def subscribe(self, strategy, symbolList):
name = strategy.name
for vtSymbol in symbolList:
# 保存Tick映射关系
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.writeArbLog(u'%s的交易合约%s无法找到' % (name, vtSymbol))
self.putStrategyEvent(name)
def subscribeMarketData(self, strategy):
"""订阅行情"""
for gateway in self.mainEngine.gatewayDict.keys():
req = VtSubscribeReq()
req.symbol = strategy.vtSymbol
self.mainEngine.subscribe(req, gateway)
'''
def initStrategyBySymbol(self, symbol, setting):
# 创建策略实例
# 防止策略重名
if symbol in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' % name)
return
setting["vtSymbol"] = symbol
strategy = ZzsdStrategy(self, setting)
self.strategyDict[symbol] = strategy
strategy.setFixSize(self.FIX_SIZE_AUDO)
strategy.initDayBar(self.loadAllBar(DAY_DB_NAME, symbol))
strategy.initDayCurrentBar(
self.getCurrentBar(self.loadCurrentDayMinBar(symbol)))
if setting["strategyCycle"] == "60min":
strategy.initHourBar(self.loadAllBar(MINUTE_60_DB_NAME, symbol))
strategy.initHourCurrentBar(
self.getCurrentBar(self.loadMinuteBar(symbol, 60)))
if setting["strategyCycle"] == "30min":
strategy.initHourBar(self.loadAllBar(MINUTE_30_DB_NAME, symbol))
strategy.initHourCurrentBar(
self.getCurrentBar(self.loadMinuteBar(symbol, 30)))
if setting["strategyCycle"] == "5min":
strategy.initHourBar(self.loadAllBar(MINUTE_5_DB_NAME, symbol))
strategy.initHourCurrentBar(
self.getCurrentBar(self.loadMinuteBar(symbol, 5)))
# 创建委托号列表
self.strategyOrderDict[symbol] = set()
# 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 Exception:
msg = traceback.format_exc()
self.writeCtaLog(u'载入策略出错：%s' %msg)
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
# 创建委托号列表
self.strategyOrderDict[name] = set()
# 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 updateContract(self, name, strategy):
"""更新策略"""
for vtSymbol in self.tickStrategyDict:
if strategy in self.tickStrategyDict[vtSymbol]:
self.tickStrategyDict[vtSymbol].remove(strategy)
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
# 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.writeArbLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
if strategy.vtSymbol1 and strategy.vtSymbol1 in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol1]
else:
l = []
contract = self.mainEngine.getContract(strategy.vtSymbol1)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeArbLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
self.tickStrategyDict[strategy.vtSymbol1] = l
l.append(strategy)
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 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 subscribe(self, strategy, symbol):
"""订阅合约，不成功时，加入到待订阅列表"""
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:
print u'Warning, can not find {0} in contracts'.format(symbol)
self.writeCtaLog(u'交易合约{}无法找到，添加到待订阅列表'.format(symbol))
self.pendingSubcribeSymbols[symbol] = strategy
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:
# 创建策略实例
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 创建委托号列表
self.strategyOrderDict[name] = set()
# 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
# print(strategy.vtSymbol)
contract = self.mainEngine.getContract(strategy.vtSymbol)
# print '222222222222222222222222222222 ctaEngine.py_line471 contract:', contract
if contract:
# print(3333333333333333333333333333, 'ctaEngine.py_line473')
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
# print(req.productClass) #这个的编码待修改
self.mainEngine.subscribe(req, contract.gatewayName)
else:
# # 下面是zls自己添加的，是否保存待确定
# req = VtSubscribeReq()
# req.symbol = 'USD.CNH'
# req.exchange = 'IDEALPRO'
# # 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 = ''
# req.productClass = ''
# self.mainEngine.subscribe(req, 'IB')
self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
def initStrategyBySymbol(self, symbol, setting):
# 创建策略实例
# 防止策略重名
if (symbol + setting['className']) in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' % name)
return
setting["vtSymbol"] = symbol
className = setting['className']
# 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
strategy = strategyClass(self, setting)
self.strategyDict[symbol + className] = strategy
strategy.setFixSize(self.FIX_SIZE_AUDO)
# 创建委托号列表
self.strategyOrderDict[symbol + strategy.className] = set()
# 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)
##读数据库
traderOrd = TraderOrder()
traderOrd.symbol = symbol
traderOrd.strategyName = strategy.className
traderOrd.offset = OFFSET_OPEN
t = self.mainEngine.mysqlClient.dbSelect(SQL_TABLENAME_TRADER,
traderOrd, "one")
if t:
traderOrd.orderID = t["orderID"]
traderOrd.orderUuid = t["orderUuid"]
traderOrd.direction = t["direction"]
traderOrd.orderVolume = t["orderVolume"]
traderOrd.orderPrice = t["orderPrice"]
traderOrd.tradeVolume = t["tradeVolume"]
traderOrd.tradePrice = t["tradePrice"]
if traderOrd.offset == OFFSET_OPEN:
self.lastOpenTrade[traderOrd.symbol] = traderOrd
self.traderDict[traderOrd.orderID] = traderOrd
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
strategy.setPriceTick(contract.size, contract.priceTick)
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)
self.writeCtaLog("subscribe===%s" % (strategy.vtSymbol))
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 '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.settingFilePath) 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 loadStrategy(self, setting):
"""载入策略"""
try:
name = setting['name']
className = setting['className']
except Exception:
msg = traceback.format_exc()
self.writeMmkLog(u'载入策略出错：%s' % msg)
return
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeMmkLog(u'找不到策略类：%s' % className)
return
# 防止策略重名
if name in self.strategyDict:
self.writeMmkLog(u'策略实例重名：%s' % name)
else:
# 创建策略实例
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 创建委托号列表
self.strategyOrderDict[name] = set()
# 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)
for vtsym in strategy.vtSymbol:
# 初始化posStrategyNameDict
for sym in [vtsym.split('.')[0][:3], vtsym.split('.')[0][3:]]:
if sym not in self.posStrategyNameDict:
self.posStrategyNameDict[sym] = [strategy.name]
elif sym in self.posStrategyNameDict:
if self.posStrategyNameDict[sym][0] != strategy.name:
self.posStrategyNameDict[sym].append(strategy.name)
if vtsym in self.tickStrategyDict:
l = self.tickStrategyDict[vtsym]
else:
l = []
self.tickStrategyDict[vtsym] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(vtsym)
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.writeMmkLog(u'%s的交易合约%s无法找到' % (name, vtsym))
def loadSetting(self):
"""载入设置"""
with open(self.settingFilePath) 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 'renko' in drSetting:
l = drSetting.get('renko')
req_set = set()
for setting in l:
# 获取合约，合约短号，renko的高度（多少个跳）
vtSymbol = setting.get('vtSymbol', None)
if vtSymbol is None:
continue
short_symbol = getShortSymbol(vtSymbol).upper()
height = setting.get('height', 5)
minDiff = setting.get('minDiff', 1)
# 获取vtSymbol的多个renkobar列表，添加新的CtaRenkoBar
renko_list = self.renkoDict.get(vtSymbol, [])
bar_setting = {
'name': '{}_{}'.format(vtSymbol, height),
'shortSymbol': short_symbol,
'vtSymbol': vtSymbol,
'minDiff': minDiff,
'height': minDiff * height
}
renko_bar = CtaRenkoBar(strategy=None,
onBarFunc=self.onRenkoBar,
setting=bar_setting)
renko_list.append(renko_bar)
self.renkoDict.update({vtSymbol: renko_list})
req = VtSubscribeReq()
req.symbol = vtSymbol
req_set.add((req, setting.get('gateway', None)))
# 更新合约的历史数据
self.add_gap_ticks()
# 订阅行情
for req, gw in req_set:
self.mainEngine.subscribe(req, gw)
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()
