# 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 Queue import Queue from threading import Thread from trader.eventEngine import * from trader.vtGateway import VtSubscribeReq, VtLogData from trader.vtFunction import todayDate from drBase import * ######################################################################## class DrEngine(object): """数据记录引擎""" settingFileName = 'DR_setting.json' path = os.path.abspath(os.path.dirname(__file__)) settingFileName = os.path.join(path, settingFileName) #---------------------------------------------------------------------- def __init__(self, mainEngine, eventEngine): """Constructor""" self.mainEngine = mainEngine self.eventEngine = eventEngine # 当前日期 self.today = todayDate() # 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 = {} # 负责执行数据库插入的单独线程相关 self.active = False # 工作状态 self.queue = Queue() # 队列 self.thread = Thread(target=self.run) # 线程 # 载入设置，订阅行情 self.loadSetting() #---------------------------------------------------------------------- def loadSetting(self): """载入设置""" with open(self.settingFileName) as f: drSetting = json.load(f) # 如果working设为False则不启动行情记录功能 working = drSetting['working'] if not working: return if 'tick' in drSetting: l = drSetting['tick'] for setting in l: symbol = setting[0] vtSymbol = symbol req = VtSubscribeReq() req.symbol = setting[0] # 针对LTS和IB接口，订阅行情需要交易所代码 if len(setting)>=3: req.exchange = setting[2] vtSymbol = '.'.join([symbol, req.exchange]) # 针对IB接口，订阅行情需要货币和产品类型 if len(setting)>=5: req.currency = setting[3] req.productClass = setting[4] self.mainEngine.subscribe(req, setting[1]) drTick = DrTickData() # 该tick实例可以用于缓存部分数据（目前未使用） self.tickDict[vtSymbol] = drTick if 'bar' in drSetting: l = drSetting['bar'] for setting in l: symbol = setting[0] vtSymbol = symbol req = VtSubscribeReq() req.symbol = symbol if len(setting)>=3: req.exchange = setting[2] vtSymbol = '.'.join([symbol, req.exchange]) if len(setting)>=5: req.currency = setting[3] req.productClass = setting[4] self.mainEngine.subscribe(req, setting[1]) bar = DrBarData() self.barDict[vtSymbol] = bar if 'active' in drSetting: d = drSetting['active'] # 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所 for activeSymbol, vtSymbol in d.items(): self.activeSymbolDict[vtSymbol] = activeSymbol # 启动数据插入线程 self.start() # 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.queue.put((dbName, collectionName, data.__dict__)) #---------------------------------------------------------------------- def run(self): """运行插入线程""" while self.active: try: dbName, collectionName, d = self.queue.get(block=True, timeout=1) self.mainEngine.dbInsert(dbName, collectionName, d) except Empty: pass #---------------------------------------------------------------------- def start(self): """启动""" self.active = True self.thread.start() #---------------------------------------------------------------------- def stop(self): """退出""" if self.active: self.active = False self.thread.join() #---------------------------------------------------------------------- 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)