# encoding: UTF-8 import shelve from collections import OrderedDict from datetime import datetime from pymongo import MongoClient from pymongo.errors import ConnectionFailure from eventEngine import * from vtGateway import * from vtFunction import loadMongoSetting from language import text from gateway import GATEWAY_DICT from ctaStrategy.ctaEngine import CtaEngine from dataRecorder.drEngine import DrEngine from riskManager.rmEngine import RmEngine import logging ######################################################################## class MainEngine(object): """主引擎""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" # 记录今日日期 self.todayDate = datetime.now().strftime('%Y%m%d') # 创建事件引擎 self.eventEngine = EventEngine2() self.eventEngine.start() # 创建数据引擎 self.dataEngine = DataEngine(self, self.eventEngine) # MongoDB数据库相关 self.dbClient = None # MongoDB客户端对象 # 调用一个个初始化函数 self.initGateway() # 扩展模块 self.ctaEngine = CtaEngine(self, self.eventEngine) # cta策略运行模块 self.drEngine = DrEngine(self, self.eventEngine) # 数据记录模块 self.rmEngine = RmEngine(self, self.eventEngine) # 风险管理模块 #---------------------------------------------------------------------- def initGateway(self): """初始化接口对象""" # 用来保存接口对象的字典 self.gatewayDict = OrderedDict() # 初始化的接口模块，以及其指定的名称 init_gateway_names = {'CTP': ['CTP', 'CTP_Prod', 'CTP_Post', 'CTP_EBF', 'CTP_JR']} # 遍历接口字典并自动创建所有的接口对象 for gatewayModule in GATEWAY_DICT.values(): try: if gatewayModule.gatewayName not in init_gateway_names: continue for gw_name in init_gateway_names[gatewayModule.gatewayName]: self.addGateway(gatewayModule.gateway,gw_name) if gatewayModule.gatewayQryEnabled: self.gatewayDict[gw_name].setQryEnabled(True) except Exception, e: print e #---------------------------------------------------------------------- def addGateway(self, gateway, gatewayName=None): """创建接口""" self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName) # ---------------------------------------------------------------------- def connect(self, gatewayName): """连接特定名称的接口""" if gatewayName in self.gatewayDict: gateway = self.gatewayDict[gatewayName] gateway.connect() # 接口连接后自动执行数据库连接的任务 self.dbConnect() else: self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName)) # ---------------------------------------------------------------------- def subscribe(self, subscribeReq, gatewayName): """订阅特定接口的行情""" if gatewayName in self.gatewayDict: gateway = self.gatewayDict[gatewayName] gateway.subscribe(subscribeReq) else: self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName)) # ---------------------------------------------------------------------- def sendOrder(self, orderReq, gatewayName): """对特定接口发单""" # 如果风控检查失败则不发单 if not self.rmEngine.checkRisk(orderReq): self.writeLog(u'风控检查不通过') return '' if gatewayName in self.gatewayDict: gateway = self.gatewayDict[gatewayName] return gateway.sendOrder(orderReq) else: self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName)) # ---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq, gatewayName): """对特定接口撤单""" if gatewayName in self.gatewayDict: gateway = self.gatewayDict[gatewayName] gateway.cancelOrder(cancelOrderReq) else: self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName)) #---------------------------------------------------------------------- def qryAccont(self, gatewayName): """查询特定接口的账户""" if gatewayName in self.gatewayDict: gateway = self.gatewayDict[gatewayName] gateway.qryAccount() else: self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName)) def getAccountInfo(self): """读取风控的账号与仓位数据 # Added by IncenseLee 仅支持一个账号。不支持多账号 以后支持跨市场套利才更新吧。 """ return self.rmEngine.getAccountInfo() #---------------------------------------------------------------------- def qryPosition(self, gatewayName): """查询特定接口的持仓""" if gatewayName in self.gatewayDict: gateway = self.gatewayDict[gatewayName] gateway.qryPosition() else: self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName)) # ---------------------------------------------------------------------- def exit(self): """退出程序前调用，保证正常退出""" # 安全关闭所有接口 for gateway in self.gatewayDict.values(): gateway.close() # 停止事件引擎 self.eventEngine.stop() # 停止数据记录引擎 self.drEngine.stop() # 保存数据引擎里的合约数据到硬盘 self.dataEngine.saveContracts() def disconnect(self,gateway_name = EMPTY_STRING): """断开底层gateway的连接""" # 只断开指定的gateway if gateway_name != EMPTY_STRING: if gateway_name in self.gatewayDict: gateway = self.gatewayDict[gateway_name] gateway.close() return else: self.writeLog(u'gateway接口不存在：%s' % gateway_name) # 断开所有的gateway for gateway in self.gatewayDict.values(): gateway.close() # ---------------------------------------------------------------------- def writeLog(self, content): """快速发出日志事件""" log = VtLogData() log.logContent = content event = Event(type_=EVENT_LOG) event.dict_['data'] = log self.eventEngine.put(event) # 写入本地log日志 logging.info(content) # ---------------------------------------------------------------------- def dbConnect(self): """连接MongoDB数据库""" if not self.dbClient: # 读取MongoDB的设置 host, port, logging = loadMongoSetting() try: # 设置MongoDB操作的超时时间为0.5秒 self.dbClient = MongoClient(host, port, connectTimeoutMS=500) # 调用server_info查询服务器状态，防止服务器异常并未连接成功 self.dbClient.server_info() self.writeLog(text.DATABASE_CONNECTING_COMPLETED) # 如果启动日志记录，则注册日志事件监听函数 if logging: self.eventEngine.register(EVENT_LOG, self.dbLogging) except ConnectionFailure: self.writeLog(text.DATABASE_CONNECTING_FAILED) # ---------------------------------------------------------------------- def dbInsert(self, dbName, collectionName, d): """向MongoDB中插入数据，d是具体数据""" if self.dbClient: db = self.dbClient[dbName] collection = db[collectionName] collection.insert_one(d) else: self.writeLog(text.DATA_INSERT_FAILED) # ---------------------------------------------------------------------- def dbQuery(self, dbName, collectionName, d): """从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针""" if self.dbClient: db = self.dbClient[dbName] collection = db[collectionName] cursor = collection.find(d) if cursor: return list(cursor) else: return [] else: self.writeLog(text.DATA_QUERY_FAILED) return [] #---------------------------------------------------------------------- def dbUpdate(self, dbName, collectionName, d, flt, upsert=False): """向MongoDB中更新数据，d是具体数据，flt是过滤条件，upsert代表若无是否要插入""" if self.dbClient: db = self.dbClient[dbName] collection = db[collectionName] collection.replace_one(flt, d, upsert) else: self.writeLog(text.DATA_UPDATE_FAILED) #---------------------------------------------------------------------- def dbLogging(self, event): """向MongoDB中插入日志""" log = event.dict_['data'] d = { 'content': log.logContent, 'time': log.logTime, 'gateway': log.gatewayName } self.dbInsert(LOG_DB_NAME, self.todayDate, d) #---------------------------------------------------------------------- def getContract(self, vtSymbol): """查询合约""" return self.dataEngine.getContract(vtSymbol) #---------------------------------------------------------------------- def getAllContracts(self): """查询所有合约（返回列表）""" return self.dataEngine.getAllContracts() #---------------------------------------------------------------------- def getOrder(self, vtOrderID): """查询委托""" return self.dataEngine.getOrder(vtOrderID) #---------------------------------------------------------------------- def getAllWorkingOrders(self): """查询所有的活跃的委托（返回列表）""" return self.dataEngine.getAllWorkingOrders() # ---------------------------------------------------------------------- def getAllGatewayNames(self): """查询引擎中所有可用接口的名称""" return self.gatewayDict.keys() def clearData(self): """清空数据引擎的数据""" self.dataEngine.clearData() self.ctaEngine.clearData() def saveData(self): self.ctaEngine.saveStrategyData() ######################################################################## class DataEngine(object): """数据引擎""" contractFileName = 'ContractData.vt' # ---------------------------------------------------------------------- def __init__(self, mainEngine, eventEngine): """Constructor""" self.mainEngine = mainEngine self.eventEngine = eventEngine # 保存合约详细信息的字典 self.contractDict = {} # 保存委托数据的字典 self.orderDict = {} # 保存活动委托数据的字典（即可撤销） self.workingOrderDict = {} # 读取保存在硬盘的合约数据 self.loadContracts() # 注册事件监听 self.registerEvent() # 已订阅合约代码 self.subscribedSymbols = set() # ---------------------------------------------------------------------- def updateContract(self, event): """更新合约数据""" contract = event.dict_['data'] self.contractDict[contract.vtSymbol] = contract self.contractDict[contract.symbol] = contract # 使用常规代码（不包括交易所）可能导致重复 # ---------------------------------------------------------------------- def getContract(self, vtSymbol): """查询合约对象""" try: return self.contractDict[vtSymbol] except KeyError: return None # ---------------------------------------------------------------------- def getAllContracts(self): """查询所有合约对象（返回列表）""" return self.contractDict.values() # ---------------------------------------------------------------------- def saveContracts(self): """保存所有合约对象到硬盘""" f = shelve.open(self.contractFileName) f['data'] = self.contractDict f.close() # ---------------------------------------------------------------------- def loadContracts(self): """从硬盘读取合约对象""" f = shelve.open(self.contractFileName) if 'data' in f: d = f['data'] for key, value in d.items(): self.contractDict[key] = value f.close() # ---------------------------------------------------------------------- def updateOrder(self, event): """更新委托数据""" order = event.dict_['data'] self.orderDict[order.vtOrderID] = order # 如果订单的状态是全部成交或者撤销，则需要从workingOrderDict中移除 if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED: if order.vtOrderID in self.workingOrderDict: del self.workingOrderDict[order.vtOrderID] # 否则则更新字典中的数据 else: self.workingOrderDict[order.vtOrderID] = order # ---------------------------------------------------------------------- def getOrder(self, vtOrderID): """查询委托单（报单）""" try: return self.orderDict[vtOrderID] except KeyError: return None # ---------------------------------------------------------------------- def getAllWorkingOrders(self): """查询所有活动委托（返回列表）""" return self.workingOrderDict.values() # ---------------------------------------------------------------------- def registerEvent(self): """注册事件监听""" self.eventEngine.register(EVENT_CONTRACT, self.updateContract) self.eventEngine.register(EVENT_ORDER, self.updateOrder) self.eventEngine.register(EVENT_POSITION, self.updatePosition) def clearData(self): """清空数据""" self.orderDict = {} self.workingOrderDict = {} self.subscribedSymbols.clear() def updatePosition(self,event): """更新持仓信息""" # 在获取更新持仓信息时，自动订阅这个symbol # 目的：1、 position = event.dict_['data'] symbol = position.symbol if symbol is None: return if len(symbol) == 0: return # 已存在，不做更新 if symbol in self.subscribedSymbols: return self.subscribedSymbols.add(symbol) gatewayName = position.gatewayName contract = self.mainEngine.getContract(symbol) if not contract: self.mainEngine.writeLog(u'找不到合约{0}信息'.format(symbol)) return # 订阅合约 req = VtSubscribeReq() req.symbol = symbol req.exchange = contract.exchange req.currency = '' req.productClass = '' self.mainEngine.subscribe(req, gatewayName) self.mainEngine.writeLog(u'自动订阅合约{0}'.format(symbol))