Example #1
0
    def control_in_p(self, bar):
        try:
            for k in self.spread_dict.keys():
                s0 = self.spread_dict[k][0]
                s1 = self.spread_dict[k][1]
                if s0 not in self.got_dict or s1 not in self.got_dict:
                    continue
                if self.got_dict[s0] and self.got_dict[
                        s1] and self.process_dict[k] == False:
                    self.process_dict[k] = True
                    s0 = self.signalDict[s0][0]
                    s1 = self.signalDict[s1][0]

                    bar_s = VtBarData()
                    bar_s.vtSymbol = k
                    bar_s.symbol = k
                    bar_s.exchange = s0.bar.exchange
                    bar_s.date = s0.bar.date
                    bar_s.time = s0.bar.time

                    bar_s.close = s0.bar.close - s1.bar.close
                    bar_s.AskPrice = s0.bar.AskPrice - s1.bar.BidPrice
                    bar_s.BidPrice = s0.bar.BidPrice - s1.bar.AskPrice

                    # print(bar_s.time, bar_s.vtSymbol, bar_s.close, bar_s.AskPrice, bar_s.BidPrice)

                    self.engine.lock.acquire()
                    self.engine.bar_list.append(bar_s)
                    self.engine.lock.release()

        except Exception as e:
            s = traceback.format_exc()
            to_log(s)
Example #2
0
    def bar_listen_service(self):
        print('bar_listen_svervice 线程开始工作')

        server = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
        server.bind(('localhost', SOCKET_BAR))
        server.listen(5)

        while True:
            try:
                conn, addr = server.accept()
                b = conn.recv(10240)
                s = str(b, encoding='utf-8')
                # print( 'recive:', len(s) )
                conn.close()

                d = eval(s)
                if d['vtSymbol'] in self.vtSymbol_list:
                    bar = VtBarData()
                    bar.__dict__ = d

                    bar.close = float(
                        'nan'
                    ) if bar.close == sys.float_info.max else bar.close
                    bar.AskPrice = float(
                        'nan'
                    ) if bar.AskPrice == sys.float_info.max else bar.AskPrice
                    # if bar.AskPrice != bar.AskPrice:
                    #     print(bar.AskPrice)
                    bar.BidPrice = float(
                        'nan'
                    ) if bar.BidPrice == sys.float_info.max else bar.BidPrice
                    # if np.isnan(bar.BidPrice):
                    #     print(bar.BidPrice)

                    self.lock.acquire()
                    self.bar_list.append(bar)
                    self.lock.release()
                else:
                    pass

            except Exception as e:
                print('error ')
                r = traceback.format_exc()
                to_log(r)
    def control_in_p(self, bar):
        try:
            for k in self.spread_dict.keys():
                s0 = self.spread_dict[k][0]
                s1 = self.spread_dict[k][1]
                if s0 not in self.got_dict or s1 not in self.got_dict:
                    continue
                if self.got_dict[s0] and self.got_dict[
                        s1] and self.process_dict[k] == False:
                    self.process_dict[k] = True
                    s0 = self.bar_dict[s0]
                    s1 = self.bar_dict[s1]

                    bar_s = VtBarData()
                    bar_s.vtSymbol = k
                    bar_s.symbol = k
                    bar_s.exchange = s0.exchange
                    bar_s.date = s0.date
                    bar_s.time = s0.time

                    bar_s.close = s0.close - s1.close
                    bar_s.AskPrice = s0.AskPrice - s1.BidPrice
                    bar_s.BidPrice = s0.BidPrice - s1.AskPrice

                    # print(bar_s.time, bar_s.vtSymbol, bar_s.close, bar_s.AskPrice, bar_s.BidPrice)
                    df = pd.DataFrame([bar_s.__dict__])
                    cols = [
                        'date', 'time', 'open', 'high', 'low', 'close',
                        'volume'
                    ]
                    df = df[cols]
                    fname = get_dss() + 'fut/bar/min1_' + k + '.csv'
                    if os.path.exists(fname):
                        df.to_csv(fname, index=False, mode='a', header=False)
                    else:
                        df.to_csv(fname, index=False, mode='a')

                    return bar_s
        except Exception as e:
            s = traceback.format_exc()
            to_log(s)

        return None