def init(self):
self.pubsub_timeout = int(config.get('system', 'pubsub_timeout'), 0)
self.loop_count = 100
self.job_periodic = tornado.ioloop.PeriodicCallback(self._periodic_callback, 1000)
self.job_periodic.start()
if not config.has_section("redis"):
return
redis_enable = config.get('redis', 'enable')
if redis_enable != "true":
return
redis_host = config.get('redis', 'host')
redis_port = int(config.get('redis', 'port'), 0)
redis_password = config.get('redis', 'password')
self.redis_sub = tornadoredis.Client(
host=redis_host,
port=redis_port,
password=redis_password)
self.redis_pub = tornadoredis.Client(
host=redis_host,
port=redis_port,
password=redis_password)
self.redis_pub.connect()
yield tornado.gen.Task(self.redis_sub.subscribe, self.REDIS_PUBSU_CHANEL_ID)
self.redis_sub.listen(self.on_redis_message)
def do_send_email(title: str, content: str, config: ConfigParser):
# 登录
logging.info("开始发送邮件")
smtp = SMTP_SSL(config.get('email', 'host_server'))
smtp.set_debuglevel(0)
smtp.ehlo(config.get('email', 'host_server'))
passwords = config.get('email', 'password').split(",")
import random
k = random.randint(0, len(passwords) - 1)
password = passwords[k]
smtp.login(config.get('email', 'username'), password)
if 'ib_account' in config.sections():
name = config.get("ib_account", "name")
elif 'td_account' in config.sections():
name = config.get("td_account", "name")
else:
raise RuntimeError("config error")
title = '[{}]{}'.format(name, title)
sender_email = config.get('email', 'sender_email')
receiver = config.get('email', 'receiver')
# 替换掉content中的< >字符
content = content.replace('<', '[').replace('>', ']')
msg = MIMEText(content, "plain", 'utf-8')
msg["Subject"] = Header(title, 'utf-8')
msg["From"] = sender_email
msg["To"] = receiver
smtp.sendmail(sender_email, receiver, msg.as_string())
smtp.quit()
def _init_handlers(self):
"""
@summary: 加载应用程序模块
@return: 初始化成功返回True，否则返回False
"""
handlers = []
if config.has_section("services"):
if config.has_option("services", "enable_pub") and \
config.get("services", "enable_pub", "0") == "1":
handlers.append(((r"/sub/(.+)"), SubHandler))
handlers.append(((r"/pub/(.+)"), PubHandler))
#
# 批量订阅支持
#
handlers.append(((r"/subs"), SubsHandler))
handlers.append(((r"/pubs"), PubsHandler))
handlers.append(((r"/logs"), LogHandler))
handlers.append(((r"/watch"), WatchHandler))
host_pattern = ".*$"
if len(handlers) <= 0:
return False
self.add_handlers(host_pattern, handlers)
return True
def init(self):
"""
@summary: 初始化所有部分
@return: 初始化成功返回
"""
#
# 初始化处理句柄
#
ret = self._init_handlers()
if not ret:
return ret
#
# 初始化redis监控句柄
#
self.pub_sub.init()
#
# 初始化piwik统计模块
#
self._init_piwik()
if not config.has_section("system"):
return ret
#
# 添加ip检测开关量
#
if config.has_option("system", "enable_ip_auth"):
enable_ip_auth = config.get("system", "trust_ips", "false")
if enable_ip_auth == "true":
self.ip_auth = True
if not config.has_option("system", "trust_ips"):
return ret
trust_ips = config.get("system", "trust_ips", "0")
trust_ip_list = trust_ips.split('|')
for ip in trust_ip_list:
if ip in self.trust_ips:
continue
self.trust_ips.append(ip)
return ret
def __init__(self, application, request, **kwargs):
web.RequestHandler.__init__(self, application, request, **kwargs)
self.request.remote_ip = self.request.headers.get("X-Forwarded-For", self.request.remote_ip)
if self.application.enable_piwik:
headers = {
'HTTP_USER_AGENT': self.request.headers.get("User-Agent", "Default"),
'REMOTE_ADDR': self.request.remote_ip,
#'HTTP_REFERER': 'http://referer.com/somewhere/',
'HTTP_ACCEPT_LANGUAGE': 'en-US',
'SERVER_NAME': self.request.host,
'PATH_INFO': self.request.path,
'QUERY_STRING': self.request.query,
'HTTPS': False,
}
request = FakeRequest(headers)
self.piwik = PiwikTracker(config.get("piwik", "app_id", 1), request)
self.piwik.set_api_url(config.get("piwik", "app_url", ""))
self.piwik.set_ip(self.request.remote_ip) # Optional, to override the IP
self.piwik.set_token_auth(config.get("piwik", "token_auth", "")) # Optional, to override the IP
self.tracked = False
def _init_piwik(self):
"""
@summary: 初始化统计模块piwik
@return: 初始化成功返回True，否则返回False
"""
if not config.has_section("piwik") or \
not config.has_option("piwik", "enable"):
return False
enable_piwik = config.get("piwik", "enable", "false")
if enable_piwik != "true":
return True
self.enable_piwik = True
return True
def send_email(title: str, content: str):
from se import config
if config.get("email", 'activate') == 'false':
return
def send_with_retry():
retry_limit = 10
for i in range(retry_limit):
try:
do_send_email(title, content, config)
break
except:
import traceback
logging.warning("发送邮件失败 {},邮件配置:{}".format(
traceback.format_exc(), config.__dict__))
import time
time.sleep(10)
threading.Thread(name='send_email', target=send_with_retry).start()
from ibapi.tag_value import TagValue
from pandas._libs.tslibs.timestamps import Timestamp
os.environ[
'config.dir'] = "/Users/zhang/PycharmProjects/strategy_engine_v2/interface"
# 如果没有日志目录的话，则创建
if not os.path.exists("log"):
os.makedirs("log")
from se.domain2.time_series.time_series import TimeSeries, TimeSeriesRepo, TimeSeriesSubscriber, TSData
from se.domain2.engine.engine import DataPortal
from se import config, BeanContainer
from ibapi.order import Order as IBOrder
from se.infras.ib import IBAccount, IBClient, Request
client: IBClient = IBClient.find_client(config.get('ib_data', 'host'),
config.getint('ib_data', 'port'),
config.getint('ib_data', 'client_id'))
if not client:
client: IBClient = IBClient(config.get('ib_data', 'host'),
config.getint('ib_data', 'port'),
config.getint('ib_data', 'client_id'))
contract: Contract = Contract()
contract.symbol = 'CL'
contract.secType = 'FUT'
contract.exchange = "NYMEX"
# contract.multiplier = 5000
contract.lastTradeDateOrContractMonth = "202104"
# contract: Contract = Contract()
# contract.symbol = '700'
# contract.secType = 'STK'
from trading_calendars import get_calendar
from se import config, BeanContainer, AccountRepo
from se.domain2.engine.engine import Engine, Scope
from se.infras.td import TDAccount
from st import SPCEStrategy
engine = Engine()
scope = Scope(["SPCE_STK_USD_SMART"], trading_calendar=get_calendar("NYSE"))
strategy = SPCEStrategy(scope)
account_name = "td_local_spce"
repo: AccountRepo = BeanContainer.getBean(AccountRepo)
acc: TDAccount = repo.find_one(account_name)
if not acc:
acc = TDAccount(account_name, 100)
acc.with_order_callback(strategy).with_client(
config.get("td_account", "client_id"),
config.get("td_account", 'redirect_url'),
config.get("td_account", 'credentials_path'),
config.get("td_account", 'account_id'))
acc.start_save_thread()
engine.run(strategy, acc)
from trading_calendars import get_calendar
from se import config, AccountRepo, BeanContainer
from se.domain2.engine.engine import Engine, Scope
from se.infras.ib import IBAccount
from strategies.strategy import TestStrategy3
engine = Engine()
scope = Scope(["GSX_STK_USD_SMART"], trading_calendar=get_calendar("NYSE"))
strategy = TestStrategy3(scope)
account_name = "ib_real2"
repo: AccountRepo = BeanContainer.getBean(AccountRepo)
acc = repo.find_one(account_name)
if not acc:
acc = IBAccount(account_name, 10000)
acc.with_order_callback(strategy).with_client(
config.get('ib_account', 'host'), config.getint('ib_account', 'port'),
config.getint('ib_account', 'client_id'))
acc.start_save_thread()
acc.start_sync_order_executions_thread()
engine.run(strategy, acc)
from trading_calendars import get_calendar
from se import config, BeanContainer, AccountRepo
from se.domain2.engine.engine import Engine, Scope
from se.infras.ib import IBAccount
from strategies.spce import SPCEStrategy
engine = Engine()
scope = Scope(["SPCE_STK_USD_SMART"], trading_calendar=get_calendar("NYSE"))
strategy = SPCEStrategy(scope)
account_name = "ib_real1"
repo: AccountRepo = BeanContainer.getBean(AccountRepo)
acc = repo.find_one(account_name)
if not acc:
acc = IBAccount(account_name, 10000)
acc.with_order_callback(strategy).with_client(config.get('ib_account', 'host'), config.getint('ib_account', 'port'),
config.getint('ib_account', 'client_id'))
acc.valid_scope(scope)
acc.start_save_thread()
acc.start_sync_order_executions_thread()
engine.run(strategy, acc)
from trading_calendars import get_calendar
from se import config, BeanContainer, AccountRepo
from se.domain2.engine.engine import Engine, Scope
from se.infras.td import TDAccount
from strategies_td.spce import SPCEStrategy
engine = Engine()
scope = Scope(["ACB_STK_USD_SMART"], trading_calendar=get_calendar("NYSE"))
strategy = SPCEStrategy(scope)
account_name = "td_real1"
repo: AccountRepo = BeanContainer.getBean(AccountRepo)
acc: TDAccount = repo.find_one(account_name)
if not acc:
acc = TDAccount(account_name, 50)
acc.with_order_callback(strategy).with_client(config.get("td_account", "client_id"),
config.get("td_account", 'redirect_url'),
config.get("td_account", 'credentials_path'),
config.get("td_account", 'account_id'))
acc.start_save_thread()
engine.run(strategy, acc)
import os
os.environ[
'config.dir'] = "/Users/zhangzheng/Quantitative/stratege_engine/interface3"
from se.infras.models import *
from cassandra.cqlengine.management import sync_table, sync_type
from se import config
ks_name = config.get("cassandra", "session_keyspace")
sync_type(ks_name, UserOrderExecutionModel)
sync_type(ks_name, UserOrderModel)
sync_type(ks_name, DataRecordModel)
sync_table(AccountModel)
sync_table(TimeSeriesModel)
sync_table(TimeSeriesDataModel)
from se import config
from ibapi.order import Order as IBOrder
from se.infras.ib import IBAccount
class TestStrategy(AbstractStrategy):
def do_order_status_change(self, order, account):
pass
def do_initialize(self, engine: Engine, data_portal: DataPortal):
pass
account_name = "test"
acc = IBAccount(account_name, 10000)
acc.with_client(config.get('ib_account', 'host'),
config.getint('ib_account', 'port'),
config.getint('ib_account', 'client_id'))
acc.with_order_callback(TestStrategy(None))
code = '700_STK_HKD_SEHK'
contract = acc.cli.code_to_contract(code)
ib_order: IBOrder = IBOrder()
ib_order.orderType = "MKT"
ib_order.totalQuantity = 100
# ib_order.lmtPrice = 85
ib_order.action = 'SELL'
# ib_order.outsideRth = True
# ib_order.tif = "GTD"
# ib_order.goodAfterTime = '18:45:00'
# ib_order.goodTillDate = '19:56:00'