def initStrategy(self, name, strategyClass, paramDict=None):
"""初始化策略"""
# 防止策略重名
if name not in self.strategyDict:
# 创建策略对象
strategy = strategyClass(self, name, paramDict)
self.strategyDict[name] = strategy
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
else:
self.writeCtaLog(u'存在策略对象重名：' + name)
def loadSetting(self):
"""载入设置"""
with open(self.settingFileName) as f:
setting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = setting['working']
if not working:
return
if 'tick' in setting:
l = setting['tick']
for symbol, gatewayName in l:
drTick = DrTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[symbol] = drTick
req = VtSubscribeReq()
req.symbol = symbol
self.mainEngine.subscribe(req, gatewayName)
if 'bar' in setting:
l = setting['bar']
for symbol, gatewayName in l:
bar = DrBarData()
self.barDict[symbol] = bar
dayBar=DrBarData()
self.dayBarDict[symbol]=dayBar
req = VtSubscribeReq()
req.symbol = symbol
self.mainEngine.subscribe(req, gatewayName)
if 'active' in setting:
d = setting['active']
for activeSymbol, symbol in d.items():
self.activeSymbolDict[symbol] = activeSymbol
# 注册事件监听
self.registerEvent()
def loadStrategy(self, setting):
"""载入策略"""
try:
name = setting['name']
className = setting['className']
except Exception as e:
self.writeCtaLog(u'载入策略出错：%s' %e)
return
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeCtaLog(u'找不到策略类：%s' %className)
return
# 防止策略重名
if name in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' %name)
else:
# 1.创建策略对象
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 2.保存Tick映射关系（symbol <==> Strategy[] )
# modifid by Incenselee 支持多个Symbol的订阅
symbols = strategy.vtSymbol.split(';')
for symbol in symbols:
if symbol in self.tickStrategyDict:
l = self.tickStrategyDict[symbol]
else:
l = []
self.tickStrategyDict[symbol] = l
l.append(strategy)
# 3.订阅合约
contract = self.mainEngine.getContract(symbol)
if contract:
# 4.构造订阅请求包
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
# 5.调用主引擎的订阅接口
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, symbol))
def loadStrategy(self, setting):
"""载入策略"""
try:
name = setting['name']
className = setting['className']
except:
self.writeCtaLog(u'载入策略出错：%s' % traceback.format_exc())
return
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeCtaLog(u'找不到策略类：%s' % className)
return
# 防止策略重名
if name in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' % name)
else:
# 创建策略实例
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
def loadStrategy(self, setting):
"""载入策略"""
try:
name = setting['name']
className = setting['className']
except:
self.writeCtaLog(u'载入策略出错：%s' %traceback.format_exc())
return
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeCtaLog(u'找不到策略类：%s' %className)
return
# 防止策略重名
if name in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' %name)
else:
# 创建策略实例
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
def startAll(self):
if self.ctpConnected is False:
self.writeCtaLog(u'未登录CTP, 期货Tick 订阅失败')
return
if self.mainEngine.dbClient is None:
self.writeCtaLog(u'未连接数据库, 期货Tick 订阅失败')
return
# 订阅合约
print self.contractsDict.values() # 打印所有订阅合约
for contract in self.contractsDict.values():
try:
# print contract
req = VtSubscribeReq()
req.symbol = contract
self.mainEngine.subscribe(req, 'CTP')
except:
self.writeCtaLog(u'期货Tick , 合约%s 订阅失败' %(contract))
self.eventEngine.register(EVENT_TICK, self.procecssTickEvent)
self.writeCtaLog(u'期货Tick 订阅成功')
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 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
vtSymbol = setting.get('vtSymbol')
hisGatewayName = setting.get('hisGatewayName')
if vtSymbol:
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
print u'请先手动订阅成功一次'
req = VtSubscribeReq()
req.symbol = contract.symbol
req.currency = contract.currency
req.exchange = contract.exchange
req.productClass = contract.productClass
if vtSymbol in self.vtSymbolContractDict:
pass
else:
l = {}
self.vtSymbolContractDict[vtSymbol] = l
l['hisGatewayName'] = hisGatewayName
l['contract'] = req
# 注册事件监听
self.registerEvent()
# 保存Tick映射关系
vtSymbolset = setting['vtSymbol']
vtSymbolList = vtSymbolset.split(',')
for vtSymbol in vtSymbolList: #by hw 单个策略订阅多个合约，配置文件中"vtSymbol": "IF1602,IF1603"
if vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[vtSymbol]
else:
l = []
self.tickStrategyDict[vtSymbol] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' % (name, vtSymbol))
#----------------------------------------------------------------------
def initStrategy(self, name):
"""初始化策略"""
if name in self.strategyDict:
strategy = self.strategyDict[name]
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])
drTick = DrTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[vtSymbol] = drTick
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 = DrBarData()
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()
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])
drTick = DrTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[vtSymbol] = drTick
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 = DrBarData()
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()
def loadSetting(self):
"""载入设置"""
with open(self.settingFileName) as f:
setting = json.load(f)
lastVT = {}
persontype = np.dtype({'names':['symbol', 'v', 't'],
'formats':['S32','f', 'f']})
try:
with open(self.dataPath1+'lastVT/'+'lastVT.csv') as f:
lastVT1 = np.genfromtxt(f,delimiter=',',dtype = persontype)
# print lastVT1[0]
for line in lastVT1:
lastVT[line[0]] = [line[1],line[2]]
# print line
# for k in lastVT.keys():
# print k,lastVT[k]
except Exception as e:
print e
pass
# 日盘、夜盘时段读取不同的1ms序列
if datetime.now().hour >= 16 :
with open(self.Standard1ms+'Night.json','r') as f:
dictStandard1ms = json.load(f)
else:
with open(self.Standard1ms+'Day.json','r') as f:
dictStandard1ms = json.load(f)
self.barDict = {}
self.splitDict = {}
lastBar = DrBarData()
barDataRam = BarDataRam()
for strIns in setting:
for symbol in strIns['vtSymbol']:
if symbol not in self.barDict.keys():
self.splitDict[symbol] = {}
self.barDict[symbol] = {}
self.barDict[symbol][1] = {}
self.barDict[symbol][1]['data'] = copy.copy(barDataRam)
self.barDict[symbol][1]['lastData'] = copy.copy(lastBar)
# self.barDict[symbol][1]['lastTickVolume'] = 0
# self.barDict[symbol][1]['lastTickTurnover'] = 0
self.barDict[symbol][1]['initial1ms'] = False
# self.barDict[symbol][1]['break1msTime'] = []
strList = dictStandard1ms[filter(lambda ch: ch not in '0123456789', symbol).lower()]
timesList = self.timeSeries(strList)
# print temp1
timesList.append(timesList[-1]+timedelta(minutes=1))
self.splitDict[symbol][1] = copy.copy(timesList)
# print timesList
# print strIns.keys()
if u'cycle' in strIns.keys():
if strIns['cycle'] == 1:
continue
if strIns['cycle'] not in self.barDict[symbol]:
# 针对郑商所的合约代码可能要进行额外的处理
temp2 = dictStandard1ms[filter(lambda ch: ch not in '0123456789', symbol).lower()][-1]
strList = dictStandard1ms[filter(lambda ch: ch not in '0123456789', symbol).lower()][::strIns['cycle']]
# temp.pop(0)
timesList = self.timeSeries(strList)
# 使用正的偏差还是负的偏差尚未确定
if len(timesList)>1:
timesList.append(datetime.strptime(str(int(temp2)),'%Y%m%d%H%M%S').replace(year=timesList[-1].year,month=timesList[-1].month,day=timesList[-1].day)+timedelta(minutes=2))
else:
timesList.append(datetime.strptime(str(int(temp2)),'%Y%m%d%H%M%S').replace(year=datetime.now().year,month=datetime.now().month,day=datetime.now().day)+timedelta(minutes=2))
self.splitDict[symbol][strIns['cycle']] = copy.copy(timesList)
# print symbol,strIns['cycle'],timesList
self.barDict[symbol][strIns['cycle']] = {}
self.barDict[symbol][strIns['cycle']]['data'] = copy.copy(barDataRam)
self.barDict[symbol][strIns['cycle']]['lastData'] = copy.copy(lastBar)
self.barDict[symbol][strIns['cycle']]['updateTime'] = datetime.now() + timedelta(hours = 3)
if vars().has_key('lastVT'):
if symbol not in lastVT.keys():
self.barDict[symbol][1]['data'].lastVolume = 0
self.barDict[symbol][1]['data'].lastTurnover = 0
else:
self.barDict[symbol][1]['data'].lastVolume = lastVT[symbol][0]
self.barDict[symbol][1]['data'].lastTurnover = lastVT[symbol][1]
self.barDict[symbol][1]['data'].lastTick = 0
gatewayName = "CTP"
for symbol in self.barDict.keys():
# bar = DrBarData()
# self.barDict[symbol] = bar
req = VtSubscribeReq()
req.symbol = symbol
self.mainEngine.subscribe(req, gatewayName)
self.registerEvent()
