228 lines
7.3 KiB
Python
228 lines
7.3 KiB
Python
"""
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vn.py - By Traders, For Traders.
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The vn.py project is an open-source quantitative trading framework
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that is developed by traders, for traders.
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The project is mainly written in Python and uses C++ for low-layer
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and performance sensitive infrastructure.
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Using the vn.py project, institutional investors and professional
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traders, such as hedge funds, prop trading firms and investment banks,
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can easily develop complex trading strategies with the Event Engine
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Strategy Module, and automatically route their orders to the most
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desired destinations, including equity, commodity, forex and many
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other financial markets.
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"""
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import ast
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import os
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import platform
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import re
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import sys
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from setuptools import Extension, find_packages, setup
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def gather_autocxxpy_generated_files(root: str):
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fs = [os.path.join(root, "module.cpp")]
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for root, dirs, filenames in os.walk(root):
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for filename in filenames:
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filebase, ext = os.path.splitext(filename)
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if ext == ".cpp" and filebase.startswith("generated_functions_"):
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path = os.path.join(root, filename)
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fs.append(path)
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return fs
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def check_extension_build_flag(ext_modules, key: str, module: Extension):
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value = os.environ.get(key, None)
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if value is not None:
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if value == '1':
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ext_modules = list(set(ext_modules) | {module})
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elif value == '0':
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ext_modules = list(set(ext_modules) - {module})
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else:
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raise ValueError(f"Flag {key} should be '0' or '1', but {repr(value)} got.")
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return ext_modules
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def is_psycopg2_exists():
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try:
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import psycopg2 # noqa
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return True
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except ImportError:
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return False
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def get_install_requires():
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install_requires = [
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"PyQt5",
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"qdarkstyle",
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"requests",
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"websocket-client",
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"peewee",
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"pymysql",
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"mongoengine",
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"numpy",
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"pandas",
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"matplotlib",
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"seaborn",
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"futu-api",
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"tigeropen",
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"rqdatac",
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"ta-lib",
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"ibapi",
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"deap"
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]
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if not is_psycopg2_exists():
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install_requires.append("psycopg2-binary")
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if sys.version_info.minor < 7:
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install_requires.append("dataclasses")
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return install_requires
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def get_version_string():
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global version
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with open("vnpy/__init__.py", "rb") as f:
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version_line = re.search(
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r"__version__\s+=\s+(.*)", f.read().decode("utf-8")
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).group(1)
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return str(ast.literal_eval(version_line))
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def get_ext_modules():
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if platform.uname().system == "Windows":
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compiler_flags = [
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"/MP", "/std:c++17", # standard
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"/O2", "/Ob2", "/Oi", "/Ot", "/Oy", "/GL", # Optimization
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"/bigobj", # Better compatibility
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"/wd4819", # 936 code page
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"/D_CRT_SECURE_NO_WARNINGS",
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# suppress warning of unsafe functions like fopen, strcpy, etc
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]
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extra_link_args = []
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runtime_library_dirs = None
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else:
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compiler_flags = [
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"-std=c++17", # standard
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"-O3", # Optimization
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"-Wno-delete-incomplete", "-Wno-sign-compare",
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]
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extra_link_args = ["-lstdc++"]
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runtime_library_dirs = ["$ORIGIN"]
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vnctpmd = Extension(
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"vnpy.api.ctp.vnctpmd",
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[
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"vnpy/api/ctp/vnctp/vnctpmd/vnctpmd.cpp",
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],
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include_dirs=["vnpy/api/ctp/include",
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"vnpy/api/ctp/vnctp", ],
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define_macros=[],
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undef_macros=[],
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library_dirs=["vnpy/api/ctp/libs", "vnpy/api/ctp"],
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libraries=["thostmduserapi_se", "thosttraderapi_se", ],
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extra_compile_args=compiler_flags,
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extra_link_args=extra_link_args,
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runtime_library_dirs=runtime_library_dirs,
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depends=[],
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language="cpp",
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)
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vnctptd = Extension(
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"vnpy.api.ctp.vnctptd",
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[
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"vnpy/api/ctp/vnctp/vnctptd/vnctptd.cpp",
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],
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include_dirs=["vnpy/api/ctp/include",
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"vnpy/api/ctp/vnctp", ],
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define_macros=[],
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undef_macros=[],
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library_dirs=["vnpy/api/ctp/libs", "vnpy/api/ctp"],
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libraries=["thostmduserapi_se", "thosttraderapi_se", ],
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extra_compile_args=compiler_flags,
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extra_link_args=extra_link_args,
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runtime_library_dirs=runtime_library_dirs,
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depends=[],
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language="cpp",
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)
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vnoes = Extension(
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name="vnpy.api.oes.vnoes",
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sources=gather_autocxxpy_generated_files(
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"vnpy/api/oes/vnoes/generated_files/",
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),
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include_dirs=["vnpy/api/oes/vnoes/include",
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"vnpy/api/oes/vnoes/include/oes", ],
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define_macros=[("BRIGAND_NO_BOOST_SUPPORT", "1")],
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undef_macros=[],
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library_dirs=["vnpy/api/oes/vnoes/libs"],
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libraries=["oes_api"],
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extra_compile_args=compiler_flags,
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extra_link_args=extra_link_args,
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runtime_library_dirs=runtime_library_dirs,
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depends=[],
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language="cpp",
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)
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if platform.system() == "Windows":
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# use pre-built pyd for windows ( support python 3.7 only )
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ext_modules = []
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elif platform.system() == "Darwin":
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ext_modules = []
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else:
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ext_modules = [vnctptd, vnctpmd, vnoes]
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ext_modules = check_extension_build_flag(ext_modules, "VNPY_BUILD_OES", vnoes)
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ext_modules = check_extension_build_flag(ext_modules, "VNPY_BUILD_CTP", vnctptd)
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ext_modules = check_extension_build_flag(ext_modules, "VNPY_BUILD_CTP", vnctpmd)
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return ext_modules
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parallel = os.environ.get('VNPY_BUILD_PARALLEL', None)
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if parallel:
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if parallel == 'auto':
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parallel = os.cpu_count()
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from ci.parallel_build_distutils import patch_distutils
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patch_distutils(int(parallel))
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setup(
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name="vnpy",
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version=get_version_string(),
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author="vn.py team",
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author_email="vn.py@foxmail.com",
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license="MIT",
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url="https://www.vnpy.com",
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description="A framework for developing quant trading systems.",
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long_description=__doc__,
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keywords='quant quantitative investment trading algotrading',
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include_package_data=True,
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packages=find_packages(exclude=["tests", "ci", "tests.*"]),
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package_data={"": [
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"*.ico",
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"*.ini",
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"*.dll",
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"*.so",
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"*.pyd",
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]},
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install_requires=get_install_requires(),
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classifiers=[
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"Development Status :: 5 - Production/Stable",
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"Operating System :: Microsoft :: Windows :: Windows 7",
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"Operating System :: Microsoft :: Windows :: Windows 8",
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"Operating System :: Microsoft :: Windows :: Windows 10",
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"Operating System :: Microsoft :: Windows :: Windows Server 2008",
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"Operating System :: Microsoft :: Windows :: Windows Server 2012",
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"Operating System :: Microsoft :: Windows :: Windows Server 2012",
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"Operating System :: POSIX :: Linux"
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"Programming Language :: Python :: 3",
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"Programming Language :: Python :: 3.7",
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"Topic :: Office/Business :: Financial :: Investment",
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"Programming Language :: Python :: Implementation :: CPython",
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"License :: OSI Approved :: MIT License",
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"Natural Language :: Chinese (Simplified)",
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"Natural Language :: Chinese (Simplified)"
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],
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ext_modules=get_ext_modules(),
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)
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