def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
""""""
super(CtaEngine, self).__init__(main_engine, event_engine, APP_NAME)
self.strategy_setting = {} # strategy_name: dict
self.strategy_data = {} # strategy_name: dict
self.classes = {} # class_name: stategy_class
self.strategies = {} # strategy_name: strategy
self.symbol_strategy_map = defaultdict(
list) # vt_symbol: strategy list
self.orderid_strategy_map = {} # vt_orderid: strategy
self.strategy_orderid_map = defaultdict(
set) # strategy_name: orderid list
self.stop_order_count = 0 # for generating stop_orderid
self.stop_orders = {} # stop_orderid: stop_order
self.init_executor = ThreadPoolExecutor(max_workers=1)
self.rq_client = None
self.rq_symbols = set()
self.vt_tradeids = set() # for filtering duplicate trade
self.offset_converter = OffsetConverter(self.main_engine)
self.database: BaseDatabase = get_database()
self.datafeed: BaseDatafeed = get_datafeed()
def importDataToVnpyDB(df: pd.DataFrame, stkid: str) -> None:
bar_data = []
TW_TZ = pytz.timezone("Asia/Taipei")
if df is None:
return print("資料不存在")
for index, row in df.iterrows():
bar = BarData(symbol=stkid,
exchange=Exchange.LOCAL,
datetime=TW_TZ.localize(row['ts'].to_pydatetime()) -
timedelta(minutes=1),
interval=Interval.MINUTE,
volume=row.Volume,
open_price=row.Open,
high_price=row.High,
low_price=row.Low,
close_price=row.Close,
gateway_name="Sinopac")
bar_data.append(bar)
database = get_database()
database.save_bar_data(bar_data)
print(
f"股票代號:{stkid}｜{bar_data[0].datetime}-{bar_data[-1].datetime} 歷史數據匯入成功，總共{len(bar_data)}筆資料"
)
def load_tick_data(
symbol: str,
exchange: Exchange,
start: datetime,
end: datetime
):
""""""
database = get_database()
return database.load_tick_data(
symbol, exchange, start, end
)
def load_bar_data(
symbol: str,
exchange: Exchange,
interval: Interval,
start: datetime,
end: datetime
):
""""""
database = get_database()
return database.load_bar_data(
symbol, exchange, interval, start, end
)
def load_bar_data(
vt_symbol: str,
interval: Interval,
start: datetime,
end: datetime
):
""""""
symbol, exchange = extract_vt_symbol(vt_symbol)
database = get_database()
return database.load_bar_data(
symbol, exchange, interval, start, end
)
def download_ib_data(symbol, exchange, start, end):
req = HistoryRequest(symbol=symbol,
exchange=Exchange(exchange),
interval=Interval.MINUTE,
start=datetime.strptime(start, '%Y-%m-%d'),
end=datetime.strptime(end, '%Y-%m-%d'))
bar_data = engine.main_engine.query_history(req, 'IB')
if not bar_data:
print(f'下載總數據量為:{len(bar_data)}')
return
database = get_database()
database.save_bar_data(bar_data)
print(f'{start}-{end}下載成功，總共{len(bar_data)}筆資料')
TW_TZ = pytz.timezone("Asia/Taipei")
if __name__ == '__main__':
symbol = '2883'
df = pd.read_csv(f'{symbol}.csv', parse_dates=['ts'])
bar_data = []
if df is not None:
for index, row in df.iterrows():
bar = BarData(symbol=symbol,
exchange=Exchange.LOCAL,
datetime=TW_TZ.localize(row['ts'].to_pydatetime()) -
datetime.timedelta(minutes=1),
interval=Interval.MINUTE,
volume=row['Volume'],
open_price=row['Open'],
high_price=row['High'],
low_price=row['Low'],
close_price=row['Close'],
gateway_name='Sinopac')
bar_data.append(bar)
database = get_database()
database.save_bar_data(bar_data)
print(
f'股票代號:{symbol}｜{bar_data[0].datetime}-{bar_data[-1].datetime} 歷史數據匯入成功，總共{len(bar_data)}筆資料'
)