106 lines
4.0 KiB
Python
106 lines
4.0 KiB
Python
# encoding: UTF-8
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from ctaStrategyTemplate import *
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from ctaObject import CtaBarData
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########################################################################
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class DataRecorder(CtaStrategyTemplate):
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"""
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纯粹用来记录历史数据的工具（基于CTA策略），
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建议运行在实际交易程序外的一个vn.trader实例中，
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本工具会记录Tick和1分钟K线数据。
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"""
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, name, setting=None):
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"""Constructor"""
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super(DataRecorder, self).__init__(ctaEngine, name, setting)
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self.strategyClassName = 'DataRecorder'
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self.author = u'用Python的交易员'
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self.tickDbName = 'VtTrader_Tick_Db'
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self.barDbName = 'VtTrader_1Min_Db'
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self.paramList.append('author')
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# 数据记录相关
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self.bar = None # K线数据对象
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self.barMinute = -1 # 当前的分钟，初始化设为-1
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#----------------------------------------------------------------------
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def init(self):
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"""初始化"""
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self.writeCtaLog(u'数据记录工具%s初始化' %self.name)
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#----------------------------------------------------------------------
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def start(self):
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"""启动策略（必须由用户继承实现）"""
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self.writeCtaLog(u'数据记录工具%s启动' %self.name)
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#----------------------------------------------------------------------
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def stop(self):
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"""停止策略（必须由用户继承实现）"""
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self.writeCtaLog(u'数据记录工具%s停止' %self.name)
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送"""
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# 收到Tick后，首先插入到数据库里
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self.insertTick(tick)
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# 计算K线
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tickMinute = tick.datetime.minute
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if tickMinute != self.barMinute: # 如果分钟变了，则把旧的K线插入数据库，并生成新的K线
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if self.bar:
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self.onBar(self.bar)
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bar = CtaBarData() # 创建新的K线，目的在于防止之前K线对象在插入Mongo中被再次修改，导致出错
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bar.vtSymbol = tick.vtSymbol
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bar.symbol = tick.symbol
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bar.exchange = tick.exchange
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bar.open = tick.lastPrice
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bar.high = tick.lastPrice
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bar.low = tick.lastPrice
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bar.close = tick.lastPrice
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bar.date = tick.date
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bar.time = tick.time
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bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
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bar.volume = tick.volume
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bar.openInterest = tick.openInterest
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self.bar = bar # 这种写法为了减少一层访问，加快速度
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self.barMinute = tickMinute # 更新当前的分钟
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else: # 否则继续累加新的K线
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bar = self.bar # 写法同样为了加快速度
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bar.high = max(bar.high, tick.lastPrice)
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bar.low = min(bar.low, tick.lastPrice)
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bar.close = tick.lastPrice
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bar.volume = bar.volume + tick.volume # 成交量是累加的
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bar.openInterest = tick.openInterest # 持仓量直接更新
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#----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托变化推送"""
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pass
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#----------------------------------------------------------------------
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def onTrade(self, trade):
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"""收到成交推送"""
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pass
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到Bar推送"""
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self.insertBar(bar)
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