def __init__(self, stra_barupdate=None, stra_onorder=None):
'''初始所有变量'''
self.stra_uppdate = stra_barupdate
self.stra_onorder = stra_onorder
'''每bar只执行一次交易'''
self.SingleOrderOneBar = False
'''每bar只执行一 次交易'''
'''K线序列'''
self.Bars = []
'''K线序列'''
'''合约'''
self.Instrument = ''
'''合约'''
'''合约信息'''
self.InstrumentInfo = InstrumentField()
'''合约信息'''
'''周期'''
self.Interval = 1
'''周期'''
'''周期类型'''
self.IntervalType = IntervalType.Minute
'''周期类型'''
'''分笔数据
Tick.Instrument用来判断是否有实盘数据'''
self.Tick = Tick()
'''分笔数据
Tick.Instrument用来判断是否有实盘数据'''
'''买卖信号'''
self.Orders = []
'''买卖信号'''
'''指标字典
策略使用的指标保存在此字典中
以便管理程序显示和处理'''
self.IndexDict = {}
'''指标字典
策略使用的指标保存在此字典中
以便管理程序显示和处理'''
'''时间'''
self.D = []
'''时间'''
'''最高价'''
self.H = []
'''最高价'''
'''最低价'''
self.L = []
'''最低价'''
'''开盘价'''
self.O = []
'''开盘价'''
'''收盘价'''
self.C = []
'''收盘价'''
'''交易量'''
self.V = []
'''交易量'''
'''持仓量'''
self.I = []
'''持仓量'''
self._lastOrder = OrderItem()
def q_Tick(self, q: CtpQuote, tick: Tick):
""""""
# 对tick时间进行修正处理
ut = tick.UpdateTime[0:6] + '00'
mins_dict = self.trade_time[tick.Instrument]
# 由下面的 updatetime[-2:0] != '00' 处理
if ut not in mins_dict['Mins']:
# 开盘/收盘
if ut in mins_dict['Opens']:
tick.UpdateTime = (datetime.strptime(ut, '%H:%M:%S') +
timedelta(minutes=1)).strftime('%H:%M:%S')
elif ut in mins_dict['Ends']:
# 重新登录会收到上一节的最后tick
tick_dt = datetime.strptime(
'{} {}'.format(datetime.now().strftime('%Y%m%d'),
tick.UpdateTime), '%Y%m%d %H:%M:%S')
now_dt = datetime.now()
diff_snd = 0
if tick_dt > now_dt:
diff_snd = (tick_dt - now_dt).seconds
else:
diff_snd = (now_dt - tick_dt).seconds
if diff_snd > 30:
return
tick.UpdateTime = (datetime.strptime(ut, '%H:%M:%S') +
timedelta(seconds=-1)).strftime('%H:%M:%S')
else:
return
# 首tick不处理(新开盘时会收到之前的旧数据)
if tick.Instrument not in self.received_instrument:
self.received_instrument.append(tick.Instrument)
return
actionday = self.TradingDay
if tick.UpdateTime[0:2] > '20':
actionday = self.Actionday
elif tick.UpdateTime[0:2] < '04':
actionday = self.Actionday1
ut = actionday[0:4] + '-' + actionday[4:6] + '-' + actionday[
6:] + ' ' + tick.UpdateTime
tick.UpdateTime = ut
for stra in self.stra_instances:
for data in stra.Datas:
if data.Instrument == tick.Instrument:
data.on_tick(tick, self.TradingDay)
self.tick_time = ut
def q_Tick(self, q: CtpQuote, tick: Tick):
""""""
# print(tick)
# self.fix_tick(tick)
actionday = self.TradingDay
if tick.UpdateTime[0:2] > '20':
actionday = self.Actionday
elif tick.UpdateTime[0:2] < '04':
actionday = self.Actionday1
ut = actionday[0:4] + '-' + actionday[4:6] + '-' + actionday[
6:] + ' ' + tick.UpdateTime
tick.UpdateTime = ut
for stra in self.stra_instances:
for data in stra.Datas:
if data.Instrument == tick.Instrument:
data.on_tick(tick, self.TradingDay)
self.tick_time = ut
def read_ticks(self, stra: Strategy, tradingday: str) -> []:
"""读取tick数据
返回 list[Tick]"""
ticks: list = []
if self.cfg.engine_postgres is not None:
conn = self.cfg.engine_postgres.raw_connection()
cursor = conn.cursor()
sql = "select count(1) from pg_tables where schemaname='future_tick' and tablename='{}'".format(
tradingday)
try:
cursor.execute(sql)
if cursor.fetchone()[0] == 0:
return []
for data in stra.Datas:
sql = 'select "Actionday", "AskPrice", "AskVolume", "BidPrice", "BidVolume", "Instrument", "LastPrice", "OpenInterest", "UpdateMillisec", "UpdateTime", "Volume" from future_tick."{}" where "Instrument" = \'{}\''.format(
tradingday, data.Instrument)
cursor.execute(sql)
rows = cursor.fetchall()
for d in rows:
tick = Tick()
tick.Instrument = data.Instrument
tick.AskPrice = d[1]
tick.AskVolume = d[2]
tick.BidPrice = d[3]
tick.BidVolume = d[4]
tick.LastPrice = d[6]
tick.OpenInterest = d[7]
tick.UpdateMillisec = d[8]
tick.UpdateTime = d[0][0:4] + '-' + d[0][
4:6] + '-' + d[0][6:] + ' ' + d[9]
tick.Volume = d[10]
ticks.append(tick)
finally:
conn.close()
ticks.sort(key=lambda t: t.UpdateTime)
return ticks
def _OnRtnDepthMarketData(
self, pDepthMarketData: CThostFtdcDepthMarketDataField):
""""""
tick: Tick = None
# 这个逻辑交由应用端处理更合理 ==> 第一个tick不送给客户端(以处理隔夜早盘时收到夜盘的数据的问题)
inst = pDepthMarketData.getInstrumentID()
if inst not in self.inst_tick:
tick = Tick()
self.inst_tick[inst] = tick
else:
tick = self.inst_tick[inst]
tick.AskPrice = pDepthMarketData.getAskPrice1()
tick.AskVolume = pDepthMarketData.getAskVolume1()
tick.AveragePrice = pDepthMarketData.getAveragePrice()
tick.BidPrice = pDepthMarketData.getBidPrice1()
tick.BidVolume = pDepthMarketData.getBidVolume1()
tick.Instrument = pDepthMarketData.getInstrumentID()
tick.LastPrice = pDepthMarketData.getLastPrice()
tick.OpenInterest = pDepthMarketData.getOpenInterest()
tick.Volume = pDepthMarketData.getVolume()
# 用tradingday替代Actionday不可取
# day = pDepthMarketData.getTradingDay()
# str = day + ' ' + pDepthMarketData.getUpdateTime()
# if day is None or day == ' ':
# str = time.strftime('%Y%m%d %H:%M:%S', time.localtime())
# tick.UpdateTime = str # time.strptime(str, '%Y%m%d %H:%M:%S')
tick.UpdateTime = pDepthMarketData.getUpdateTime()
tick.UpdateMillisec = pDepthMarketData.getUpdateMillisec()
# 用线程会导入多数据入库时报错
# _thread.start_new_thread(self.OnTick, (self, tick))
self.OnTick(self, tick)