class GetBarThread(PollingThread):
# Events
ON_BARS = 1
def __init__(self, queue, identifiers, frequency):
super(GetBarThread, self).__init__()
self.__queue = queue
self.__identifiers = identifiers
self.__frequency = frequency
self.__nextBarStart = None
self.__nextBarClose = None
self._ticksDf = {}
self.__lock = Lock()
for identifier in self.__identifiers:
self._ticksDf[identifier] = DataFrame(
columns=['time', 'price', 'volume', 'amount'])
self._ctpMdApi = CTPMdApi(self.__identifiers, self._ticksDf,
self.__lock, logger)
#self._ctpMdApi.login("tcp://222.66.97.241:41213", '9017811', '123456', '7070')
self._ctpMdApi.login("tcp://180.168.212.228:41213", "simnow申请",
"simnow申请", "9999")
#self._ctpMdApi.login("tcp://211.144.195.163:34505", "", "", "")
self.__updateNextBarClose()
def __updateNextBarClose(self):
self.__nextBarStart = resamplebase.build_range(
utcnow(), self.__frequency).getBeginning()
self.__nextBarClose = resamplebase.build_range(
utcnow(), self.__frequency).getEnding()
def getNextCallDateTime(self):
return self.__nextBarClose
def doCall(self):
startDateTime = to_market_datetime(self.__nextBarStart)
endDateTime = to_market_datetime(self.__nextBarClose)
self.__updateNextBarClose()
barDict = dict()
for identifier in self.__identifiers:
try:
period_bar = self._build_bar(identifier, startDateTime,
endDateTime)
if period_bar:
barDict[identifier] = period_bar
except Exception, e:
logger.error(e)
if len(barDict):
bars = bar.Bars(barDict)
self.__queue.put((GetBarThread.ON_BARS, bars))
def setUp(self):
self._instrument = 'au1606'
ticks_df = dict()
lock = Lock()
self._logger = mock.MagicMock()
self._df = DataFrame(columns=['time', 'price', 'volume', 'amount'])
ticks_df[self._instrument] = self._df
self._api = CTPMdApi([self._instrument], ticks_df, lock, self._logger)
def setUp(self):
self._instrument = "au1606"
ticks_df = dict()
lock = Lock()
self._logger = mock.MagicMock()
self._df = DataFrame(columns=["time", "price", "volume", "amount"])
ticks_df[self._instrument] = self._df
self._api = CTPMdApi([self._instrument], ticks_df, lock, self._logger)
def __init__(self, queue, identifiers, frequency):
super(GetBarThread, self).__init__()
self.__queue = queue
self.__identifiers = identifiers
self.__frequency = frequency
self.__nextBarStart = None
self.__nextBarClose = None
self._ticksDf = {}
self.__lock = Lock()
for identifier in self.__identifiers:
self._ticksDf[identifier] = DataFrame(
columns=['time', 'price', 'volume', 'amount'])
self._ctpMdApi = CTPMdApi(self.__identifiers, self._ticksDf,
self.__lock, logger)
#self._ctpMdApi.login("tcp://222.66.97.241:41213", '9017811', '123456', '7070')
self._ctpMdApi.login("tcp://180.168.212.228:41213", "simnow申请",
"simnow申请", "9999")
#self._ctpMdApi.login("tcp://211.144.195.163:34505", "", "", "")
self.__updateNextBarClose()
class TestCTPMdApi(TestCase):
def setUp(self):
self._instrument = "au1606"
ticks_df = dict()
lock = Lock()
self._logger = mock.MagicMock()
self._df = DataFrame(columns=["time", "price", "volume", "amount"])
ticks_df[self._instrument] = self._df
self._api = CTPMdApi([self._instrument], ticks_df, lock, self._logger)
def test_onRtnDepthMarketData(self):
data = dict()
data["InstrumentID"] = self._instrument
data["UpdateTime"] = "09:31:00"
data["LastPrice"] = 10.0
data["Volume"] = 200
data["Turnover"] = 412.3
data["PreClosePrice"] = 10.0
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
self.assertEqual(10.0, self._df.ix[0].price)
self.assertEqual(412.3, self._df.ix[0].amount)
# new tick data
data["UpdateTime"] = "09:31:02"
data["LastPrice"] = 10.1
data["Volume"] = 300
data["Turnover"] = 555.3
self._api.onRtnDepthMarketData(data)
self.assertEqual(2, len(self._df))
self.assertEqual(10.1, self._df.ix[1].price)
self.assertEqual(555.3, self._df.ix[1].amount)
def test_onRtnDepthMarketData_With_Invalid_TickData(self):
data = dict()
data["InstrumentID"] = self._instrument
data["UpdateTime"] = "09:31:00"
data["LastPrice"] = 10.0
data["Volume"] = 200
data["Turnover"] = 412.3
data["PreClosePrice"] = 10.0
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
# new tick data with older time
data["UpdateTime"] = "09:30:50"
data["LastPrice"] = 10.1
data["Volume"] = 300
data["Turnover"] = 555.3
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
self.assertTrue(self._logger.warn.called)
# price is higher than pre_close * 1.1
data["UpdateTime"] = "09:31:50"
data["LastPrice"] = 12.0
data["Volume"] = 300
data["Turnover"] = 555.3
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
self.assertTrue(self._logger.warn.called)
# price is lower than pre_close * 0.9
data["UpdateTime"] = "09:31:50"
data["LastPrice"] = 8.0
data["Volume"] = 300
data["Turnover"] = 555.3
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
self.assertTrue(self._logger.warn.called)
def test_onRtnDepthMarketData_With_Invalid_DataContent(self):
data = dict()
data["InstrumentID"] = self._instrument
data["UpdateTime"] = "09:31:00"
data["LastPriceXXXXX"] = 10.0 # invalid dict data
data["Volume"] = 200
data["Turnover"] = 412.3
data["PreClosePrice"] = 10.0
self._api.onRtnDepthMarketData(data)
self.assertEqual(0, len(self._df))
# logger called check
self.assertTrue(self._logger.error.called)
data["InstrumentID"] = "NonExist"
self._api.onRtnDepthMarketData(data)
self.assertEqual(0, len(self._df))
# logger called check
self.assertTrue(self._logger.error.called)
class TestCTPMdApi(TestCase):
def setUp(self):
self._instrument = 'au1606'
ticks_df = dict()
lock = Lock()
self._logger = mock.MagicMock()
self._df = DataFrame(columns=['time', 'price', 'volume', 'amount'])
ticks_df[self._instrument] = self._df
self._api = CTPMdApi([self._instrument], ticks_df, lock, self._logger)
def test_onRtnDepthMarketData(self):
data = dict()
data['InstrumentID'] = self._instrument
data['UpdateTime'] = '09:31:00'
data['LastPrice'] = 10.0
data['Volume'] = 200
data['Turnover'] = 412.3
data['PreClosePrice'] = 10.0
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
self.assertEqual(10.0, self._df.ix[0].price)
self.assertEqual(412.3, self._df.ix[0].amount)
# new tick data
data['UpdateTime'] = '09:31:02'
data['LastPrice'] = 10.1
data['Volume'] = 300
data['Turnover'] = 555.3
self._api.onRtnDepthMarketData(data)
self.assertEqual(2, len(self._df))
self.assertEqual(10.1, self._df.ix[1].price)
self.assertEqual(555.3, self._df.ix[1].amount)
def test_onRtnDepthMarketData_With_Invalid_TickData(self):
data = dict()
data['InstrumentID'] = self._instrument
data['UpdateTime'] = '09:31:00'
data['LastPrice'] = 10.0
data['Volume'] = 200
data['Turnover'] = 412.3
data['PreClosePrice'] = 10.0
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
# new tick data with older time
data['UpdateTime'] = '09:30:50'
data['LastPrice'] = 10.1
data['Volume'] = 300
data['Turnover'] = 555.3
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
self.assertTrue(self._logger.warn.called)
# price is higher than pre_close * 1.1
data['UpdateTime'] = '09:31:50'
data['LastPrice'] = 12.0
data['Volume'] = 300
data['Turnover'] = 555.3
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
self.assertTrue(self._logger.warn.called)
# price is lower than pre_close * 0.9
data['UpdateTime'] = '09:31:50'
data['LastPrice'] = 8.0
data['Volume'] = 300
data['Turnover'] = 555.3
self._api.onRtnDepthMarketData(data)
self.assertEqual(1, len(self._df))
self.assertTrue(self._logger.warn.called)
def test_onRtnDepthMarketData_With_Invalid_DataContent(self):
data = dict()
data['InstrumentID'] = self._instrument
data['UpdateTime'] = '09:31:00'
data['LastPriceXXXXX'] = 10.0 # invalid dict data
data['Volume'] = 200
data['Turnover'] = 412.3
data['PreClosePrice'] = 10.0
self._api.onRtnDepthMarketData(data)
self.assertEqual(0, len(self._df))
# logger called check
self.assertTrue(self._logger.error.called)
data['InstrumentID'] = 'NonExist'
self._api.onRtnDepthMarketData(data)
self.assertEqual(0, len(self._df))
# logger called check
self.assertTrue(self._logger.error.called)