# flake8: noqa """ 更新主力合约 """ import os import sys import json from collections import OrderedDict import pandas as pd vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..')) if vnpy_root not in sys.path: sys.path.append(vnpy_root) os.environ["VNPY_TESTING"] = "1" from vnpy.data.tdx.tdx_future_data import * from vnpy.trader.util_wechat import send_wx_msg from vnpy.trader.utility import load_json, save_json, append_data log_csv_name = 'dominat_change_history.csv' field_names = ['account_name', 'strategy_name', 'old_vt_symbol', 'new_vt_symbol', 'datetime'] if __name__ == "__main__": if len(sys.argv) < 2: print(f'请输入{vnpy_root}下检查目录,例如 prod/account01', file=sys.stderr) exit() print(sys.argv) for account_folder in sys.argv[1:]: cta_path = os.path.abspath(os.path.join(vnpy_root, account_folder)) if not os.path.exists(cta_path): print(f'{cta_path}不存在', file=sys.stderr) continue print(f'开始检查{cta_path}下的策略运行配置文件') account_name = account_folder.split('/')[-1] # 创建API对象 api_01 = TdxFutureData() # 更新本地合约缓存信息 api_01.update_mi_contracts() setting_file_path = os.path.abspath(os.path.join(cta_path, 'cta_strategy_pro_setting.json')) settings = load_json(setting_file_path, auto_save=False) if len(settings) == 0: print('无策略配置') os._exit(0) changed = False for strategy_name, setting in settings.items(): vt_symbol = setting.get('vt_symbol') if not vt_symbol: print(f'{strategy_name}配置中无vt_symbol', file=sys.stderr) continue if '.' in vt_symbol: symbol, exchange = vt_symbol.split('.') else: symbol = vt_symbol exchange = None if exchange == Exchange.SPD: print(f"暂不处理自定义套利合约{vt_symbol}") continue full_symbol = get_full_symbol(symbol).upper() underlying_symbol = get_underlying_symbol(symbol).upper() contract_info = api_01.future_contracts.get(underlying_symbol) if not contract_info: print(f'{account_name}主力合约配置中,找不到{underlying_symbol}', file=sys.stderr) continue if 'mi_symbol' not in contract_info or 'exchange' not in contract_info or 'full_symbol' not in contract_info: print(f'{account_name}主力合约配置中,找不到mi_symbol/exchange/full_symbol. {contract_info}', file=sys.stderr) continue new_mi_symbol = contract_info.get('mi_symbol') new_exchange = contract_info.get('exchange') # 提前计算满足条件得次主力合约 next_mi_symbol = get_pre_switch_mi_symbol(contract_info) if next_mi_symbol > new_mi_symbol: print(f'使用提前切换得次主力合约{new_mi_symbol} => {next_mi_symbol}') next_mi_symbol = new_mi_symbol new_vt_symbol = '.'.join([new_mi_symbol, new_exchange]) new_full_symbol = get_full_symbol(new_mi_symbol).upper() if full_symbol >= new_full_symbol: print(f'{account_name}策略配置:长合约{full_symbol}, 主力长合约{new_full_symbol},不更新') continue if exchange: if len(vt_symbol) != len(new_vt_symbol): print(f'{account_name}配置中,合约{vt_symbol} 与{new_vt_symbol} 长度不匹配,不更新', file=sys.stderr) continue else: if len(symbol) != len(new_mi_symbol): print(f'{account_name}配置中,合约{vt_symbol} 与{new_mi_symbol} 长度不匹配,不更新', file=sys.stderr) continue setting.update({'vt_symbol': new_vt_symbol}) send_wx_msg(f'{account_name}{strategy_name} 主力合约更换:{vt_symbol} => {new_vt_symbol} ') changed = True # 写入日志csv,供后续检查 append_data(file_name=log_csv_name, dict_data={ 'account_name': account_name, 'strategy_name': strategy_name, 'old_vt_symbol': vt_symbol, 'new_vt_symbol': new_vt_symbol, 'datetime': datetime.now().strftime('%Y-%m-%d %H:%M:%S') }, field_names=field_names) if changed: save_json(setting_file_path, settings) print(f'保存{account_name}新配置') print('更新完毕') os._exit(0)