def get_leg(self, vt_symbol: str) -> LegData:
""""""
leg = self.legs.get(vt_symbol, None)
if not leg:
leg = LegData(vt_symbol)
self.legs[vt_symbol] = leg
# Subscribe market data
contract = self.main_engine.get_contract(vt_symbol)
if contract:
leg.update_contract(contract)
req = SubscribeRequest(contract.symbol, contract.exchange)
self.main_engine.subscribe(req, contract.gateway_name)
# Initialize leg position
for direction in Direction:
vt_positionid = f"{vt_symbol}.{direction.value}"
position = self.main_engine.get_position(vt_positionid)
if position:
leg.update_position(position)
return leg
def process_contract_event(self, event: Event) -> None:
""""""
contract = event.data
leg = self.legs.get(contract.vt_symbol, None)
if leg:
# Update contract data
leg.update_contract(contract)
req = SubscribeRequest(contract.symbol, contract.exchange)
self.main_engine.subscribe(req, contract.gateway_name)
def subscribe_data(self, vt_symbol: str):
""""""
contract = self.main_engine.get_contract(vt_symbol)
if not contract:
return
req = SubscribeRequest(
symbol=contract.symbol,
exchange=contract.exchange
)
self.main_engine.subscribe(req, contract.gateway_name)
def subscribe(self, algo: AlgoTemplate, vt_symbol: str):
""""""
contract = self.main_engine.get_contract(vt_symbol)
if not contract:
self.write_log(f'订阅行情失败，找不到合约：{vt_symbol}', algo)
return
algos = self.symbol_algo_map.setdefault(vt_symbol, set())
if not algos:
req = SubscribeRequest(symbol=contract.symbol,
exchange=contract.exchange)
self.main_engine.subscribe(req, contract.gateway_name)
algos.add(algo)
def process_history_event(self, event: Event) -> None:
""""""
history: List[BarData] = event.data
if not history:
return
bar = history[0]
chart = self.charts[bar.vt_symbol]
chart.update_history(history)
# Subscribe following data update
contract = self.main_engine.get_contract(bar.vt_symbol)
req = SubscribeRequest(
contract.symbol,
contract.exchange
)
self.main_engine.subscribe(req, contract.gateway_name)
def _init_strategy(self, strategy_name: str):
"""
Init strategies in queue.
"""
strategy = self.strategies[strategy_name]
if strategy.inited:
self.write_log(f"{strategy_name}已经完成初始化，禁止重复操作")
return
self.write_log(f"{strategy_name}开始执行初始化")
# Call on_init function of strategy
self.call_strategy_func(strategy, strategy.on_init)
# Restore strategy data(variables)
data = self.strategy_data.get(strategy_name, None)
if data:
for name in strategy.variables:
value = data.get(name, None)
if name == "pos":
pos = getattr(strategy, name)
pos.update(value)
elif value:
setattr(strategy, name, value)
# Subscribe market data
for vt_symbol in strategy.vt_symbols:
contract: ContractData = self.main_engine.get_contract(vt_symbol)
if contract:
req = SubscribeRequest(symbol=contract.symbol,
exchange=contract.exchange)
self.main_engine.subscribe(req, contract.gateway_name)
else:
self.write_log(f"行情订阅失败，找不到合约{vt_symbol}", strategy)
# Put event to update init completed status.
strategy.inited = True
self.put_strategy_event(strategy)
self.write_log(f"{strategy_name}初始化完成")
def subscribe(self, contract: ContractData):
""""""
req = SubscribeRequest(symbol=contract.symbol,
exchange=contract.exchange)
self.main_engine.subscribe(req, contract.gateway_name)