class TcEngine(object):
"""交易复制引擎"""
MODE_PROVIDER = 1
MODE_SUBSCRIBER = 2
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine):
"""Constructor"""
self.mainEngine = mainEngine
self.eventEngine = eventEngine
self.mode = None # Subscriber/Provider
self.posDict = defaultdict(int) # vtPositionName:int
self.targetDict = defaultdict(int) # vtPositionName:int
self.copyRatio = 1
self.interval = 1
self.subscribeSet = set()
self.count = 0
self.server = None # RPC Server
self.client = None # RPC Client
self.registerEvent()
#----------------------------------------------------------------------
def startProvider(self, repAddress, pubAddress, interval):
""""""
self.mode = self.MODE_PROVIDER
self.interval = interval
if not self.server:
self.server = RpcServer(repAddress, pubAddress)
self.server.usePickle()
self.server.register(self.getPos)
self.server.start()
self.writeLog(u'启动发布者模式（如需修改通讯地址请重启程序）')
#----------------------------------------------------------------------
def startSubscriber(self, reqAddress, subAddress, copyRatio):
""""""
self.mode = self.MODE_SUBSCRIBER
self.copyRatio = copyRatio
if not self.client:
self.client = TcClient(self, reqAddress, subAddress)
self.client.usePickle()
self.client.subscribeTopic('')
self.client.start()
self.writeLog(u'启动订阅者模式，运行时请不要执行其他交易操作')
self.initTarget()
#----------------------------------------------------------------------
def stop(self):
""""""
if self.client:
self.client.stop()
self.writeLog(u'订阅者模式已停止')
if self.server:
self.server.stop()
self.writeLog(u'发布者模式已停止')
self.mode = None
#----------------------------------------------------------------------
def registerEvent(self):
""""""
self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
self.eventEngine.register(EVENT_TIMER, self.processTimerEvent)
self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
#----------------------------------------------------------------------
def checkAndTrade(self, vtSymbol):
""""""
if self.checkNoWorkingOrder(vtSymbol):
self.newOrder(vtSymbol)
else:
self.cancelOrder(vtSymbol)
#----------------------------------------------------------------------
def processTimerEvent(self, event):
""""""
if self.mode != self.MODE_PROVIDER:
return
self.count += 1
if self.count < self.interval:
return
self.count = 0
for vtPositionName in self.posDict.keys():
self.publishPos(vtPositionName)
#----------------------------------------------------------------------
def processTradeEvent(self, event):
""""""
trade = event.dict_['data']
vtPositionName = '.'.join([trade.vtSymbol, trade.direction])
if trade.offset == OFFSET_OPEN:
self.posDict[vtPositionName] += trade.volume
else:
self.posDict[vtPositionName] -= trade.volume
if self.mode == self.MODE_PROVIDER:
self.publishPos(vtPositionName)
#----------------------------------------------------------------------
def processPositionEvent(self, event):
""""""
position = event.dict_['data']
self.posDict[position.vtPositionName] = position.position
#----------------------------------------------------------------------
def processOrderEvent(self, event):
""""""
order = event.dict_['data']
if order.status == STATUS_REJECTED:
self.writeLog(u'监控到委托拒单，停止运行')
self.stop()
#----------------------------------------------------------------------
def publishPos(self, vtPositionName):
""""""
l = vtPositionName.split('.')
direction = l[-1]
vtSymbol = vtPositionName.replace('.' + direction, '')
data = {
'vtSymbol': vtSymbol,
'vtPositionName': vtPositionName,
'pos': self.posDict[vtPositionName]
}
self.server.publish('', data)
#----------------------------------------------------------------------
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 newOrder(self, vtSymbol):
""""""
for vtPositionName in self.targetDict.keys():
if vtSymbol not in vtPositionName:
continue
pos = self.posDict[vtPositionName]
target = self.targetDict[vtPositionName]
if pos == target:
continue
contract = self.mainEngine.getContract(vtSymbol)
tick = self.mainEngine.getTick(vtSymbol)
if not tick:
return
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.priceType = PRICETYPE_LIMITPRICE
req.volume = abs(target - pos)
# Open position
if target > pos:
req.offset = OFFSET_OPEN
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_LONG
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
self.mainEngine.sendOrder(req, contract.gatewayName)
# Close position
elif target < pos:
req.offset = OFFSET_CLOSE
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_LONG
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
# Use auto-convert for solving today/yesterday position problem
reqList = self.mainEngine.convertOrderReq(req)
for convertedReq in reqList:
self.mainEngine.sendOrder(convertedReq,
contract.gatewayName)
# Write log
msg = u'发出%s委托 %s%s %s@%s' % (vtSymbol, req.direction, req.offset,
req.price, req.volume)
self.writeLog(msg)
#----------------------------------------------------------------------
def cancelOrder(self, vtSymbol):
"""
Cancel all orders of a certain vtSymbol
"""
l = self.mainEngine.getAllWorkingOrders()
for order in l:
if order.vtSymbol == vtSymbol:
req = VtCancelOrderReq()
req.orderID = order.orderID
req.frontID = order.frontID
req.sessionID = order.sessionID
req.symbol = order.symbol
req.exchange = order.exchange
self.mainEngine.cancelOrder(req, order.gatewayName)
self.writeLog(u'撤销%s全部活动中委托' % vtSymbol)
#----------------------------------------------------------------------
def checkNoWorkingOrder(self, vtSymbol):
"""
Check if there is still any working orders of a certain vtSymbol
"""
l = self.mainEngine.getAllWorkingOrders()
for order in l:
if order.vtSymbol == vtSymbol:
return False
return True
#----------------------------------------------------------------------
def writeLog(self, msg):
""""""
log = VtLogData()
log.logContent = msg
event = Event(EVENT_TC_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
#----------------------------------------------------------------------
def getPos(self):
"""
Get currenct position data of provider
"""
return dict(self.posDict)
#----------------------------------------------------------------------
def initTarget(self):
"""
Init target data of subscriber based on position data from provider
"""
d = self.client.getPos()
for vtPositionName, pos in d.items():
l = vtPositionName.split('.')
direction = l[-1]
vtSymbol = vtPositionName.replace('.' + direction, '')
data = {
'vtPositionName': vtPositionName,
'vtSymbol': vtSymbol,
'pos': pos
}
self.updatePos(data)
self.writeLog(u'目标仓位初始化完成')
class TcEngine(object):
"""交易复制引擎"""
MODE_PROVIDER = 1
MODE_SUBSCRIBER = 2
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine):
"""Constructor"""
self.mainEngine = mainEngine
self.eventEngine = eventEngine
self.mode = None # Subscriber/Provider
self.posDict = defaultdict(int) # vtPositionName:int
self.targetDict = defaultdict(int) # vtPositionName:int
self.copyRatio = 1
self.interval = 1
self.subscribeSet = set()
self.count = 0
self.server = None # RPC Server
self.client = None # RPC Client
self.registerEvent()
#----------------------------------------------------------------------
def startProvider(self, repAddress, pubAddress, interval):
""""""
self.mode = self.MODE_PROVIDER
self.interval = interval
if not self.server:
self.server = RpcServer(repAddress, pubAddress)
self.server.usePickle()
self.server.register(self.getPos)
self.server.start()
self.writeLog(u'启动发布者模式（如需修改通讯地址请重启程序）')
#----------------------------------------------------------------------
def startSubscriber(self, reqAddress, subAddress, copyRatio):
""""""
self.mode = self.MODE_SUBSCRIBER
self.copyRatio = copyRatio
if not self.client:
self.client = TcClient(self, reqAddress, subAddress)
self.client.usePickle()
self.client.subscribeTopic('')
self.client.start()
self.writeLog(u'启动订阅者模式，运行时请不要执行其他交易操作')
self.initTarget()
#----------------------------------------------------------------------
def stop(self):
""""""
if self.client:
self.client.stop()
self.writeLog(u'订阅者模式已停止')
if self.server:
self.server.stop()
self.writeLog(u'发布者模式已停止')
self.mode = None
#----------------------------------------------------------------------
def registerEvent(self):
""""""
self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
self.eventEngine.register(EVENT_TIMER, self.processTimerEvent)
self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
#----------------------------------------------------------------------
def checkAndTrade(self, vtSymbol):
""""""
if self.checkNoWorkingOrder(vtSymbol):
self.newOrder(vtSymbol)
else:
self.cancelOrder(vtSymbol)
#----------------------------------------------------------------------
def processTimerEvent(self, event):
""""""
if self.mode != self.MODE_PROVIDER:
return
self.count += 1
if self.count < self.interval:
return
self.count = 0
for vtPositionName in self.posDict.keys():
self.publishPos(vtPositionName)
#----------------------------------------------------------------------
def processTradeEvent(self, event):
""""""
trade = event.dict_['data']
vtPositionName = '.'.join([trade.vtSymbol, trade.direction])
if trade.offset == OFFSET_OPEN:
self.posDict[vtPositionName] += trade.volume
else:
self.posDict[vtPositionName] -= trade.volume
if self.mode == self.MODE_PROVIDER:
self.publishPos(vtPositionName)
#----------------------------------------------------------------------
def processPositionEvent(self, event):
""""""
position = event.dict_['data']
self.posDict[position.vtPositionName] = position.position
#----------------------------------------------------------------------
def processOrderEvent(self, event):
""""""
order = event.dict_['data']
if order.status == STATUS_REJECTED:
self.writeLog(u'监控到委托拒单，停止运行')
self.stop()
#----------------------------------------------------------------------
def publishPos(self, vtPositionName):
""""""
l = vtPositionName.split('.')
direction = l[-1]
vtSymbol = vtPositionName.replace('.' + direction, '')
data = {
'vtSymbol': vtSymbol,
'vtPositionName': vtPositionName,
'pos': self.posDict[vtPositionName]
}
self.server.publish('', data)
#----------------------------------------------------------------------
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 newOrder(self, vtSymbol):
""""""
for vtPositionName in self.targetDict.keys():
if vtSymbol not in vtPositionName:
continue
pos = self.posDict[vtPositionName]
target = self.targetDict[vtPositionName]
if pos == target:
continue
contract = self.mainEngine.getContract(vtSymbol)
tick = self.mainEngine.getTick(vtSymbol)
if not tick:
return
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.priceType = PRICETYPE_LIMITPRICE
req.volume = abs(target - pos)
# Open position
if target > pos:
req.offset = OFFSET_OPEN
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_LONG
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
self.mainEngine.sendOrder(req, contract.gatewayName)
# Close position
elif target < pos:
req.offset = OFFSET_CLOSE
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_LONG
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
# Use auto-convert for solving today/yesterday position problem
reqList = self.mainEngine.convertOrderReq(req)
for convertedReq in reqList:
self.mainEngine.sendOrder(convertedReq, contract.gatewayName)
# Write log
msg = u'发出%s委托 %s%s %s@%s' %(vtSymbol, req.direction, req.offset,
req.price, req.volume)
self.writeLog(msg)
#----------------------------------------------------------------------
def cancelOrder(self, vtSymbol):
"""
Cancel all orders of a certain vtSymbol
"""
l = self.mainEngine.getAllWorkingOrders()
for order in l:
if order.vtSymbol == vtSymbol:
req = VtCancelOrderReq()
req.orderID = order.orderID
req.frontID = order.frontID
req.sessionID = order.sessionID
req.symbol = order.symbol
req.exchange = order.exchange
self.mainEngine.cancelOrder(req, order.gatewayName)
self.writeLog(u'撤销%s全部活动中委托' %vtSymbol)
#----------------------------------------------------------------------
def checkNoWorkingOrder(self, vtSymbol):
"""
Check if there is still any working orders of a certain vtSymbol
"""
l = self.mainEngine.getAllWorkingOrders()
for order in l:
if order.vtSymbol == vtSymbol:
return False
return True
#----------------------------------------------------------------------
def writeLog(self, msg):
""""""
log = VtLogData()
log.logContent = msg
event = Event(EVENT_TC_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
#----------------------------------------------------------------------
def getPos(self):
"""
Get currenct position data of provider
"""
return dict(self.posDict)
#----------------------------------------------------------------------
def initTarget(self):
"""
Init target data of subscriber based on position data from provider
"""
d = self.client.getPos()
for vtPositionName, pos in d.items():
l = vtPositionName.split('.')
direction = l[-1]
vtSymbol = vtPositionName.replace('.' + direction, '')
data = {
'vtPositionName': vtPositionName,
'vtSymbol': vtSymbol,
'pos': pos
}
self.updatePos(data)
self.writeLog(u'目标仓位初始化完成')
class RsEngine(object):
"""RPC服务引擎"""
settingFileName = 'RS_setting.json'
settingFilePath = getJsonPath(settingFileName, __file__)
name = 'RPC服务'
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine):
"""Constructor"""
self.mainEngine = mainEngine
self.eventEngine = eventEngine
self.server = None # RPC服务对象
self.repAddress = EMPTY_STRING # REP地址
self.pubAddress = EMPTY_STRING # PUB地址
self.functionDict = {} # 调用过的函数对象缓存字典
self.loadSetting()
self.registerEvent()
#----------------------------------------------------------------------
def loadSetting(self):
"""读取配置"""
with open(self.settingFilePath) as f:
d = json.load(f)
self.repAddress = d['repAddress']
self.pubAddress = d['pubAddress']
self.server = RpcServer(self.repAddress, self.pubAddress)
self.server.usePickle()
self.server.register(self.call)
self.server.start()
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.eventEngine.registerGeneralHandler(self.processEvent)
#----------------------------------------------------------------------
def call(self, d):
"""调用函数"""
nameList = d['nameList'] # 对象属性列表
nameTuple = tuple(nameList) # 转化为元组
args = d['args'] # 调用参数
kwargs = d['kwargs']
# 如果已经有缓存，则直接调用
if nameTuple in self.functionDict:
function = self.functionDict[nameTuple]
result = function(*args, **kwargs)
return result
# 逐层寻找函数对象
else:
# 根对象为主引擎
obj = self.mainEngine
# 逐层寻找对象属性
for name in nameTuple:
obj = obj.__getattribute__(name)
# 缓存结果
self.functionDict[nameTuple] = obj
# 调用最终对象
result = obj(*args, **kwargs)
return result
#----------------------------------------------------------------------
def processEvent(self, event):
"""处理事件推送"""
self.server.publish(b'', event)
#----------------------------------------------------------------------
def stop(self):
"""停止"""
self.server.stop()
class RsEngine(object):
"""RPC服务引擎"""
settingFileName = 'RS_setting.json'
settingFilePath = getJsonPath(settingFileName, __file__)
name = u'RPC服务'
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine):
"""Constructor"""
self.mainEngine = mainEngine
self.eventEngine = eventEngine
self.server = None # RPC服务对象
self.repAddress = EMPTY_STRING # REP地址
self.pubAddress = EMPTY_STRING # PUB地址
self.functionDict = {} # 调用过的函数对象缓存字典
self.loadSetting()
self.registerEvent()
#----------------------------------------------------------------------
def loadSetting(self):
"""读取配置"""
with open(self.settingFilePath) as f:
d = json.load(f)
self.repAddress = d['repAddress']
self.pubAddress = d['pubAddress']
self.server = RpcServer(self.repAddress, self.pubAddress)
self.server.usePickle()
self.server.register(self.call)
self.server.start()
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.eventEngine.registerGeneralHandler(self.processEvent)
#----------------------------------------------------------------------
def call(self, d):
"""调用函数"""
nameList = d['nameList'] # 对象属性列表
nameTuple = tuple(nameList) # 转化为元组
args = d['args'] # 调用参数
kwargs = d['kwargs']
# 如果已经有缓存，则直接调用
if nameTuple in self.functionDict:
function = self.functionDict[nameTuple]
result = function(*args, **kwargs)
return result
# 逐层寻找函数对象
else:
# 根对象为主引擎
obj = self.mainEngine
# 逐层寻找对象属性
for name in nameTuple:
obj = obj.__getattribute__(name)
# 缓存结果
self.functionDict[nameTuple] = obj
# 调用最终对象
result = obj(*args, **kwargs)
return result
#----------------------------------------------------------------------
def processEvent(self, event):
"""处理事件推送"""
self.server.publish('', event)
#----------------------------------------------------------------------
def stop(self):
"""停止"""
self.server.stop()