def __init__(self, client, eventEngine):
"""Constructor"""
self.client = client
self.eventEngine = eventEngine
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
def __init__(self):
"""Constructor"""
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine) # cta策略运行模块
self.drEngine = DrEngine(self, self.eventEngine) # 数据记录模块
self.rmEngine = RmEngine(self, self.eventEngine) # 风险管理模块
def __init__(self):
"""Constructor"""
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
class MainEngine(object):
"""主引擎"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine) # cta策略运行模块
self.drEngine = DrEngine(self, self.eventEngine) # 数据记录模块
self.rmEngine = RmEngine(self, self.eventEngine) # 风险管理模块
#----------------------------------------------------------------------
def initGateway(self):
"""初始化接口对象"""
# 用来保存接口对象的字典
self.gatewayDict = OrderedDict()
# 创建我们想要接入的接口对象
try:
from ctpGateway.ctpGateway import CtpGateway
self.addGateway(CtpGateway, 'CTP')
self.gatewayDict['CTP'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_Prod')
self.gatewayDict['CTP_Prod'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_Post')
self.gatewayDict['CTP_Post'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_EBF')
self.gatewayDict['CTP_EBF'].setQryEnabled(True)
except Exception as e:
print e
"""
try:
from ltsGateway.ltsGateway import LtsGateway
self.addGateway(LtsGateway, 'LTS')
self.gatewayDict['LTS'].setQryEnabled(True)
except Exception, e:
print e
"""
"""
try:
from ksotpGateway.ksotpGateway import KsotpGateway
self.addGateway(KsotpGateway, 'KSOTP')
self.gatewayDict['KSOTP'].setQryEnabled(True)
except Exception, e:
print e
try:
from femasGateway.femasGateway import FemasGateway
self.addGateway(FemasGateway, 'FEMAS')
self.gatewayDict['FEMAS'].setQryEnabled(True)
except Exception, e:
print e
try:
from xspeedGateway.xspeedGateway import XspeedGateway
self.addGateway(XspeedGateway, 'XSPEED')
self.gatewayDict['XSPEED'].setQryEnabled(True)
except Exception, e:
print e
try:
from ksgoldGateway.ksgoldGateway import KsgoldGateway
self.addGateway(KsgoldGateway, 'KSGOLD')
self.gatewayDict['KSGOLD'].setQryEnabled(True)
except Exception, e:
print e
try:
from sgitGateway.sgitGateway import SgitGateway
self.addGateway(SgitGateway, 'SGIT')
self.gatewayDict['SGIT'].setQryEnabled(True)
except Exception, e:
print e
try:
from windGateway.windGateway import WindGateway
self.addGateway(WindGateway, 'Wind')
except Exception, e:
print e
try:
from ibGateway.ibGateway import IbGateway
self.addGateway(IbGateway, 'IB')
except Exception, e:
print e
try:
from oandaGateway.oandaGateway import OandaGateway
self.addGateway(OandaGateway, 'OANDA')
self.gatewayDict['OANDA'].setQryEnabled(True)
except Exception, e:
print e
try:
from okcoinGateway.okcoinGateway import OkcoinGateway
self.addGateway(OkcoinGateway, 'OKCOIN')
self.gatewayDict['OKCOIN'].setQryEnabled(True)
except Exception, e:
print e
"""
#----------------------------------------------------------------------
def addGateway(self, gateway, gatewayName=None):
"""创建接口"""
self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName)
# ----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.connect()
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
# ----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.subscribe(subscribeReq)
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
# ----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
# 如果风控检查失败则不发单
if not self.rmEngine.checkRisk(orderReq):
self.writeLog(u'风控检查不通过')
return ''
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
return gateway.sendOrder(orderReq)
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
# ----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.cancelOrder(cancelOrderReq)
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
#----------------------------------------------------------------------
def qryAccont(self, gatewayName):
"""查询特定接口的账户"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getAccount()
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
def getAccountInfo(self):
"""读取风控的账号与仓位数据
# Added by IncenseLee
仅支持一个账号。不支持多账号
以后支持跨市场套利才更新吧。
"""
return self.rmEngine.getAccountInfo()
#----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getPosition()
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
# ----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 安全关闭所有接口
for gateway in self.gatewayDict.values():
gateway.close()
# 停止事件引擎
self.eventEngine.stop()
# 停止数据记录引擎
self.drEngine.stop()
# 保存数据引擎里的合约数据到硬盘
self.dataEngine.saveContracts()
def disconnect(self):
"""断开底层gateway的连接"""
for gateway in self.gatewayDict.values():
gateway.close()
# ----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
log = VtLogData()
log.logContent = content
event = Event(type_=EVENT_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
# 写入本地log日志
logging.info(content)
# ----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
if not self.dbClient:
# 读取MongoDB的设置
host, port = loadMongoSetting()
try:
# 设置MongoDB操作的超时时间为0.5秒
self.dbClient = MongoClient(host,
port,
serverSelectionTimeoutMS=500)
# 调用server_info查询服务器状态，防止服务器异常并未连接成功
self.dbClient.server_info()
self.writeLog(u'MongoDB连接成功')
except ConnectionFailure:
self.writeLog(u'MongoDB连接失败')
# ----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.insert(d)
# ----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
cursor = collection.find(d)
return cursor
else:
return None
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.dataEngine.getContract(vtSymbol)
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.dataEngine.getAllContracts()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.dataEngine.getOrder(vtOrderID)
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.dataEngine.getAllWorkingOrders()
def clearData(self):
"""清空数据引擎的数据"""
self.dataEngine.clearData()
self.ctaEngine.clearData()
def saveData(self):
self.ctaEngine.saveStrategyData()
class MainEngine(object):
"""主引擎"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
#----------------------------------------------------------------------
def initGateway(self):
"""初始化接口对象"""
# 用来保存接口对象的字典
self.gatewayDict = OrderedDict()
# 创建我们想要接入的接口对象
try:
from ctpGateway.ctpGateway import CtpGateway
self.addGateway(CtpGateway, 'CTP')
self.gatewayDict['CTP'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_Prod')
self.gatewayDict['CTP_Prod'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_Post')
self.gatewayDict['CTP_Post'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_EBF')
self.gatewayDict['CTP_EBF'].setQryEnabled(True)
except Exception as e:
print e
"""
try:
from ltsGateway.ltsGateway import LtsGateway
self.addGateway(LtsGateway, 'LTS')
self.gatewayDict['LTS'].setQryEnabled(True)
except Exception, e:
print e
try:
from ksotpGateway.ksotpGateway import KsotpGateway
self.addGateway(KsotpGateway, 'KSOTP')
self.gatewayDict['KSOTP'].setQryEnabled(True)
except Exception, e:
print e
try:
from femasGateway.femasGateway import FemasGateway
self.addGateway(FemasGateway, 'FEMAS')
self.gatewayDict['FEMAS'].setQryEnabled(True)
except Exception, e:
print e
try:
from xspeedGateway.xspeedGateway import XspeedGateway
self.addGateway(XspeedGateway, 'XSPEED')
self.gatewayDict['XSPEED'].setQryEnabled(True)
except Exception, e:
print e
try:
from ksgoldGateway.ksgoldGateway import KsgoldGateway
self.addGateway(KsgoldGateway, 'KSGOLD')
self.gatewayDict['KSGOLD'].setQryEnabled(True)
except Exception, e:
print e
try:
from sgitGateway.sgitGateway import SgitGateway
self.addGateway(SgitGateway, 'SGIT')
self.gatewayDict['SGIT'].setQryEnabled(True)
except Exception, e:
print e
try:
from windGateway.windGateway import WindGateway
self.addGateway(WindGateway, 'Wind')
except Exception, e:
print e
try:
from ibGateway.ibGateway import IbGateway
self.addGateway(IbGateway, 'IB')
except Exception, e:
print e
try:
from oandaGateway.oandaGateway import OandaGateway
self.addGateway(OandaGateway, 'OANDA')
self.gatewayDict['OANDA'].setQryEnabled(True)
except Exception, e:
print e
try:
from okcoinGateway.okcoinGateway import OkcoinGateway
self.addGateway(OkcoinGateway, 'OKCOIN')
self.gatewayDict['OKCOIN'].setQryEnabled(True)
except Exception, e:
print e
"""
#----------------------------------------------------------------------
def addGateway(self, gateway, gatewayName=None):
"""创建接口"""
self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName)
# ----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.connect()
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
# ----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.subscribe(subscribeReq)
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
# ----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
# 如果风控检查失败则不发单
if not self.rmEngine.checkRisk(orderReq):
self.writeLog(u'风控检查不通过')
return ''
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
return gateway.sendOrder(orderReq)
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
# ----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.cancelOrder(cancelOrderReq)
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
#----------------------------------------------------------------------
def qryAccont(self, gatewayName):
"""查询特定接口的账户"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getAccount()
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
def getAccountInfo(self):
"""读取风控的账号与仓位数据
# Added by IncenseLee
仅支持一个账号。不支持多账号
以后支持跨市场套利才更新吧。
"""
return self.rmEngine.getAccountInfo()
#----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getPosition()
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
# ----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 安全关闭所有接口
for gateway in self.gatewayDict.values():
gateway.close()
# 停止事件引擎
self.eventEngine.stop()
# 停止数据记录引擎
self.drEngine.stop()
# 保存数据引擎里的合约数据到硬盘
self.dataEngine.saveContracts()
def disconnect(self):
"""断开底层gateway的连接"""
for gateway in self.gatewayDict.values():
gateway.close()
# ----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
log = VtLogData()
log.logContent = content
event = Event(type_=EVENT_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
# 写入本地log日志
logging.info(content)
# ----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
if not self.dbClient:
# 读取MongoDB的设置
host, port = loadMongoSetting()
try:
# 设置MongoDB操作的超时时间为0.5秒
self.dbClient = MongoClient(host, port, serverSelectionTimeoutMS=500)
# 调用server_info查询服务器状态，防止服务器异常并未连接成功
self.dbClient.server_info()
self.writeLog(u'MongoDB连接成功')
except ConnectionFailure:
self.writeLog(u'MongoDB连接失败')
# ----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.insert(d)
# ----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
cursor = collection.find(d)
return cursor
else:
return None
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.dataEngine.getContract(vtSymbol)
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.dataEngine.getAllContracts()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.dataEngine.getOrder(vtOrderID)
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.dataEngine.getAllWorkingOrders()
def clearData(self):
"""清空数据引擎的数据"""
self.dataEngine.clearData()
self.ctaEngine.clearData()
def saveData(self):
self.ctaEngine.saveStrategyData()