def loadTick(self, dbName, collectionName, days):
"""从数据库中读取Tick数据，startDate是datetime对象"""
startDate = self.today - timedelta(days)
d = {'datetime':{'$gte':startDate}}
tickData = self.mainEngine.dbQuery(dbName, collectionName, d, 'datetime')
l = []
for d in tickData:
tick = VtTickData()
tick.__dict__ = d
l.append(tick)
return l
def loadTick(self, dbName, collectionName, days):
"""从数据库中读取Tick数据，startDate是datetime对象"""
startDate = self.today - timedelta(days)
d = {'datetime':{'$gte':startDate}}
tickData = self.mainEngine.dbQuery(dbName, collectionName, d)
l = []
for d in tickData:
tick = VtTickData()
tick.__dict__ = d
l.append(tick)
return l
def loadTick(self, dbName, collectionName, days):
"""从数据库中读取Tick数据，startDate是datetime对象"""
print "%s.%s.%s" % (__name__, self.__class__.__name__, get_current_function_name())
startDate = self.today - timedelta(days)
d = {'datetime': {'$gte': startDate}}
tickData = self.mainEngine.dbQuery(dbName, collectionName, d, 'datetime')
l = []
for d in tickData:
tick = VtTickData()
tick.__dict__ = d
l.append(tick)
return l
def startWork(self):
self.bm = BarGenerator(self.onBar, self.kLine, self.onXminBar)
currentDate = None
newData = False
startTime = 0
count = 0
startDate = self.startDateFromHistory(self.symbol)
if not startDate:
tickCursor = self.tickCollection.find().sort('datetime')
else:
flt = {'datetime': {'$gte': startDate}}
tickCursor = self.tickCollection.find(flt).sort('datetime')
for d in tickCursor:
tick = VtTickData()
tick.__dict__ = d
tickDateStr = tick.datetime.strftime('%Y%m%d')
tickDate = datetime.strptime(tickDateStr, '%Y%m%d')
if not currentDate or currentDate != tickDate:
# 新的一天k线初始化
self.newDayTick = tick
self.bm.manualInit()
self.newDayTick = None
if newData:
# 保存导入记录
self.updateHistory(self.symbol, currentDate)
sub = time() - startTime
print u'用时：', sub, 's'
print u'数据量：', count, '\n'
count = 0
currentDate = tickDate
# 检查是否有数据库记录
if not self.needUpdateChecking(self.symbol, currentDate):
# 当天的数据已经存在，无需重复导入
newData = False
else:
print '*' * 6, tick.datetime.date(), '*' * 6
newData = True
startTime = time()
if newData:
self.bm.updateTick(tick)
count += 1
print u'所有数据导入完成'
def get_current_tick(symbol,type_=ProductClass.Future):
"""查询合约当前最新的价格"""
redis = instance.datasourceManager.get('redis').conn
key_name = ''
try:
if type_ == ProductClass.Future:
key_name = CtpMarketSymbolTickFormat.format(symbol=symbol)
elif type_ == ProductClass.Stock:
key_name = XtpMarketSymbolTickFormat.format(symbol=symbol)
data = redis.hgetall(key_name)
tick = VtTickData()
tick.__dict__ = data
except:
return None
return tick
def get_symbol_ticks(message, ctx):
"""订阅的所有合约行情数据"""
topic = ctx.get('name')
data = message
# topic: 订阅的通道名称 ctp_ticks_*
symbol = topic.split('_')[-1]
tick = json.loads(data)
tick['datetime'] = datetime.datetime.strptime(
' '.join([tick.get('date'), tick.get('time')]), '%Y%m%d %H:%M:%S.%f')
tickobj = VtTickData()
tickobj.__dict__ = tick
main = instance.serviceManager.get('main')
# debug = main.cfgs.get('debug',{})
# if debug.get('enable',False) and symbol in debug.get('symbols',[]):
# main.onTick(symbol,tickobj)
# else:
main.onTick(symbol, tickobj)
"""
def make_day_bar(symbol,date,drop =True,product=ProductClass.Future):
"""
计算日线
"""
from logging import getLogger
if isinstance(date,str):
date = parse(date)
date = date.replace(hour=0,minute=0,second=0,microsecond=0)
days = get_timespace_of_trade_day(date)
bar = None
if not days:
getLogger().info("day span is None")
return None
t1,t2 = days
conn = mongodb_conn
dbname = CTP_TICK_DB
coll = conn[dbname][symbol]
rs = coll.find({'datetime':{'$gte':t1,'$lte':t2},'flag':0}).sort( (['datetime',pymongo.ASCENDING],['seq',pymongo.ASCENDING]))
print symbol, t1, '-->', t2, ' count:',rs.count()
dbname = CTP_BAR_DB
collbar_1m = conn[dbname.format('1d')][symbol]
# 删除已存在 1m bar
if drop:
collbar_1m.remove({'datetime':date})
# 注意，记录的日期是日盘交易的日期
if rs.count() == 0: # 分钟内无tick数据 ，将连续之前的bar
# if not prev_bar: #查找前一个bar
prev_bar = None
r = collbar_1m.find({'datetime':{'$lt':t1},'flag':0}).sort('datetime',pymongo.DESCENDING).limit(1)
if r.count() :
prev_bar = VtBarData()
prev_bar.__dict__ = r[0]
if prev_bar:
prev_bar.datetime = date
prev_bar.date = prev_bar.datetime.strftime('%Y%m%d')
prev_bar.time = prev_bar.datetime.strftime('%H:%M:%S.%f')
prev_bar.high = prev_bar.close
prev_bar.low = prev_bar.close
prev_bar.open = prev_bar.close
prev_bar.volume = 0
bar = prev_bar
else: # 计算当前分钟内的bar
bar = VtBarData()
tick = VtTickData()
tick.__dict__ = rs[0]
bar.datetime = date
bar.date = bar.datetime.strftime('%Y%m%d')
bar.time = bar.datetime.strftime('%H:%M:%S.%f')
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
last = None
# 找到前一个k线最后一个tick作为last
rs = coll.find({'datetime': {'$lt': t1}, 'flag': 0}).sort(
(['datetime', pymongo.DESCENDING], ['seq', pymongo.DESCENDING])).limit(1)
if rs.count():
last = VtTickData()
last.__dict__ = rs[0]
for r in rs:
tick = VtTickData()
tick.__dict__ = r
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
bar.openInterest = tick.openInterest
if last:
bar.volume += (tick.volume - last.volume)
last = tick
if bar: #写入bar
dict_ = bar.__dict__
if dict_.has_key('_id'):
del dict_['_id']
collbar_1m.insert_one(dict_)
print 'Write {} Bar:'.format(str(date.date())),bar.__dict__
return bar
def make_min_bar(symbol,t,nmin='1m',leftMargin=0,rightMargin=0,drop =True,product=ProductClass.Future):
"""
开始计算指定开始分钟的 bar
:drop 是否删除存在的分钟 bar
1. 指定的分钟内没有tick数据
取前一根有效的bar
如果前无bar，则忽略本次bar计算
"""
if nmin not in TimeDuration.SCALES.keys():
print 'Error: paramter nmin:{} invalid.'.format(nmin)
return
mins = TimeDuration.SCALES[nmin]/TimeDuration.MINUTE
t1 = t.replace(second=0,microsecond=0)
t2 = t1 + TimeDelta(minutes=mins)
conn = mongodb_conn
dbname = CTP_TICK_DB
coll = conn[dbname][symbol]
p1 = t1 - TimeDelta(minutes=leftMargin)
p2 = t2 + TimeDelta(minutes=rightMargin)
rs = coll.find({'datetime':{'$gte':p1,'$lt':p2},'flag':0}).sort( (['datetime',pymongo.ASCENDING],['seq',pymongo.ASCENDING]))
print symbol, p1, '-->', p2, ' count:',rs.count()
dbname = CTP_BAR_DB
collbar_1m = conn[dbname.format(nmin)][symbol]
bar = None
# 删除已存在 1m bar
if drop:
collbar_1m.remove({'datetime':t1})
if rs.count() == 0: # 分钟内无tick数据 ，将连续之前的bar
# if not prev_bar: #查找前一个bar
prev_bar = None
r = collbar_1m.find({'datetime':{'$lt':t1},'flag':0}).sort('datetime',pymongo.DESCENDING).limit(1)
if r.count() :
prev_bar = VtBarData()
prev_bar.__dict__ = r[0]
if prev_bar:
prev_bar.datetime = t1
prev_bar.date = prev_bar.datetime.strftime('%Y%m%d')
prev_bar.time = prev_bar.datetime.strftime('%H:%M:%S.%f')
prev_bar.high = prev_bar.close
prev_bar.low = prev_bar.close
prev_bar.open = prev_bar.close
prev_bar.volume = 0
bar = prev_bar
else: # 计算当前分钟内的bar
bar = VtBarData()
tick = VtTickData()
tick.__dict__ = rs[0]
bar.datetime = t1
bar.date = bar.datetime.strftime('%Y%m%d')
bar.time = bar.datetime.strftime('%H:%M:%S.%f')
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
last = None
#找到前一个k线最后一个tick作为last
rs = coll.find({'datetime': {'$lt': p1}, 'flag': 0}).sort((['datetime', pymongo.DESCENDING], ['seq', pymongo.DESCENDING])).limit(1)
if rs.count():
last = VtTickData()
last.__dict__ = rs[0]
# --
for r in rs:
tick = VtTickData()
tick.__dict__ = r
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
bar.openInterest = tick.openInterest
if last:
bar.volume += (tick.volume - last.volume)
last = tick
if bar: #写入bar
dict_ = bar.__dict__
if dict_.has_key('_id'):
del dict_['_id']
collbar_1m.insert_one(dict_)
print 'Write {} Bar:'.format(nmin),bar.__dict__
return bar
def make_min_bar_real_calc(symbol,
nmin,
kline_time,
start,
end,
drop=True,
product=ProductClass.Future):
"""
"""
# if nmin not in TimeDuration.SCALES.keys():
# print 'Error: paramter nmin:{} invalid.'.format(nmin)
# return
# mins = TimeDuration.SCALES[nmin]/TimeDuration.MINUTE
# t1 = t.replace(second=0,microsecond=0)
# t2 = t1 + TimeDelta(minutes=mins)
conn = mongodb_conn
dbname = CTP_TICK_DB
coll = conn[dbname][symbol]
# p1 = t1 - TimeDelta(minutes=leftMargin)
# p2 = t2 + TimeDelta(minutes=rightMargin)
t1 = kline_time
p1 = start
p2 = end
rs = coll.find({
'datetime': {
'$gte': p1,
'$lt': p2
},
'flag': 0
}).sort((['datetime', pymongo.ASCENDING], ['seq', pymongo.ASCENDING]))
print symbol, p1, '-->', p2 #, ' count:',rs.count()
dbname = CTP_BAR_DB
collbar_1m = conn[dbname.format(nmin)][symbol]
bar = None
# return
# 删除已存在 1m bar
if drop:
collbar_1m.remove({'datetime': t1})
if rs.count() == 0: # 分钟内无tick数据 ，将连续之前的bar
# if not prev_bar: #查找前一个bar
prev_bar = None
r = collbar_1m.find({
'datetime': {
'$lt': t1
},
'flag': 0
}).sort('datetime', pymongo.DESCENDING).limit(1)
if r.count():
prev_bar = VtBarData()
prev_bar.__dict__ = r[0]
if prev_bar:
prev_bar.datetime = t1
prev_bar.date = prev_bar.datetime.strftime('%Y%m%d')
prev_bar.time = prev_bar.datetime.strftime('%H:%M:%S.%f')
prev_bar.high = prev_bar.close
prev_bar.low = prev_bar.close
prev_bar.open = prev_bar.close
prev_bar.volume = 0
bar = prev_bar
else: # 计算当前分钟内的bar
bar = VtBarData()
tick = VtTickData()
tick.__dict__ = rs[0]
bar.datetime = t1
bar.date = bar.datetime.strftime('%Y%m%d')
bar.time = bar.datetime.strftime('%H:%M:%S.%f')
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
last = None
#找到前一个k线最后一个tick作为last
rs = list(rs)
# first = rs[0]
#first = copy.deepcopy(rs[0])
#if t.time() == Time(14,59) and nmin=='1m':
# print 'pause'
#first_time = first['datetime'].time().replace(second=0,microsecond=0)
if t1 == Time(21, 0):
bar.volume = 0
#if first_time in (Time(20,59),Time(21,0)):
# first['volume'] = 0
# last = VtTickData()
# last.__dict__ = first
# last = first
# if t.time()== Time(21,0):
# pass
#else:
_rs = coll.find({
'datetime': {
'$lt': p1
},
'flag': 0
}).sort((['datetime',
pymongo.DESCENDING], ['seq', pymongo.DESCENDING])).limit(1)
try:
last = VtTickData()
last.__dict__ = _rs[0]
except:
last = None
if last and t1 == Time(21, 0):
last.volume = 0
# if _rs.count(): # too slowly, never use..
# last = VtTickData()
# last.__dict__ = _rs[0]
# --
# ss = list(rs)
# s = ss[-1]
# print s
# return
"""
if t.time() == Time(21,9):
print t.time()
rs = list(rs)
f = open('test.txt','w')
for s in rs:
f.write('time:{} lower-price:{}\n'.format(str(t),s['lowPrice']))
f.close()
"""
for r in rs:
tick = VtTickData()
tick.__dict__ = r
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
bar.openInterest = tick.openInterest
if last:
bar.volume += (tick.volume - last.volume)
last = tick
# print bar.volume
if bar: #写入bar
dict_ = bar.__dict__
if dict_.has_key('_id'):
del dict_['_id']
collbar_1m.insert_one(dict_)
print 'Write {} Bar:'.format(nmin), bar.__dict__
return bar
