.trader.object import (
|
||||
)
|
||||
from vnpy.trader.utility import (
|
||||
get_folder_path,
|
||||
get_trading_date
|
||||
get_trading_date,
|
||||
get_underlying_symbol,
|
||||
round_to
|
||||
)
|
||||
from vnpy.trader.event import EVENT_TIMER
|
||||
|
||||
# 增加通达信指数接口行情
|
||||
from time import sleep
|
||||
from threading import Thread
|
||||
from pytdx.exhq import TdxExHq_API
|
||||
from vnpy.amqp.consumer import subscriber
|
||||
from vnpy.data.tdx.tdx_common import (
|
||||
TDX_FUTURE_HOSTS,
|
||||
get_future_contracts,
|
||||
get_cache_json,
|
||||
save_cache_json,
|
||||
TDX_FUTURE_CONFIG)
|
||||
from vnpy.app.cta_strategy_pro.base import (
|
||||
MARKET_DAY_ONLY, NIGHT_MARKET_23, NIGHT_MARKET_SQ2
|
||||
)
|
||||
|
||||
STATUS_CTP2VT = {
|
||||
THOST_FTDC_OAS_Submitted: Status.SUBMITTING,
|
||||
@ -116,7 +134,6 @@ OPTIONTYPE_CTP2VT = {
|
||||
THOST_FTDC_CP_PutOptions: OptionType.PUT
|
||||
}
|
||||
|
||||
|
||||
symbol_exchange_map = {}
|
||||
symbol_name_map = {}
|
||||
symbol_size_map = {}
|
||||
@ -137,7 +154,13 @@ class CtpGateway(BaseGateway):
|
||||
"授权编码": "",
|
||||
"产品信息": ""
|
||||
}
|
||||
|
||||
# 注
|
||||
# 如果采用rabbit_mq拓展tdx指数行情，default_setting中，需要增加:
|
||||
# "rabbit":
|
||||
# {
|
||||
# "host": "192.168.1.211",
|
||||
# "exchange": "x_fanout_idx_tick"
|
||||
# }
|
||||
exchanges = list(EXCHANGE_CTP2VT.values())
|
||||
|
||||
def __init__(self, event_engine):
|
||||
@ -146,6 +169,13 @@ class CtpGateway(BaseGateway):
|
||||
|
||||
self.td_api = CtpTdApi(self)
|
||||
self.md_api = CtpMdApi(self)
|
||||
self.tdx_api = None
|
||||
self.rabbit_api = None
|
||||
|
||||
self.combiner_conf_dict = {} # 保存合成器配置
|
||||
# 自定义价差/加比的tick合成器
|
||||
self.combiners = {}
|
||||
self.tick_combiner_map = {}
|
||||
|
||||
def connect(self, setting: dict):
|
||||
""""""
|
||||
@ -157,7 +187,7 @@ class CtpGateway(BaseGateway):
|
||||
appid = setting["产品名称"]
|
||||
auth_code = setting["授权编码"]
|
||||
product_info = setting["产品信息"]
|
||||
|
||||
rabbit_dict = setting.get('rabbit', None)
|
||||
if (
|
||||
(not td_address.startswith("tcp://"))
|
||||
and (not td_address.startswith("ssl://"))
|
||||
@ -173,10 +203,25 @@ class CtpGateway(BaseGateway):
|
||||
self.td_api.connect(td_address, userid, password, brokerid, auth_code, appid, product_info)
|
||||
self.md_api.connect(md_address, userid, password, brokerid)
|
||||
|
||||
if rabbit_dict:
|
||||
self.rabbit_api = SubMdApi(gateway=self)
|
||||
self.rabbit_api.connect(rabbit_dict)
|
||||
else:
|
||||
self.tdx_api = TdxMdApi(gateway=self)
|
||||
self.tdx_api.connect()
|
||||
|
||||
self.init_query()
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
""""""
|
||||
# 指数合约，从tdx行情订阅
|
||||
if req.symbol[-2:] in ['99']:
|
||||
req.symbol = req.symbol.upper()
|
||||
if self.tdx_api:
|
||||
self.tdx_api.subscribe(req)
|
||||
elif self.rabbit_api:
|
||||
self.rabbit_api.subscribe(req)
|
||||
else:
|
||||
self.md_api.subscribe(req)
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
@ -200,13 +245,6 @@ class CtpGateway(BaseGateway):
|
||||
self.td_api.close()
|
||||
self.md_api.close()
|
||||
|
||||
def write_error(self, msg: str, error: dict):
|
||||
""""""
|
||||
error_id = error["ErrorID"]
|
||||
error_msg = error["ErrorMsg"]
|
||||
msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
|
||||
self.write_log(msg)
|
||||
|
||||
def process_timer_event(self, event):
|
||||
""""""
|
||||
self.count += 1
|
||||
@ -224,6 +262,14 @@ class CtpGateway(BaseGateway):
|
||||
self.query_functions = [self.query_account, self.query_position]
|
||||
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
|
||||
|
||||
def on_custom_tick(self, tick):
|
||||
"""推送自定义合约行情"""
|
||||
# 自定义合约行情
|
||||
|
||||
for combiner in self.tick_combiner_map.get(tick.symbol, []):
|
||||
tick = copy(tick)
|
||||
combiner.on_tick(tick)
|
||||
|
||||
|
||||
class CtpMdApi(MdApi):
|
||||
""""""
|
||||
@ -294,7 +340,7 @@ class CtpMdApi(MdApi):
|
||||
if not exchange:
|
||||
return
|
||||
|
||||
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
|
||||
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec'] / 100)}"
|
||||
dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
|
||||
|
||||
# 不处理开盘前的tick数据
|
||||
@ -855,3 +901,669 @@ class CtpTdApi(TdApi):
|
||||
""""""
|
||||
if self.connect_status:
|
||||
self.exit()
|
||||
|
||||
|
||||
class TdxMdApi():
|
||||
"""
|
||||
通达信数据行情API实现
|
||||
订阅的指数行情，更新合约的数据
|
||||
|
||||
"""
|
||||
|
||||
def __init__(self, gateway):
|
||||
self.gateway = gateway # gateway对象
|
||||
self.gateway_name = gateway.gateway_name # gateway对象名称
|
||||
|
||||
self.req_interval = 0.5 # 操作请求间隔500毫秒
|
||||
self.req_id = 0 # 操作请求编号
|
||||
self.connection_status = False # 连接状态
|
||||
|
||||
self.symbol_exchange_dict = {} # tdx合约与vn交易所的字典
|
||||
self.symbol_market_dict = {} # tdx合约与tdx市场的字典
|
||||
self.symbol_vn_dict = {} # tdx合约与vtSymbol的对应
|
||||
self.symbol_tick_dict = {} # tdx合约与最后一个Tick得字典
|
||||
|
||||
# tdx 期货配置本地缓存
|
||||
self.future_contracts = get_future_contracts()
|
||||
|
||||
self.registered_symbol_set = set()
|
||||
|
||||
self.thread = None # 查询线程
|
||||
|
||||
self.ip_list = TDX_FUTURE_HOSTS
|
||||
|
||||
# 调出
|
||||
self.best_ip = {} # 最佳IP地址和端口
|
||||
self.api = None # API 的连接会话对象
|
||||
self.last_tick_dt = datetime.now() # 记录该会话对象的最后一个tick时间
|
||||
|
||||
self.instrument_count = 50000
|
||||
|
||||
self.has_qry_instrument = False
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def ping(self, ip, port=7709):
|
||||
"""
|
||||
ping行情服务器
|
||||
:param ip:
|
||||
:param port:
|
||||
:param type_:
|
||||
:return:
|
||||
"""
|
||||
apix = TdxExHq_API()
|
||||
__time1 = datetime.now()
|
||||
try:
|
||||
with apix.connect(ip, port):
|
||||
if apix.get_instrument_count() > 10000:
|
||||
_timestamp = (datetime.now() - __time1).total_seconds() * 1000
|
||||
self.gateway.write_log('服务器{}:{},耗时:{}ms'.format(ip, port, _timestamp))
|
||||
return _timestamp
|
||||
else:
|
||||
self.gateway.write_log(u'该服务器IP {}无响应.'.format(ip))
|
||||
return timedelta(seconds=10).total_seconds() * 1000
|
||||
except Exception as ex:
|
||||
self.gateway.write_log(u'tdx ping服务器{}，异常的响应{}'.format(ip, str(ex)))
|
||||
return timedelta(seconds=10).total_seconds() * 1000
|
||||
|
||||
def sort_ip_speed(self):
|
||||
"""
|
||||
对所有服务器进行速度排序
|
||||
:return:
|
||||
"""
|
||||
|
||||
speed_result = []
|
||||
for x in self.ip_list:
|
||||
speed = self.ping(x['ip'], x['port'])
|
||||
x.update({'speed': speed})
|
||||
speed_result.append(copy(x))
|
||||
|
||||
# 更新服务器，按照速度排序
|
||||
speed_result = sorted(speed_result, key=lambda s: s['speed'])
|
||||
self.gateway.write_log(u'服务器访问速度排序:{}'.format(speed_result))
|
||||
return speed_result
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def select_best_ip(self, exclude_ip: str = None):
|
||||
"""
|
||||
选择行情服务器
|
||||
:param: exclude_ip, 排除的ip地址
|
||||
:return:
|
||||
"""
|
||||
self.gateway.write_log(u'选择通达信行情服务器')
|
||||
|
||||
ip_list = self.sort_ip_speed()
|
||||
|
||||
valid_ip_list = [x for x in ip_list if x.get('speed', 10000) < 10000 and x.get('ip') != exclude_ip]
|
||||
|
||||
if len(valid_ip_list) == 0:
|
||||
self.gateway.write_error(u'未能找到合适速度得行情服务器')
|
||||
return None
|
||||
best_future_ip = valid_ip_list[0]
|
||||
save_cache_json(best_future_ip, TDX_FUTURE_CONFIG)
|
||||
return best_future_ip
|
||||
|
||||
def connect(self, is_reconnect=False):
|
||||
"""
|
||||
连接通达讯行情服务器
|
||||
:param is_reconnect:是否重连
|
||||
:return:
|
||||
"""
|
||||
# 创建api连接对象实例
|
||||
try:
|
||||
if self.api is None or not self.connection_status:
|
||||
self.gateway.write_log(u'开始连接通达信行情服务器')
|
||||
self.api = TdxExHq_API(heartbeat=True, auto_retry=True, raise_exception=True)
|
||||
|
||||
# 选取最佳服务器
|
||||
if is_reconnect or len(self.best_ip) == 0:
|
||||
self.best_ip = get_cache_json(TDX_FUTURE_CONFIG)
|
||||
|
||||
if len(self.best_ip) == 0:
|
||||
self.best_ip = self.select_best_ip()
|
||||
|
||||
self.api.connect(self.best_ip['ip'], self.best_ip['port'])
|
||||
# 尝试获取市场合约统计
|
||||
c = self.api.get_instrument_count()
|
||||
if c < 10:
|
||||
err_msg = u'该服务器IP {}/{}无响应'.format(self.best_ip['ip'], self.best_ip['port'])
|
||||
self.gateway.write_error(err_msg)
|
||||
else:
|
||||
self.gateway.write_log(u'创建tdx连接, IP: {}/{}'.format(self.best_ip['ip'], self.best_ip['port']))
|
||||
self.connection_status = True
|
||||
|
||||
self.thread = Thread(target=self.run)
|
||||
self.thread.start()
|
||||
|
||||
except Exception as ex:
|
||||
self.gateway.write_log(u'连接服务器tdx异常:{},{}'.format(str(ex), traceback.format_exc()))
|
||||
return
|
||||
|
||||
def close(self):
|
||||
"""退出API"""
|
||||
self.gateway.write_log(u'退出tdx API')
|
||||
self.connection_status = False
|
||||
|
||||
if self.thread:
|
||||
self.thread.join()
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅合约"""
|
||||
# 这里的设计是，如果尚未登录就调用了订阅方法
|
||||
# 则先保存订阅请求，登录完成后会自动订阅
|
||||
vn_symbol = str(subscribeReq.symbol)
|
||||
vn_symbol = vn_symbol.upper()
|
||||
self.gateway.write_log(u'通达信行情订阅 {}'.format(str(vn_symbol)))
|
||||
|
||||
if vn_symbol[-2:] != '99':
|
||||
self.gateway.write_log(u'{}不是指数合约，不能订阅'.format(vn_symbol))
|
||||
return
|
||||
|
||||
tdx_symbol = vn_symbol[0:-2] + 'L9'
|
||||
tdx_symbol = tdx_symbol.upper()
|
||||
self.gateway.write_log(u'{}=>{}'.format(vn_symbol, tdx_symbol))
|
||||
self.symbol_vn_dict[tdx_symbol] = vn_symbol
|
||||
|
||||
if tdx_symbol not in self.registered_symbol_set:
|
||||
self.registered_symbol_set.add(tdx_symbol)
|
||||
|
||||
self.check_status()
|
||||
|
||||
def check_status(self):
|
||||
# self.write_log(u'检查tdx接口状态')
|
||||
if len(self.registered_symbol_set) == 0:
|
||||
return
|
||||
|
||||
# 若还没有启动连接，就启动连接
|
||||
over_time = (datetime.now() - self.last_tick_dt).total_seconds() > 60
|
||||
if not self.connection_status or self.api is None or over_time:
|
||||
self.gateway.write_log(u'tdx还没有启动连接，就启动连接')
|
||||
self.close()
|
||||
self.thread = None
|
||||
self.connect(is_reconnect=True)
|
||||
|
||||
def qry_instrument(self):
|
||||
"""
|
||||
查询/更新合约信息
|
||||
:return:
|
||||
"""
|
||||
if not self.connection_status:
|
||||
self.gateway.write_error(u'tdx连接状态为断开，不能查询和更新合约信息')
|
||||
return
|
||||
|
||||
if self.has_qry_instrument:
|
||||
self.gateway.write_error(u'已经查询过一次合约信息，不再查询')
|
||||
return
|
||||
|
||||
# 取得所有的合约信息
|
||||
num = self.api.get_instrument_count()
|
||||
if not isinstance(num, int):
|
||||
return
|
||||
|
||||
all_contacts = sum(
|
||||
[self.api.get_instrument_info((int(num / 500) - i) * 500, 500) for i in range(int(num / 500) + 1)], [])
|
||||
# [{"category":category,"market": int,"code":sting,"name":string,"desc":string},{}]
|
||||
|
||||
# 对所有合约处理，更新字典 指数合约-tdx市场，指数合约-交易所
|
||||
for tdx_contract in all_contacts:
|
||||
tdx_symbol = tdx_contract.get('code', None)
|
||||
if tdx_symbol is None or tdx_symbol[-2:] not in ['L9']:
|
||||
continue
|
||||
tdx_market_id = tdx_contract.get('market')
|
||||
self.symbol_market_dict[tdx_symbol] = tdx_market_id
|
||||
if tdx_market_id == 47: # 中金所
|
||||
self.symbol_exchange_dict[tdx_symbol] = Exchange.CFFEX
|
||||
elif tdx_market_id == 28: # 郑商所
|
||||
self.symbol_exchange_dict[tdx_symbol] = Exchange.CZCE
|
||||
elif tdx_market_id == 29: # 大商所
|
||||
self.symbol_exchange_dict[tdx_symbol] = Exchange.DCE
|
||||
elif tdx_market_id == 30: # 上期所+能源
|
||||
self.symbol_exchange_dict[tdx_symbol] = Exchange.SHFE
|
||||
elif tdx_market_id == 60: # 主力合约
|
||||
self.gateway.write_log(u'主力合约:{}'.format(tdx_contract))
|
||||
self.has_qry_instrument = True
|
||||
|
||||
def run(self):
|
||||
# 直接查询板块
|
||||
try:
|
||||
last_dt = datetime.now()
|
||||
self.gateway.write_log(u'开始运行tdx查询指数行情线程,{}'.format(last_dt))
|
||||
while self.connection_status:
|
||||
if len(self.registered_symbol_set) > 0:
|
||||
try:
|
||||
self.process_index_req()
|
||||
except BrokenPipeError as bex:
|
||||
self.gateway.write_error(u'BrokenPipeError{},重试重连tdx[{}]'.format(str(bex), 0))
|
||||
self.connect(is_reconnect=True)
|
||||
sleep(5)
|
||||
break
|
||||
except Exception as ex:
|
||||
self.gateway.write_error(u'tdx exception:{},{}'.format(str(ex), traceback.format_exc()))
|
||||
self.gateway.write_error(u'重试重连tdx')
|
||||
self.connect(is_reconnect=True)
|
||||
|
||||
sleep(self.req_interval)
|
||||
dt = datetime.now()
|
||||
if last_dt.minute != dt.minute:
|
||||
self.gateway.write_log(
|
||||
'tdx check point. {}, process symbols:{}'.format(dt, self.registered_symbol_set))
|
||||
last_dt = dt
|
||||
except Exception as ex:
|
||||
self.gateway.write_error(u'tdx thead.run exception:{},{}'.format(str(ex), traceback.format_exc()))
|
||||
|
||||
self.gateway.write_error(u'tdx查询线程 {}退出'.format(datetime.now()))
|
||||
|
||||
def process_index_req(self):
|
||||
"""处理板块获取指数行情tick"""
|
||||
|
||||
# 获取通达信指数板块所有行情
|
||||
rt_list = self.api.get_instrument_quote_list(42, 3, 0, 100)
|
||||
|
||||
if rt_list is None or len(rt_list) == 0:
|
||||
self.gateway.write_log(u'tdx: rt_list为空')
|
||||
return
|
||||
|
||||
# 记录该接口的行情最后更新时间
|
||||
self.last_tick_dt = datetime.now()
|
||||
|
||||
for d in list(rt_list):
|
||||
tdx_symbol = d.get('code', None)
|
||||
if tdx_symbol not in self.registered_symbol_set and tdx_symbol is not None:
|
||||
continue
|
||||
# tdx_symbol => vn_symbol
|
||||
vn_symbol = self.symbol_vn_dict.get(tdx_symbol, None)
|
||||
if vn_symbol is None:
|
||||
self.gateway.write_error(u'self.symbol_vn_dict 取不到映射得:{}'.format(tdx_symbol))
|
||||
continue
|
||||
# vn_symbol => exchange
|
||||
exchange = self.symbol_exchange_dict.get(tdx_symbol, None)
|
||||
underlying_symbol = get_underlying_symbol(vn_symbol)
|
||||
|
||||
if exchange is None:
|
||||
symbol_info = self.future_contracts.get(underlying_symbol, None)
|
||||
if not symbol_info:
|
||||
continue
|
||||
exchange_value = symbol_info.get('exchange', None)
|
||||
exchange = Exchange(exchange_value)
|
||||
if exchange is None:
|
||||
continue
|
||||
self.symbol_exchange_dict.update({tdx_symbol: exchange})
|
||||
|
||||
tick_datetime = datetime.now()
|
||||
# 修正毫秒
|
||||
last_tick = self.symbol_tick_dict.get(vn_symbol, None)
|
||||
if (last_tick is not None) and tick_datetime.replace(microsecond=0) == last_tick.datetime:
|
||||
# 与上一个tick的时间（去除毫秒后）相同,修改为500毫秒
|
||||
tick_datetime = tick_datetime.replace(microsecond=500)
|
||||
else:
|
||||
tick_datetime = tick_datetime.replace(microsecond=0)
|
||||
|
||||
tick = TickData(gateway_name=self.gateway_name,
|
||||
symbol=vn_symbol,
|
||||
exchange=exchange,
|
||||
datetime=tick_datetime)
|
||||
|
||||
tick.pre_close = float(d.get('ZuoJie', 0.0))
|
||||
tick.high_price = float(d.get('ZuiGao', 0.0))
|
||||
tick.open_price = float(d.get('JinKai', 0.0))
|
||||
tick.low_price = float(d.get('ZuiDi', 0.0))
|
||||
tick.last_price = float(d.get('MaiChu', 0.0))
|
||||
tick.volume = int(d.get('XianLiang', 0))
|
||||
tick.open_interest = d.get('ChiCangLiang')
|
||||
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S.%f')[0:12]
|
||||
tick.date = tick.datetime.strftime('%Y-%m-%d')
|
||||
|
||||
tick.trading_day = get_trading_date(tick.datetime)
|
||||
|
||||
# 指数没有涨停和跌停，就用昨日收盘价正负10%
|
||||
tick.limit_up = tick.pre_close * 1.1
|
||||
tick.limit_down = tick.pre_close * 0.9
|
||||
|
||||
# CTP只有一档行情
|
||||
tick.bid_price_1 = float(d.get('MaiRuJia', 0.0))
|
||||
tick.bid_volume_1 = int(d.get('MaiRuLiang', 0))
|
||||
tick.ask_price_1 = float(d.get('MaiChuJia', 0.0))
|
||||
tick.ask_volume_1 = int(d.get('MaiChuLiang', 0))
|
||||
|
||||
# 排除非交易时间得tick
|
||||
if tick.exchange is Exchange.CFFEX:
|
||||
if tick.datetime.hour not in [9, 10, 11, 13, 14, 15]:
|
||||
continue
|
||||
if tick.datetime.hour == 9 and tick.datetime.minute < 15:
|
||||
continue
|
||||
# 排除早盘 11:30~12:00
|
||||
if tick.datetime.hour == 11 and tick.datetime.minute >= 30:
|
||||
continue
|
||||
if tick.datetime.hour == 15 and tick.datetime.minute >= 15 and underlying_symbol in ['T', 'TF', 'TS']:
|
||||
continue
|
||||
if tick.datetime.hour == 15 and underlying_symbol in ['IH', 'IF', 'IC']:
|
||||
continue
|
||||
else: # 大商所/郑商所，上期所，上海能源
|
||||
# 排除非开盘小时
|
||||
if tick.datetime.hour in [3, 4, 5, 6, 7, 8, 12, 15, 16, 17, 18, 19, 20]:
|
||||
continue
|
||||
# 排除早盘 10:15~10:30
|
||||
if tick.datetime.hour == 10 and 15 <= tick.datetime.minute < 30:
|
||||
continue
|
||||
# 排除早盘 11:30~12:00
|
||||
if tick.datetime.hour == 11 and tick.datetime.minute >= 30:
|
||||
continue
|
||||
# 排除午盘 13:00 ~13:30
|
||||
if tick.datetime.hour == 13 and tick.datetime.minute < 30:
|
||||
continue
|
||||
# 排除凌晨2:30~3:00
|
||||
if tick.datetime.hour == 2 and tick.datetime.minute >= 30:
|
||||
continue
|
||||
|
||||
# 排除大商所/郑商所夜盘数据上期所夜盘数据 23:00 收盘
|
||||
if underlying_symbol in NIGHT_MARKET_23:
|
||||
if tick.datetime.hour in [23, 0, 1, 2]:
|
||||
continue
|
||||
# 排除上期所夜盘数据 1:00 收盘
|
||||
if underlying_symbol in NIGHT_MARKET_SQ2:
|
||||
if tick.datetime.hour in [1, 2]:
|
||||
continue
|
||||
|
||||
# 排除日盘合约在夜盘得数据
|
||||
if underlying_symbol in MARKET_DAY_ONLY and (tick.datetime.hour < 9 or tick.datetime.hour > 16):
|
||||
# self.write_log(u'排除日盘合约{}在夜盘得数据'.format(short_symbol))
|
||||
continue
|
||||
|
||||
# self.gateway.write_log(f'{tick.__dict__}')
|
||||
self.symbol_tick_dict[tick.symbol] = tick
|
||||
|
||||
self.gateway.on_tick(tick)
|
||||
self.gateway.on_custom_tick(tick)
|
||||
|
||||
class SubMdApi():
|
||||
"""
|
||||
RabbitMQ Subscriber 数据行情接收API
|
||||
"""
|
||||
|
||||
def __init__(self, gateway):
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
self.symbol_tick_dict = {} # 合约与最后一个Tick得字典
|
||||
self.registed_symbol_set = set() # 订阅的合约记录集
|
||||
|
||||
self.sub = None
|
||||
self.setting = {}
|
||||
self.connect_status = False
|
||||
self.thread = None
|
||||
|
||||
def connect(self, setting={}):
|
||||
"""连接"""
|
||||
self.setting = setting
|
||||
try:
|
||||
self.sub = subscriber(
|
||||
host=self.setting.get('host', 'localhost'),
|
||||
port=self.setting.get('port', 5672),
|
||||
user=self.setting.get('user', 'admin'),
|
||||
password=self.setting.get('password', 'admin'),
|
||||
exchange=self.setting.get('exchange', 'x_fanout_idx_tick'))
|
||||
|
||||
self.sub.set_callback(self.on_message)
|
||||
self.thread = Thread(target=self.sub.start)
|
||||
self.thread.start()
|
||||
self.connect_status = True
|
||||
|
||||
except Exception as ex:
|
||||
self.gateway.write_error(u'连接RabbitMQ {} 异常:{}'.format(self.setting, str(ex)))
|
||||
self.gateway.write_error(traceback.format_exc())
|
||||
self.connect_status = False
|
||||
|
||||
def on_message(self, chan, method_frame, _header_frame, body, userdata=None):
|
||||
# print(" [x] %r" % body)
|
||||
try:
|
||||
str_tick = body.decode('utf-8')
|
||||
d = json.loads(str_tick)
|
||||
symbol = d.pop('symbol', None)
|
||||
str_datetime = d.pop('datetime', None)
|
||||
if symbol not in self.registed_symbol_set or str_datetime is None:
|
||||
return
|
||||
if '.' in str_datetime:
|
||||
dt = datetime.strptime(str_datetime, '%Y-%m-%d %H:%M:%S.%f')
|
||||
else:
|
||||
dt = datetime.strptime(str_datetime, '%Y-%m-%d %H:%M:%S')
|
||||
|
||||
d.pop('rawData', None)
|
||||
tick = TickData(gateway_name=self.gateway_name,
|
||||
exchange=Exchange(d.get('exchange')),
|
||||
symbol=d.get('symbol'),
|
||||
datetime=dt)
|
||||
d.pop('exchange', None)
|
||||
d.pop('symbol', None)
|
||||
d.pop()
|
||||
tick.__dict__.update(d)
|
||||
|
||||
self.symbol_tick_dict[symbol] = tick
|
||||
self.gateway.on_tick(tick)
|
||||
self.gateway.on_custom_tick(tick)
|
||||
|
||||
except Exception as ex:
|
||||
self.gateway.write_error(u'RabbitMQ on_message 异常:{}'.format(str(ex)))
|
||||
self.gateway.write_error(traceback.format_exc())
|
||||
|
||||
def close(self):
|
||||
"""退出API"""
|
||||
self.gateway.write_log(u'退出rabbit行情订阅API')
|
||||
self.connection_status = False
|
||||
|
||||
try:
|
||||
if self.sub:
|
||||
self.gateway.write_log(u'关闭订阅器')
|
||||
self.sub.close()
|
||||
|
||||
if self.thread is not None:
|
||||
self.gateway.write_log(u'关闭订阅器接收线程')
|
||||
self.thread.join()
|
||||
except Exception as ex:
|
||||
self.gateway.write_error(u'退出rabbitMQ行情api异常')
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅合约"""
|
||||
# 这里的设计是，如果尚未登录就调用了订阅方法
|
||||
# 则先保存订阅请求，登录完成后会自动订阅
|
||||
vn_symbol = str(subscribeReq.symbol)
|
||||
vn_symbol = vn_symbol.upper()
|
||||
|
||||
if vn_symbol not in self.registed_symbol_set:
|
||||
self.registed_symbol_set.add(vn_symbol)
|
||||
self.gateway.write_log(u'RabbitMQ行情订阅 {}'.format(str(vn_symbol)))
|
||||
|
||||
|
||||
class TickCombiner(object):
|
||||
"""
|
||||
Tick合成类
|
||||
"""
|
||||
|
||||
def __init__(self, gateway, setting):
|
||||
self.gateway = gateway
|
||||
self.gateway_name = self.gateway.gateway_name
|
||||
self.gateway.write_log(u'创建tick合成类:{}'.format(setting))
|
||||
|
||||
self.symbol = setting.get('symbol', None)
|
||||
self.leg1_symbol = setting.get('leg1_symbol', None)
|
||||
self.leg2_symbol = setting.get('leg2_symbol', None)
|
||||
self.leg1_ratio = setting.get('leg1_ratio', 1) # 腿1的数量配比
|
||||
self.leg2_ratio = setting.get('leg2_ratio', 1) # 腿2的数量配比
|
||||
self.price_tick = setting.get('price_tick', 1) # 合成价差加比后的最小跳动
|
||||
# 价差
|
||||
self.is_spread = setting.get('is_spread', False)
|
||||
# 价比
|
||||
self.is_ratio = setting.get('is_ratio', False)
|
||||
|
||||
self.last_leg1_tick = None
|
||||
self.last_leg2_tick = None
|
||||
|
||||
# 价差日内最高/最低价
|
||||
self.spread_high = None
|
||||
self.spread_low = None
|
||||
|
||||
# 价比日内最高/最低价
|
||||
self.ratio_high = None
|
||||
self.ratio_low = None
|
||||
|
||||
# 当前交易日
|
||||
self.trading_day = None
|
||||
|
||||
if self.is_ratio and self.is_spread:
|
||||
self.gateway.write_error(u'{}参数有误，不能同时做价差/加比.setting:{}'.format(self.symbol, setting))
|
||||
return
|
||||
|
||||
self.gateway.write_log(u'初始化{}合成器成功'.format(self.symbol))
|
||||
if self.is_spread:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{} * {} - leg2:{} * {}'.format(self.leg1_symbol, self.leg1_ratio, self.leg2_symbol,
|
||||
self.leg2_ratio))
|
||||
if self.is_ratio:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{} * {} / leg2:{} * {}'.format(self.leg1_symbol, self.leg1_ratio, self.leg2_symbol,
|
||||
self.leg2_ratio))
|
||||
|
||||
def on_tick(self, tick):
|
||||
"""OnTick处理"""
|
||||
combinable = False
|
||||
|
||||
if tick.symbol == self.leg1_symbol:
|
||||
# leg1合约
|
||||
self.last_leg1_tick = tick
|
||||
if self.last_leg2_tick is not None:
|
||||
if self.last_leg1_tick.datetime.replace(microsecond=0) == self.last_leg2_tick.datetime.replace(
|
||||
microsecond=0):
|
||||
combinable = True
|
||||
|
||||
elif tick.symbol == self.leg2_symbol:
|
||||
# leg2合约
|
||||
self.last_leg2_tick = tick
|
||||
if self.last_leg1_tick is not None:
|
||||
if self.last_leg2_tick.datetime.replace(microsecond=0) == self.last_leg1_tick.datetime.replace(
|
||||
microsecond=0):
|
||||
combinable = True
|
||||
|
||||
# 不能合并
|
||||
if not combinable:
|
||||
return
|
||||
|
||||
if not self.is_ratio and not self.is_spread:
|
||||
return
|
||||
|
||||
# 以下情况，基本为单腿涨跌停，不合成价差/价格比 Tick
|
||||
if (self.last_leg1_tick.ask_price_1 == 0 or self.last_leg1_tick.bid_price_1 == self.last_leg1_tick.upperLimit) \
|
||||
and self.last_leg1_tick.askVolume1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{0}涨停{1}，不合成价差Tick'.format(self.last_leg1_tick.vtSymbol, self.last_leg1_tick.bid_price_1))
|
||||
return
|
||||
if (self.last_leg1_tick.bid_price_1 == 0 or self.last_leg1_tick.ask_price_1 == self.last_leg1_tick.lowerLimit) \
|
||||
and self.last_leg1_tick.bidVolume1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{0}跌停{1}，不合成价差Tick'.format(self.last_leg1_tick.vtSymbol, self.last_leg1_tick.ask_price_1))
|
||||
return
|
||||
if (self.last_leg2_tick.ask_price_1 == 0 or self.last_leg2_tick.bid_price_1 == self.last_leg2_tick.upperLimit) \
|
||||
and self.last_leg2_tick.askVolume1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg2:{0}涨停{1}，不合成价差Tick'.format(self.last_leg2_tick.vtSymbol, self.last_leg2_tick.bid_price_1))
|
||||
return
|
||||
if (self.last_leg2_tick.bid_price_1 == 0 or self.last_leg2_tick.ask_price_1 == self.last_leg2_tick.lowerLimit) \
|
||||
and self.last_leg2_tick.bidVolume1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg2:{0}跌停{1}，不合成价差Tick'.format(self.last_leg2_tick.vtSymbol, self.last_leg2_tick.ask_price_1))
|
||||
return
|
||||
|
||||
if self.trading_day != tick.trading_day:
|
||||
self.trading_day = tick.trading_day
|
||||
self.spread_high = None
|
||||
self.spread_low = None
|
||||
self.ratio_high = None
|
||||
self.ratio_low = None
|
||||
|
||||
if self.is_spread:
|
||||
spread_tick = TickData(gateway_name=self.gateway_name,
|
||||
symbol=self.symbol,
|
||||
exchange=tick.exchange,
|
||||
datetime=tick.datetime)
|
||||
|
||||
spread_tick.trading_day = tick.trading_day
|
||||
spread_tick.date = tick.date
|
||||
spread_tick.time = tick.time
|
||||
|
||||
# 叫卖价差=leg1.ask_price_1 * 配比 - leg2.bid_price_1 * 配比，volume为两者最小
|
||||
spread_tick.ask_price_1 = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.ask_price_1 * self.leg1_ratio - self.last_leg2_tick.bid_price_1 * self.leg2_ratio)
|
||||
spread_tick.ask_volume_1 = min(self.last_leg1_tick.ask_volume_1, self.last_leg2_tick.bid_volume_1)
|
||||
|
||||
# 叫买价差=leg1.bid_price_1 * 配比 - leg2.ask_price_1 * 配比，volume为两者最小
|
||||
spread_tick.bid_price_1 = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.bid_price_1 * self.leg1_ratio - self.last_leg2_tick.ask_price_1 * self.leg2_ratio)
|
||||
spread_tick.bid_volume_1 = min(self.last_leg1_tick.bid_volume_1, self.last_leg2_tick.ask_volume_1)
|
||||
|
||||
# 最新价
|
||||
spread_tick.last_price = round_to(target=self.price_tick,
|
||||
value=(spread_tick.ask_price_1 + spread_tick.bid_price_1) / 2)
|
||||
# 昨收盘价
|
||||
if self.last_leg2_tick.pre_close > 0 and self.last_leg1_tick.pre_close > 0:
|
||||
spread_tick.pre_close = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.pre_close * self.leg1_ratio - self.last_leg2_tick.pre_close * self.leg2_ratio)
|
||||
# 开盘价
|
||||
if self.last_leg2_tick.open_price > 0 and self.last_leg1_tick.open_price > 0:
|
||||
spread_tick.openPrice = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.open_price * self.leg1_ratio - self.last_leg2_tick.open_price * self.leg2_ratio)
|
||||
# 最高价
|
||||
self.spread_high = spread_tick.ask_price_1 if self.spread_high is None else max(self.spread_high,
|
||||
spread_tick.ask_price_1)
|
||||
spread_tick.high_price = self.spread_high
|
||||
|
||||
# 最低价
|
||||
self.spread_low = spread_tick.bid_price_1 if self.spread_low is None else min(self.spread_low,
|
||||
spread_tick.bid_price_1)
|
||||
spread_tick.low_price = self.spread_low
|
||||
|
||||
self.gateway.on_tick(spread_tick)
|
||||
|
||||
if self.is_ratio:
|
||||
ratio_tick = TickData(gatway_name=self.gateway_name,
|
||||
symbol=self.symbol,
|
||||
exchange=tick.exchange,
|
||||
datetime=tick.datetime)
|
||||
|
||||
ratio_tick.trading_day = tick.trading_day
|
||||
ratio_tick.date = tick.date
|
||||
ratio_tick.time = tick.time
|
||||
|
||||
# 比率tick
|
||||
ratio_tick.ask_price_1 = round_to(target=self.price_tick,
|
||||
value=100 * self.last_leg1_tick.ask_price_1 * self.leg1_ratio / (
|
||||
self.last_leg2_tick.bid_price_1 * self.leg2_ratio))
|
||||
ratio_tick.askVolume1 = min(self.last_leg1_tick.askVolume1, self.last_leg2_tick.bidVolume1)
|
||||
|
||||
ratio_tick.bid_price_1 = round_to(target=self.price_tick,
|
||||
value=100 * self.last_leg1_tick.bid_price_1 * self.leg1_ratio / (
|
||||
self.last_leg2_tick.ask_price_1 * self.leg2_ratio))
|
||||
ratio_tick.bidVolume1 = min(self.last_leg1_tick.bidVolume1, self.last_leg2_tick.askVolume1)
|
||||
ratio_tick.lastPrice = round_to(target=self.price_tick,
|
||||
value=(ratio_tick.ask_price_1 + ratio_tick.bid_price_1) / 2)
|
||||
|
||||
# 昨收盘价
|
||||
if self.last_leg2_tick.preClosePrice > 0 and self.last_leg1_tick.preClosePrice > 0:
|
||||
ratio_tick.preClosePrice = round_to(target=self.price_tick,
|
||||
value=100 * self.last_leg1_tick.preClosePrice * self.leg1_ratio / (
|
||||
self.last_leg2_tick.preClosePrice * self.leg2_ratio))
|
||||
# 开盘价
|
||||
if self.last_leg2_tick.openPrice > 0 and self.last_leg1_tick.openPrice > 0:
|
||||
ratio_tick.openPrice = round_to(target=self.price_tick,
|
||||
value=100 * self.last_leg1_tick.openPrice * self.leg1_ratio / (
|
||||
self.last_leg2_tick.openPrice * self.leg2_ratio))
|
||||
# 最高价
|
||||
self.ratio_high = ratio_tick.ask_price_1 if self.ratio_high is None else max(self.ratio_high,
|
||||
ratio_tick.ask_price_1)
|
||||
ratio_tick.high_price = self.spread_high
|
||||
|
||||
# 最低价
|
||||
self.ratio_low = ratio_tick.bid_price_1 if self.ratio_low is None else min(self.ratio_low,
|
||||
ratio_tick.bid_price_1)
|
||||
ratio_tick.low_price = self.spread_low
|
||||
|
||||
self.gateway.on_tick(ratio_tick)
|
||||
|
||||
@ -1,11 +1,12 @@
|
||||
"""
|
||||
|
||||
"""
|
||||
|
||||
import os
|
||||
import sys
|
||||
from abc import ABC, abstractmethod
|
||||
from typing import Any, Sequence
|
||||
from copy import copy
|
||||
from logging import INFO
|
||||
from logging import INFO, DEBUG, ERROR
|
||||
|
||||
from vnpy.event import Event, EventEngine
|
||||
from .event import (
|
||||
@ -31,6 +32,9 @@ from .object import (
|
||||
HistoryRequest
|
||||
)
|
||||
|
||||
from vnpy.trader.utility import get_folder_path
|
||||
from vnpy.trader.util_logger import setup_logger
|
||||
|
||||
|
||||
class BaseGateway(ABC):
|
||||
"""
|
||||
@ -81,6 +85,21 @@ class BaseGateway(ABC):
|
||||
""""""
|
||||
self.event_engine = event_engine
|
||||
self.gateway_name = gateway_name
|
||||
self.logger = None
|
||||
|
||||
self.create_logger()
|
||||
|
||||
def create_logger(self):
|
||||
"""
|
||||
创建engine独有的日志
|
||||
:return:
|
||||
"""
|
||||
log_path = get_folder_path("log")
|
||||
log_filename = os.path.abspath(os.path.join(log_path, self.gateway_name))
|
||||
print(u'create logger:{}'.format(log_filename))
|
||||
from vnpy.trader.setting import SETTINGS
|
||||
self.logger = setup_logger(file_name=log_filename, name=self.gateway_name,
|
||||
log_level=SETTINGS.get('log.level', DEBUG))
|
||||
|
||||
def on_event(self, type: str, data: Any = None):
|
||||
"""
|
||||
@ -141,13 +160,30 @@ class BaseGateway(ABC):
|
||||
"""
|
||||
self.on_event(EVENT_CONTRACT, contract)
|
||||
|
||||
def write_log(self, msg: str, level: int = INFO):
|
||||
def write_log(self, msg: str, level: int = INFO, on_log: bool = False):
|
||||
"""
|
||||
Write a log event from gateway.
|
||||
"""
|
||||
if self.logger:
|
||||
self.logger.log(level, msg)
|
||||
|
||||
if on_log:
|
||||
log = LogData(msg=msg, level=level, gateway_name=self.gateway_name)
|
||||
self.on_log(log)
|
||||
|
||||
def write_error(self, msg: str, error: dict = {}):
|
||||
"""
|
||||
write error log
|
||||
:param msg:
|
||||
:return:
|
||||
"""
|
||||
if len(error) > 0:
|
||||
error_id = error.get("ErrorID", '')
|
||||
error_msg = error.get("ErrorMsg", '')
|
||||
msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
|
||||
self.write_log(msg, level=ERROR, on_log=True)
|
||||
print(msg, file=sys.stderr)
|
||||
|
||||
@abstractmethod
|
||||
def connect(self, setting: dict):
|
||||
"""
|
||||
|
||||
@ -117,6 +117,7 @@ class RenkoBarData(BarData):
|
||||
low_time = None # 最后一次进入低位区域的时间
|
||||
high_time = None # 最后一次进入高位区域的时间
|
||||
|
||||
|
||||
@dataclass
|
||||
class OrderData(BaseData):
|
||||
"""
|
||||
|
||||
@ -28,6 +28,7 @@ def func_time(over_ms: int = 0):
|
||||
:param :over_ms 超过多少毫秒, 提示信息
|
||||
:return:
|
||||
"""
|
||||
|
||||
def run(func):
|
||||
@wraps(func)
|
||||
def wrapper(*args, **kwargs):
|
||||
@ -38,7 +39,9 @@ def func_time(over_ms: int = 0):
|
||||
if execute_ms > over_ms:
|
||||
print('{} took {} ms'.format(func.__qualname__, execute_ms))
|
||||
return result
|
||||
|
||||
return wrapper
|
||||
|
||||
return run
|
||||
|
||||
|
||||
@ -135,6 +138,7 @@ def get_real_symbol_by_exchange(full_symbol, vn_exchange):
|
||||
|
||||
return full_symbol
|
||||
|
||||
|
||||
def get_trading_date(dt: datetime = None):
|
||||
"""
|
||||
根据输入的时间，返回交易日的日期
|
||||
|
||||
Loading…
Reference in New Issue
Block a user