200 lines
7.7 KiB
Python
200 lines
7.7 KiB
Python
# encoding: UTF-8
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'''
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本文件中实现了行情数据记录引擎，用于汇总TICK数据，并生成K线插入数据库。
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使用DR_setting.json来配置需要收集的合约，以及主力合约代码。
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'''
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import json
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import os
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import copy
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from collections import OrderedDict
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from datetime import datetime, timedelta
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from eventEngine import *
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from vtGateway import VtSubscribeReq, VtLogData
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from drBase import *
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from vtFunction import todayDate
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########################################################################
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class DrEngine(object):
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"""数据记录引擎"""
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settingFileName = 'DR_setting.json'
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settingFileName = os.getcwd() + '/dataRecorder/' + settingFileName
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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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# 当前日期
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self.today = todayDate()
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# 主力合约代码映射字典，key为具体的合约代码（如IF1604），value为主力合约代码（如IF0000）
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self.activeSymbolDict = {}
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# Tick对象字典
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self.tickDict = {}
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# K线对象字典
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self.barDict = {}
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# 载入设置，订阅行情
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self.loadSetting()
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#----------------------------------------------------------------------
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def loadSetting(self):
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"""载入设置"""
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with open(self.settingFileName) as f:
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setting = json.load(f)
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# 如果working设为False则不启动行情记录功能
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working = setting['working']
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if not working:
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return
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if 'tick' in setting:
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l = setting['tick']
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for setting in l:
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symbol = setting[0]
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vtSymbol = symbol
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req = VtSubscribeReq()
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req.symbol = setting[0]
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# 针对LTS和IB接口，订阅行情需要交易所代码
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if len(setting)>=3:
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req.exchange = setting[2]
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vtSymbol = '.'.join([symbol, req.exchange])
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# 针对IB接口，订阅行情需要货币和产品类型
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if len(setting)>=5:
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req.currency = setting[3]
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req.productClass = setting[4]
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self.mainEngine.subscribe(req, setting[1])
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drTick = DrTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
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self.tickDict[vtSymbol] = drTick
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if 'bar' in setting:
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l = setting['bar']
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for setting in l:
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symbol = setting[0]
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vtSymbol = symbol
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req = VtSubscribeReq()
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req.symbol = symbol
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if len(setting)>=3:
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req.exchange = setting[2]
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vtSymbol = '.'.join([symbol, req.exchange])
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if len(setting)>=5:
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req.currency = setting[3]
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req.productClass = setting[4]
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self.mainEngine.subscribe(req, setting[1])
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bar = DrBarData()
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self.barDict[vtSymbol] = bar
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if 'active' in setting:
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d = setting['active']
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# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
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for activeSymbol, vtSymbol in d.items():
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self.activeSymbolDict[vtSymbol] = activeSymbol
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# 注册事件监听
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self.registerEvent()
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#----------------------------------------------------------------------
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def procecssTickEvent(self, event):
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"""处理行情推送"""
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tick = event.dict_['data']
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vtSymbol = tick.vtSymbol
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# 转化Tick格式
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drTick = DrTickData()
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d = drTick.__dict__
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for key in d.keys():
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if key != 'datetime':
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d[key] = tick.__getattribute__(key)
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drTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
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# 更新Tick数据
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if vtSymbol in self.tickDict:
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self.insertData(TICK_DB_NAME, vtSymbol, drTick)
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if vtSymbol in self.activeSymbolDict:
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activeSymbol = self.activeSymbolDict[vtSymbol]
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self.insertData(TICK_DB_NAME, activeSymbol, drTick)
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# 发出日志
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self.writeDrLog(u'记录Tick数据%s，时间:%s, last:%s, bid:%s, ask:%s'
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%(drTick.vtSymbol, drTick.time, drTick.lastPrice, drTick.bidPrice1, drTick.askPrice1))
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# 更新分钟线数据
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if vtSymbol in self.barDict:
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bar = self.barDict[vtSymbol]
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# 如果第一个TICK或者新的一分钟
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if not bar.datetime or bar.datetime.minute != drTick.datetime.minute:
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if bar.vtSymbol:
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newBar = copy.copy(bar)
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self.insertData(MINUTE_DB_NAME, vtSymbol, newBar)
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if vtSymbol in self.activeSymbolDict:
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activeSymbol = self.activeSymbolDict[vtSymbol]
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self.insertData(MINUTE_DB_NAME, activeSymbol, newBar)
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self.writeDrLog(u'记录分钟线数据%s，时间:%s, O:%s, H:%s, L:%s, C:%s'
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%(bar.vtSymbol, bar.time, bar.open, bar.high,
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bar.low, bar.close))
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bar.vtSymbol = drTick.vtSymbol
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bar.symbol = drTick.symbol
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bar.exchange = drTick.exchange
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bar.open = drTick.lastPrice
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bar.high = drTick.lastPrice
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bar.low = drTick.lastPrice
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bar.close = drTick.lastPrice
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bar.date = drTick.date
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bar.time = drTick.time
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bar.datetime = drTick.datetime
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bar.volume = drTick.volume
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bar.openInterest = drTick.openInterest
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# 否则继续累加新的K线
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else:
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bar.high = max(bar.high, drTick.lastPrice)
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bar.low = min(bar.low, drTick.lastPrice)
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bar.close = drTick.lastPrice
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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_TICK, self.procecssTickEvent)
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#----------------------------------------------------------------------
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def insertData(self, dbName, collectionName, data):
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"""插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
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self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
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#----------------------------------------------------------------------
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def writeDrLog(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_DATARECORDER_LOG)
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event.dict_['data'] = log
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self.eventEngine.put(event)
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