125 lines
4.8 KiB
Python
125 lines
4.8 KiB
Python
# 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)
|