private log

.gitignore

@@ -78,3 +78,7 @@ vn.trader/ctaStrategy02.py
 *.pyd
 vn.trader/vnctpmd.pyd_old
 *.pyd_old
+vn.trader/ctaStrategy06.py
+vn.trader/ctaStrategy03.py
+vn.trader/ctaStrategy05.py
+vn.trader/ctaStrategy04.py

vn.trader/main.py

@@ -0,0 +1,64 @@
+# encoding: UTF-8
+import time
+import sys
+import ctypes
+try:
+    import bsddb
+except:
+    import bsddb3 as bsddb
+    sys.modules['bsddb'] = bsddb
+import json
+from ctaStrategies import strategyClassDict
+
+
+from vtEngine import MainEngine
+from PyQt4.QtCore import QCoreApplication
+from simple_monitor import *
+from setup_logger import setup_logger
+
+setup_logger(debug=True)
+# ----------------------------------------------------------------------
+def main():    
+    app = QCoreApplication(sys.argv)
+    mainEngine = MainEngine()
+    mainEngine.dbConnect()
+    mainEngine.connect('CTP_Prod')
+
+
+    def loadStrategySetting(setting_file_name):
+        """读取引擎中的策略配置"""
+        with open(setting_file_name) as f:
+            # 读取文件内容串=》Json对象
+            d = json.load(f)
+
+            # 策略实例名称，配置内容
+            for name, setting in d.items():
+
+                # 策略的类名称
+                strategyClassName = setting['strategyClassName']
+
+                if strategyClassName in strategyClassDict:
+                    # 透过策略类字典，反射获取策略
+                    strategyClass = strategyClassDict[strategyClassName]
+
+                    # 初始化策略的设置
+                    mainEngine.ctaEngine.initStrategy(name, strategyClass, setting)
+                else:
+                    mainEngine.writeLog(u'无法找到策略类：' + strategyClassName)
+                    break
+
+    loadStrategySetting('CTA_setting.json')
+    mainEngine.ctaEngine.startStrategy('Test1')
+    logM = LogMonitor(mainEngine.eventEngine)
+    errorM = ErrorMonitor(mainEngine.eventEngine)
+    tradeM = TradeMonitor(mainEngine.eventEngine)
+    orderM = OrderMonitor(mainEngine.eventEngine, mainEngine)
+    positionM = PositionMonitor(mainEngine.eventEngine)
+    accountM = AccountMonitor(mainEngine.eventEngine)
+    
+
+    app.exec_()
+    
+
+if __name__ == '__main__':
+    main()

vn.trader/setup_logger.py

@@ -0,0 +1,175 @@
+#!/usr/bin/env python
+# coding=utf8
+import logging
+import threading
+import logging.config
+import os.path
+import uuid
+from logging import handlers
+
+
+SIMPLE_FORMAT = "[%(asctime)s] %(message)s"
+RECORD_FORMAT = "[%(asctime)s.%(msecs)d][%(filename)s:%(lineno)d][%(process)d:%(threadName)s] %(message)s"
+COLOR_FORMAT = {
+    'DEBUG': "\033[1;34m%(levelname)s\033[0m: ",
+    'INFO': "\033[1;32m%(levelname)s\033[0m: ",
+    'WARNING': "\033[1;33m%(levelname)s\033[0m: ",
+    'ERROR': "\033[1;31m%(levelname)s\033[0m: ",
+}
+DATE_FORMAT = "%Y-%m-%d %H:%M:%S"
+
+
+class ExtFormatter(logging.Formatter):
+
+    def __init__(self, colorful=False, simple=False):
+        self._colorful = colorful
+        self._simple = simple
+        logging.Formatter.__init__(self, datefmt=DATE_FORMAT)
+
+    def format(self, record):
+        fmt = SIMPLE_FORMAT if self._simple else RECORD_FORMAT
+        if self._colorful:
+            self._fmt = COLOR_FORMAT[record.levelname] + fmt
+        else:
+            self._fmt = "%(levelname)s: " + fmt
+        return logging.Formatter.format(self, record)
+
+
+class BasicFormatter(ExtFormatter):
+
+    def __init__(self):
+        super(BasicFormatter, self).__init__()
+
+
+class SimpleFormatter(ExtFormatter):
+
+    def __init__(self):
+        super(SimpleFormatter, self).__init__(simple=True)
+
+
+class ColorFormatter(ExtFormatter):
+
+    def __init__(self):
+        super(ColorFormatter, self).__init__(colorful=True)
+
+
+thread_data = threading.local()
+
+
+
+class StreamHandler(logging.StreamHandler):
+    def acquire(self):
+        pass
+
+    def release(self):
+        pass
+
+class FileHandler(handlers.TimedRotatingFileHandler):
+    def acquire(self):
+        pass
+
+    def release(self):
+        pass
+
+
+def setup_logger(filename=None, debug=False):
+    handlers = []
+    LOGGING = {
+        'version': 1,
+        'disable_existing_loggers': True,
+        'formatters': {
+            'color': {
+                '()': ColorFormatter,
+            },
+            'basic': {
+                '()': BasicFormatter,
+            },
+        },
+        'handlers': {
+            'std_debug': {
+                'level': 'DEBUG',
+                '()': StreamHandler,
+                'formatter': 'basic',
+            },
+            'std_info': {
+                'level': 'INFO',
+                '()': StreamHandler,
+                'formatter': 'basic',
+            }
+        },
+        'loggers': {
+            '': {
+                'level': 'DEBUG',
+                'handlers': [],
+                'propagate': True,
+            },
+            'tornado.access': {
+                'level': 'DEBUG',
+                'handlers': [],
+                'propagate': False,
+            },
+            'tornado.application': {
+                'level': 'DEBUG',
+                'handlers': [],
+                'propagate': False,
+            },
+            'tornado.gen_log': {
+                'level': 'DEBUG',
+                'handlers': [],
+                'propagate': False,
+            },
+            'django': {
+                'handlers': [],
+                'propagate': True,
+                'level': 'INFO',
+            },
+            'django.request': {
+                'handlers': [],
+                'level': 'INFO',
+                'propagate': False,
+            },
+        },
+    }
+
+    if filename:
+        base_name, ext = os.path.splitext(filename)
+        debug_filename = '%s-debug%s' % (base_name, ext)
+        local = {
+            'local_debug': {
+                'level': 'DEBUG',
+                '()': FileHandler,
+                'filename': debug_filename,
+                'formatter': 'basic',
+                'interval': 1,
+                'when': 'D',
+            },
+            'local_info': {
+                'level': 'INFO',
+                '()': FileHandler,
+                'filename': filename,
+                'formatter': 'basic',
+                'interval': 1,
+                'when': 'D',
+            },
+
+        }
+
+        LOGGING['handlers'].update(local)
+        handlers.append('local_info')
+        if debug:
+            handlers.append('local_debug')
+    else:
+        if debug:
+            handlers.append('std_debug')
+        else:
+            handlers.append('std_info')
+
+    for k, v in LOGGING['loggers'].items():
+        v['handlers'] = handlers
+
+    logging.config.dictConfig(LOGGING)
+    return LOGGING
+
+if __name__ == '__main__':
+    setup_logger('aaa.log', debug=True)
+    logging.info("aaaa")

vn.trader/simple_monitor.py

@@ -0,0 +1,291 @@
+# encoding: UTF-8
+
+from collections import OrderedDict
+
+from PyQt4 import QtGui, QtCore
+
+from eventEngine import *
+from vtFunction import *
+from vtGateway import *
+import logging
+
+
+########################################################################
+class BasicMonitor(object):
+    """
+    基础监控
+
+    headerDict中的值对应的字典格式如下
+    {'chinese': u'中文名', 'cellType': ""}
+
+    """
+
+    # ----------------------------------------------------------------------
+    def __init__(self, eventEngine=None, parent=None):
+        self.eventEngine = eventEngine
+
+        # 保存表头标签用
+        self.headerDict = OrderedDict()  # 有序字典，key是英文名，value是对应的配置字典
+        self.headerList = []             # 对应self.headerDict.keys()
+
+        # 保存相关数据用
+        self.dataDict = {}  # 字典，key是字段对应的数据，value是保存相关单元格的字典
+        self.dataKey = ''   # 字典键对应的数据字段
+
+        # 监控的事件类型
+        self.eventType = ''
+
+        # 保存数据对象到单元格
+        self.saveData = False
+
+    # ----------------------------------------------------------------------
+    def setHeaderDict(self, headerDict):
+        """设置表头有序字典"""
+        self.headerDict = headerDict
+        self.headerList = headerDict.keys()
+
+    # ----------------------------------------------------------------------
+    def setDataKey(self, dataKey):
+        """设置数据字典的键"""
+        self.dataKey = dataKey
+
+    # ----------------------------------------------------------------------
+    def setEventType(self, eventType):
+        """设置监控的事件类型"""
+        self.eventType = eventType
+
+    # ----------------------------------------------------------------------
+    def setSaveData(self, saveData):
+        """设置是否要保存数据到单元格"""
+        self.saveData = saveData
+
+    # ----------------------------------------------------------------------
+    def registerEvent(self):
+        self.eventEngine.register(self.eventType, self.updateEvent)
+
+    # ----------------------------------------------------------------------
+    def updateEvent(self, event):
+        """收到事件更新"""
+        data = event.dict_['data']
+        self.updateData(data)
+
+    # ----------------------------------------------------------------------
+    def updateData(self, data):
+        """将数据更新到表格中"""
+        s = []
+        for header, value in self.headerDict.items():
+            v = getattr(data, header)
+            if isinstance(v, basestring) and not isinstance(v, unicode):
+                try:
+                    v = v.decode('gbk')
+                except:
+                    v = v.decode('utf8')
+            s.append('%s: %s' % (value['chinese'], v))
+        logging.info(' '.join(s))
+
+
+########################################################################
+class MarketMonitor(BasicMonitor):
+    """市场监控组件"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self, eventEngine, parent=None):
+        """Constructor"""
+        super(MarketMonitor, self).__init__(eventEngine, parent)
+
+        # 设置表头有序字典
+        d = OrderedDict()
+        d['symbol'] = {'chinese': u'合约代码', 'cellType': ""}
+        d['vtSymbol'] = {'chinese': u'名称', 'cellType': ""}
+        d['lastPrice'] = {'chinese': u'最新价', 'cellType': ""}
+        d['volume'] = {'chinese': u'成交量', 'cellType': ""}
+        d['openInterest'] = {'chinese': u'持仓量', 'cellType': ""}
+        d['openPrice'] = {'chinese': u'开盘价', 'cellType': ""}
+        d['highPrice'] = {'chinese': u'最高价', 'cellType': ""}
+        d['lowPrice'] = {'chinese': u'最低价', 'cellType': ""}
+        d['bidPrice1'] = {'chinese': u'买一价', 'cellType': ""}
+        d['bidVolume1'] = {'chinese': u'买一量', 'cellType': ""}
+        d['askPrice1'] = {'chinese': u'卖一价', 'cellType': ""}
+        d['askVolume1'] = {'chinese': u'卖一量', 'cellType': ""}
+        d['time'] = {'chinese': u'时间', 'cellType': ""}
+        d['gatewayName'] = {'chinese': u'接口', 'cellType': ""}
+        self.setHeaderDict(d)
+
+        # 设置数据键
+        self.setDataKey('vtSymbol')
+
+        # 设置监控事件类型
+        self.setEventType(EVENT_TICK)
+
+        # 注册事件监听
+        self.registerEvent()
+
+
+########################################################################
+class LogMonitor(BasicMonitor):
+    """日志监控"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self, eventEngine, parent=None):
+        """Constructor"""
+        super(LogMonitor, self).__init__(eventEngine, parent)
+
+        d = OrderedDict()
+        d['logTime'] = {'chinese': u'时间', 'cellType': ""}
+        d['logContent'] = {'chinese': u'内容', 'cellType': ""}
+        d['gatewayName'] = {'chinese': u'接口', 'cellType': ""}
+        self.setHeaderDict(d)
+
+        self.setEventType(EVENT_LOG)
+        self.registerEvent()
+
+
+
+########################################################################
+class CtaLogMonitor(BasicMonitor):
+    """日志监控"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self, eventEngine, parent=None):
+        """Constructor"""
+        super(CtaLogMonitor, self).__init__(eventEngine, parent)
+
+        d = OrderedDict()
+        d['logTime'] = {'chinese': u'时间', 'cellType': ""}
+        d['logContent'] = {'chinese': u'内容', 'cellType': ""}
+        # d['gatewayName'] = {'chinese': u'接口', 'cellType': ""}
+        self.setHeaderDict(d)
+
+        self.setEventType(EVENT_CTA_LOG)
+        self.registerEvent()
+
+########################################################################
+class ErrorMonitor(BasicMonitor):
+    """错误监控"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self, eventEngine, parent=None):
+        """Constructor"""
+        super(ErrorMonitor, self).__init__(eventEngine, parent)
+
+        d = OrderedDict()
+        d['errorID'] = {'chinese': u'错误代码', 'cellType': ""}
+        d['errorMsg'] = {'chinese': u'错误信息', 'cellType': ""}
+        d['additionalInfo'] = {'chinese': u'补充信息', 'cellType': ""}
+        d['gatewayName'] = {'chinese': u'接口', 'cellType': ""}
+        self.setHeaderDict(d)
+
+        self.setEventType(EVENT_ERROR)
+        self.registerEvent()
+
+
+########################################################################
+class TradeMonitor(BasicMonitor):
+    """成交监控"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self, eventEngine, parent=None):
+        """Constructor"""
+        super(TradeMonitor, self).__init__(eventEngine, parent)
+
+        d = OrderedDict()
+        d['tradeID'] = {'chinese': u'成交编号', 'cellType': ""}
+        d['orderID'] = {'chinese': u'委托编号', 'cellType': ""}
+        d['symbol'] = {'chinese': u'合约代码', 'cellType': ""}
+        d['vtSymbol'] = {'chinese': u'名称', 'cellType': ""}
+        d['direction'] = {'chinese': u'方向', 'cellType': ""}
+        d['offset'] = {'chinese': u'开平', 'cellType': ""}
+        d['price'] = {'chinese': u'价格', 'cellType': ""}
+        d['volume'] = {'chinese': u'数量', 'cellType': ""}
+        d['tradeTime'] = {'chinese': u'成交时间', 'cellType': ""}
+        d['gatewayName'] = {'chinese': u'接口', 'cellType': ""}
+        self.setHeaderDict(d)
+
+        self.setEventType(EVENT_TRADE)
+        self.registerEvent()
+
+
+########################################################################
+class OrderMonitor(BasicMonitor):
+    """委托监控"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self, eventEngine, mainEngine, parent=None):
+        """Constructor"""
+        super(OrderMonitor, self).__init__(eventEngine, parent)
+
+        self.mainEngine = mainEngine
+
+        d = OrderedDict()
+        d['orderID'] = {'chinese': u'委托编号', 'cellType': ""}
+        d['symbol'] = {'chinese': u'合约代码', 'cellType': ""}
+        d['vtSymbol'] = {'chinese': u'名称', 'cellType': ""}
+        d['direction'] = {'chinese': u'方向', 'cellType': ""}
+        d['offset'] = {'chinese': u'开平', 'cellType': ""}
+        d['price'] = {'chinese': u'价格', 'cellType': ""}
+        d['totalVolume'] = {'chinese': u'委托数量', 'cellType': ""}
+        d['tradedVolume'] = {'chinese': u'成交数量', 'cellType': ""}
+        d['status'] = {'chinese': u'状态', 'cellType': ""}
+        d['orderTime'] = {'chinese': u'委托时间', 'cellType': ""}
+        d['cancelTime'] = {'chinese': u'撤销时间', 'cellType': ""}
+        d['frontID'] = {'chinese': u'前置编号', 'cellType': ""}
+        d['sessionID'] = {'chinese': u'会话编号', 'cellType': ""}
+        d['gatewayName'] = {'chinese': u'接口', 'cellType': ""}
+        self.setHeaderDict(d)
+
+        self.setDataKey('vtOrderID')
+        self.setEventType(EVENT_ORDER)
+        self.setSaveData(True)
+
+        self.registerEvent()
+
+
+########################################################################
+class PositionMonitor(BasicMonitor):
+    """持仓监控"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self, eventEngine, parent=None):
+        """Constructor"""
+        super(PositionMonitor, self).__init__(eventEngine, parent)
+
+        d = OrderedDict()
+        d['symbol'] = {'chinese': u'合约代码', 'cellType': ""}
+        d['vtSymbol'] = {'chinese': u'名称', 'cellType': ""}
+        d['direction'] = {'chinese': u'方向', 'cellType': ""}
+        d['position'] = {'chinese': u'持仓量', 'cellType': ""}
+        d['ydPosition'] = {'chinese': u'昨持仓', 'cellType': ""}
+        d['frozen'] = {'chinese': u'冻结量', 'cellType': ""}
+        d['price'] = {'chinese': u'价格', 'cellType': ""}
+        d['gatewayName'] = {'chinese': u'接口', 'cellType': ""}
+        self.setHeaderDict(d)
+
+        self.setDataKey('vtPositionName')
+        self.setEventType(EVENT_POSITION)
+        self.registerEvent()
+
+
+########################################################################
+class AccountMonitor(BasicMonitor):
+    """账户监控"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self, eventEngine, parent=None):
+        """Constructor"""
+        super(AccountMonitor, self).__init__(eventEngine, parent)
+
+        d = OrderedDict()
+        d['accountID'] = {'chinese': u'账户', 'cellType': ""}
+        d['preBalance'] = {'chinese': u'昨结', 'cellType': ""}
+        d['balance'] = {'chinese': u'净值', 'cellType': ""}
+        d['available'] = {'chinese': u'可用', 'cellType': ""}
+        d['commission'] = {'chinese': u'手续费', 'cellType': ""}
+        d['margin'] = {'chinese': u'保证金', 'cellType': ""}
+        d['closeProfit'] = {'chinese': u'平仓盈亏', 'cellType': ""}
+        d['positionProfit'] = {'chinese': u'持仓盈亏', 'cellType': ""}
+        d['gatewayName'] = {'chinese': u'接口', 'cellType': ""}
+        self.setHeaderDict(d)
+
+        self.setDataKey('vtAccountID')
+        self.setEventType(EVENT_ACCOUNT)
+        self.registerEvent()

vn.trader/utils.py

@@ -0,0 +1,75 @@
+#!/usr/bin/env python
+# coding=utf8
+"""
+上交所，市场代码 SHSE
+深交所，市场代码 SZSE
+中金所，市场代码 CFFEX
+上期所，市场代码 SHFE
+大商所，市场代码 DCE
+郑商所，市场代码 CZCE
+纽约商品交易所， 市场代码 CMX (GLN, SLN)
+伦敦国际石油交易所， 市场代码 IPE (OIL, GAL)
+纽约商业交易所， 市场代码 NYM (CON, HON)
+芝加哥商品期货交易所，市场代码 CBT (SOC, SBC, SMC, CRC)
+纽约期货交易所，市场代码 NYB (SGN)
+
+"""
+from gmsdk.api import md
+from vtGateway import VtTickData
+
+ret = md.init(
+    username='171322809@qq.com',
+    password='88888888',
+    mode=2
+)
+
+import arrow
+
+
+def to_local(utc):
+    return arrow.get(utc).to('local')
+
+
+def gm_to_vt(exchange, sym, tick):
+    obj = VtTickData()
+
+    obj.symbol = sym              # 合约代码
+    obj.exchange = exchange            # 交易所代码
+    obj.vtSymbol = sym            # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
+
+    local_time = to_local(tick.utc_time)
+    # 成交数据
+    obj.lastPrice = round(tick.last_price, 2)            # 最新成交价
+    obj.lastVolume = tick.last_volume             # 最新成交量
+    obj.volume = tick.cum_volume                 # 今天总成交量
+    obj.openInterest = tick.cum_position           # 持仓量
+    obj.time = local_time.strftime('%H:%M:%S')                # 时间 11:20:56.5
+    obj.date = local_time.strftime('%Y%m%d')                # 日期 20151009
+
+    # 常规行情
+    obj.openPrice = tick.open            # 今日开盘价
+    obj.highPrice = tick.high            # 今日最高价
+    obj.lowPrice = tick.low             # 今日最低价
+    obj.preClosePrice = tick.pre_close
+
+    obj.upperLimit = tick.upper_limit           # 涨停价
+    obj.lowerLimit = tick.lower_limit           # 跌停价
+
+    # 一档行情
+    obj.bidPrice1, obj.bidVolume1 = tick.bids[0]
+
+    obj.askPrice1, obj.askVolume1 = tick.asks[0]
+    return obj
+
+
+def get_last_n_ticks(exchange, sym, n):
+    ticks = md.get_last_n_ticks('%s.%s' % (exchange, sym), 10)
+    res = []
+    for tick in ticks:
+        res.append(gm_to_vt(exchange, sym, tick))
+    return res[::-1]
+
+
+if __name__ == '__main__':
+    for tick in get_last_n_ticks('SHFE', 'ag1606', 10):
+        print tick.date, tick.time, tick