# encoding: UTF-8 import shelve from collections import OrderedDict from pymongo import MongoClient from pymongo.errors import ConnectionFailure from eventEngine import * from vtGateway import * from vtFunction import loadMongoSetting from ctaAlgo.ctaEngine import CtaEngine from dataRecorder.drEngine import DrEngine from riskManager.rmEngine import RmEngine ######################################################################## class MainEngine(object): """主引擎""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" # 创建事件引擎 self.eventEngine = EventEngine2() self.eventEngine.start() # 创建数据引擎 self.dataEngine = DataEngine(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) self.drEngine = DrEngine(self, self.eventEngine) self.rmEngine = RmEngine(self, self.eventEngine) self.eventEngine.register(EVENT_TICK, self.orderTest) #---------------------------------------------------------------------- def initGateway(self): """初始化接口对象""" # 用来保存接口对象的字典 self.gatewayDict = OrderedDict() # 创建我们想要接入的接口对象 try: from ctpGateway.ctpGateway import CtpGateway self.addGateway(CtpGateway, 'CTP') self.gatewayDict['CTP'].setQryEnabled(True) except Exception, e: print e try: from ltsGateway.ltsGateway import LtsGateway self.addGateway(LtsGateway, 'LTS') self.gatewayDict['LTS'].setQryEnabled(True) except Exception, e: print e try: from xtpGateway.xtpGateway import XtpGateway self.addGateway(XtpGateway, 'XTP') self.gatewayDict['XTP'].setQryEnabled(True) except Exception, e: print e try: from ksotpGateway.ksotpGateway import KsotpGateway self.addGateway(KsotpGateway, 'KSOTP') self.gatewayDict['KSOTP'].setQryEnabled(True) except Exception, e: print e try: from femasGateway.femasGateway import FemasGateway self.addGateway(FemasGateway, 'FEMAS') self.gatewayDict['FEMAS'].setQryEnabled(True) except Exception, e: print e try: from xspeedGateway.xspeedGateway import XspeedGateway self.addGateway(XspeedGateway, 'XSPEED') self.gatewayDict['XSPEED'].setQryEnabled(True) except Exception, e: print e try: from ksgoldGateway.ksgoldGateway import KsgoldGateway self.addGateway(KsgoldGateway, 'KSGOLD') self.gatewayDict['KSGOLD'].setQryEnabled(True) except Exception, e: print e try: from sgitGateway.sgitGateway import SgitGateway self.addGateway(SgitGateway, 'SGIT') self.gatewayDict['SGIT'].setQryEnabled(True) except Exception, e: print e try: from windGateway.windGateway import WindGateway self.addGateway(WindGateway, 'Wind') except Exception, e: print e try: from ibGateway.ibGateway import IbGateway self.addGateway(IbGateway, 'IB') except Exception, e: print e try: from shzdGateway.shzdGateway import ShzdGateway self.addGateway(ShzdGateway, 'SHZD') self.gatewayDict['SHZD'].setQryEnabled(True) except Exception, e: print e try: from oandaGateway.oandaGateway import OandaGateway self.addGateway(OandaGateway, 'OANDA') self.gatewayDict['OANDA'].setQryEnabled(True) except Exception, e: print e try: from okcoinGateway.okcoinGateway import OkcoinGateway self.addGateway(OkcoinGateway, 'OKCOIN') self.gatewayDict['OKCOIN'].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() else: self.writeLog(u'接口不存在：%s' %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(u'接口不存在：%s' %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): return '' if gatewayName in self.gatewayDict: gateway = self.gatewayDict[gatewayName] return gateway.sendOrder(orderReq) else: self.writeLog(u'接口不存在：%s' %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(u'接口不存在：%s' %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(u'接口不存在：%s' %gatewayName) #---------------------------------------------------------------------- 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(u'接口不存在：%s' %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 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) #---------------------------------------------------------------------- def dbConnect(self): """连接MongoDB数据库""" if not self.dbClient: # 读取MongoDB的设置 host, port = 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(u'MongoDB连接成功') except ConnectionFailure: self.writeLog(u'MongoDB连接失败') #---------------------------------------------------------------------- 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) #---------------------------------------------------------------------- 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) return cursor else: return None #---------------------------------------------------------------------- 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) #---------------------------------------------------------------------- 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 orderTest(self, event): """""" tick = event.dict_['data'] req = VtOrderReq() req.symbol = tick.symbol req.price = tick.lastPrice req.direction = DIRECTION_LONG req.offset = OFFSET_OPEN req.priceType = PRICETYPE_LIMITPRICE req.volume = 1 order_time = self.sendOrder(req, tick.gatewayName) print u'耗时：', (order_time - tick.tick_time)*100000/tick.frequency_time, u'微秒' ######################################################################## class DataEngine(object): """数据引擎""" contractFileName = 'ContractData.vt' #---------------------------------------------------------------------- def __init__(self, eventEngine): """Constructor""" 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() #---------------------------------------------------------------------- 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""" 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)