def __init__(self):
"""Constructor"""
# 记录今日日期
self.todayDate = datetime.now().strftime('%Y%m%d')
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 接口实例
self.gatewayDict = OrderedDict()
self.gatewayDetailList = []
# 应用模块实例
self.appDict = OrderedDict()
self.appDetailList = []
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine) # cta策略运行模块
self.drEngine = DrEngine(self, self.eventEngine) # 数据记录模块
self.rmEngine = RmEngine(self, self.eventEngine) # 风险管理模块
self.connected_gw_name = u''
def __init__(self, client, eventEngine):
"""Constructor"""
self.client = client
self.eventEngine = eventEngine
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
class ClientEngine(object):
"""客户端引擎，提供和MainEngine完全相同的API接口"""
#----------------------------------------------------------------------
def __init__(self, client, eventEngine):
"""Constructor"""
self.client = client
self.eventEngine = eventEngine
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
#----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
self.client.connect(gatewayName)
# ----------------------------------------------------------------------
def disconnect(self, gatewayName):
"""连接特定名称的接口"""
self.client.disconnect(gatewayName)
#----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
self.client.subscribe(subscribeReq, gatewayName)
#----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
self.client.sendOrder(orderReq, gatewayName)
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
self.client.cancelOrder(cancelOrderReq, gatewayName)
#----------------------------------------------------------------------
def qryAccont(self, gatewayName):
"""查询特定接口的账户"""
self.client.qryAccount(gatewayName)
#----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
self.client.qryPosition(gatewayName)
#----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 停止事件引擎
self.eventEngine.stop()
# 关闭客户端的推送数据接收
self.client.stop()
# 停止数据记录引擎
self.drEngine.stop()
#----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
self.client.writeLog(content)
#----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
self.client.dbConnect()
#----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
self.client.dbInsert(dbName, collectionName, d)
#----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的数据列表"""
return self.client.dbQuery(dbName, collectionName, d)
#----------------------------------------------------------------------
def dbUpdate(self, dbName, collectionName, d, flt, upsert=False):
"""向MongoDB中更新数据，d是具体数据，flt是过滤条件，upsert代表若无是否要插入"""
self.client.dbUpdate(dbName, collectionName, d, flt, upsert)
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.client.getContract(vtSymbol)
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.client.getAllContracts()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.client.getOrder(vtOrderID)
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.client.getAllWorkingOrders()
#----------------------------------------------------------------------
def getAllGatewayNames(self):
"""查询所有的接口名称"""
return self.client.getAllGatewayNames()
def getAccountInfo(self):
"""读取风控的账号与仓位数据
# Added by IncenseLee
仅支持一个账号。不支持多账号
以后支持跨市场套利才更新吧。
"""
return self.rmEngine.getAccountInfo()
def clearData(self):
"""清空数据引擎的数据"""
self.dataEngine.clearData()
self.ctaEngine.clearData()
def saveData(self):
self.ctaEngine.saveStrategyData()
class MainEngine(object):
"""主引擎"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 记录今日日期
self.todayDate = datetime.now().strftime('%Y%m%d')
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 接口实例
self.gatewayDict = OrderedDict()
self.gatewayDetailList = []
# 应用模块实例
self.appDict = OrderedDict()
self.appDetailList = []
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine) # cta策略运行模块
self.drEngine = DrEngine(self, self.eventEngine) # 数据记录模块
self.rmEngine = RmEngine(self, self.eventEngine) # 风险管理模块
self.connected_gw_name = u''
# ----------------------------------------------------------------------
def addGateway(self, gatewayModule, gateway_name=EMPTY_STRING):
"""添加底层接口"""
# 是否使用指定的gateway_name
if gateway_name == EMPTY_STRING:
gatewayName = gatewayModule.gatewayName
else:
gatewayName = gateway_name
# 创建接口实例
self.gatewayDict[gatewayName] = gatewayModule.gatewayClass(
self.eventEngine, gatewayName)
# 设置接口轮询
if gatewayModule.gatewayQryEnabled:
self.gatewayDict[gatewayName].setQryEnabled(
gatewayModule.gatewayQryEnabled)
# 保存接口详细信息
d = {
'gatewayName': gatewayModule.gatewayName,
'gatewayDisplayName': gatewayModule.gatewayDisplayName,
'gatewayType': gatewayModule.gatewayType
}
self.gatewayDetailList.append(d)
if gateway_name != self.connected_gw_name:
self.connected_gw_name = gateway_name
# ----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.connect()
if gatewayName != self.connected_gw_name:
self.connected_gw_name = gatewayName
# 接口连接后自动执行数据库连接的任务
self.dbConnect()
return True
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
return False
def checkGatewayStatus(self, gatewayName):
"""check gateway connect status"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
return gateway.checkStatus()
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
return False
def qryStatus(self):
"""查询Status"""
status_dict = OrderedDict()
# gateway Status
gw_status_dict = OrderedDict()
for k, g in self.gatewayDict.items():
gw_status_dict[k] = g.checkStatus()
status_dict['gateways'] = gw_status_dict
# ctaEngine Status
if self.ctaEngine:
tick_dict, strategy_dict = self.ctaEngine.qryStatus()
status_dict['ticks'] = tick_dict
status_dict['strategies'] = strategy_dict
event = vn_event(type_=EVENT_STATUS)
event.dict_['data'] = status_dict
self.eventEngine.put(event)
return True
# ----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.subscribe(subscribeReq)
else:
if len(self.gatewayDict) > 0:
for gateway in self.gatewayDict.values():
gateway.subscribe(subscribeReq)
else:
self.writeLog(
text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
# ----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
# 如果风控检查失败则不发单
if not self.rmEngine.checkRisk(orderReq):
self.writeCritical(u'风控检查不通过')
return ''
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
return gateway.sendOrder(orderReq)
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
# ----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.cancelOrder(cancelOrderReq)
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
# ----------------------------------------------------------------------
def qryAccount(self, gatewayName):
"""查询特定接口的账户"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.qryAccount()
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
def getAccountInfo(self):
"""读取风控的账号与仓位数据
# Added by IncenseLee
仅支持一个账号。不支持多账号
以后支持跨市场套利才更新吧。
"""
return self.rmEngine.getAccountInfo()
# ----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.qryPosition()
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
# ----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 安全关闭所有接口
for gateway in self.gatewayDict.values():
gateway.close()
# 停止事件引擎
self.eventEngine.stop()
# 停止数据记录引擎
self.drEngine.stop()
# 保存数据引擎里的合约数据到硬盘
self.dataEngine.saveContracts()
def disconnect(self, gateway_name=EMPTY_STRING):
"""断开底层gateway的连接"""
try:
# 只断开指定的gateway
if gateway_name != EMPTY_STRING:
if gateway_name in self.gatewayDict:
gateway = self.gatewayDict[gateway_name]
gateway.close()
return
else:
self.writeLog(u'gateway接口不存在：%s' % gateway_name)
# 断开所有的gateway
for gateway in self.gatewayDict.values():
gateway.close()
return True
except Exception as ex:
print u'vtEngine.disconnect Exception:{0} '.format(str(ex))
return False
# ----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
log = VtLogData()
log.logContent = content
event = vn_event(type_=EVENT_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
# 写入本地log日志
logging.info(content)
# ----------------------------------------------------------------------
def writeError(self, content):
"""快速发出错误日志事件"""
log = VtErrorData()
log.errorMsg = content
event = vn_event(type_=EVENT_ERROR)
event.dict_['data'] = log
self.eventEngine.put(event)
# 写入本地log日志
logging.error(content)
# ----------------------------------------------------------------------
def writeWarning(self, content):
"""快速发出告警日志事件"""
log = VtLogData()
log.logContent = content
event = vn_event(type_=EVENT_WARNING)
event.dict_['data'] = log
self.eventEngine.put(event)
# 写入本地log日志
logging.warning(content)
# 发出邮件
try:
sendmail(subject=u'{0} Warning'.format(self.connected_gw_name),
msgcontent=content)
except:
pass
# ----------------------------------------------------------------------
def writeNotification(self, content):
"""快速发出通知日志事件"""
log = VtLogData()
log.logContent = content
event = vn_event(type_=EVENT_NOTIFICATION)
event.dict_['data'] = log
self.eventEngine.put(event)
# 发出邮件
try:
sendmail(subject=u'{0} Notification'.format(
self.connected_gw_name),
msgcontent=content)
except:
pass
# ----------------------------------------------------------------------
def writeCritical(self, content):
"""快速发出严重错误日志事件"""
log = VtLogData()
log.logContent = content
event = vn_event(type_=EVENT_CRITICAL)
event.dict_['data'] = log
self.eventEngine.put(event)
# 写入本地log日志
logging.critical(content)
# 发出邮件
try:
sendmail(subject=u'{0} Critical'.format(self.connected_gw_name),
msgcontent=content)
except:
pass
# ----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
if not self.dbClient:
# 读取MongoDB的设置
host, port, logging = loadMongoSetting()
try:
# 设置MongoDB操作的超时时间为0.5秒
self.dbClient = MongoClient(host, port, connectTimeoutMS=500)
# 调用server_info查询服务器状态，防止服务器异常并未连接成功
self.dbClient.server_info()
self.writeLog(text.DATABASE_CONNECTING_COMPLETED)
# 如果启动日志记录，则注册日志事件监听函数
if logging:
self.eventEngine.register(EVENT_LOG, self.dbLogging)
except ConnectionFailure:
self.writeError(text.DATABASE_CONNECTING_FAILED)
# ----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.insert_one(d)
else:
self.writeLog(text.DATA_INSERT_FAILED)
# ----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
cursor = collection.find(d)
if cursor:
return list(cursor)
else:
return []
else:
self.writeLog(text.DATA_QUERY_FAILED)
return []
#----------------------------------------------------------------------
def dbUpdate(self, dbName, collectionName, d, flt, upsert=False):
"""向MongoDB中更新数据，d是具体数据，flt是过滤条件，upsert代表若无是否要插入"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.replace_one(flt, d, upsert)
else:
self.writeLog(text.DATA_UPDATE_FAILED)
#----------------------------------------------------------------------
def dbLogging(self, event):
"""向MongoDB中插入日志"""
log = event.dict_['data']
d = {
'content': log.logContent,
'time': log.logTime,
'gateway': log.gatewayName
}
self.dbInsert(LOG_DB_NAME, self.todayDate, d)
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.dataEngine.getContract(vtSymbol)
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.dataEngine.getAllContracts()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.dataEngine.getOrder(vtOrderID)
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.dataEngine.getAllWorkingOrders()
# ----------------------------------------------------------------------
def getAllGatewayNames(self):
"""查询引擎中所有可用接口的名称"""
return self.gatewayDict.keys()
def clearData(self):
"""清空数据引擎的数据"""
self.dataEngine.clearData()
self.ctaEngine.clearData()
def saveData(self):
self.ctaEngine.saveStrategyData()
def initStrategy(self, name, force=False):
if not self.ctaEngine:
self.writeError(u'Cta Engine not started')
return
self.ctaEngine.initStrategy(name=name, force=force)
self.qryStatus()
def startStrategy(self, name):
if not self.ctaEngine:
self.writeError(u'Cta Engine not started')
return
self.ctaEngine.startStrategy(name=name)
self.qryStatus()
def stopStrategy(self, name):
if not self.ctaEngine:
self.writeError(u'Cta Engine not started')
return
self.ctaEngine.stopStrategy(name=name)
self.qryStatus()