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 updateSymbol(self):
"""合约变化"""
# 读取组件数据
symbol = self.symbol
exchange = None
vtSymbol = None
# 查询合约
if exchange:
vtSymbol = '.'.join([symbol, exchange])
contract = self.__mainEngine.getContract(vtSymbol)
else:
vtSymbol = symbol
contract = self.__mainEngine.getContract(symbol)
if contract:
vtSymbol = contract.vtSymbol
gatewayName = contract.gatewayName
print(contract.name)
exchange = contract.exchange # 保证有交易所代码
# 重新注册事件监听
self.__eventEngine.unregister(EVENT_TICK + symbol, self.signal.emit)
self.__eventEngine.register(EVENT_TICK + vtSymbol, self.signal.emit)
# 订阅合约
req = VtSubscribeReq()
req.symbol = symbol
req.exchange = exchange
#req.currency = currency
req.productClass = PRODUCT_FUTURES
self.__mainEngine.subscribe(req, gatewayName)
# 更新组件当前交易的合约
self.symbol = vtSymbol
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 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 subscribeMarketData(self, strategy):
"""订阅行情"""
# 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' %
(strategy.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 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 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()
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]
if not strategy.inited:
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()
