107 lines
3.9 KiB
Python
107 lines
3.9 KiB
Python
# flake8: noqa
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"""
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更新主力合约
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"""
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import os
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import sys
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import json
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from collections import OrderedDict
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import pandas as pd
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
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if vnpy_root not in sys.path:
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sys.path.append(vnpy_root)
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os.environ["VNPY_TESTING"] = "1"
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from vnpy.data.tdx.tdx_future_data import *
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from vnpy.trader.util_wechat import send_wx_msg
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from vnpy.trader.utility import load_json, save_json
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if __name__ == "__main__":
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if len(sys.argv) < 2:
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print(f'请输入{vnpy_root}下检查目录，例如 prod/account01', file=sys.stderr)
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exit()
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print(sys.argv)
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for account_folder in sys.argv[1:]:
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cta_path = os.path.abspath(os.path.join(vnpy_root, account_folder))
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if not os.path.exists(cta_path):
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print(f'{cta_path}不存在', file=sys.stderr)
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continue
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print(f'开始检查{cta_path}下的策略运行配置文件')
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account_name = account_folder.split('/')[-1]
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# 创建API对象
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api_01 = TdxFutureData()
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# 更新本地合约缓存信息
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api_01.update_mi_contracts()
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setting_file_path = os.path.abspath(os.path.join(cta_path, 'cta_strategy_pro_setting.json'))
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settings = load_json(setting_file_path, auto_save=False)
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if len(settings) == 0:
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print('无策略配置')
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os._exit(0)
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changed = False
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for strategy_name, setting in settings.items():
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vt_symbol = setting.get('vt_symbol')
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if not vt_symbol:
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print(f'{strategy_name}配置中无vt_symbol', file=sys.stderr)
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continue
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if '.' in vt_symbol:
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symbol, exchange = vt_symbol.split('.')
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else:
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symbol = vt_symbol
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exchange = None
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if exchange == Exchange.SPD:
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print(f"暂不处理自定义套利合约{vt_symbol}")
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continue
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full_symbol = get_full_symbol(symbol).upper()
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underlying_symbol = get_underlying_symbol(symbol).upper()
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contract_info = api_01.future_contracts.get(underlying_symbol)
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if not contract_info:
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print(f'{account_name}主力合约配置中，找不到{underlying_symbol}', file=sys.stderr)
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continue
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if 'mi_symbol' not in contract_info or 'exchange' not in contract_info or 'full_symbol' not in contract_info:
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print(f'{account_name}主力合约配置中，找不到mi_symbol/exchange/full_symbol. {contract_info}', file=sys.stderr)
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continue
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new_mi_symbol = contract_info.get('mi_symbol')
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new_exchange = contract_info.get('exchange')
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new_vt_symbol = '.'.join([new_mi_symbol, new_exchange])
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new_full_symbol = contract_info.get('full_symbol', '').upper()
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if full_symbol >= new_full_symbol:
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print(f'{account_name}策略配置：长合约{full_symbol}， 主力长合约{new_full_symbol}，不更新')
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continue
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if exchange:
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if len(vt_symbol) != len(new_vt_symbol):
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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)
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continue
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else:
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if len(symbol) != len(new_mi_symbol):
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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)
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continue
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setting.update({'vt_symbol': new_vt_symbol})
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send_wx_msg(f'{account_name}{strategy_name} 主力合约更换:{vt_symbol} => {new_vt_symbol} ')
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changed = True
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if changed:
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save_json(setting_file_path, settings)
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print(f'保存{account_name}新配置')
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print('更新完毕')
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os._exit(0)
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