265 lines
8.2 KiB
Markdown
265 lines
8.2 KiB
Markdown
# 行情记录
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行情记录模块用于实时行情的收录：
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- 连接上接口后并且启动行情记录模块；
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- 通过本地合约(vt_symbol)添加记录任务；
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- 后台会自动调用行情API接口的suscribe()函数自动订阅行情；
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- 行情信息通过database_manager模块的save_bar_data()函数/save_tick_data()函数载入到数据库中。
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注意：目前vnpy支持的数据库为SQLite/ MySQL/ PostgreSQL/ MongoDB。若用户使用MongoDB，则行情记录数据直接载入到MongoDB中。
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## 加载启动
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进入VN Trader后，首先登陆接口，如连接CTP；然后在菜单栏中点击“功能”->"行情记录“后，会弹出行情记录窗口，如图。
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此时行情记录模块的启动状态为True，会启动while循环，可以添加任务实现实时行情记录。
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```
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def start(self):
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""""""
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self.active = True
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self.thread.start()
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def run(self):
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""""""
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while self.active:
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try:
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task = self.queue.get(timeout=1)
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task_type, data = task
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if task_type == "tick":
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database_manager.save_tick_data([data])
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elif task_type == "bar":
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database_manager.save_bar_data([data])
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except Empty:
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continue
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```
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## 开始收录
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- 在“本地代码”选择输入需要订阅的行情，如rb1905.SHFE；
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- 然后点击后边“K线记录”或者“Tick记录”中的“添加”选项，会把记录特定品种任务添加到data_recorder_setting.json上，并且显示到“K线记录列表”或者“Tick记录列表”中，如图。
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- 通过queue.put()与queue.get()异步完成收录行情信息任务。
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下面介绍行情收录的具体原理：若无合约记录的历史，用户需要先添加行情记录任务，如连接CTP接口后记录rb1905.SHFE的tick数据，然后调用add_tick_recording()函数执行下面工作：
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1) 先创建tick_recordings字典；
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2) 调用接口的suscribe()函数订阅行情；
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3 )保存该tick_recordings字典到json文件上；
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4) 推送行情记录事件。
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```
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def add_tick_recording(self, vt_symbol: str):
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""""""
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if vt_symbol in self.tick_recordings:
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self.write_log(f"已在Tick记录列表中：{vt_symbol}")
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return
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contract = self.main_engine.get_contract(vt_symbol)
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if not contract:
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self.write_log(f"找不到合约：{vt_symbol}")
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return
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self.tick_recordings[vt_symbol] = {}
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"symbol": contract.symbol,
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"exchange": contract.exchange.value,
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"gateway_name": contract.gateway_name
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}
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self.subscribe(contract)
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self.save_setting()
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self.put_event()
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self.write_log(f"添加Tick记录成功：{vt_symbol}")
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```
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下面对add_tick_recording()函数里面调用的子函数进行扩展：
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### 订阅行情
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调用main_engine的suscribe()函数来订阅行情，需要填入的信息为symbol、exchange、gateway_name
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```
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def subscribe(self, contract: ContractData):
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""""""
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req = SubscribeRequest(
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symbol=contract.symbol,
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exchange=contract.exchange
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)
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self.main_engine.subscribe(req, contract.gateway_name)
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```
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### 将订阅信息保存到json文件
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- 主要把tick_recordings或者bar_recordings通过save_json()函数保存到C:\Users\Administrator\\.vntrader文件夹内的data_recorder_setting.json上。
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- 该json文件用于存放行情记录的任务，当每次启动行情模块后，会调用load_setting()函数来得到tick_recordings和bar_recordings字典，进而开始记录的任务。
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```
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setting_filename = "data_recorder_setting.json"
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def save_setting(self):
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""""""
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setting = {
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"tick": self.tick_recordings,
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"bar": self.bar_recordings
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}
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save_json(self.setting_filename, setting)
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def load_setting(self):
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""""""
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setting = load_json(self.setting_filename)
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self.tick_recordings = setting.get("tick", {})
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self.bar_recordings = setting.get("bar", {})
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```
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### 推送行情记录事件
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- 创建行情记录列表tick_symbols和bar_symbols，并且缓存在data字典里；
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- 创建evnte对象，其类型是EVENT_RECORDER_UPDATE, 内容是data字典；
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- 调用event_engine的put()函数推送event事件。
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```
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def put_event(self):
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""""""
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tick_symbols = list(self.tick_recordings.keys())
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tick_symbols.sort()
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bar_symbols = list(self.bar_recordings.keys())
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bar_symbols.sort()
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data = {
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"tick": tick_symbols,
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"bar": bar_symbols
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}
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event = Event(
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EVENT_RECORDER_UPDATE,
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data
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)
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self.event_engine.put(event)
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```
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### 注册行情记录事件
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register_event()函数分别注册2种事件：EVENT_CONTRACT、EVENT_TICK
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- EVENT_CONTRACT事件，调用的是process_contract_event()函数: 从tick_recordings和bar_recordings字典获取需要订阅的合约品种；然后使用subscribe()函数进行订阅行情。
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- EVENT_TICK事件，调用的是process_tick_event()函数：从tick_recordings和bar_recordings字典获取需要订阅的合约品种；然后使用record_tick()和record_bar()函数，把行情记录任务推送到queue队列中等待执行。
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```
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def register_event(self):
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""""""
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self.event_engine.register(EVENT_TICK, self.process_tick_event)
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self.event_engine.register(EVENT_CONTRACT, self.process_contract_event)
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def process_tick_event(self, event: Event):
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""""""
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tick = event.data
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if tick.vt_symbol in self.tick_recordings:
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self.record_tick(tick)
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if tick.vt_symbol in self.bar_recordings:
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bg = self.get_bar_generator(tick.vt_symbol)
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bg.update_tick(tick)
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def process_contract_event(self, event: Event):
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""""""
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contract = event.data
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vt_symbol = contract.vt_symbol
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if (vt_symbol in self.tick_recordings or vt_symbol in self.bar_recordings):
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self.subscribe(contract)
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def record_tick(self, tick: TickData):
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""""""
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task = ("tick", copy(tick))
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self.queue.put(task)
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def record_bar(self, bar: BarData):
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""""""
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task = ("bar", copy(bar))
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self.queue.put(task)
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def get_bar_generator(self, vt_symbol: str):
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""""""
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bg = self.bar_generators.get(vt_symbol, None)
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if not bg:
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bg = BarGenerator(self.record_bar)
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self.bar_generators[vt_symbol] = bg
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return bg
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```
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### 执行记录行情任务
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在while循环中，从queue队列读取任务，调用save_tick_data()或者save_bar_data()函数来记录数据，并且载入到数据库中。
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```
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def run(self):
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""""""
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while self.active:
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try:
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task = self.queue.get(timeout=1)
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task_type, data = task
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if task_type == "tick":
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database_manager.save_tick_data([data])
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elif task_type == "bar":
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database_manager.save_bar_data([data])
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except Empty:
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continue
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```
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## 移除记录
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- 从tick_recordings字典移除vt_symbol
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- 调用save_setting()函数保存json配置文件
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- 推送最新的tick_recordings字典来继续记录行情，原来移除合约品种不再记录。
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```
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def remove_tick_recording(self, vt_symbol: str):
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""""""
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if vt_symbol not in self.tick_recordings:
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self.write_log(f"不在Tick记录列表中：{vt_symbol}")
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return
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self.tick_recordings.pop(vt_symbol)
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self.save_setting()
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self.put_event()
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self.write_log(f"移除Tick记录成功：{vt_symbol}")
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```
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## 停止记录
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- 记录行情状态改为False, 停止while循环；
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- 调用join()函数关掉线程。
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```
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def close(self):
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""""""
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self.active = False
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if self.thread.isAlive():
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self.thread.join()
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``` |