def subscribeEvent(self, symbol):
"""订阅对应合约的事件"""
contract = self.mainEngine.getContract(symbol)
if not contract:
self.writeLog(u'行情订阅失败，找不到合约：%s' % symbol)
return
vtSymbol = contract.vtSymbol
# 订阅行情
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
gateway = self.mainEngine.getGateway(contract.gatewayName)
if gateway.mdConnected:
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.mainEngine.subscribe(req, 'SEC')
self.mainEngine.subscribe(req, 'CSHSHLP')
# 订阅事件
if req.symbol == '510050':
#做这个处理是因为，中信接口没有行情接口，需要用其他的接口获取行情，但是有时候会出现vtSymbol对应不上的情况
self.eventEngine.register(EVENT_TICK + req.symbol,
self.processTickEvent)
vtSymbol = '510050.SSE'
self.eventEngine.register(EVENT_TICK + vtSymbol, self.processTickEvent)
self.eventEngine.register(EVENT_TRADE + vtSymbol,
self.processTradeEvent)
def addContract(self, event):
"""更新合约数据"""
contract = event.dict_['data']
if contract.productClass == u'期货':
#print(contract.symbol)
req = VtSubscribeReq()
req.symbol = contract.symbol
self.mainEngine.subscribe(req, "CTP")
# 创建BarManager对象
self.bmDict[contract.symbol] = BarManager(self.onBar, self.onXBar,
self.handleDayBar)
self.tickSymbolSet.add(contract.symbol)
#判断是否新合约
if contract.symbol not in self.mongoSymbolSet:
#新合约要先给数据库表建索datetime索引
self.mainEngine.dbCreateIndex(TICK_DB_NAME, contract.symbol)
for xmin in MINUTE_TO_DB_NAME:
self.mainEngine.dbCreateIndex(MINUTE_TO_DB_NAME[xmin],
contract.symbol)
# 保存到配置字典中
if contract.symbol not in self.settingDict:
d = {'symbol': contract.symbol, 'gateway': "CTP", 'tick': True}
self.settingDict[contract.symbol] = d
def main():
global me
ee = EventEngine()
me = MainEngine(ee)
ee.register(EVENT_TICK, on_tick_update)
me.addGateway(ctpGateway)
me.getGateway('CTP').filePath = os.path.join(
os.path.dirname(os.path.abspath(__file__)),
'CTP_connect.simnow.mock.json')
me.connect('CTP')
# 等待 1 秒是为了避免订阅时机 bug
import time
time.sleep(1)
# vt_symbols = ['SR901C5300.CZCE', 'SR901C5200.CZCE']
vt_symbols = ['ru1908.SHFE', 'rb1908.SHFE']
symbols, exchanges = zip(
*[vs.split('.') if '.' in vs else (vs, '') for vs in vt_symbols])
for s, e in zip(symbols, exchanges):
req = VtSubscribeReq()
req.symbol, req.exchange = s, e
me.subscribe(req, 'CTP')
print('Futures subscribed.')
def subscribeForStrategy(self, stra):
try:
stockCodeList = stra.getSubscribeList()
req = VtSubscribeReq()
req.symbol = stockCodeList
self.mainEngine.subscribe(req, 'FUTU')
except:
traceback.print_exc()
def subscribeSymobls(self):
import string
symbols = map(string.strip,
self.cfgs.get('sub_symbols', '').split(','))
for symbol in symbols:
req = VtSubscribeReq()
req.symbol = symbol
req.exchange = EXCHANGE_SSE
self.mainEngine.subscribe(req, xtpGateway.gatewayName) #
def subscribe(self, *symbols):
for symbol in symbols:
if not self.symbols.has_key(symbol):
req = VtSubscribeReq()
req.symbol = symbol
self.mainEngine.subscribe(req, xtpGateway.gatewayName) # XTP
self.symbols[symbol] = symbol
if not symbols:
self.mainEngine.subscribe(None,
xtpGateway.gatewayName) # 订阅全市场所有股票
def subscribeForOption(self, optionCode):
try:
optionDetail = self.workingOptionDict[optionCode]
codeList = (optionCode, optionDetail["OwnerCode"])
for stockCode in codeList:
req = VtSubscribeReq()
req.symbol = stockCode
self.mainEngine.subscribe(req, 'FUTU')
# time.sleep(1)
except:
traceback.print_exc()
def subscribeMarketData(self, vtSymbol):
"""订阅行情"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'订阅行情失败，找不到该合约%s' %vtSymbol)
return
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
def subscribeMarketData(self, vtSymbol):
"""订阅行情"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'订阅行情失败，找不到该合约%s' % vtSymbol)
return
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
def updatePos(self, data):
""""""
vtSymbol = data['vtSymbol']
if vtSymbol not in self.subscribeSet:
contract = self.mainEngine.getContract(vtSymbol)
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
vtPositionName = data['vtPositionName']
target = int(data['pos'] * self.copyRatio)
self.targetDict[vtPositionName] = target
self.checkAndTrade(vtSymbol)
def updatePos(self, data):
""""""
vtSymbol = data['vtSymbol']
if vtSymbol not in self.subscribeSet:
contract = self.mainEngine.getContract(vtSymbol)
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
vtPositionName = data['vtPositionName']
target = int(data['pos'] * self.copyRatio)
self.targetDict[vtPositionName] = target
self.checkAndTrade(vtSymbol)
def subscribeEvent(self, symbol):
"""订阅对应合约的事件"""
contract = self.mainEngine.getContract(symbol)
if not contract:
self.writeLog(u'行情订阅失败，找不到合约：%s' %symbol)
return
vtSymbol = contract.vtSymbol
# 订阅行情
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
# 订阅事件
self.eventEngine.register(EVENT_TICK + vtSymbol, self.processTickEvent)
self.eventEngine.register(EVENT_TRADE + vtSymbol, self.processTradeEvent)
def subscribeEvent(self, symbol):
"""订阅对应合约的事件"""
contract = self.mainEngine.getContract(symbol)
if not contract:
self.writeLog(u'行情订阅失败，找不到合约：%s' %symbol)
return
vtSymbol = contract.vtSymbol
# 订阅行情
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
# 订阅事件
self.eventEngine.register(EVENT_TICK + vtSymbol, self.processTickEvent)
self.eventEngine.register(EVENT_TRADE + vtSymbol, self.processTradeEvent)
def post(self):
"""订阅"""
args = self.parser.parse_args()
token = args['token']
if token != TOKEN:
return {'result_code':'error','message':'token error'}
vtSymbol = args['vtSymbol']
contract = me.getContract(vtSymbol)
if not contract:
return {'result_code':'error','message':'contract error'}
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
me.subscribe(req, contract.gatewayName)
return {'result_code':'success','data':''}
def post(self):
"""订阅"""
args = self.parser.parse_args()
token = args['token']
if token != TOKEN:
return {'result_code': 'error', 'message': 'token error'}
vtSymbol = args['vtSymbol']
contract = me.getContract(vtSymbol)
if not contract:
return {'result_code': 'error', 'message': 'contract error'}
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
me.subscribe(req, contract.gatewayName)
return {'result_code': 'success', 'data': ''}
def runChildProcess():
"""子进程运行函数"""
print('-' * 20)
# 创建日志引擎
le = LogEngine()
le.setLogLevel(le.LEVEL_INFO)
le.addConsoleHandler()
le.info(u'启动行情记录运行子进程')
ee = EventEngine2()
le.info(u'事件引擎创建成功')
me = MainEngine(ee)
me.addGateway(ctpGateway)
me.addApp(dataRecorder)
le.info(u'主引擎创建成功')
ee.register(EVENT_LOG, le.processLogEvent)
ee.register(EVENT_ERROR, processErrorEvent)
le.info(u'注册日志事件监听')
me.connect('CTP')
le.info(u'连接CTP接口')
#获取全部合约信息并自动订阅
contracts = me.getAllContracts()
while len(contracts) == 0:
sleep(1)
contracts = me.getAllContracts()
print(u"共获取" + str(len(contracts)) + u"条合约信息")
for contract in contracts:
if contract.productClass == u"期货":
req = VtSubscribeReq()
req.symbol = contract.symbol
me.subscribe(req, contract.gatewayName)
me.getApp(dataRecorder.appName).tickSymbolSet.add(req.symbol)
while True:
sleep(1)
def subscribe(self, algo, vtSymbol):
""""""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s订阅行情失败，找不到合约%s' %(algo.algoName, vtSymbol))
return
# 如果vtSymbol已存在于字典，说明已经订阅过
if vtSymbol in self.symbolAlgoDict:
s = self.symbolAlgoDict[vtSymbol]
s.add(algo)
return
# 否则需要添加到字典中并执行订阅
else:
s = set()
self.symbolAlgoDict[vtSymbol] = s
s.add(algo)
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
def subscribe(self, algo, vtSymbol):
""""""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s订阅行情失败，找不到合约%s' % (algo.algoName, vtSymbol))
return
# 如果vtSymbol已存在于字典，说明已经订阅过
if vtSymbol in self.symbolAlgoDict:
s = self.symbolAlgoDict[vtSymbol]
s.add(algo)
return
# 否则需要添加到字典中并执行订阅
else:
s = set()
self.symbolAlgoDict[vtSymbol] = s
s.add(algo)
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
def addContract(self, event):
"""更新合约数据"""
contract = event.dict_['data']
# print(contract.productClass)
if contract.productClass == u'期货':
#print(contract.symbol)
req = VtSubscribeReq()
req.symbol = contract.symbol
self.mainEngine.subscribe(req, "CTP")
# 创建BarManager对象
self.bmDict[contract.symbol] = RecorderBarManager(self.onBar, self.onXBar)
self.tickSymbolSet.add(contract.symbol)
# 保存到配置字典中
if contract.symbol not in self.settingDict:
d = {
'symbol': contract.symbol,
'gateway': "CTP",
'tick': True
}
self.settingDict[contract.symbol] = d
def loadSetting(self):
"""加载配置"""
with open(self.settingFilePath) as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
# Tick记录配置
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
gateway = setting[1]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, gateway)
#tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
#self.tickDict[vtSymbol] = tick
self.tickSymbolSet.add(vtSymbol)
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': gateway,
'tick': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['tick'] = True
# 分钟线记录配置
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
gateway = setting[1]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, gateway)
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': gateway,
'bar': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['bar'] = True
# 创建BarManager对象
self.bgDict[vtSymbol] = BarGenerator(self.onBar)
# 主力合约记录配置
if 'active' in drSetting:
d = drSetting['active']
self.activeSymbolDict = {vtSymbol:activeSymbol for activeSymbol, vtSymbol in d.items()}
def loadSetting(self):
"""载入设置"""
with open(self.settingFileName) as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[vtSymbol] = tick
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
bar = VtBarData()
self.barDict[vtSymbol] = bar
if 'active' in drSetting:
d = drSetting['active'] # 各品种的主力合约
# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
for activeSymbol, vtSymbol in d.items():
self.activeSymbolDict[vtSymbol] = activeSymbol
# 启动数据插入线程
self.start()
# 注册事件监听
self.registerEvent()
def loadSetting(self):
"""加载配置"""
with open(self.settingFileName, 'r') as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[vtSymbol] = tick
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': setting[1],
'tick': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['tick'] = True
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
bar = VtBarData()
self.barDict[vtSymbol] = bar
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': setting[1],
'bar': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['bar'] = True
if 'active' in drSetting:
d = drSetting['active']
# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
for activeSymbol, vtSymbol in list(d.items()):
self.activeSymbolDict[vtSymbol] = activeSymbol
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': setting[1],
'active': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['active'] = True
def loadSetting(self):
"""加载配置"""
with open(self.settingFileName) as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[vtSymbol] = tick
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': setting[1],
'tick': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['tick'] = True
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
bar = VtBarData()
self.barDict[vtSymbol] = bar
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': setting[1],
'bar': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['bar'] = True
if 'active' in drSetting:
d = drSetting['active']
# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
for activeSymbol, vtSymbol in d.items():
self.activeSymbolDict[vtSymbol] = activeSymbol
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': setting[1],
'active': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['active'] = True
def subscribe(self, stockCodeList):
for stockCode in stockCodeList:
req = VtSubscribeReq()
req.symbol = stockCode
self.mainEngine.subscribe(req, 'FUTU')
def loadSetting(self):
"""加载配置"""
with open(self.settingFilePath) as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
# Tick记录配置
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
gateway = setting[1]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, gateway)
#tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
#self.tickDict[vtSymbol] = tick
self.tickSymbolSet.add(vtSymbol)
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': gateway,
'tick': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['tick'] = True
# 分钟线记录配置
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
gateway = setting[1]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, gateway)
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': gateway,
'bar': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['bar'] = True
# 创建BarManager对象
self.bgDict[vtSymbol] = BarGenerator(self.onBar)
# 主力合约记录配置
if 'active' in drSetting:
d = drSetting['active']
self.activeSymbolDict = {vtSymbol:activeSymbol for activeSymbol, vtSymbol in d.items()}
def loadSetting(self):
"""载入设置"""
with open(self.settingFileName) as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[vtSymbol] = tick
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
bar = VtBarData()
self.barDict[vtSymbol] = bar
if 'active' in drSetting:
d = drSetting['active']
# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
for activeSymbol, vtSymbol in d.items():
self.activeSymbolDict[vtSymbol] = activeSymbol
# 启动数据插入线程
self.start()
# 注册事件监听
self.registerEvent()