def saveContracts(self):
"""保存所有合约对象到硬盘"""
contractFilePath = WORKING_DIR + 'temp/contracts'
data = {
key: value.__dict__
for key, value in self.contractDict.items()
}
save_json(data, contractFilePath)
def saveSetting(self):
"""保存策略配置"""
l = []
for strategy in self.strategyDict.values():
setting = {}
for param in strategy.paramList:
setting[param] = strategy.__getattribute__(param)
l.append(setting)
save_json(l, self.settingfilePath)
def saveSyncData(self, strategy):
"""保存策略的持仓情况到本地"""
flt = {'name': strategy.name, 'vtSymbol': strategy.vtSymbol}
d = copy(flt)
for key in strategy.syncList:
d[key] = strategy.__getattribute__(key)
syncFile = WORKING_DIR + 'setting/syncdata/' + strategy.name + '-' + strategy.vtSymbol
save_json(d, syncFile)
# self.mainEngine.dbUpdate(POSITION_DB_NAME, strategy.className,
# d, flt, True)
content = '策略{name}持仓同步数据保存成功，当前持仓{pos}'.format(name=strategy.name,
pos=strategy.pos)
self.writeCtaLog(content)
def insertInstrument(self, event):
"""插入合约对象"""
data = event.dict_['data']
last = event.dict_['last']
self.list_instrument.append(data)
# 创建合约信息实例
contract = CtaContractData()
contract.vtSymbol = contract.symbol = data['InstrumentID']
contract.name = data['InstrumentName']
contract.exchange = data['ExchangeID']
# 合约数值
contract.size = data['VolumeMultiple']
contract.priceTick = data['PriceTick']
contract.strikePrice = data['StrikePrice']
contract.underlyingSymbol = data['UnderlyingInstrID']
# 期权类型
if data['OptionsType'] == '1':
contract.optionType = OPTION_CALL
elif data['OptionsType'] == '2':
contract.optionType = OPTION_PUT
# 推送合约信息
self.onContract(contract)
if last: # 最后一条数据
# 将查询完成的合约信息保存到本地文件
event = Event(type_=EVENT_LOG)
log = '合约信息查询完成'
event.dict_['log'] = log
self.ee.put(event)
# 保存合约信息到本地
self.saveContracts()
# 字典格式的合约数据也保存一份
instrumentFile = WORKING_DIR + 'temp/InstrumentID.json'
save_json(self.list_instrument, instrumentFile)
# 推送日志
event = Event(type_=EVENT_LOG)
log = '合约信息已经保存到本地'
event.dict_['log'] = log
self.ee.put(event)
def insertMarketData(self, event):
"""插入合约截面数据"""
data = event.dict_['data']
last = event.dict_['last']
self.list_marketdata.append(data)
if last:
# 更新交易日
self.md.TradingDay = data['TradingDay']
# 将查询完成的合约截面数据保存到本地文件
event = Event(type_=EVENT_LOG)
log = '合约截面数据查询完成'
event.dict_['log'] = log
self.ee.put(event)
# 字典格式的合约截面数据也保存一份
makertdataFile = WORKING_DIR + 'temp/Marketdata.json'
save_json(self.list_marketdata, makertdataFile)
# 推送日志
event = Event(type_=EVENT_LOG)
log = '合约截面数据已经保存到本地'
event.dict_['log'] = log
self.ee.put(event)
if not self.ctaActive:
self.runStrategy()
self.ctaActive = True