增加行情数据记录组件，通过json文件配置使用，默认不启动。

vn.trader/dataRecorder/DR_setting.json

@@ -0,0 +1,30 @@
+{
+    "working": false,
+
+    "tick":
+    [
+        ["IF1605", "SGIT"],
+        ["IF1606", "SGIT"],
+        ["IH1606", "SGIT"],
+        ["IH1606", "SGIT"],
+        ["IC1606", "SGIT"],
+        ["IC1606", "SGIT"]
+    ],
+
+    "bar":
+    [
+        ["IF1605", "SGIT"],
+        ["IF1606", "SGIT"],
+        ["IH1606", "SGIT"],
+        ["IH1606", "SGIT"],
+        ["IC1606", "SGIT"],
+        ["IC1606", "SGIT"]
+    ],
+
+    "active":
+    {
+    	"IF0000": "IF1605",
+        "IH0000": "IH1605",
+        "IC0000": "IC1605"
+    }
+}

vn.trader/dataRecorder/drBase.py

@@ -0,0 +1,97 @@
+# encoding: UTF-8
+
+'''
+本文件中包含的数据格式和CTA模块通用，用户有必要可以自行添加格式。
+'''
+
+from __future__ import division
+
+
+# 把vn.trader根目录添加到python环境变量中
+import sys
+sys.path.append('..')
+
+
+# 数据库名称
+SETTING_DB_NAME = 'VnTrader_Setting_Db'
+TICK_DB_NAME = 'VnTrader_Tick_Db'
+DAILY_DB_NAME = 'VnTrader_Daily_Db'
+MINUTE_DB_NAME = 'VnTrader_1Min_Db'
+
+
+# CTA引擎中涉及的数据类定义
+from vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
+
+
+########################################################################
+class DrBarData(object):
+    """K线数据"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.vtSymbol = EMPTY_STRING        # vt系统代码
+        self.symbol = EMPTY_STRING          # 代码
+        self.exchange = EMPTY_STRING        # 交易所
+    
+        self.open = EMPTY_FLOAT             # OHLC
+        self.high = EMPTY_FLOAT
+        self.low = EMPTY_FLOAT
+        self.close = EMPTY_FLOAT
+        
+        self.date = EMPTY_STRING            # bar开始的时间，日期
+        self.time = EMPTY_STRING            # 时间
+        self.datetime = None                # python的datetime时间对象
+        
+        self.volume = EMPTY_INT             # 成交量
+        self.openInterest = EMPTY_INT       # 持仓量
+
+
+########################################################################
+class DrTickData(object):
+    """Tick数据"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""       
+        self.vtSymbol = EMPTY_STRING            # vt系统代码
+        self.symbol = EMPTY_STRING              # 合约代码
+        self.exchange = EMPTY_STRING            # 交易所代码
+
+        # 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.upperLimit = EMPTY_FLOAT           # 涨停价
+        self.lowerLimit = EMPTY_FLOAT           # 跌停价
+        
+        # tick的时间
+        self.date = EMPTY_STRING            # 日期
+        self.time = EMPTY_STRING            # 时间
+        self.datetime = None                # python的datetime时间对象
+        
+        # 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    

vn.trader/dataRecorder/drEngine.py

@@ -0,0 +1,172 @@
+# encoding: UTF-8
+
+'''
+本文件中实现了行情数据记录引擎，用于汇总TICK数据，并生成K线插入数据库。
+
+使用DR_setting.json来配置需要收集的合约，以及主力合约代码。
+'''
+
+import json
+import os
+import copy
+from collections import OrderedDict
+from datetime import datetime, timedelta
+
+from eventEngine import *
+from vtGateway import VtSubscribeReq, VtLogData
+from drBase import *
+
+
+########################################################################
+class DrEngine(object):
+    """数据记录引擎"""
+    
+    settingFileName = 'DR_setting.json'
+    settingFileName = os.getcwd() + '/dataRecorder/' + settingFileName
+
+    #----------------------------------------------------------------------
+    def __init__(self, mainEngine, eventEngine):
+        """Constructor"""
+        self.mainEngine = mainEngine
+        self.eventEngine = eventEngine
+        
+        # 当前日期
+        self.today = datetime.now().replace(hour=0, minute=0, second=0, microsecond=0)
+        
+        # 主力合约代码映射字典，key为具体的合约代码（如IF1604），value为主力合约代码（如IF0000）
+        self.activeSymbolDict = {}
+        
+        # Tick对象字典
+        self.tickDict = {}
+        
+        # K线对象字典
+        self.barDict = {}
+        
+        # 载入设置，订阅行情
+        self.loadSetting()
+        
+    #----------------------------------------------------------------------
+    def loadSetting(self):
+        """载入设置"""
+        with open(self.settingFileName) as f:
+            setting = json.load(f)
+            
+            # 如果working设为False则不启动行情记录功能
+            working = setting['working']
+            if not working:
+                return
+            
+            if 'tick' in setting:
+                l = setting['tick']
+                
+                for symbol, gatewayName in l:
+                    drTick = DrTickData()           # 该tick实例可以用于缓存部分数据（目前未使用）
+                    self.tickDict[symbol] = drTick
+                    
+                    req = VtSubscribeReq()
+                    req.symbol = symbol
+                    self.mainEngine.subscribe(req, gatewayName)
+                    
+            if 'bar' in setting:
+                l = setting['bar']
+                
+                for symbol, gatewayName in l:
+                    bar = DrBarData()
+                    self.barDict[symbol] = bar
+                    
+                    req = VtSubscribeReq()
+                    req.symbol = symbol
+                    self.mainEngine.subscribe(req, gatewayName)      
+                    
+            if 'active' in setting:
+                d = setting['active']
+                
+                for activeSymbol, symbol in d.items():
+                    self.activeSymbolDict[symbol] = activeSymbol
+                    
+            # 注册事件监听
+            self.registerEvent()            
+
+    #----------------------------------------------------------------------
+    def procecssTickEvent(self, event):
+        """处理行情推送"""
+        tick = event.dict_['data']
+        vtSymbol = tick.vtSymbol
+
+        # 转化Tick格式
+        drTick = DrTickData()
+        d = drTick.__dict__
+        for key in d.keys():
+            if key != 'datetime':
+                d[key] = tick.__getattribute__(key)
+        drTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')            
+        
+        # 更新Tick数据
+        if vtSymbol in self.tickDict:
+            self.insertData(TICK_DB_NAME, vtSymbol, drTick)
+            
+            if vtSymbol in self.activeSymbolDict:
+                activeSymbol = self.activeSymbolDict[vtSymbol]
+                self.insertData(TICK_DB_NAME, activeSymbol, drTick)
+            
+            # 发出日志
+            self.writeDrLog(u'记录Tick数据%s，时间:%s, last:%s, bid:%s, ask:%s' 
+                            %(drTick.vtSymbol, drTick.time, drTick.lastPrice, drTick.bidPrice1, drTick.askPrice1))
+            
+        # 更新分钟线数据
+        if vtSymbol in self.barDict:
+            bar = self.barDict[vtSymbol]
+            
+            # 如果第一个TICK或者新的一分钟
+            if not bar.datetime or bar.datetime.minute != drTick.datetime.minute:    
+                if bar.vtSymbol:
+                    newBar = copy.copy(bar)
+                    self.insertData(MINUTE_DB_NAME, vtSymbol, newBar)
+                    
+                    if vtSymbol in self.activeSymbolDict:
+                        activeSymbol = self.activeSymbolDict[vtSymbol]
+                        self.insertData(MINUTE_DB_NAME, activeSymbol, newBar)                    
+                    
+                    self.writeDrLog(u'记录分钟线数据%s，时间:%s, O:%s, H:%s, L:%s, C:%s' 
+                                    %(bar.vtSymbol, bar.time, bar.open, bar.high, 
+                                      bar.low, bar.close))
+                         
+                bar.vtSymbol = drTick.vtSymbol
+                bar.symbol = drTick.symbol
+                bar.exchange = drTick.exchange
+                
+                bar.open = drTick.lastPrice
+                bar.high = drTick.lastPrice
+                bar.low = drTick.lastPrice
+                bar.close = drTick.lastPrice
+                
+                bar.date = drTick.date
+                bar.time = drTick.time
+                bar.datetime = drTick.datetime
+                bar.volume = drTick.volume
+                bar.openInterest = drTick.openInterest        
+            # 否则继续累加新的K线
+            else:                               
+                bar.high = max(bar.high, drTick.lastPrice)
+                bar.low = min(bar.low, drTick.lastPrice)
+                bar.close = drTick.lastPrice            
+
+    #----------------------------------------------------------------------
+    def registerEvent(self):
+        """注册事件监听"""
+        self.eventEngine.register(EVENT_TICK, self.procecssTickEvent)
+ 
+    #----------------------------------------------------------------------
+    def insertData(self, dbName, collectionName, data):
+        """插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
+        self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
+        
+    #----------------------------------------------------------------------
+    def writeDrLog(self, content):
+        """快速发出日志事件"""
+        log = VtLogData()
+        log.logContent = content
+        event = Event(type_=EVENT_DATARECORDER_LOG)
+        event.dict_['data'] = log
+        self.eventEngine.put(event)   
+    

vn.trader/dataRecorder/uiDrWidget.py

@@ -0,0 +1,155 @@
+# encoding: UTF-8
+
+'''
+行情记录模块相关的GUI控制组件
+'''
+
+import json
+
+from uiBasicWidget import QtGui, QtCore
+from eventEngine import *
+
+
+########################################################################
+class TableCell(QtGui.QTableWidgetItem):
+    """居中的单元格"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, text=None, mainEngine=None):
+        """Constructor"""
+        super(TableCell, self).__init__()
+        self.data = None
+        self.setTextAlignment(QtCore.Qt.AlignCenter)
+        if text:
+            self.setContent(text)
+    
+    #----------------------------------------------------------------------
+    def setContent(self, text):
+        """设置内容"""
+        if text == '0' or text == '0.0':
+            self.setText('')
+        else:
+            self.setText(text)
+
+
+########################################################################
+class DrEngineManager(QtGui.QWidget):
+    """行情数据记录引擎管理组件"""
+    signal = QtCore.pyqtSignal(type(Event()))
+
+    #----------------------------------------------------------------------
+    def __init__(self, drEngine, eventEngine, parent=None):
+        """Constructor"""
+        super(DrEngineManager, self).__init__(parent)
+        
+        self.drEngine = drEngine
+        self.eventEngine = eventEngine
+        
+        self.initUi()
+        self.updateSetting()
+        self.registerEvent() 
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setWindowTitle(u'行情数据记录工具')
+        
+        # 记录合约配置监控
+        tickLabel = QtGui.QLabel(u'Tick记录')
+        self.tickTable = QtGui.QTableWidget()
+        self.tickTable.setColumnCount(2)
+        self.tickTable.verticalHeader().setVisible(False)
+        self.tickTable.setEditTriggers(QtGui.QTableWidget.NoEditTriggers)
+        self.tickTable.horizontalHeader().setResizeMode(QtGui.QHeaderView.Stretch)
+        self.tickTable.setAlternatingRowColors(True)
+        self.tickTable.setHorizontalHeaderLabels([u'合约代码', u'接口'])
+        
+        barLabel = QtGui.QLabel(u'Bar记录')
+        self.barTable = QtGui.QTableWidget()
+        self.barTable.setColumnCount(2)
+        self.barTable.verticalHeader().setVisible(False)
+        self.barTable.setEditTriggers(QtGui.QTableWidget.NoEditTriggers)
+        self.barTable.horizontalHeader().setResizeMode(QtGui.QHeaderView.Stretch)
+        self.barTable.setAlternatingRowColors(True)        
+        self.barTable.setHorizontalHeaderLabels([u'合约代码', u'接口'])
+
+        activeLabel = QtGui.QLabel(u'主力合约')
+        self.activeTable = QtGui.QTableWidget()
+        self.activeTable.setColumnCount(2)
+        self.activeTable.verticalHeader().setVisible(False)
+        self.activeTable.setEditTriggers(QtGui.QTableWidget.NoEditTriggers)
+        self.activeTable.horizontalHeader().setResizeMode(QtGui.QHeaderView.Stretch)
+        self.activeTable.setAlternatingRowColors(True)        
+        self.activeTable.setHorizontalHeaderLabels([u'主力代码', u'合约代码'])
+
+        # 日志监控
+        self.logMonitor = QtGui.QTextEdit()
+        self.logMonitor.setReadOnly(True)
+        self.logMonitor.setMinimumHeight(600)
+        
+        # 设置布局
+        grid = QtGui.QGridLayout()
+        
+        grid.addWidget(tickLabel, 0, 0)
+        grid.addWidget(barLabel, 0, 1)
+        grid.addWidget(activeLabel, 0, 2)
+        grid.addWidget(self.tickTable, 1, 0)
+        grid.addWidget(self.barTable, 1, 1)
+        grid.addWidget(self.activeTable, 1, 2)        
+        
+        vbox = QtGui.QVBoxLayout()
+        vbox.addLayout(grid)
+        vbox.addWidget(self.logMonitor)
+        self.setLayout(vbox)
+
+    #----------------------------------------------------------------------
+    def updateLog(self, event):
+        """更新日志"""
+        log = event.dict_['data']
+        content = '\t'.join([log.logTime, log.logContent])
+        self.logMonitor.append(content)
+    
+    #----------------------------------------------------------------------
+    def registerEvent(self):
+        """注册事件监听"""
+        self.signal.connect(self.updateLog)
+        self.eventEngine.register(EVENT_DATARECORDER_LOG, self.signal.emit)
+        
+    #----------------------------------------------------------------------
+    def updateSetting(self):
+        """显示引擎行情记录配置"""
+        with open(self.drEngine.settingFileName) as f:
+            setting = json.load(f)
+    
+            if 'tick' in setting:
+                l = setting['tick']
+    
+                for symbol, gatewayName in l:
+                    self.tickTable.insertRow(0)
+                    self.tickTable.setItem(0, 0, TableCell(symbol))
+                    self.tickTable.setItem(0, 1, TableCell(gatewayName))
+    
+            if 'bar' in setting:
+                l = setting['bar']
+    
+                for symbol, gatewayName in l:
+                    self.barTable.insertRow(0)
+                    self.barTable.setItem(0, 0, TableCell(symbol))
+                    self.barTable.setItem(0, 1, TableCell(gatewayName)) 
+    
+            if 'active' in setting:
+                d = setting['active']
+    
+                for activeSymbol, symbol in d.items():
+                    self.activeTable.insertRow(0)
+                    self.activeTable.setItem(0, 0, TableCell(activeSymbol))
+                    self.activeTable.setItem(0, 1, TableCell(symbol))
+    
+    
+    
+    
+
+
+
+    
+    

vn.trader/eventType.py

@@ -28,6 +28,9 @@ EVENT_ERROR = 'eError.'                 # 错误回报事件
 EVENT_CTA_LOG = 'eCtaLog'               # CTA相关的日志事件
 EVENT_CTA_STRATEGY = 'eCtaStrategy.'    # CTA策略状态变化事件
 
+# 行情记录模块相关
+EVENT_DATARECORDER_LOG = 'eDataRecorderLog' # 行情记录日志更新事件
+
 # Wind接口相关
 EVENT_WIND_CONNECTREQ = 'eWindConnectReq'   # Wind接口请求连接事件
 

vn.trader/uiMainWindow.py

@@ -4,6 +4,7 @@ import psutil
 
 from uiBasicWidget import *
 from ctaAlgo.uiCtaWidget import CtaEngineManager
+from dataRecorder.uiDrWidget import DrEngineManager
 
 
 ########################################################################
@@ -115,6 +116,9 @@ class MainWindow(QtGui.QMainWindow):
         contractAction = QtGui.QAction(u'查询合约', self)
         contractAction.triggered.connect(self.openContract)
         
+        drAction = QtGui.QAction(u'行情数据记录', self)
+        drAction.triggered.connect(self.openDr)
+        
         ctaAction = QtGui.QAction(u'CTA策略', self)
         ctaAction.triggered.connect(self.openCta)
         
@@ -141,6 +145,7 @@ class MainWindow(QtGui.QMainWindow):
         
         functionMenu = menubar.addMenu(u'功能')
         functionMenu.addAction(contractAction)
+        functionMenu.addAction(drAction)
         
         # 算法相关
         algoMenu = menubar.addMenu(u'算法')
@@ -264,6 +269,15 @@ class MainWindow(QtGui.QMainWindow):
         except KeyError:
             self.widgetDict['ctaM'] = CtaEngineManager(self.mainEngine.ctaEngine, self.eventEngine)
             self.widgetDict['ctaM'].show()
+            
+    #----------------------------------------------------------------------
+    def openDr(self):
+        """打开行情数据记录组件"""
+        try:
+            self.widgetDict['drM'].show()
+        except KeyError:
+            self.widgetDict['drM'] = DrEngineManager(self.mainEngine.drEngine, self.eventEngine)
+            self.widgetDict['drM'].show()    
     
     #----------------------------------------------------------------------
     def closeEvent(self, event):

vn.trader/vtEngine.py

@@ -8,7 +8,9 @@ from pymongo.errors import ConnectionFailure
 
 from eventEngine import *
 from vtGateway import *
+
 from ctaAlgo.ctaEngine import CtaEngine
+from dataRecorder.drEngine import DrEngine
 
 
 ########################################################################
@@ -28,11 +30,12 @@ class MainEngine(object):
         # MongoDB数据库相关
         self.dbClient = None    # MongoDB客户端对象
         
-        # CTA引擎
-        self.ctaEngine = CtaEngine(self, self.eventEngine)
-        
         # 调用一个个初始化函数
         self.initGateway()
+
+        # 扩展模块
+        self.ctaEngine = CtaEngine(self, self.eventEngine)
+        self.drEngine = DrEngine(self, self.eventEngine)
         
     #----------------------------------------------------------------------
     def initGateway(self):