class TestGeneralSocketMethods(unittest.TestCase):
def setUp(self):
self.socket = Socket(PAIR)
def tearDown(self):
self.socket.close()
def test_bind(self):
endpoint = self.socket.bind(SOCKET_ADDRESS)
self.assertNotEqual(None, endpoint)
def test_connect(self):
endpoint = self.socket.connect(SOCKET_ADDRESS)
self.assertNotEqual(None, endpoint)
def test_is_open_is_true_when_open(self):
self.assertTrue(self.socket.is_open())
def test_is_open_is_false_when_closed(self):
self.socket.close()
self.assertFalse(self.socket.is_open())
def test_set_and_get_int_option(self):
expected = 500
self.socket.set_int_option(SOL_SOCKET, SNDBUF, expected)
actual = self.socket.get_int_option(SOL_SOCKET, SNDBUF)
self.assertEqual(expected, actual)
class TestGeneralSocketMethods(unittest.TestCase):
def setUp(self):
self.socket = Socket(PAIR)
def tearDown(self):
self.socket.close()
def test_bind(self):
endpoint = self.socket.bind(SOCKET_ADDRESS)
self.assertNotEqual(None, endpoint)
def test_connect(self):
endpoint = self.socket.connect(SOCKET_ADDRESS)
self.assertNotEqual(None, endpoint)
def test_is_open_is_true_when_open(self):
self.assertTrue(self.socket.is_open())
def test_is_open_is_false_when_closed(self):
self.socket.close()
self.assertFalse(self.socket.is_open())
def test_set_and_get_int_option(self):
expected = 500
self.socket.set_int_option(SOL_SOCKET, SNDBUF, expected)
actual = self.socket.get_int_option(SOL_SOCKET, SNDBUF)
self.assertEqual(expected, actual)
def sender(queue, addresses, stype):
"""
Bind a queue to a connecting nanomsg socket's multiple endpoints
in a separate thread.
Parameters
----------
queue : Queue
A Queue object to be emptied by sender socket
addresses : list
A list of strings of format '<protocol>://<ip>:<port>' to bind to
stype : int
One of the nanomsg scalability socket types: PUSH, PULL, PUB, SUB, PAIR
Returns
-------
nanomsg socket object
"""
with err.applicationbound():
out_sock = Socket(stype)
out_sock.set_int_option(SOL_SOCKET, SNDTIMEO, 1000)
for address in addresses:
endpoint = out_sock.connect(address)
out_endpoints.append(endpoint)
def send_messages():
""" """
while True:
try:
out_sock.send(queue.get(block=True))
log.info("Message has been sent")
except NanoMsgAPIError as e:
log.debug(e)
log.debug(dir(e))
receiver = threading.Thread(target=send_messages)
receiver.start()
return out_sock
def sender(queue, addresses, stype):
"""
Bind a queue to a connecting nanomsg socket's multiple endpoints
in a separate thread.
Parameters
----------
queue : Queue
A Queue object to be emptied by sender socket
addresses : list
A list of strings of format '<protocol>://<ip>:<port>' to bind to
stype : int
One of the nanomsg scalability socket types: PUSH, PULL, PUB, SUB, PAIR
Returns
-------
nanomsg socket object
"""
with err.applicationbound():
out_sock = Socket(stype)
out_sock.set_int_option(SOL_SOCKET, SNDTIMEO, 1000)
for address in addresses:
endpoint = out_sock.connect(address)
out_endpoints.append(endpoint)
def send_messages():
""" """
while True:
try:
out_sock.send(queue.get(block=True))
log.info("Message has been sent")
except NanoMsgAPIError as e:
log.debug(e)
log.debug(dir(e))
receiver = threading.Thread(target=send_messages)
receiver.start()
return out_sock
class ServiceDiscovery(object):
def __init__(self, port, deadline=5000):
self.socket = Socket(SURVEYOR)
self.port = port
self.deadline = deadline
self.services = defaultdict(set)
def bind(self):
self.socket.bind('tcp://172.30.42.174:%s' % self.port)
self.socket.set_int_option(SURVEYOR, SURVEYOR_DEADLINE, self.deadline)
def discover(self):
if not self.socket.is_open():
return self.services
self.services = defaultdict(set)
self.socket.send('service query')
while True:
try:
response = self.socket.recv()
except NanoMsgAPIError:
break
service, address = response.split('|')
self.services[service].add(address)
return self.services
def resolve(self, service):
providers = self.services[service]
if not providers:
return None
return random.choice(tuple(providers))
def close(self):
self.socket.close()
class ServiceDiscovery(object):
def __init__(self, port, deadline=5000):
self.socket = Socket(SURVEYOR)
self.port = port
self.deadline = deadline
self.services = defaultdict(set)
def bind(self):
self.socket.bind('tcp://*:%s' % self.port)
self.socket.set_int_option(SURVEYOR, SURVEYOR_DEADLINE, self.deadline)
def discover(self):
if not self.socket.is_open():
return self.services
self.services = defaultdict(set)
self.socket.send('service query')
while True:
try:
response = self.socket.recv()
except NanoMsgAPIError:
break
service, address = response.split('|')
self.services[service].add(address)
return self.services
def resolve(self, service):
providers = self.services[service]
if not providers:
return None
return random.choice(tuple(providers))
def close(self):
self.socket.close()
def sender(queue, network, stype=PUSH):
out_sock = Socket(stype)
out_sock.set_int_option(SOL_SOCKET, SNDTIMEO, 1000)
for node in network['nodes']:
endpoint = out_sock.connect('tcp://{ip}:{port}'.format(
ip=node['ip'], port=node['port']))
out_endpoints.append(endpoint)
def send_messages():
while True:
try:
out_sock.send(queue.get(block=True))
print("Message has been sent")
except NanoMsgAPIError as e:
print(e)
print(dir(e))
receiver = threading.Thread(target=send_messages)
receiver.start()
return out_sock
def sender(queue, network, stype=PUSH):
out_sock = Socket(stype)
out_sock.set_int_option(SOL_SOCKET, SNDTIMEO, 1000)
for node in network['nodes']:
endpoint = out_sock.connect('tcp://{ip}:{port}'.format(ip=node['ip'],
port=node['port']))
out_endpoints.append(endpoint)
def send_messages():
while True:
try:
out_sock.send(queue.get(block=True))
print("Message has been sent")
except NanoMsgAPIError as e:
print(e)
print(dir(e))
receiver = threading.Thread(target=send_messages)
receiver.start()
return out_sock
class RecorderEngine(BaseEngine):
"""
market data recorder
"""
config_filename = "config_server.yaml"
setting_filename = "data_recorder_setting.json"
# init
def __init__(self, configfile: str = '', gateway: str = "CTP.MD"):
super(RecorderEngine, self).__init__(event_engine=EventEngine(10))
"""
two sockets to send and recv msg
"""
self.__active = False
self._thread = Thread(target=self._run)
self.id = os.getpid()
self.engine_type = EngineType.LIVE
self._recv_sock = Socket(SUB)
self._send_sock = Socket(PUSH)
if configfile:
self.config_filename = configfile
if gateway:
self.gateway = gateway
filepath = Path.cwd().joinpath("etc/" + self.config_filename)
with open(filepath, encoding='utf8') as fd:
self._config = yaml.load(fd)
self.tick_recordings = {}
self.bar_recordings = {}
self.bar_generators = {}
self.contracts = {}
self.subscribed = False
self.dayswitched = False
self.init_engine()
# init functions
def init_engine(self):
self.init_nng()
self.load_contract()
self.load_setting()
self.register_event()
self.put_event()
def init_nng(self):
self._recv_sock.set_string_option(SUB, SUB_SUBSCRIBE,
'') # receive msg start with all
self._recv_sock.set_int_option(SOL_SOCKET, RCVTIMEO, 100)
self._recv_sock.connect(self._config['serverpub_url'])
self._send_sock.connect(self._config['serverpull_url'])
def load_contract(self):
contractfile = Path.cwd().joinpath("etc/ctpcontract.yaml")
with open(contractfile, encoding='utf8') as fc:
contracts = yaml.load(fc)
print('loading contracts, total number:', len(contracts))
for sym, data in contracts.items():
contract = ContractData(
symbol=data["symbol"],
exchange=Exchange(data["exchange"]),
name=data["name"],
product=PRODUCT_CTP2VT[str(data["product"])],
size=data["size"],
pricetick=data["pricetick"],
net_position=True
if str(data["positiontype"]) == THOST_FTDC_PT_Net else False,
long_margin_ratio=data["long_margin_ratio"],
short_margin_ratio=data["short_margin_ratio"],
full_symbol=data["full_symbol"])
# For option only
if contract.product == Product.OPTION:
contract.option_underlying = data["option_underlying"],
contract.option_type = OPTIONTYPE_CTP2VT.get(
str(data["option_type"]), None),
contract.option_strike = data["option_strike"],
contract.option_expiry = datetime.strptime(
str(data["option_expiry"]), "%Y%m%d"),
self.contracts[contract.full_symbol] = contract
def load_setting(self):
""""""
setting = load_json(self.setting_filename)
self.tick_recordings = setting.get("tick", {})
self.bar_recordings = setting.get("bar", {})
def save_setting(self):
""""""
setting = {"tick": self.tick_recordings, "bar": self.bar_recordings}
save_json(self.setting_filename, setting)
def register_event(self):
""""""
self.event_engine.register(EventType.TICK, self.process_tick_event)
self.event_engine.register(EventType.CONTRACT,
self.process_contract_event)
self.event_engine.register(EventType.RECORDER_CONTROL,
self.process_recordercontrol_event)
self.event_engine.register(EventType.HEADER,
self.process_general_event)
self.event_engine.register(EventType.TIMER, self.process_timer_event)
def init_subcribe(self, src: str = 'CTP.MD'):
symset = set(self.tick_recordings.keys())
symset.update(self.bar_recordings.keys())
for sym in symset:
self.subscribe(sym, src)
self.subscribed = True
# event handler
def process_timer_event(self, event):
# auto subscribe at 8:55, 20:55
nowtime = datetime.now().time()
if (nowtime > time(hour=8, minute=50)) and (nowtime < time(
hour=8, minute=51)) and (not self.subscribed):
self.init_subcribe()
self.dayswitched = False
if (nowtime > time(hour=20, minute=50)) and (nowtime < time(
hour=20, minute=51)) and (not self.subscribed):
self.init_subcribe()
self.dayswitched = False
# reset at 16:00 and 3:00
if (nowtime > time(hour=16, minute=0)) and (nowtime < time(
hour=16, minute=1)) and (not self.dayswitched):
self.subscribed = False
self.dayswitched = True
if (nowtime > time(hour=3, minute=0)) and (nowtime < time(
hour=3, minute=1)) and (not self.dayswitched):
self.subscribed = False
self.dayswitched = True
def process_general_event(self, event):
pass
def process_tick_event(self, event: Event):
""""""
tick = event.data
dayclosetime = tick.datetime.time() < time(
hour=9, minute=0) and tick.datetime.time() > time(hour=8, minute=0)
nightclosetime = tick.datetime.time() < time(
hour=21, minute=0) and tick.datetime.time() > time(hour=16,
minute=0)
if dayclosetime or nightclosetime:
return
# exclude onrtnsubscribe return first tick which time not in trade time
if (tick.open_price) and tick.last_price and tick.ask_price_1:
if tick.full_symbol in self.tick_recordings:
self.record_tick(tick)
if tick.full_symbol in self.bar_recordings:
bg = self.get_bar_generator(tick.full_symbol)
bg.update_tick(tick)
def process_contract_event(self, event: Event):
""""""
contract = event.data
self.contracts[contract.full_symbol] = contract
def process_recordercontrol_event(self, event: Event):
msgtype = event.msg_type
deslist = ['@*', str(self.id), '@' + str(self.id)]
if (event.destination not in deslist):
return
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_STATUS):
m = Event(type=EventType.RECORDER_CONTROL,
des='@0',
src=str(self.id),
data=str(self.__active),
msgtype=MSG_TYPE.MSG_TYPE_RECORDER_STATUS)
self._send_sock.send(m.serialize())
self.put_event()
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_ADD_TICK):
full_symbol = event.data
self.add_tick_recording(full_symbol, event.source)
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_ADD_BAR):
full_symbol = event.data
self.add_bar_recording(full_symbol, event.source)
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_REMOVE_TICK):
full_symbol = event.data
self.remove_tick_recording(full_symbol)
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_REMOVE_BAR):
full_symbol = event.data
self.remove_bar_recording(full_symbol)
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_START):
self.init_subcribe()
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_STOP):
self.clear()
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_RELOAD):
pass
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_RESET):
pass
elif (msgtype == MSG_TYPE.MSG_TYPE_RECORDER_GET_DATA):
self.put_event()
def put_event(self):
""""""
tick_symbols = list(self.tick_recordings.keys())
tick_symbols.sort()
bar_symbols = list(self.bar_recordings.keys())
bar_symbols.sort()
data = {"tick": tick_symbols, "bar": bar_symbols}
msg = json.dumps(data)
m = Event(type=EventType.RECORDER_CONTROL,
data=msg,
des='@0',
src=str(self.id),
msgtype=MSG_TYPE.MSG_TYPE_RECORDER_RTN_DATA)
self._send_sock.send(m.serialize())
def add_bar_recording(self, full_symbol: str, src: str = 'CTP.MD'):
""""""
if full_symbol in self.bar_recordings:
self.write_log(f"已在K线记录列表中：{full_symbol}")
return
contract = self.contracts.get(full_symbol, None)
if not contract:
self.write_log(f"找不到合约：{full_symbol}")
return
self.bar_recordings[full_symbol] = {
"symbol": contract.symbol,
"exchange": contract.exchange.value,
"gateway_name": self.gateway
}
self.subscribe(full_symbol, src)
self.save_setting()
self.put_event()
self.write_log(f"添加K线记录成功：{full_symbol}")
def add_tick_recording(self, full_symbol: str, src: str = 'CTP.MD'):
""""""
if full_symbol in self.tick_recordings:
self.write_log(f"已在Tick记录列表中：{full_symbol}")
return
contract = self.contracts.get(full_symbol, None)
if not contract:
self.write_log(f"找不到合约：{full_symbol}")
return
self.tick_recordings[full_symbol] = {
"symbol": contract.symbol,
"exchange": contract.exchange.value,
"gateway_name": self.gateway
}
self.subscribe(full_symbol, src)
self.save_setting()
self.put_event()
self.write_log(f"添加Tick记录成功：{full_symbol}")
def remove_bar_recording(self, full_symbol: str):
""""""
if full_symbol not in self.bar_recordings:
self.write_log(f"不在K线记录列表中：{full_symbol}")
return
self.bar_recordings.pop(full_symbol)
self.save_setting()
self.put_event()
self.write_log(f"移除K线记录成功：{full_symbol}")
def remove_tick_recording(self, full_symbol: str):
""""""
if full_symbol not in self.tick_recordings:
self.write_log(f"不在Tick记录列表中：{full_symbol}")
return
self.tick_recordings.pop(full_symbol)
self.save_setting()
self.put_event()
self.write_log(f"移除Tick记录成功：{full_symbol}")
def record_tick(self, tick: TickData):
""""""
database_manager.save_tick_data([tick])
def record_bar(self, bar: BarData):
""""""
database_manager.save_bar_data([bar])
def get_bar_generator(self, full_symbol: str):
""""""
bg = self.bar_generators.get(full_symbol, None)
if not bg:
bg = BarGenerator(self.record_bar)
self.bar_generators[full_symbol] = bg
return bg
def subscribe(self, full_symbol: str, src: str = 'CTP.MD'):
contract = self.contracts.get(full_symbol, None)
if contract:
m = Event(type=EventType.SUBSCRIBE,
msgtype=MSG_TYPE.MSG_TYPE_SUBSCRIBE_MARKET_DATA)
m.destination = src
m.source = str(self.id)
req = SubscribeRequest()
if src == 'CTP.MD':
req.sym_type = SYMBOL_TYPE.CTP
req.content = contract.symbol
else:
req.sym_type = SYMBOL_TYPE.FULL
req.content = full_symbol
m.data = req
self._send_sock.send(m.serialize())
else:
self.write_log(f"行情订阅失败，找不到合约{full_symbol}")
def clear(self):
self.bar_recordings.clear()
self.tick_recordings.clear()
self.save_setting()
self.put_event()
def _run(self):
while self.__active:
try:
msgin = self._recv_sock.recv(flags=0)
msgin = msgin.decode("utf-8")
if msgin is not None and msgin.index('|') > 0:
if msgin[0] == '@':
print('recorder(pid = %d) rec @ msg:' % (self.id),
msgin, 'at ', datetime.now())
if msgin[-1] == '\0':
msgin = msgin[:-1]
if msgin[-1] == '\x00':
msgin = msgin[:-1]
m = Event()
m.deserialize(msgin)
self.event_engine.put(m)
except Exception as e:
pass
#print("TradeEngineError {0}".format(str(e.args[0])).encode("utf-8"))
# start and stop
def start(self):
"""
start the dispatcher thread and begin to recv msg through nng
"""
print('tradeclient started ,pid = %d ' % os.getpid())
self.event_engine.start()
self.__active = True
self._thread.start()
def stop(self):
"""
stop
"""
self.__active = False
self.event_engine.stop()
self._thread.join()
def write_log(self, msg: str):
"""
Create engine log event.
"""
# log = LogData(msg=msg, gateway_name="CtaStrategy")
# event = Event(type=EVENT_CTA_LOG, data=log)
# self.event_engine.put(event)
print(msg)
class ClientMq(object):
def __init__(self, config, ui_event_engine, outgoing_queue):
self._ui_event_engine = ui_event_engine
self._outgoing_queue = outgoing_queue
self._config = config
self._active = False
self._thread = Thread(target=self._run)
def _run(self):
# os.system("taskset -cp 5 %d " % os.getpid())
while self._active:
try:
# response msg from server
msgin = self._recv_sock.recv(flags=0)
msgin = msgin.decode("utf-8")
if msgin is not None and msgin.index('|') > 0:
# print('client rec msg:',msgin,'at ', datetime.now())
if msgin[-1] == '\0':
msgin = msgin[:-1]
if msgin[-1] == '\x00':
msgin = msgin[:-1]
m = Event()
m.deserialize(msgin)
self._ui_event_engine.put(m)
except Exception as e:
pass
try:
# request, qry msg to server
msgout = self._outgoing_queue.get(False)
print('outgoing get msg,begin send', msgout, datetime.now())
# self._send_sock.send(bytes(msgout,"ascii"), flags=0)
self._send_sock.send(msgout, flags=1)
print('outgoing end send', msgout, datetime.now())
except Exception as e:
pass
def start(self, timer=True):
"""
start the mq thread
"""
self._recv_sock = Socket(SUB)
self._send_sock = Socket(PUSH)
self._monitor_sock = Socket(SUB)
# print(os.getpid())
self._recv_sock.connect(self._config['serverpub_url'])
self._recv_sock.set_string_option(SUB, SUB_SUBSCRIBE, '')
self._recv_sock.set_int_option(SOL_SOCKET, RCVTIMEO, 100)
self._send_sock.connect(self._config['serverpull_url'])
self._monitor_sock.connect(self._config['serversub_url'])
self._active = True
if not self._thread.isAlive():
self._thread.start()
def stop(self):
"""
stop the mq thread
"""
self._active = False
if self._thread.isAlive():
self._thread.join()
class StrategyEngine(BaseEngine):
"""
Send to and receive from msg server ,used for strategy
"""
config_filename = "config_server.yaml"
setting_filename = "cta_strategy_setting.json"
data_filename = "cta_strategy_data.json"
# init
def __init__(self, configfile: str = '', id: int = 1):
super(StrategyEngine, self).__init__(event_engine=EventEngine(10))
"""
two sockets to send and recv msg
"""
self.__active = False
self.id = os.getpid()
self.engine_type = EngineType.LIVE
self._recv_sock = Socket(SUB)
self._send_sock = Socket(PUSH)
self._handlers = defaultdict(list)
if configfile:
self.config_filename = configfile
filepath = Path.cwd().joinpath("etc/" + self.config_filename)
with open(filepath, encoding='utf8') as fd:
self._config = yaml.load(fd)
self.ordercount = 0
# stragegy manage
self.strategy_setting = {} # strategy_name: dict
self.strategy_data = {} # strategy_name: dict
self.classes = {} # class_name: stategy_class
self.strategies = {} # strategy_name: strategy
# self.classes_id = {} # class_id : strategy
# self.strategies_id = {} # strategy_ID: strategy
self.symbol_strategy_map = defaultdict(
list) # full_symbol: strategy list
self.orderid_strategy_map = {} # vt_orderid: strategy
self.strategy_orderid_map = defaultdict(
set) # strategy_name: client_order_id list
self.stop_order_count = 0 # for generating stop_orderid
self.stop_orders = {} # stop_orderid: stop_order
self.init_thread = None
self.init_queue = Queue()
# order,tick,position ,etc manage
self.ticks = {}
self.orders = {} # clientorder id list
self.trades = {}
self.positions = {}
self.accounts = {}
self.contracts = {}
self.active_orders = {} # SQ id list
self.rq_client = None
self.rq_symbols = set()
self.offset_converter = OffsetConverter(self)
self.autoinited = False
self.autostarted = False
self.dayswitched = False
self.init_engine()
# init functions
def init_engine(self):
self.init_nng()
self.init_rqdata()
self.load_contract()
self.load_strategy_class()
self.load_strategy_setting()
self.load_strategy_data()
self.register_event()
def init_nng(self):
self._recv_sock.set_string_option(
SUB, SUB_SUBSCRIBE, '') # receive msg start with all
self._recv_sock.set_int_option(SOL_SOCKET, RCVTIMEO, 100)
self._recv_sock.connect(self._config['serverpub_url'])
self._send_sock.connect(self._config['serverpull_url'])
def init_rqdata(self):
result = rqdata_client.init()
if result:
self.write_log("RQData数据接口初始化成功")
def load_contract(self):
contractfile = Path.cwd().joinpath("etc/ctpcontract.yaml")
with open(contractfile, encoding='utf8') as fc:
contracts = yaml.load(fc)
print('loading contracts, total number:', len(contracts))
for sym, data in contracts.items():
contract = ContractData(
symbol=data["symbol"],
exchange=Exchange(data["exchange"]),
name=data["name"],
product=PRODUCT_CTP2VT[str(data["product"])],
size=data["size"],
pricetick=data["pricetick"],
net_position=True if str(
data["positiontype"]) == THOST_FTDC_PT_Net else False,
long_margin_ratio=data["long_margin_ratio"],
short_margin_ratio=data["short_margin_ratio"],
full_symbol=data["full_symbol"]
)
# For option only
if contract.product == Product.OPTION:
contract.option_underlying = data["option_underlying"],
contract.option_type = OPTIONTYPE_CTP2VT.get(
str(data["option_type"]), None),
contract.option_strike = data["option_strike"],
contract.option_expiry = datetime.strptime(
str(data["option_expiry"]), "%Y%m%d"),
self.contracts[contract.full_symbol] = contract
def register_event(self):
""""""
self.event_engine.register(EventType.TICK, self.process_tick_event)
self.event_engine.register(
EventType.ORDERSTATUS, self.process_orderstatus_event)
self.event_engine.register(EventType.FILL, self.process_trade_event)
self.event_engine.register(
EventType.POSITION, self.process_position_event)
self.event_engine.register(
EventType.ACCOUNT, self.process_account_event)
self.event_engine.register(
EventType.CONTRACT, self.process_contract_event)
self.event_engine.register(
EventType.STRATEGY_CONTROL, self.process_strategycontrol_event)
self.event_engine.register(
EventType.HEADER, self.process_general_event)
self.event_engine.register(EventType.TIMER, self.process_timer_event)
# event handler
def process_timer_event(self, event):
# auto init and start strategy at 8:57, 20:57
nowtime = datetime.now().time()
dayinitflag = (nowtime > time(hour=8, minute=55)) and (
nowtime < time(hour=8, minute=56))
daystartflag = (nowtime > time(hour=8, minute=57)) and (
nowtime < time(hour=8, minute=58))
nightinitflag = (nowtime > time(hour=20, minute=55)) and (
nowtime < time(hour=20, minute=56))
nightstartflag = (nowtime > time(hour=20, minute=57)) and (
nowtime < time(hour=20, minute=58))
if (dayinitflag or nightinitflag) and (not self.autoinited):
for name, strategy in self.strategies.items():
if strategy.autostart:
self.init_strategy(name)
self.dayswitched = False
self.autoinited = True
if (daystartflag or nightstartflag) and (not self.autostarted):
for name, strategy in self.strategies.items():
if strategy.autostart:
self.start_strategy(name)
self.autostarted = True
self.dayswitched = False
# auto stop strategy at 16:00 and 3:00
if (nowtime > time(hour=16, minute=0)) and (nowtime < time(hour=16, minute=1)) and (not self.dayswitched):
for name, strategy in self.strategies.items():
if strategy.autostart:
self.reset_strategy(name)
self.dayswitched = True
self.autostarted = False
self.autoinited = False
if (nowtime > time(hour=3, minute=0)) and (nowtime < time(hour=3, minute=1)) and (not self.dayswitched):
for name, strategy in self.strategies.items():
if strategy.autostart:
self.reset_strategy(name)
self.dayswitched = True
self.autostarted = False
self.autoinited = False
def process_general_event(self, event):
for name, strategy in self.strategies.items():
self.call_strategy_func(strategy, strategy.on_headermsg, event)
pass
def process_tick_event(self, event: Event):
""""""
tick = event.data
strategies = self.symbol_strategy_map[tick.full_symbol]
if not strategies:
return
# self.check_stop_order(tick)
for strategy in strategies:
if strategy.inited:
self.call_strategy_func(strategy, strategy.on_tick, tick)
self.ticks[tick.full_symbol] = tick
def process_orderstatus_event(self, event: Event):
""""""
order = event.data
self.offset_converter.update_order(order) # 重新计算冻结
if order.clientID != self.id:
return
self.orders[order.client_order_id] = order
# If order is active, then update data in dict.
if order.is_active():
print('order is active')
self.active_orders[order.client_order_id] = order
# Otherwise, pop inactive order from in dict
elif order.client_order_id in self.active_orders:
self.active_orders.pop(order.client_order_id)
strategy = self.orderid_strategy_map.get(order.client_order_id, None)
if not strategy:
print(order.client_order_id, 'dont find strategy')
return
# Remove client_order_id if order is no longer active.
client_order_ids = self.strategy_orderid_map[strategy.strategy_name]
if (order.client_order_id in client_order_ids) and (not order.is_active()):
print('rm inactive order in strategy order map')
client_order_ids.remove(order.client_order_id)
# For server stop order, call strategy on_stop_order function
# if order.type == OrderType.STOP:
# so = StopOrder(
# full_symbol=order.full_symbol,
# direction=order.direction,
# offset=order.offset,
# price=order.price,
# volume=order.volume,
# stop_orderid=order.vt_orderid,
# strategy_name=strategy.strategy_name,
# status=STOP_STATUS_MAP[order.status],
# vt_orderid=order.vt_orderid,
# )
# self.call_strategy_func(strategy, strategy.on_stop_order, so)
# Call strategy on_order function
self.call_strategy_func(strategy, strategy.on_order, order)
def process_trade_event(self, event: Event):
""""""
trade = event.data
self.offset_converter.update_trade(trade)
if trade.clientID != self.id:
return
strategy = self.orderid_strategy_map.get(trade.client_order_id, None)
if not strategy:
return
# if trade.direction == Direction.LONG:
# strategy.pos += trade.volume
# else:
# strategy.pos -= trade.volume
self.call_strategy_func(strategy, strategy.on_trade, trade)
self.put_strategy_event(strategy)
self.trades[trade.vt_tradeid] = trade
# send qry pos to update position
m = Event(type=EventType.QRY,
des=event.source,
src=str(self.id),
msgtype=MSG_TYPE.MSG_TYPE_QRY_POS)
self._send_sock.send(m.serialize())
# self.put(m)
def process_position_event(self, event: Event):
""""""
position = event.data
self.offset_converter.update_position(position)
self.positions[position.key] = position
def process_account_event(self, event: Event):
""""""
account = event.data
self.accounts[account.accountid] = account
def process_contract_event(self, event: Event):
""""""
contract = event.data
self.contracts[contract.full_symbol] = contract
def process_strategycontrol_event(self, event: Event):
msgtype = event.msg_type
deslist = ['@*', str(self.id), '@' + str(self.id)]
if (event.destination not in deslist):
return
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_STATUS):
m = Event(type=EventType.STRATEGY_CONTROL,
des='@0',
src=str(self.id),
msgtype=MSG_TYPE.MSG_TYPE_STRATEGY_STATUS
)
self._send_sock.send(m.serialize())
# elif (event.destination not in deslist ) :
# return
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_ADD):
v = event.data.split('|')
classname = v[0]
strname = v[1]
fulsym = v[2]
setting = json.loads(v[3])
self.add_strategy(classname, strname, fulsym, setting)
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_INIT):
self.init_strategy(event.data)
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_INIT_ALL):
self.init_all_strategies()
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_START):
self.start_strategy(event.data)
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_START_ALL):
self.start_all_strategies()
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_STOP):
self.stop_strategy(event.data)
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_STOP_ALL):
self.stop_all_strategies()
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_RELOAD):
self.classes.clear()
self.load_strategy_class(True)
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_RESET):
self.reset_strategy(event.data)
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_RESET_ALL):
self.reset_all_strategies()
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_EDIT):
v = event.data.split('|')
setting = json.loads(v[1])
self.edit_strategy(v[0], setting)
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_REMOVE):
if self.remove_strategy(event.data):
m = Event(type=EventType.STRATEGY_CONTROL,
data=event.data,
des='@0',
src=str(self.id),
msgtype=MSG_TYPE.MSG_TYPE_STRATEGY_RTN_REMOVE
)
self._send_sock.send(m.serialize())
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_REMOVE_DUPLICATE):
self.remove_strategy(event.data, True)
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_GET_DATA):
# print('begin get data')
if event.data:
strategy = self.strategies.get(event.data, None)
if strategy:
self.put_strategy_event(strategy)
else: # get all strategy data
for strategy in self.strategies.values():
self.put_strategy_event(strategy)
def call_strategy_func(
self, strategy: StrategyBase, func: Callable, params: Any = None
):
"""
Call function of a strategy and catch any exception raised.
"""
try:
if params:
func(params)
else:
func()
except Exception:
strategy.trading = False
strategy.inited = False
msg = f"触发异常已停止\n{traceback.format_exc()}"
self.write_log(msg, strategy)
# strategy manage
def add_strategy(
self, class_name: str, strategy_name: str, full_symbol: str, setting: dict
):
"""
Add a new strategy.
"""
print("begin add strategy")
if strategy_name in self.strategies:
self.write_log(f"创建策略失败，存在重名{strategy_name}")
return
if class_name not in self.classes:
self.write_log(
f'strategy class[{class_name}] not exist, please check')
return
strategy_class = self.classes[class_name]
strategy = strategy_class(self, strategy_name, full_symbol, setting)
self.strategies[strategy_name] = strategy
# Add full_symbol to strategy map.
strategies = self.symbol_strategy_map[full_symbol]
strategies.append(strategy)
# print("335 add strategy")
# Update to setting file.
self.update_strategy_setting(strategy_name, setting)
self.put_strategy_event(strategy)
print("end add strategy")
def init_strategy(self, strategy_name: str):
"""
Init a strategy.
"""
self.init_queue.put(strategy_name)
if not self.init_thread:
self.init_thread = Thread(target=self._init_strategy)
self.init_thread.start()
def _init_strategy(self):
"""
Init strategies in queue.
"""
while not self.init_queue.empty():
strategy_name = self.init_queue.get()
strategy = self.strategies[strategy_name]
if strategy.inited:
self.write_log(f"{strategy_name}已经完成初始化，禁止重复操作")
continue
self.write_log(f"{strategy_name}开始执行初始化")
# Call on_init function of strategy
self.call_strategy_func(strategy, strategy.on_init)
# Restore strategy data(variables)
data = self.strategy_data.get(strategy_name, None)
if data:
for name in strategy.variables:
value = data.get(name, None)
if value:
setattr(strategy, name, value)
# Subscribe market data
contract = self.get_contract(strategy.full_symbol)
if contract:
m = Event(type=EventType.SUBSCRIBE,
msgtype=MSG_TYPE.MSG_TYPE_SUBSCRIBE_MARKET_DATA)
m.destination = "CTP.MD"
m.source = str(self.id)
req = SubscribeRequest()
req.sym_type = SYMBOL_TYPE.CTP
req.content = contract.symbol
m.data = req
self._send_sock.send(m.serialize())
else:
self.write_log(f"行情订阅失败，找不到合约{strategy.full_symbol}", strategy)
# qry pos and acc
m = Event(type=EventType.QRY, msgtype=MSG_TYPE.MSG_TYPE_QRY_POS)
m.destination = strategy.api + '.' + strategy.account
m.source = str(self.id)
self._send_sock.send(m.serialize())
m = Event(type=EventType.QRY,
msgtype=MSG_TYPE.MSG_TYPE_QRY_ACCOUNT)
m.destination = strategy.api + '.' + strategy.account
m.source = str(self.id)
self._send_sock.send(m.serialize())
# Put event to update init completed status.
strategy.inited = True
self.put_strategy_event(strategy)
self.write_log(f"{strategy_name}初始化完成")
self.init_thread = None
def start_strategy(self, strategy_name: str):
"""
Start a strategy.
"""
strategy = self.strategies[strategy_name]
if not strategy.inited:
self.write_log(f"策略{strategy.strategy_name}启动失败，请先初始化")
return
if strategy.trading:
self.write_log(f"{strategy_name}已经启动，请勿重复操作")
return
# qry pos and acc
m = Event(type=EventType.QRY, msgtype=MSG_TYPE.MSG_TYPE_QRY_POS)
m.destination = strategy.api + '.' + strategy.account
m.source = str(self.id)
self._send_sock.send(m.serialize())
m = Event(type=EventType.QRY,
msgtype=MSG_TYPE.MSG_TYPE_QRY_ACCOUNT)
m.destination = strategy.api + '.' + strategy.account
m.source = str(self.id)
self._send_sock.send(m.serialize())
self.call_strategy_func(strategy, strategy.on_start)
strategy.trading = True
self.put_strategy_event(strategy)
def stop_strategy(self, strategy_name: str):
"""
Stop a strategy.
"""
strategy = self.strategies[strategy_name]
if not strategy.trading:
return
# Call on_stop function of the strategy
self.call_strategy_func(strategy, strategy.on_stop)
# Change trading status of strategy to False
strategy.trading = False
# Cancel all orders of the strategy
self.cancel_all(strategy)
# Update GUI
self.put_strategy_event(strategy)
def reset_strategy(self, strategy_name: str):
"Reset a strategy"
strategy = self.strategies[strategy_name]
if not strategy.inited:
return
# stop first
self.call_strategy_func(strategy, strategy.on_stop)
strategy.trading = False
self.cancel_all(strategy)
# reset
self.call_strategy_func(strategy, strategy.on_reset)
strategy.inited = False
self.put_strategy_event(strategy)
def edit_strategy(self, strategy_name: str, setting: dict):
"""
Edit parameters of a strategy.
"""
strategy = self.strategies[strategy_name]
strategy.update_setting(setting)
self.update_strategy_setting(strategy_name, setting)
self.put_strategy_event(strategy)
def remove_strategy(self, strategy_name: str, duplicate: bool = False):
"""
Remove a strategy.
"""
print("begin remove")
strategy = self.strategies[strategy_name]
if strategy.trading:
self.write_log(f"策略{strategy.strategy_name}移除失败，请先停止")
return
# Remove setting
if not duplicate:
self.remove_strategy_setting(strategy_name)
# Remove from symbol strategy map
strategies = self.symbol_strategy_map[strategy.full_symbol]
strategies.remove(strategy)
# Remove from active orderid map
if strategy_name in self.strategy_orderid_map:
orderids = self.strategy_orderid_map.pop(strategy_name)
# Remove vt_orderid strategy map
for _orderid in orderids:
if _orderid in self.orderid_strategy_map:
self.orderid_strategy_map.pop(_orderid)
# Remove from strategies
self.strategies.pop(strategy_name)
print("end remove")
return True
def load_strategy_class(self, reload: bool = False):
"""
Load strategy class from source code.
"""
# app_path = Path(__file__).parent.parent
# path1 = app_path.joinpath("cta_strategy", "strategies")
# self.load_strategy_class_from_folder(
# path1, "vnpy.app.cta_strategy.strategies")
path2 = Path.cwd().joinpath("mystrategy")
self.load_strategy_class_from_folder(path2, "", reload)
def load_strategy_class_from_folder(self, path: Path, module_name: str = "", reload: bool = False):
"""
Load strategy class from certain folder.
"""
for dirpath, dirnames, filenames in os.walk(path):
for filename in filenames:
if filename.endswith(".py"):
strategy_module_name = "mystrategy.".join(
[module_name, filename.replace(".py", "")])
self.load_strategy_class_from_module(
strategy_module_name, reload)
def load_strategy_class_from_module(self, module_name: str, reload: bool = False):
"""
Load strategy class from module file.
"""
try:
module = importlib.import_module(module_name)
# if reload delete old attribute
if reload:
for attr in dir(module):
if attr not in ('__name__', '__file__'):
delattr(module, attr)
importlib.reload(module)
for name in dir(module):
value = getattr(module, name)
if (isinstance(value, type) and issubclass(value, CtaTemplate) and value is not CtaTemplate):
self.classes[value.__name__] = value
except: # noqa
msg = f"策略文件{module_name}加载失败，触发异常：\n{traceback.format_exc()}"
self.write_log(msg)
def load_strategy_data(self):
"""
Load strategy data from json file.
"""
self.strategy_data = load_json(self.data_filename)
def sync_strategy_data(self, strategy: StrategyBase):
"""
Sync strategy data into json file.
"""
data = strategy.get_variables()
# Strategy status (inited, trading) should not be synced.
data.pop("inited")
data.pop("trading")
self.strategy_data = load_json(self.data_filename)
self.strategy_data[strategy.strategy_name] = data
save_json(self.data_filename, self.strategy_data)
def get_all_strategy_class_names(self):
"""
Return names of strategy classes loaded.
"""
return list(self.classes.keys())
def get_strategy_class_parameters(self, class_name: str):
"""
Get default parameters of a strategy class.
"""
strategy_class = self.classes[class_name]
parameters = {}
for name in strategy_class.parameters:
parameters[name] = getattr(strategy_class, name)
return parameters
def get_strategy_parameters(self, strategy_name):
"""
Get parameters of a strategy.
"""
strategy = self.strategies[strategy_name]
return strategy.get_parameters()
def init_all_strategies(self):
"""
"""
for strategy_name in self.strategies.keys():
self.init_strategy(strategy_name)
def start_all_strategies(self):
"""
"""
for strategy_name in self.strategies.keys():
self.start_strategy(strategy_name)
def stop_all_strategies(self):
"""
"""
for strategy_name in self.strategies.keys():
self.stop_strategy(strategy_name)
def reset_all_strategies(self):
for strategy_name in self.strategies.keys():
self.reset_strategy(strategy_name)
def load_strategy_setting(self):
"""
Load setting file.
"""
self.strategy_setting = load_json(self.setting_filename)
for strategy_name, strategy_config in self.strategy_setting.items():
self.add_strategy(
strategy_config["class_name"],
strategy_name,
strategy_config["full_symbol"],
strategy_config["setting"]
)
def update_strategy_setting(self, strategy_name: str, setting: dict):
"""
Update setting file.
"""
strategy = self.strategies[strategy_name]
# in order to save other engine's setting, should load again
self.strategy_setting = load_json(self.setting_filename)
self.strategy_setting[strategy_name] = {
"class_name": strategy.__class__.__name__,
"full_symbol": strategy.full_symbol,
"setting": setting,
}
save_json(self.setting_filename, self.strategy_setting)
def remove_strategy_setting(self, strategy_name: str):
"""
Update setting file.
"""
if strategy_name not in self.strategy_setting:
return
# in order to save other engine's setting, should load again
self.strategy_setting = load_json(self.setting_filename)
self.strategy_setting.pop(strategy_name)
save_json(self.setting_filename, self.strategy_setting)
# def put_stop_order_event(self, stop_order: StopOrder):
# """
# Put an event to update stop order status.
# """
# event = Event(EVENT_CTA_STOPORDER, stop_order)
# self.event_engine.put(event)
def put_strategy_event(self, strategy: StrategyBase):
"""
Put an event to update strategy status.
"""
data = strategy.get_data()
sdata = {}
sdata[strategy.strategy_name] = data
# event = Event(EVENT_CTA_STRATEGY, data)
# self.event_engine.put(event)
msg = json.dumps(sdata)
m = Event(type=EventType.STRATEGY_CONTROL, data=msg, des='@0', src=str(
self.id), msgtype=MSG_TYPE.MSG_TYPE_STRATEGY_RTN_DATA)
self._send_sock.send(m.serialize())
#save_json(self.data_filename, sdata)
# strategy functions
#get ,qry
def query_bar_from_rq(
self, symbol: str, exchange: Exchange, interval: Interval, start: datetime, end: datetime
):
"""
Query bar data from RQData.
"""
data = rqdata_client.query_bar(
symbol, exchange, interval, start, end
)
return data
def load_bar(
self,
full_symbol: str,
days: int,
interval: Interval,
callback: Callable[[BarData], None],
datasource: str = 'DataBase'
):
""""""
tradedays = abs(days)
weekday = datetime.now().weekday()
adddays = 2 if (days - weekday > 0) else 0
if weekday == 6:
tradedays = days + 1
else:
tradedays = days + adddays
symbol, exchange = extract_full_symbol(full_symbol)
end = datetime.now()
start = end - timedelta(days=tradedays)
# Query bars from RQData by default, if not found, load from database.
bars = self.query_bar_from_rq(symbol, exchange, interval, start, end)
if not bars:
bars = database_manager.load_bar_data(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end,
)
for bar in bars:
callback(bar)
def load_tick(self, full_symbol: str, days: int, callback: Callable, datasource: str = 'DataBase'):
tradedays = abs(days)
weekday = datetime.now().weekday()
adddays = 2 if (days - weekday > 0) else 0
if weekday == 6:
tradedays = days + 1
else:
tradedays = days + adddays
symbol, exchange = extract_full_symbol(full_symbol)
end = datetime.now()
start = end - timedelta(tradedays)
ticks = database_manager.load_tick_data(symbol, exchange, start, end)
for tick in ticks:
callback(tick)
def get_tick(self, full_symbol):
"""
Get latest market tick data by full_symbol.
"""
return self.ticks.get(full_symbol, None)
def get_order(self, orderid: int):
"""
Get latest order data by orderid.
"""
return self.orders.get(orderid, None)
def get_trade(self, vt_tradeid):
"""
Get trade data by vt_tradeid.
"""
return self.trades.get(vt_tradeid, None)
def get_position(self, key):
"""
Get latest position data by vt_positionid.
"""
return self.positions.get(key, None)
def get_account(self, accountid):
"""
Get latest account data by accountid.
"""
return self.accounts.get(accountid, None)
def get_contract(self, full_symbol):
"""
Get contract data by full_symbol.
"""
return self.contracts.get(full_symbol, None)
def get_all_ticks(self):
"""
Get all tick data.
"""
return list(self.ticks.values())
def get_all_orders(self):
"""
Get all order data.
"""
return list(self.orders.values())
def get_all_trades(self):
"""
Get all trade data.
"""
return list(self.trades.values())
def get_all_positions(self):
"""
Get all position data.
"""
return list(self.positions.values())
def get_all_accounts(self):
"""
Get all account data.
"""
return list(self.accounts.values())
def get_all_contracts(self):
"""
Get all contract data.
"""
return list(self.contracts.values())
def get_all_active_orders(self, full_symbol: str = ""):
"""
Get all active orders by full_symbol.
If full_symbol is empty, return all active orders.
"""
if not full_symbol:
return list(self.active_orders.values())
else:
active_orders = [
order
for order in self.active_orders.values()
if order.full_symbol == full_symbol
]
return active_orders
def get_position_holding(self, acc: str, full_symbol: str):
return self.offset_converter.get_position_holding(acc, full_symbol)
def get_strategy_active_orderids(self, strategy_name: str):
oidset = self.strategy_orderid_map[strategy_name]
return oidset
#order, cancel
def send_order(
self,
strategy: StrategyBase,
original_req: OrderRequest,
lock: bool = False
):
"""
Send a new order to server.
"""
# Convert with offset converter
req_list = self.offset_converter.convert_order_request(
original_req, lock)
# Send Orders
orderids = []
for req in req_list:
req.clientID = self.id
req.client_order_id = self.ordercount
self.ordercount += 1
m = Event(type=EventType.ORDER,
data=req,
des=req.api + '.' + req.account,
src=str(self.id)
)
if req.api == "CTP.TD":
m.msg_type = MSG_TYPE.MSG_TYPE_ORDER_CTP
elif req.api == "PAPER.TD":
m.msg_type = MSG_TYPE.MSG_TYPE_ORDER_PAPER
else:
print("error:api not support!")
return []
msg = m.serialize()
print(f'tradeclient {self.id} send msg: {msg}')
self._send_sock.send(msg)
orderids.append(req.client_order_id)
self.offset_converter.update_order_request(req)
# Save relationship between orderid and strategy.
self.orderid_strategy_map[req.client_order_id] = strategy
self.strategy_orderid_map[strategy.strategy_name].add(
req.client_order_id)
return orderids
def cancel_order(self, strategy: StrategyBase, orderid: int):
"""
Cancel existing order by orderid.
"""
order = self.get_order(orderid)
if not order:
self.write_log(f"撤单失败，找不到委托{orderid}", strategy)
return
req = order.create_cancel_request()
m = Event(type=EventType.CANCEL,
data=req,
des=order.api + '.' + order.account,
src=str(self.id),
msgtype=MSG_TYPE.MSG_TYPE_ORDER_ACTION
)
msg = m.serialize()
print(f'tradeclient {self.id} send msg: {msg}')
self._send_sock.send(msg)
def cancel_all(self, strategy: StrategyBase):
"""
Cancel all active orders of a strategy.
"""
orderids = self.strategy_orderid_map[strategy.strategy_name]
if not orderids:
print(strategy.strategy_name, 'has no active order')
return
for orderid in copy(orderids):
print('cancel oid:', orderid)
self.cancel_order(strategy, orderid)
def send_testmsg(self):
m = Event(des='CTP.MD', src=str(self.id),
msgtype=MSG_TYPE.MSG_TYPE_TEST)
msg = m.serialize()
self._send_sock.send(msg)
print(f'tradeclient {self.id} send msg: {msg}')
# start and stop
def start(self, timer=True):
"""
start the dispatcher thread and begin to recv msg through nng
"""
self.event_engine.start()
print('tradeclient started ,pid = %d ' % os.getpid())
self.__active = True
while self.__active:
try:
msgin = self._recv_sock.recv(flags=0)
msgin = msgin.decode("utf-8")
if msgin is not None and msgin.index('|') > 0:
if msgin[0] == '@':
print('tradeclient(pid = %d) rec @ msg:' %
(self.id), msgin, 'at ', datetime.now())
if msgin[-1] == '\0':
msgin = msgin[:-1]
if msgin[-1] == '\x00':
msgin = msgin[:-1]
m = Event()
m.deserialize(msgin)
self.event_engine.put(m)
except Exception as e:
pass
#print("TradeEngineError {0}".format(str(e.args[0])).encode("utf-8"))
def stop(self):
"""
stop
"""
self.__active = False
self.event_engine.stop()
def put(self, event):
"""
send event msg,TODO:check the event
"""
#
self._send_sock.send(event.serialize(), flags=1)
def register_handler(self, type_, handler):
"""
register handler/subscriber
"""
# self.event_engine.register(type_,handler)
# handlerList = self._handlers[type_]
# if handler not in handlerList:
# self._handlers[type_].append(handler)
# #handlerList.append(handler)
pass
def unregister_handler(self, type_, handler):
"""
unregister handler/subscriber
"""
# handlerList = self._handlers[type_]
# if handler in handlerList:
# self._handlers.remove(handler)
# if not handlerList:
# del self._handlers[type_]
pass
def write_log(self, msg: str, strategy: StrategyBase = None):
"""
Create engine log event.
"""
# if strategy:
# msg = f"{strategy.strategy_name}: {msg}"
# log = LogData(msg=msg, gateway_name="CtaStrategy")
# event = Event(type=EVENT_CTA_LOG, data=log)
# self.event_engine.put(event)
print(msg)
class TradeEngine(BaseEngine):
"""
Send to and receive from msg server ,used for strategy
"""
setting_filename = "cta_strategy_setting.json"
data_filename = "cta_strategy_data.json"
def __init__(self,config:dict):
super(TradeEngine, self).__init__()
"""
two sockets to send and recv msg
"""
self.__active = False
self.id = 0
self.engine_type = EngineType.LIVE
self._recv_sock = Socket(SUB)
self._send_sock = Socket(PUSH)
self._config = config
self._handlers = defaultdict(list)
# stragegy manage
self.strategy_setting = {} # strategy_name: dict
self.strategy_data = {} # strategy_name: dict
self.classes = {} # class_name: stategy_class
self.strategies = {} # strategy_name: strategy
self.symbol_strategy_map = defaultdict(
list) # vt_symbol: strategy list
self.orderid_strategy_map = {} # vt_orderid: strategy
self.strategy_orderid_map = defaultdict(
set) # strategy_name: orderid list
self.stop_order_count = 0 # for generating stop_orderid
self.stop_orders = {} # stop_orderid: stop_order
self.init_thread = None
self.init_queue = Queue()
# order,tick,position ,etc manage
self.ticks = {}
self.orders = {}
self.trades = {}
self.positions = {}
self.accounts = {}
self.contracts = {}
self.active_orders = {}
self.rq_client = None
self.rq_symbols = set()
self.offset_converter = OffsetConverter(self)
self.init_engine()
def init_engine(self):
self.init_nng()
self.init_rqdata()
self.load_strategy_class()
self.load_strategy_setting()
self.load_strategy_data()
self.register_event()
def init_rqdata(self):
result = rqdata_client.init()
if result:
self.write_log("RQData数据接口初始化成功")
def register_event(self):
""""""
self.event_engine.register(EventType.TICK, self.process_tick_event)
self.event_engine.register(EventType.ORDERSTATUS, self.process_order_event)
self.event_engine.register(EventType.FILL, self.process_trade_event)
self.event_engine.register(EventType.POSITION, self.process_position_event)
self.event_engine.register(EventType.ACCOUNT, self.process_account_event)
self.event_engine.register(EventType.CONTRACT, self.process_contract_event)
def process_tick_event(self, event: Event):
""""""
tick = event
strategies = self.symbol_strategy_map[tick.full_symbol]
if not strategies:
return
# self.check_stop_order(tick)
for strategy in strategies:
if strategy.inited:
self.call_strategy_func(strategy, strategy.on_tick, tick)
self.ticks[tick.full_symbol] = tick
def process_order_event(self, event: Event):
""""""
order = event
self.offset_converter.update_order(order)
strategy = self.orderid_strategy_map.get(order.vt_orderid, None)
if not strategy:
return
# Remove vt_orderid if order is no longer active.
vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
if order.vt_orderid in vt_orderids and not order.is_active():
vt_orderids.remove(order.vt_orderid)
# For server stop order, call strategy on_stop_order function
# if order.type == OrderType.STOP:
# so = StopOrder(
# vt_symbol=order.vt_symbol,
# direction=order.direction,
# offset=order.offset,
# price=order.price,
# volume=order.volume,
# stop_orderid=order.vt_orderid,
# strategy_name=strategy.strategy_name,
# status=STOP_STATUS_MAP[order.status],
# vt_orderid=order.vt_orderid,
# )
# self.call_strategy_func(strategy, strategy.on_stop_order, so)
# Call strategy on_order function
self.call_strategy_func(strategy, strategy.on_order, order)
self.orders[order.vt_orderid] = order
# If order is active, then update data in dict.
if order.is_active():
self.active_orders[order.vt_orderid] = order
# Otherwise, pop inactive order from in dict
elif order.vt_orderid in self.active_orders:
self.active_orders.pop(order.vt_orderid)
def process_trade_event(self, event: Event):
""""""
trade = event
self.offset_converter.update_trade(trade)
strategy = self.orderid_strategy_map.get(trade.vt_orderid, None)
if not strategy:
return
# if trade.direction == Direction.LONG:
# strategy.pos += trade.volume
# else:
# strategy.pos -= trade.volume
self.call_strategy_func(strategy, strategy.on_trade, trade)
self.put_strategy_event(strategy)
self.trades[trade.vt_tradeid] = trade
def process_position_event(self, event: Event):
""""""
position = event
self.offset_converter.update_position(position)
self.positions[position.vt_positionid] = position
def process_account_event(self, event: Event):
""""""
account = event
self.accounts[account.vt_accountid] = account
def process_contract_event(self, event: Event):
""""""
contract = event
self.contracts[contract.vt_symbol] = contract
def call_strategy_func(
self, strategy: StrategyBase, func: Callable, params: Any = None
):
"""
Call function of a strategy and catch any exception raised.
"""
try:
if params:
func(params)
else:
func()
except Exception:
strategy.trading = False
strategy.inited = False
msg = f"触发异常已停止\n{traceback.format_exc()}"
self.write_log(msg, strategy)
def add_strategy(
self, class_name: str, strategy_name: str, vt_symbol: str, setting: dict
):
"""
Add a new strategy.
"""
if strategy_name in self.strategies:
self.write_log(f"创建策略失败，存在重名{strategy_name}")
return
strategy_class = self.classes[class_name]
strategy = strategy_class(self, strategy_name, vt_symbol, setting)
self.strategies[strategy_name] = strategy
# Add vt_symbol to strategy map.
strategies = self.symbol_strategy_map[vt_symbol]
strategies.append(strategy)
# Update to setting file.
self.update_strategy_setting(strategy_name, setting)
self.put_strategy_event(strategy)
def init_strategy(self, strategy_name: str):
"""
Init a strategy.
"""
self.init_queue.put(strategy_name)
if not self.init_thread:
self.init_thread = Thread(target=self._init_strategy)
self.init_thread.start()
def _init_strategy(self):
"""
Init strategies in queue.
"""
while not self.init_queue.empty():
strategy_name = self.init_queue.get()
strategy = self.strategies[strategy_name]
if strategy.inited:
self.write_log(f"{strategy_name}已经完成初始化，禁止重复操作")
continue
self.write_log(f"{strategy_name}开始执行初始化")
# Call on_init function of strategy
self.call_strategy_func(strategy, strategy.on_init)
# Restore strategy data(variables)
data = self.strategy_data.get(strategy_name, None)
if data:
for name in strategy.variables:
value = data.get(name, None)
if value:
setattr(strategy, name, value)
# Subscribe market data
contract = self.get_contract(strategy.vt_symbol)
if contract:
req = SubscribeEvent()
req.destination = contract.gateway_name
req.source = "0"
req.content = strategy.symbol
self.put(req)
else:
self.write_log(f"行情订阅失败，找不到合约{strategy.vt_symbol}", strategy)
# Put event to update init completed status.
strategy.inited = True
self.put_strategy_event(strategy)
self.write_log(f"{strategy_name}初始化完成")
self.init_thread = None
def start_strategy(self, strategy_name: str):
"""
Start a strategy.
"""
strategy = self.strategies[strategy_name]
if not strategy.inited:
self.write_log(f"策略{strategy.strategy_name}启动失败，请先初始化")
return
if strategy.trading:
self.write_log(f"{strategy_name}已经启动，请勿重复操作")
return
self.call_strategy_func(strategy, strategy.on_start)
strategy.trading = True
self.put_strategy_event(strategy)
def stop_strategy(self, strategy_name: str):
"""
Stop a strategy.
"""
strategy = self.strategies[strategy_name]
if not strategy.trading:
return
# Call on_stop function of the strategy
self.call_strategy_func(strategy, strategy.on_stop)
# Change trading status of strategy to False
strategy.trading = False
# Cancel all orders of the strategy
# self.cancel_all(strategy)
# Update GUI
self.put_strategy_event(strategy)
def edit_strategy(self, strategy_name: str, setting: dict):
"""
Edit parameters of a strategy.
"""
strategy = self.strategies[strategy_name]
strategy.update_setting(setting)
self.update_strategy_setting(strategy_name, setting)
self.put_strategy_event(strategy)
def remove_strategy(self, strategy_name: str):
"""
Remove a strategy.
"""
strategy = self.strategies[strategy_name]
if strategy.trading:
self.write_log(f"策略{strategy.strategy_name}移除失败，请先停止")
return
# Remove setting
self.remove_strategy_setting(strategy_name)
# Remove from symbol strategy map
strategies = self.symbol_strategy_map[strategy.vt_symbol]
strategies.remove(strategy)
# Remove from active orderid map
if strategy_name in self.strategy_orderid_map:
vt_orderids = self.strategy_orderid_map.pop(strategy_name)
# Remove vt_orderid strategy map
for vt_orderid in vt_orderids:
if vt_orderid in self.orderid_strategy_map:
self.orderid_strategy_map.pop(vt_orderid)
# Remove from strategies
self.strategies.pop(strategy_name)
return True
def load_strategy_class(self):
"""
Load strategy class from source code.
"""
path1 = Path(__file__).parent.joinpath("")
self.load_strategy_class_from_folder(
path1, "mystrategy")
path2 = Path.cwd().joinpath("")
self.load_strategy_class_from_folder(path2, "mystrategy")
def load_strategy_class_from_folder(self, path: Path, module_name: str = ""):
"""
Load strategy class from certain folder.
"""
for dirpath, dirnames, filenames in os.walk(str(path)):
for filename in filenames:
if filename.endswith(".py"):
strategy_module_name = ".".join(
[module_name, filename.replace(".py", "")])
self.load_strategy_class_from_module(strategy_module_name)
def load_strategy_class_from_module(self, module_name: str):
"""
Load strategy class from module file.
"""
try:
module = importlib.import_module(module_name)
for name in dir(module):
value = getattr(module, name)
if (isinstance(value, type) and issubclass(value, StrategyBase) and value is not StrategyBase):
self.classes[value.__name__] = value
except: # noqa
msg = f"策略文件{module_name}加载失败，触发异常：\n{traceback.format_exc()}"
self.write_log(msg)
def load_strategy_data(self):
"""
Load strategy data from json file.
"""
self.strategy_data = load_json(self.data_filename)
def sync_strategy_data(self, strategy: StrategyBase):
"""
Sync strategy data into json file.
"""
data = strategy.get_variables()
data.pop("inited") # Strategy status (inited, trading) should not be synced.
data.pop("trading")
self.strategy_data[strategy.strategy_name] = data
save_json(self.data_filename, self.strategy_data)
def get_all_strategy_class_names(self):
"""
Return names of strategy classes loaded.
"""
return list(self.classes.keys())
def get_strategy_class_parameters(self, class_name: str):
"""
Get default parameters of a strategy class.
"""
strategy_class = self.classes[class_name]
parameters = {}
for name in strategy_class.parameters:
parameters[name] = getattr(strategy_class, name)
return parameters
def get_strategy_parameters(self, strategy_name):
"""
Get parameters of a strategy.
"""
strategy = self.strategies[strategy_name]
return strategy.get_parameters()
def init_all_strategies(self):
"""
"""
for strategy_name in self.strategies.keys():
self.init_strategy(strategy_name)
def start_all_strategies(self):
"""
"""
for strategy_name in self.strategies.keys():
self.start_strategy(strategy_name)
def stop_all_strategies(self):
"""
"""
for strategy_name in self.strategies.keys():
self.stop_strategy(strategy_name)
def load_strategy_setting(self):
"""
Load setting file.
"""
self.strategy_setting = load_json(self.setting_filename)
for strategy_name, strategy_config in self.strategy_setting.items():
self.add_strategy(
strategy_config["class_name"],
strategy_name,
strategy_config["vt_symbol"],
strategy_config["setting"]
)
def update_strategy_setting(self, strategy_name: str, setting: dict):
"""
Update setting file.
"""
strategy = self.strategies[strategy_name]
self.strategy_setting[strategy_name] = {
"class_name": strategy.__class__.__name__,
"vt_symbol": strategy.vt_symbol,
"setting": setting,
}
save_json(self.setting_filename, self.strategy_setting)
def remove_strategy_setting(self, strategy_name: str):
"""
Update setting file.
"""
if strategy_name not in self.strategy_setting:
return
self.strategy_setting.pop(strategy_name)
save_json(self.setting_filename, self.strategy_setting)
# def put_stop_order_event(self, stop_order: StopOrder):
# """
# Put an event to update stop order status.
# """
# event = Event(EVENT_CTA_STOPORDER, stop_order)
# self.event_engine.put(event)
def put_strategy_event(self, strategy: StrategyBase):
"""
Put an event to update strategy status.
"""
data = strategy.get_data()
# event = Event(EVENT_CTA_STRATEGY, data)
# self.event_engine.put(event)
pass
def init_nng(self):
self._recv_sock.set_string_option(SUB, SUB_SUBSCRIBE, '') # receive msg start with all
self._recv_sock.set_int_option(SOL_SOCKET,RCVTIMEO,100)
self._recv_sock.connect(self._config['serverpub_url'])
self._send_sock.connect(self._config['serverpull_url'])
#------------------------------------ public functions -----------------------------#
def query_bar_from_rq(
self, symbol: str, exchange: Exchange, interval: Interval, start: datetime, end: datetime
):
"""
Query bar data from RQData.
"""
data = rqdata_client.query_bar(
symbol, exchange, interval, start, end
)
return data
def load_bar(
self,
vt_symbol: str,
days: int,
interval: Interval,
callback: Callable[[BarData], None]
):
""""""
symbol, exchange = extract_vt_symbol(vt_symbol)
end = datetime.now()
start = end - timedelta(days)
# Query bars from RQData by default, if not found, load from database.
bars = self.query_bar_from_rq(symbol, exchange, interval, start, end)
if not bars:
bars = database_manager.load_bar_data(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end,
)
for bar in bars:
callback(bar)
def get_tick(self, vt_symbol):
"""
Get latest market tick data by vt_symbol.
"""
return self.ticks.get(vt_symbol, None)
def get_order(self, vt_orderid):
"""
Get latest order data by vt_orderid.
"""
return self.orders.get(vt_orderid, None)
def get_trade(self, vt_tradeid):
"""
Get trade data by vt_tradeid.
"""
return self.trades.get(vt_tradeid, None)
def get_position(self, vt_positionid):
"""
Get latest position data by vt_positionid.
"""
return self.positions.get(vt_positionid, None)
def get_account(self, vt_accountid):
"""
Get latest account data by vt_accountid.
"""
return self.accounts.get(vt_accountid, None)
def get_contract(self, vt_symbol):
"""
Get contract data by vt_symbol.
"""
return self.contracts.get(vt_symbol, None)
def get_all_ticks(self):
"""
Get all tick data.
"""
return list(self.ticks.values())
def get_all_orders(self):
"""
Get all order data.
"""
return list(self.orders.values())
def get_all_trades(self):
"""
Get all trade data.
"""
return list(self.trades.values())
def get_all_positions(self):
"""
Get all position data.
"""
return list(self.positions.values())
def get_all_accounts(self):
"""
Get all account data.
"""
return list(self.accounts.values())
def get_all_contracts(self):
"""
Get all contract data.
"""
return list(self.contracts.values())
def get_all_active_orders(self, vt_symbol: str = ""):
"""
Get all active orders by vt_symbol.
If vt_symbol is empty, return all active orders.
"""
if not vt_symbol:
return list(self.active_orders.values())
else:
active_orders = [
order
for order in self.active_orders.values()
if order.vt_symbol == vt_symbol
]
return active_orders
def start(self, timer=True):
"""
start the dispatcher thread and begin to recv msg through nng
"""
self.event_engine.start()
print('tradeclient started ,pid = %d ' % os.getpid())
self.__active = True
# print(self._config['serverpub_url'])
while self.__active:
try:
msgin = self._recv_sock.recv(flags=0)
msgin = msgin.decode("utf-8")
if msgin is not None and msgin.index('|') > 0:
print('tradeclient(id = %d) rec server msg:'%(self.id), msgin,'at ', datetime.now())
if msgin[-1] == '\0':
msgin = msgin[:-1]
if msgin[-1] == '\x00':
msgin = msgin[:-1]
v = msgin.split('|')
msg2type = MSG_TYPE(int(v[2]))
if msg2type == MSG_TYPE.MSG_TYPE_TICK_L1:
m = TickEvent()
m.deserialize(msgin)
elif msg2type == MSG_TYPE.MSG_TYPE_RTN_ORDER:
m = OrderStatusEvent()
m.deserialize(msgin)
elif msg2type == MSG_TYPE.MSG_TYPE_RTN_TRADE:
m = FillEvent()
m.deserialize(msgin)
elif msg2type == MSG_TYPE.MSG_TYPE_RSP_POS:
m = PositionEvent()
m.deserialize(msgin)
elif msg2type == MSG_TYPE.MSG_TYPE_Hist:
m = HistoricalEvent()
m.deserialize(msgin)
elif msg2type == MSG_TYPE.MSG_TYPE_RSP_ACCOUNT:
m = AccountEvent()
m.deserialize(msgin)
elif msg2type == MSG_TYPE.MSG_TYPE_RSP_CONTRACT:
m = ContractEvent()
m.deserialize(msgin)
elif msg2type == MSG_TYPE.MSG_TYPE_INFO:
m = InfoEvent()
m.deserialize(msgin)
else:
m = GeneralReqEvent()
m.deserialize(msgin)
pass
self.event_engine.put(m)
# if m.event_type in self._handlers:
# [handler(m) for handler in self._handlers[m.event_type]]
except Exception as e:
pass
#print("TradeEngineError {0}".format(str(e.args[0])).encode("utf-8"))
def stop(self):
"""
stop
"""
self.__active = False
self.event_engine.stop()
def put(self, event):
"""
send event msg,TODO:check the event
"""
#
self._send_sock.send(event.serialize(),flags=1)
def register_handler(self, type_, handler):
"""
register handler/subscriber
"""
# handlerList = self._handlers[type_]
# if handler not in handlerList:
# self._handlers[type_].append(handler)
# #handlerList.append(handler)
pass
def unregister_handler(self, type_, handler):
"""
unregister handler/subscriber
"""
# handlerList = self._handlers[type_]
# if handler in handlerList:
# self._handlers.remove(handler)
# if not handlerList:
# del self._handlers[type_]
pass
def write_log(self, msg: str, strategy: StrategyBase = None):
"""
Create engine log event.
"""
# if strategy:
# msg = f"{strategy.strategy_name}: {msg}"
# log = LogData(msg=msg, gateway_name="CtaStrategy")
# event = Event(type=EVENT_CTA_LOG, data=log)
# self.event_engine.put(event)
print(msg)
# -------------------------------- end of public functions -----------------------------#
class ClientMq(object):
def __init__(self, config, ui_event_engine, outgoing_quue):
self._ui_event_engine = ui_event_engine
self._outgoing_quue = outgoing_quue
self._config = config
self._active = False
self._thread = Thread(target=self._run)
def _run(self):
# os.system("taskset -cp 5 %d " % os.getpid())
while self._active:
try:
# response msg from server
msgin = self._recv_sock.recv(flags=0)
msgin = msgin.decode("utf-8")
if msgin is not None and msgin.index('|') > 0:
print('client rec broker msg:', msgin, 'at ',
datetime.now())
if msgin[-1] == '\0':
msgin = msgin[:-1]
if msgin[-1] == '\x00':
msgin = msgin[:-1]
v = msgin.split('|')
msg2type = MSG_TYPE(int(v[2]))
if msg2type == MSG_TYPE.MSG_TYPE_TICK_L1:
m = TickEvent()
m.deserialize(msgin)
self._ui_event_engine.put(m)
elif msg2type == MSG_TYPE.MSG_TYPE_RTN_ORDER:
m = OrderStatusEvent()
m.deserialize(msgin)
self._ui_event_engine.put(m)
elif msg2type == MSG_TYPE.MSG_TYPE_RTN_TRADE:
m = FillEvent()
m.deserialize(msgin)
self._ui_event_engine.put(m)
elif msg2type == MSG_TYPE.MSG_TYPE_RSP_POS:
m = PositionEvent()
m.deserialize(msgin)
self._ui_event_engine.put(m)
elif msg2type == MSG_TYPE.MSG_TYPE_Hist:
m = HistoricalEvent()
m.deserialize(msgin)
self._ui_event_engine.put(m)
elif msg2type == MSG_TYPE.MSG_TYPE_RSP_ACCOUNT:
m = AccountEvent()
m.deserialize(msgin)
self._ui_event_engine.put(m)
elif msg2type == MSG_TYPE.MSG_TYPE_RSP_CONTRACT:
m = ContractEvent()
m.deserialize(msgin)
self._ui_event_engine.put(m)
elif v[2].startswith(
'3'): #msg2type == MSG_TYPE.MSG_TYPE_INFO:
m = InfoEvent()
m.deserialize(msgin)
self._ui_event_engine.put(m)
pass
except Exception as e:
pass
try:
# request, qry msg to server
msgout = self._outgoing_quue.get(False)
print('outgoing get msg,begin send', msgout, datetime.now())
# self._send_sock.send(bytes(msgout,"ascii"), flags=0)
self._send_sock.send(msgout, flags=1)
print('outgoing end send', msgout, datetime.now())
except Exception as e:
pass
def start(self, timer=True):
"""
start the mq thread
"""
self._recv_sock = Socket(SUB)
self._send_sock = Socket(PUSH)
self._monitor_sock = Socket(SUB)
# print(os.getpid())
self._recv_sock.connect(self._config['serverpub_url'])
self._recv_sock.set_string_option(SUB, SUB_SUBSCRIBE,
'') # receive msg start with all
self._recv_sock.set_int_option(SOL_SOCKET, RCVTIMEO, 100)
self._send_sock.connect(self._config['serverpull_url'])
self._monitor_sock.connect(self._config['serversub_url'])
self._active = True
if not self._thread.isAlive():
self._thread.start()
def stop(self):
"""
stop the mq thread
"""
self._active = False
if self._thread.isAlive():
self._thread.join()