def to_vnpy(self, gateway):
tick = VtTickData()
tick.symbol = self.instrument
tick.exchange = EXCHANGE_OANDA
tick.gatewayName = gateway.gatewayName
tick.vtSymbol = VN_SEPARATOR.join([tick.symbol, tick.gatewayName])
tick.datetime, tick.date, tick.time = parse_datetime_str(self.time)
ibids = list(range(len(self.bids)))
iasks = list(range(len(self.asks)))
bids = {
"bidPrice%s" % (i + 1): float(v["price"])
for i, v in zip(ibids, self.bids)
}
bid_volumes = {
"bidVolume%s" % (i + 1): v["liquidity"]
for i, v in zip(ibids, self.bids)
}
asks = {
"askPrice%s" % (i + 1): float(v["price"])
for i, v in zip(iasks, self.asks)
}
ask_volumes = {
"askVolume%s" % (i + 1): v['liquidity']
for i, v in zip(iasks, self.asks)
}
tick.__dict__.update(bids)
tick.__dict__.update(bid_volumes)
tick.__dict__.update(asks)
tick.__dict__.update(ask_volumes)
tick.lastPrice = float(
Decimal(str((tick.askPrice1 + tick.bidPrice1) / 2.0)).quantize(
Decimal(str(tick.askPrice1))))
return {
VtTickData: [tick],
}
def generateVtTick(row):
'生成tick'
tick = VtTickData()
tick.symbol = row['code']
tick.exchange = generateExchange(tick.symbol)
tick.vtSymbol = '.'.ljust([tick.symbol, tick.exchange])
tick.lastPrice = row['close']
tick.datetime = row.name
tick.highPrice = row['high']
tick.lowPrice = row['low']
def loadTickData(self, tick):
tickData = VtTickData()
tickData.lastPrice = float(tick['lastPrice'])
tickData.date = tick['date']
tickData.time = tick['time']
tickData.datetime = datetime.strptime(
' '.join([tick['date'], tick['time']]), '%Y%m%d %H:%M:%S.%f')
tickData.volume = int(tick['volume'])
tickData.vtSymbol = tick['vtSymbol']
tickData.symbol = tick['symbol']
tickData.exchange = tick['exchange']
tickData.openInterest = int(tick['openInterest'])
return tickData
def mongodbRowToTick(row_tick):
tickData = VtTickData()
tickData.lastPrice = float(row_tick['lastPrice'])
tickData.date = row_tick['date']
tickData.time = row_tick['time']
tickData.datetime = datetime.strptime(
' '.join([row_tick['date'], row_tick['time']]), '%Y%m%d %H:%M:%S.%f')
tickData.volume = int(row_tick['volume'])
tickData.vtSymbol = row_tick['vtSymbol']
tickData.symbol = row_tick['symbol']
tickData.exchange = row_tick['exchange']
tickData.TradingDay = row_tick['TradingDay']
tickData.openInterest = int(row_tick['openInterest'])
return tickData
def processLine(self, line):
historyData = line.split(',')
#historyDataLen = len(historyData)
symbol = historyData[2]
#print 'processLine, symbol:' + symbol
#从list转化为tick对象
historytick = VtTickData()
historytick._id = historyData[0]
historytick.gatewayName = 'CTP'
historytick.symbol = symbol
historytick.TradingDay = historyData[1]
historytick.exchange = historyData[3]
historytick.vtSymbol = historytick.symbol # '.'.join([tick.symbol, tick.exchange])
historytick.lastPrice = self.convertFloatZero(historyData[5])
#lastVolume
historytick.volume = historyData[12]
historytick.openInterest = historyData[14]
UpdateMillisec = int(historyData[20])
historytick.time = '.'.join([historyData[19], str(UpdateMillisec/ 100)])
historytick.date = historyData[42]
historytick.datetime = datetime.strptime(' '.join([historytick.date, historytick.time]), '%Y%m%d %H:%M:%S.%f')
historytick.openPrice = self.convertFloatZero(historyData[9])
historytick.highPrice = self.convertFloatZero(historyData[10])
historytick.lowPrice = self.convertFloatZero(historyData[11])
historytick.preClosePrice = self.convertFloatZero(historyData[12])
historytick.ClosePrice = self.convertFloatZero(historyData[15])
historytick.SettlementPrice = self.convertFloatZero(historyData[16])
historytick.upperLimit = self.convertFloatZero(historyData[17])
historytick.lowerLimit = self.convertFloatZero(historyData[18])
# CTP只有一档行情
historytick.bidPrice1 = self.convertFloatZero(historyData[21])
historytick.bidVolume1 = historyData[22]
historytick.askPrice1 = self.convertFloatZero(historyData[23])
historytick.askVolume1 = historyData[24]
historytick.AveragePrice = self.convertFloatZero(historyData[41])
return historytick
def loadTickData(self, tick):
tickData = VtTickData()
#tickData.lastPrice = float(tick['lastPrice'])
#要处理小数位数，只保留一位小数
#线上录得数据写文件，比如原始数据是个整数3967，写到文件里的会是3967.000000000001
tickData.lastPrice = round(float(tick['lastPrice']), 1)
tickData.date = tick['date']
tickData.time = tick['time']
tickData.datetime = datetime.strptime(' '.join([tick['date'], tick['time']]), '%Y%m%d %H:%M:%S.%f')
tickData.volume = int(tick['volume'])
tickData.vtSymbol = tick['vtSymbol']
tickData.symbol = tick['symbol']
tickData.exchange = tick['exchange']
tickData.TradingDay = tick['TradingDay']
#tickData.openInterest = int(tick['openInterest'])
#防止持仓量可能带小数
tickData.openInterest = int(float(tick['openInterest']))
return tickData