mongodb=>mysqldb
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msincenselee
parent
0d1c787389
commit
e5de7cba31
@ -12,7 +12,7 @@ print u'demoStrategy.py import pymongo.errors.* success'
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from eventEngine import *
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print u'demoStrategy.py import eventEngine.* success'
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import MySQLdb
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# 常量定义
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@ -175,22 +175,32 @@ class StrategyEngine(object):
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# value为该合约相关的停止单列表
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self.__dictStopOrder = {}
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# MongoDB数据库相关
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self.__mongoConnected = False
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self.__mongoConnection = None
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self.__mongoTickDB = None
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# MongoDB/Mysql数据库相关
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#self.__mongoConnected = False
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self.__mysqlConnected = False
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#self.__mongoConnection = None
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self.__mysqlConnection = None
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#self.__mongoTickDB = None
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# 调用函数
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self.__connectMongo()
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#self.__connectMongo()
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self.__connectMysql()
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self.__registerEvent()
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#----------------------------------------------------------------------
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def createStrategy(self, strategyName, strategySymbol, strategyClass, strategySetting):
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"""创建策略"""
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strategy = strategyClass(strategyName, strategySymbol, self)
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self.writeLog(u"创建策略:{0}".format(strategyName))
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self.dictStrategy[strategyName] = strategy
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strategy.loadSetting(strategySetting)
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# 订阅合约行情，注意这里因为是CTP，所以ExchangeID可以忽略
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self.mainEngine.subscribe(strategySymbol, None)
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@ -198,88 +208,193 @@ class StrategyEngine(object):
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self.registerStrategy(strategySymbol, strategy)
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#----------------------------------------------------------------------
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def __connectMongo(self):
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"""连接MongoDB数据库"""
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try:
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self.__mongoConnection = Connection()
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self.__mongoConnected = True
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self.__mongoTickDB = self.__mongoConnection['TickDB']
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self.writeLog(u'策略引擎连接MongoDB成功')
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except ConnectionFailure:
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self.writeLog(u'策略引擎连接MongoDB失败')
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#def __connectMongo(self):
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# """连接MongoDB数据库"""
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# try:
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# self.__mongoConnection = Connection()
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# self.__mongoConnected = True
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# self.__mongoTickDB = self.__mongoConnection['TickDB']
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# self.writeLog(u'策略引擎连接MongoDB成功')
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# except ConnectionFailure:
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# self.writeLog(u'策略引擎连接MongoDB失败')
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#-------------------------------------------#---------------------------
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# def __recordTickToMongo(self, data):
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# """将Tick数据插入到MongoDB中"""
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# if self.__mongoConnected:
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# symbol = data['InstrumentID']
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# data['date'] = self.today
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# self.__mongoTickDB[symbol].insert(data)
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# #
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# #----------------------------------------------------------------------
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# def loadTickFromMongo(self, symbol, startDate, endDate=None):
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# """从MongoDB中读取Tick数据"""
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# if self.__mongoConnected:
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# collection = self.__mongoTickDB[symbol]
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#
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# # 如果输入了读取TICK的最后日期
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# if endDate:
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# cx = collection.find({'date':{'$gte':startDate, '$lte':endDate}})
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# else:
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# cx = collection.find({'date':{'$gte':startDate}})
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# return cx
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# else:
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# return None
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#----------------------------------------------------------------------
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def __recordTick(self, data):
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"""将Tick数据插入到MongoDB中"""
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if self.__mongoConnected:
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symbol = data['InstrumentID']
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data['date'] = self.today
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self.__mongoTickDB[symbol].insert(data)
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def __connectMysql(self):
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"""连接MysqlDB"""
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try:
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self.__mysqlConnection = MySQLdb.connect(host='vnpy.cloudapp.net', user='stockcn', passwd='7uhb*IJN', db='stockcn', port=3306)
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self.__mysqlConnected = True
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self.writeLog(u'策略引擎连接MysqlDB成功')
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except ConnectionFailure:
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self.writeLog(u'策略引擎连接MysqlDB失败')
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#----------------------------------------------------------------------
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def __recordTickToMysql(self, data):
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"""将Tick数据插入到MysqlDB中"""
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#if self.__mongoConnected:
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# symbol = data['InstrumentID']
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# data['date'] = self.today
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# self.__mongoTickDB[symbol].insert(data)
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pass;
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#----------------------------------------------------------------------
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def loadTick(self, symbol, startDate, endDate=None):
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"""从MongoDB中读取Tick数据"""
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if self.__mongoConnected:
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collection = self.__mongoTickDB[symbol]
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# 如果输入了读取TICK的最后日期
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def loadTickFromMysql(self, symbol, startDate, endDate=None):
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"""从MysqlDB中读取Tick数据"""
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if self.__mysqlConnected:
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#获取指针
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cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
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if endDate:
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cx = collection.find({'date':{'$gte':startDate, '$lte':endDate}})
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#指定开始与结束日期
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sqlstring = ' select \'{0}\' as InstrumentID, str_to_date(concat(ndate,\' \', ntime),' \
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'\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
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'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
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'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB_{0}MI ' \
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'where ndate between cast(\'{1}\' as date) and cast(\'{2}\' as date)'.format(symbol, startDate, endDate)
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elif startDate:
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#指定开始日期
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sqlstring = ' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
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'\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
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'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
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'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI ' \
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'where ndate > cast(\'{1}\' as date)'.format( symbol, startDate)
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else:
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cx = collection.find({'date':{'$gte':startDate}})
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#没有指定，所有日期数据
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sqlstring =' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
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'\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
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'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
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'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI '.format(symbol)
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self.writeLog(sqlstring)
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count = cur.execute(sqlstring)
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cx = cur.fetchall()
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self.writeLog(u'历史TICK数据载入完成，共{0}条'.format(count))
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return cx
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else:
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return None
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return None
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#----------------------------------------------------------------------
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def getMysqlDeltaDate(self,symbol, startDate, decreaseDays):
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try:
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if self.__mysqlConnected:
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#获取指针
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cur = self.__mysqlConnection.cursor()
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sqlstring='select distinct ndate from TB_{0}MI where ndate < ' \
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'cast(\'{1}\' as date) order by ndate desc limit {2},1'.format(symbol, startDate, decreaseDays-1)
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self.writeLog(sqlstring)
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count = cur.execute(sqlstring)
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if count > 0:
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result = cur.fetchone()
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return result[0]
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else:
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self.writeLog(u'MysqlDB没有查询结果，请检查日期')
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else:
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self.writeLog(u'MysqlDB未连接，请检查')
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except MySQLdb.Error, e:
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self.writeLog(u'MysqlDB载入数据失败，请检查.Error {0}: {1}'.format(e.arg[0],e.arg[1]))
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td = timedelta(days=3)
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return startDate-td;
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#----------------------------------------------------------------------
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def updateMarketData(self, event):
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"""行情更新"""
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data = event.dict_['data']
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#InstrumentID, UpdateTime, LastPrice, Volume, OpenInterest, BidPrice1, BidVolume1, AskPrice1, AskVolume1 = data
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symbol = data['InstrumentID']
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#symbol = InstrumentID
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# 检查是否存在交易该合约的策略
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if symbol in self.__dictSymbolStrategy:
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# 创建TICK数据对象并更新数据
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tick = Tick(symbol)
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tick.openPrice = data['OpenPrice']
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tick.highPrice = data['HighestPrice']
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tick.lowPrice = data['LowestPrice']
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tick.lastPrice = data['LastPrice']
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#tick.openPrice = data['OpenPrice']
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#tick.highPrice = data['HighestPrice']
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#tick.lowPrice = data['LowestPrice']
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tick.lastPrice = float(data['LastPrice'])
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#tick.lastPrice = LastPrice
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tick.volume = data['Volume']
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tick.openInterest = data['OpenInterest']
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tick.upperLimit = data['UpperLimitPrice']
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tick.lowerLimit = data['LowerLimitPrice']
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#tick.volume = Volume
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#tick.openInterest = OpenInterest
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#tick.upperLimit = data['UpperLimitPrice']
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#tick.lowerLimit = data['LowerLimitPrice']
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tick.time = data['UpdateTime']
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tick.ms = data['UpdateMillisec']
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tick.bidPrice1 = data['BidPrice1']
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tick.bidPrice2 = data['BidPrice2']
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tick.bidPrice3 = data['BidPrice3']
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tick.bidPrice4 = data['BidPrice4']
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tick.bidPrice5 = data['BidPrice5']
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tick.askPrice1 = data['AskPrice1']
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tick.askPrice2 = data['AskPrice2']
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tick.askPrice3 = data['AskPrice3']
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tick.askPrice4 = data['AskPrice4']
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tick.askPrice5 = data['AskPrice5']
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#tick.time = UpdateTime
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#tick.ms = data['UpdateMillisec']
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tick.bidPrice1 = float(data['BidPrice1'])
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#tick.bidPrice2 = data['BidPrice2']
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#tick.bidPrice3 = data['BidPrice3']
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#tick.bidPrice4 = data['BidPrice4']
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#tick.bidPrice5 = data['BidPrice5']
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#tick.bidPrice1 = BidPrice1
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tick.askPrice1 = float(data['AskPrice1'])
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#tick.askPrice2 = data['AskPrice2']
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#tick.askPrice3 = data['AskPrice3']
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#tick.askPrice4 = data['AskPrice4']
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#tick.askPrice5 = data['AskPrice5']
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#tick.askPrice1 = AskPrice1
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tick.bidVolume1 = data['BidVolume1']
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tick.bidVolume2 = data['BidVolume2']
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tick.bidVolume3 = data['BidVolume3']
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tick.bidVolume4 = data['BidVolume4']
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tick.bidVolume5 = data['BidVolume5']
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#tick.bidVolume2 = data['BidVolume2']
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#tick.bidVolume3 = data['BidVolume3']
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#tick.bidVolume4 = data['BidVolume4']
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#tick.bidVolume5 = data['BidVolume5']
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#tick.bidVolume1 = BidVolume1
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tick.askVolume1 = data['AskVolume1']
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tick.askVolume2 = data['AskVolume2']
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tick.askVolume3 = data['AskVolume3']
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tick.askVolume4 = data['AskVolume4']
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tick.askVolume5 = data['AskVolume5']
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#tick.askVolume2 = data['AskVolume2']
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#tick.askVolume3 = data['AskVolume3']
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#tick.askVolume4 = data['AskVolume4']
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#tick.askVolume5 = data['AskVolume5']
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#tick.askVolume1 = AskVolume1
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# 首先检查停止单是否需要发出
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self.__processStopOrder(tick)
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@ -287,10 +402,10 @@ class StrategyEngine(object):
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for strategy in self.__dictSymbolStrategy[symbol]:
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strategy.onTick(tick)
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# 将数据插入MongoDB数据库，实盘建议另开程序记录TICK数据
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# 将数据插入MongoDB/Mysql数据库，实盘建议另开程序记录TICK数据
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if not self.backtesting:
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self.__recordTick(data)
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#self.__recordTickToMongo(data)
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self.__recordTickToMysql(data)
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#----------------------------------------------------------------------
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def __processStopOrder(self, tick):
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"""处理停止单"""
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@ -504,12 +619,15 @@ class StrategyEngine(object):
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#----------------------------------------------------------------------
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def startAll(self):
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"""启动所有策略"""
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print( u'启动所有策略')
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for strategy in self.dictStrategy.values():
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strategy.start()
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#----------------------------------------------------------------------
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def stopAll(self):
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"""停止所有策略"""
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print(u'停止所有策略')
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for strategy in self.dictStrategy.values():
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strategy.stop()
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