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)
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