444 lines
16 KiB
Python
444 lines
16 KiB
Python
# encoding: UTF-8
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import shelve
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from collections import OrderedDict
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from pymongo import MongoClient
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from pymongo.errors import ConnectionFailure
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from gateway import GATEWAY_DICT
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from language import text
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from trader.app.ctaStrategy.ctaEngine import CtaEngine
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from trader.app.dataRecorder.drEngine import DrEngine
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from trader.app.riskManager.rmEngine import RmEngine
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from vtFunction import loadMongoSetting
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from vtGateway import *
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########################################################################
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class MainEngine(object):
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"""主引擎"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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# 记录今日日期
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self.todayDate = datetime.now().strftime('%Y%m%d')
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# 创建事件引擎
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self.eventEngine = EventEngine2()
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self.eventEngine.start()
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# 创建数据引擎
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self.dataEngine = DataEngine(self, self.eventEngine)
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# MongoDB数据库相关
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self.dbClient = None # MongoDB客户端对象
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# 调用一个个初始化函数
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self.initGateway()
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# 扩展模块
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self.ctaEngine = CtaEngine(self, self.eventEngine) # cta策略运行模块
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self.drEngine = DrEngine(self, self.eventEngine) # 数据记录模块
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self.rmEngine = RmEngine(self, self.eventEngine) # 风险管理模块
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#----------------------------------------------------------------------
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def initGateway(self):
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"""初始化接口对象"""
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# 用来保存接口对象的字典
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self.gatewayDict = OrderedDict()
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# 初始化的接口模块，以及其指定的名称,CTP是模块，value，是该模块下的多个连接配置文件,如 CTP_JR_connect.json
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init_gateway_names = {'CTP': ['CTP', 'CTP_Prod', 'CTP_Post', 'CTP_EBF', 'CTP_JR', 'CTP_JR2']}
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# 遍历接口字典并自动创建所有的接口对象
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for gatewayModule in GATEWAY_DICT.values():
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try:
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if gatewayModule.gatewayName not in init_gateway_names:
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continue
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for gw_name in init_gateway_names[gatewayModule.gatewayName]:
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self.addGateway(gatewayModule.gateway,gw_name)
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if gatewayModule.gatewayQryEnabled:
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self.gatewayDict[gw_name].setQryEnabled(True)
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except Exception, e:
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print e
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#----------------------------------------------------------------------
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def addGateway(self, gateway, gatewayName=None):
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"""创建接口"""
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self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName)
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# ----------------------------------------------------------------------
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def connect(self, gatewayName):
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"""连接特定名称的接口"""
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if gatewayName in self.gatewayDict:
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gateway = self.gatewayDict[gatewayName]
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gateway.connect()
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# 接口连接后自动执行数据库连接的任务
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self.dbConnect()
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else:
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self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
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def checkGatewayStatus(self,gatewayName):
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"""check gateway connect status"""
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if gatewayName in self.gatewayDict:
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gateway = self.gatewayDict[gatewayName]
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return gateway.checkStatus()
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else:
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self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
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return False
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# ----------------------------------------------------------------------
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def subscribe(self, subscribeReq, gatewayName):
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"""订阅特定接口的行情"""
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if gatewayName in self.gatewayDict:
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gateway = self.gatewayDict[gatewayName]
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gateway.subscribe(subscribeReq)
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else:
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self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
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# ----------------------------------------------------------------------
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def sendOrder(self, orderReq, gatewayName):
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"""对特定接口发单"""
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# 如果风控检查失败则不发单
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if not self.rmEngine.checkRisk(orderReq):
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self.writeLog(u'风控检查不通过')
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return ''
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if gatewayName in self.gatewayDict:
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gateway = self.gatewayDict[gatewayName]
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return gateway.sendOrder(orderReq)
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else:
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self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
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# ----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq, gatewayName):
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"""对特定接口撤单"""
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if gatewayName in self.gatewayDict:
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gateway = self.gatewayDict[gatewayName]
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gateway.cancelOrder(cancelOrderReq)
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else:
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self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
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#----------------------------------------------------------------------
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def qryAccont(self, gatewayName):
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"""查询特定接口的账户"""
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if gatewayName in self.gatewayDict:
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gateway = self.gatewayDict[gatewayName]
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gateway.qryAccount()
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else:
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self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
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def getAccountInfo(self):
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"""读取风控的账号与仓位数据
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# Added by IncenseLee
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仅支持一个账号。不支持多账号
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以后支持跨市场套利才更新吧。
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"""
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return self.rmEngine.getAccountInfo()
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#----------------------------------------------------------------------
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def qryPosition(self, gatewayName):
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"""查询特定接口的持仓"""
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if gatewayName in self.gatewayDict:
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gateway = self.gatewayDict[gatewayName]
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gateway.qryPosition()
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else:
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self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
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# ----------------------------------------------------------------------
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def exit(self):
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"""退出程序前调用，保证正常退出"""
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# 安全关闭所有接口
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for gateway in self.gatewayDict.values():
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gateway.close()
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# 停止事件引擎
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self.eventEngine.stop()
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# 停止数据记录引擎
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self.drEngine.stop()
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# 保存数据引擎里的合约数据到硬盘
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self.dataEngine.saveContracts()
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def disconnect(self,gateway_name = EMPTY_STRING):
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"""断开底层gateway的连接"""
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# 只断开指定的gateway
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if gateway_name != EMPTY_STRING:
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if gateway_name in self.gatewayDict:
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gateway = self.gatewayDict[gateway_name]
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gateway.close()
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return
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else:
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self.writeLog(u'gateway接口不存在：%s' % gateway_name)
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# 断开所有的gateway
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for gateway in self.gatewayDict.values():
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gateway.close()
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# ----------------------------------------------------------------------
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def writeLog(self, content):
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"""快速发出日志事件"""
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log = VtLogData()
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log.logContent = content
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event = Event(type_=EVENT_LOG)
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event.dict_['data'] = log
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self.eventEngine.put(event)
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# 写入本地log日志
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logging.info(content)
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# ----------------------------------------------------------------------
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def dbConnect(self):
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"""连接MongoDB数据库"""
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if not self.dbClient:
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# 读取MongoDB的设置
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host, port, logging = loadMongoSetting()
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try:
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# 设置MongoDB操作的超时时间为0.5秒
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self.dbClient = MongoClient(host, port, connectTimeoutMS=500)
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# 调用server_info查询服务器状态，防止服务器异常并未连接成功
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self.dbClient.server_info()
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self.writeLog(text.DATABASE_CONNECTING_COMPLETED)
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# 如果启动日志记录，则注册日志事件监听函数
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if logging:
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self.eventEngine.register(EVENT_LOG, self.dbLogging)
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except ConnectionFailure:
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self.writeLog(text.DATABASE_CONNECTING_FAILED)
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# ----------------------------------------------------------------------
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def dbInsert(self, dbName, collectionName, d):
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"""向MongoDB中插入数据，d是具体数据"""
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if self.dbClient:
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db = self.dbClient[dbName]
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collection = db[collectionName]
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collection.insert_one(d)
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else:
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self.writeLog(text.DATA_INSERT_FAILED)
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# ----------------------------------------------------------------------
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def dbQuery(self, dbName, collectionName, d):
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"""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"""
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if self.dbClient:
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db = self.dbClient[dbName]
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collection = db[collectionName]
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cursor = collection.find(d)
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if cursor:
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return list(cursor)
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else:
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return []
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else:
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self.writeLog(text.DATA_QUERY_FAILED)
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return []
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#----------------------------------------------------------------------
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def dbUpdate(self, dbName, collectionName, d, flt, upsert=False):
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"""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"""
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if self.dbClient:
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db = self.dbClient[dbName]
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collection = db[collectionName]
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collection.replace_one(flt, d, upsert)
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else:
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self.writeLog(text.DATA_UPDATE_FAILED)
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#----------------------------------------------------------------------
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def dbLogging(self, event):
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"""向MongoDB中插入日志"""
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log = event.dict_['data']
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d = {
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'content': log.logContent,
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'time': log.logTime,
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'gateway': log.gatewayName
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}
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self.dbInsert(LOG_DB_NAME, self.todayDate, d)
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#----------------------------------------------------------------------
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def getContract(self, vtSymbol):
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"""查询合约"""
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return self.dataEngine.getContract(vtSymbol)
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#----------------------------------------------------------------------
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def getAllContracts(self):
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"""查询所有合约（返回列表）"""
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return self.dataEngine.getAllContracts()
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#----------------------------------------------------------------------
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def getOrder(self, vtOrderID):
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"""查询委托"""
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return self.dataEngine.getOrder(vtOrderID)
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#----------------------------------------------------------------------
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def getAllWorkingOrders(self):
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"""查询所有的活跃的委托（返回列表）"""
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return self.dataEngine.getAllWorkingOrders()
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# ----------------------------------------------------------------------
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def getAllGatewayNames(self):
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"""查询引擎中所有可用接口的名称"""
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return self.gatewayDict.keys()
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def clearData(self):
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"""清空数据引擎的数据"""
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self.dataEngine.clearData()
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self.ctaEngine.clearData()
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def saveData(self):
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self.ctaEngine.saveStrategyData()
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########################################################################
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class DataEngine(object):
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"""数据引擎"""
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contractFileName = 'ContractData.vt'
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# ----------------------------------------------------------------------
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def __init__(self, mainEngine, eventEngine):
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"""Constructor"""
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self.mainEngine = mainEngine
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self.eventEngine = eventEngine
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# 保存合约详细信息的字典
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self.contractDict = {}
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# 保存委托数据的字典
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self.orderDict = {}
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# 保存活动委托数据的字典（即可撤销）
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self.workingOrderDict = {}
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# 读取保存在硬盘的合约数据
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self.loadContracts()
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# 注册事件监听
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self.registerEvent()
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# 已订阅合约代码
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self.subscribedSymbols = set()
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# ----------------------------------------------------------------------
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def updateContract(self, event):
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"""更新合约数据"""
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contract = event.dict_['data']
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self.contractDict[contract.vtSymbol] = contract
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self.contractDict[contract.symbol] = contract # 使用常规代码（不包括交易所）可能导致重复
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# ----------------------------------------------------------------------
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def getContract(self, vtSymbol):
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"""查询合约对象"""
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try:
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return self.contractDict[vtSymbol]
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except KeyError:
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return None
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# ----------------------------------------------------------------------
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def getAllContracts(self):
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"""查询所有合约对象（返回列表）"""
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return self.contractDict.values()
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# ----------------------------------------------------------------------
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def saveContracts(self):
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"""保存所有合约对象到硬盘"""
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f = shelve.open(self.contractFileName)
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f['data'] = self.contractDict
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f.close()
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# ----------------------------------------------------------------------
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def loadContracts(self):
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"""从硬盘读取合约对象"""
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f = shelve.open(self.contractFileName)
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if 'data' in f:
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d = f['data']
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for key, value in d.items():
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self.contractDict[key] = value
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f.close()
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# ----------------------------------------------------------------------
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def updateOrder(self, event):
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"""更新委托数据"""
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order = event.dict_['data']
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self.orderDict[order.vtOrderID] = order
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# 如果订单的状态是全部成交或者撤销，则需要从workingOrderDict中移除
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if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED:
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if order.vtOrderID in self.workingOrderDict:
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del self.workingOrderDict[order.vtOrderID]
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# 否则则更新字典中的数据
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else:
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self.workingOrderDict[order.vtOrderID] = order
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# ----------------------------------------------------------------------
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def getOrder(self, vtOrderID):
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"""查询委托单（报单）"""
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try:
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return self.orderDict[vtOrderID]
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except KeyError:
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return None
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# ----------------------------------------------------------------------
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def getAllWorkingOrders(self):
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"""查询所有活动委托（返回列表）"""
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return self.workingOrderDict.values()
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# ----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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self.eventEngine.register(EVENT_CONTRACT, self.updateContract)
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self.eventEngine.register(EVENT_ORDER, self.updateOrder)
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self.eventEngine.register(EVENT_POSITION, self.updatePosition)
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def clearData(self):
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"""清空数据"""
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self.orderDict = {}
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self.workingOrderDict = {}
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self.subscribedSymbols.clear()
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def updatePosition(self,event):
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"""更新持仓信息"""
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# 在获取更新持仓信息时，自动订阅这个symbol
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# 目的：1、
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position = event.dict_['data']
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symbol = position.symbol
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if symbol is None:
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return
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if len(symbol) == 0:
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return
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# 已存在，不做更新
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if symbol in self.subscribedSymbols:
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return
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self.subscribedSymbols.add(symbol)
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gatewayName = position.gatewayName
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contract = self.mainEngine.getContract(symbol)
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if not contract:
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self.mainEngine.writeLog(u'找不到合约{0}信息'.format(symbol))
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return
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# 订阅合约
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req = VtSubscribeReq()
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req.symbol = symbol
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req.exchange = contract.exchange
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req.currency = ''
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req.productClass = ''
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self.mainEngine.subscribe(req, gatewayName)
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self.mainEngine.writeLog(u'自动订阅合约{0}'.format(symbol))
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