def main():
global me
ee = EventEngine()
me = MainEngine(ee)
ee.register(EVENT_TICK, on_tick_update)
me.addGateway(ctpGateway)
me.getGateway('CTP').filePath = os.path.join(
os.path.dirname(os.path.abspath(__file__)),
'CTP_connect.simnow.mock.json')
me.connect('CTP')
# 等待 1 秒是为了避免订阅时机 bug
import time
time.sleep(1)
# vt_symbols = ['SR901C5300.CZCE', 'SR901C5200.CZCE']
vt_symbols = ['ru1908.SHFE', 'rb1908.SHFE']
symbols, exchanges = zip(
*[vs.split('.') if '.' in vs else (vs, '') for vs in vt_symbols])
for s, e in zip(symbols, exchanges):
req = VtSubscribeReq()
req.symbol, req.exchange = s, e
me.subscribe(req, 'CTP')
print('Futures subscribed.')
def runChildProcess():
"""子进程运行函数"""
print('-' * 20)
# 创建日志引擎
le = LogEngine()
le.setLogLevel(le.LEVEL_INFO)
le.addConsoleHandler()
le.info(u'启动行情记录运行子进程')
ee = EventEngine2()
le.info(u'事件引擎创建成功')
me = MainEngine(ee)
me.addGateway(ctpGateway)
me.addApp(dataRecorder)
le.info(u'主引擎创建成功')
ee.register(EVENT_LOG, le.processLogEvent)
ee.register(EVENT_ERROR, processErrorEvent)
le.info(u'注册日志事件监听')
me.connect('CTP')
le.info(u'连接CTP接口')
#获取全部合约信息并自动订阅
contracts = me.getAllContracts()
while len(contracts) == 0:
sleep(1)
contracts = me.getAllContracts()
print(u"共获取" + str(len(contracts)) + u"条合约信息")
for contract in contracts:
if contract.productClass == u"期货":
req = VtSubscribeReq()
req.symbol = contract.symbol
me.subscribe(req, contract.gatewayName)
me.getApp(dataRecorder.appName).tickSymbolSet.add(req.symbol)
while True:
sleep(1)
class MarketService(TradeService):
def __init__(self, name):
TradeService.__init__(self, name)
self.active = False # 工作状态
self.queue = Queue() # 队列
self.thread = Thread(target=self.threadDataFanout) # 线程
self.ee = None
self.mainEngine = None
self.logger = instance.getLogger()
self.symbols = {} # 已经订阅的合约
self.contracts = OrderedDict()
self.ticks_counter = 0
self.ticks_samples = []
self.tick_filters = []
def init(self, cfgs, **kwargs):
self.service_id = cfgs.get('id')
self.service_type = ServiceType.MarketAdapter
super(MarketService, self).init(cfgs)
self.initFilters()
def syncDownServiceConfig(self):
TradeService.syncDownServiceConfig(self)
def setupFanoutAndLogHandler(self):
from mantis.trade.log import TradeServiceLogHandler
self.initFanoutSwitchers(self.cfgs.get('fanout'))
handler = TradeServiceLogHandler(self)
self.logger.addHandler(handler)
def start(self, block=True):
self.setupFanoutAndLogHandler()
# 创建日志引擎
super(MarketService, self).start()
self.active = True
self.thread.start()
le = self.logger
# le = LogEngine()
# le.setLogLevel(le.LEVEL_INFO)
# le.addConsoleHandler()
le.info(u'启动行情记录运行子进程')
self.ee = EventEngine()
le.info(u'事件引擎创建成功')
self.mainEngine = MainEngine(self.ee) # 忽略掉 默认的 DataEngine
self.mainEngine.addGateway(xtpGateway)
le.info(u'主引擎创建成功')
le.info(u'注册日志事件监听')
self.registerEvent()
cfgs = self.cfgs.get('gateway', {})
self.mainEngine.connect(xtpGateway.gatewayName, cfgs)
le.info(u'连接CTP接口')
def processLogEvent(self, event):
print event
def processErrorEvent(self, event):
"""
处理错误事件
错误信息在每次登陆后，会将当日所有已产生的均推送一遍，所以不适合写入日志
"""
error = event.dict_['data']
print u'错误代码：%s，错误信息：%s' % (error.errorID, error.errorMsg)
def stop(self):
super(MarketService, self).stop()
self.mainEngine.exit()
if self.active:
self.active = False
# self.thread.join()
def join(self):
self.thread.join()
def subscribe(self, *symbols):
for symbol in symbols:
if not self.symbols.has_key(symbol):
req = VtSubscribeReq()
req.symbol = symbol
self.mainEngine.subscribe(req, xtpGateway.gatewayName) # XTP
self.symbols[symbol] = symbol
if not symbols:
self.mainEngine.subscribe(None,
xtpGateway.gatewayName) # 订阅全市场所有股票
def unsubscribe(self, *symbols):
for s in symbols:
if s in self.symbols.keys():
del self.symbols[s]
def getSymbols(self):
return list(self.contracts.keys())
def procecssTickEvent(self, event):
"""处理行情事件"""
tick = event.dict_['data']
tick = self.filterTicks(tick)
# print 'Tick:',tick
if tick:
# 生成datetime对象
if not tick.datetime:
# tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
tick.service = self.getServiceType() + '.' + self.getServiceId(
)
self.queue.put(tick)
def initFilters(self):
from mantis.fundamental.utils.importutils import import_class
for clsname in self.cfgs.get('xtp_tick_filters', []):
cls = import_class(clsname)
filter = cls()
self.tick_filters.append(filter)
def filterTicks(self, tick):
"""必须同时满足所有filter数据检查条件"""
for f in self.tick_filters:
tick = f.validate(tick)
if not tick:
break
return tick
def registerEvent(self):
"""注册事件监听"""
self.ee.register(EVENT_TICK, self.procecssTickEvent)
self.ee.register(EVENT_LOG, self.processLogEvent)
self.ee.register(EVENT_ERROR, self.processErrorEvent)
self.ee.register(EVENT_CONTRACT, self.processContractEvent)
# def subscribeAllContracts(self):
# self.subscribeSymobls()
# return
# for symbol in self.contracts.keys():
# req = VtSubscribeReq()
# req.symbol = symbol
# req.exchange = EXCHANGE_SSE
# # self.mainEngine.subscribe( req, xtpGateway.gatewayName) # CTP
# self.mainEngine.subscribe( None, xtpGateway.gatewayName) # CTP
def subscribeSymobls(self):
import string
symbols = map(string.strip,
self.cfgs.get('sub_symbols', '').split(','))
for symbol in symbols:
req = VtSubscribeReq()
req.symbol = symbol
req.exchange = EXCHANGE_SSE
self.mainEngine.subscribe(req, xtpGateway.gatewayName) #
def processContractEvent(self, event):
"""处理合约事件
连接交易系统之后,会通过此接口接收到CTP所有当前合约
"""
contract = event.dict_['data']
self.contracts[contract.vtSymbol] = contract
if contract.last:
# start contract subscribe
self.subscribeSymobls()
def threadDataFanout(self):
"""运行插入线程"""
while self.active:
try:
# print 'current tick queue size:', self.queue.qsize()
# dbName, collectionName, d = self.queue.get(block=True, timeout=1)
tick = self.queue.get(block=True, timeout=1)
symbol = tick.vtSymbol
dt = datetime.datetime.strptime(
' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
tick.ts = datetime_to_timestamp(dt) # 合约生成时间
tick.ts_host = int(time.time()) # 主机系统时间
jsondata = json.dumps(tick.__dict__)
self.dataFanout('switch0', jsondata, symbol=symbol)
# -- cache current tick into redis ---
key_name = XtpMarketSymbolTickFormat.format(
symbol=tick.vtSymbol)
redis = instance.datasourceManager.get('redis').conn
redis.hmset(key_name, tick.__dict__)
print 'Tick:', tick.__dict__
self.ticks_counter += 1
if len(self.ticks_samples) > 5:
del self.ticks_samples[0]
self.ticks_samples.append(tick.__dict__)
except Exception as e:
# self.logger.error( str(e) )
pass
