def __init__(self):
# Status ID
self._id = Value('i', 0)
self._activeStatus = Manager().list()
self._doneStatus = Manager().list()
self._cachesize = Config()._Engine_cacheSize
# logger
self._logger = Logger()
def __init__(self, eventEngine, handler):
self._eventEngine = eventEngine
self._handler = handler
self._logger = Logger()
# 事件
# listen event
self.LISTEN_ACCOUNT_BALANCE_EVENT_TYPE = json.loads(
LISTEN_ACCOUNT_BALANCE_EVENT.substitute())["type"]
self.LISTEN_ACCOUNT_WITHDRAW_EVENT_TYPE = json.loads(
LISTEN_ACCOUNT_WITHDRAW_EVENT.substitute())["type"]
self.LISTEN_MARKET_KLINE_EVENT_TYPE = json.loads(
LISTEN_MARKET_KLINE_EVENT.substitute())["type"]
self.LISTEN_MARKET_TICKER_EVENT_TYPE = json.loads(
LISTEN_MARKET_TICKER_EVENT.substitute())["type"]
self.LISTEN_MARKET_DEPTH_EVENT_TYPE = json.loads(
LISTEN_MARKET_DEPTH_EVENT.substitute())["type"]
# judge event
self.JUDGE_MARKET_DEPTH_EVENT_TYPE = json.loads(
JUDGE_MARKET_DEPTH_EVENT.substitute())["type"]
self.JUDGE_MARKET_KLINE_EVENT_TYPE = json.loads(
JUDGE_MARKET_KLINE_EVENT.substitute())["type"]
self.JUDGE_MARKET_TICKER_EVENT_TYPE = json.loads(
JUDGE_MARKET_TICKER_EVENT.substitute())["type"]
# backtest event
self.BACKTEST_HISTORY_CREAT_EVENT_TYPE = json.loads(
BACKTEST_HISTORY_CREAT_EVENT.substitute())["type"]
# order event
self.ORDER_HISTORY_SYNC_EVENT_TYPE = json.loads(
ORDER_HISTORY_SYNC_EVENT.substitute())["type"]
self.ORDER_HISTORY_CREAT_EVENT_TYPE = json.loads(
ORDER_HISTORY_CREAT_EVENT.substitute())["type"]
# statistic event
self.STATISTIC_JUDGE_EVENT_TYPE = json.loads(
STATISTIC_JUDGE_EVENT.substitute())["type"]
self.STATISTIC_BACKTEST_EVENT_TYPE = json.loads(
STATISTIC_BACKTEST_EVENT.substitute())["type"]
self.STATISTIC_ORDER_EVENT_TYPE = json.loads(
STATISTIC_ORDER_EVENT.substitute())["type"]
# handler
# listen handler
self.LISTEN_ACCOUNT_BALANCE_EVENT_HANDLER = self._handler.handleListenAccountBalanceEvent
self.LISTEN_ACCOUNT_WITHDRAW_EVENT_HANDLER = self._handler.handleListenAccountWithdrawEvent
self.LISTEN_MARKET_KLINE_EVENT_HANDLER = self._handler.handleListenMarketKlineEvent
self.LISTEN_MARKET_TICKER_EVENT_HANDLER = self._handler.handleListenMarketTickerEvent
self.LISTEN_MARKET_DEPTH_EVENT_HANDLER = self._handler.handleListenMarketDepthEvent
# judge handler
self.JUDGE_MARKET_DEPTH_EVENT_HANDLER = self._handler.handleJudgeMarketDepthEvent
self.JUDGE_MARKET_KLINE_EVENT_HANDLER = self._handler.handleJudgeMarketKlineEvent
self.JUDGE_MARKET_TICKER_EVENT_HANDLER = self._handler.handleJudgeMarketTickerEvent
# backtest handler
self.BACKTEST_HISTORY_CREAT_EVENT_HANDLER = self._handler.handleBacktestHistoryCreatEvent
# order handler
self.ORDER_HISTORY_SYNC_EVENT_HANDLER = self._handler.handleOrderHistorySyncEvent
self.ORDER_HISTORY_CREAT_EVENT_HANDLER = self._handler.handleOrderHistoryCreatEvent
# statistic handler
self.STATISTIC_JUDGE_EVENT_HANDLER = self._handler.handleStatisticJudgeEvent
self.STATISTIC_BACKTEST_EVENT_HANDLER = self._handler.handleStatisticBacktestEvent
self.STATISTIC_ORDER_EVENT_HANDLER = self._handler.handleStatisticOrderEvent
def __init__(self):
# Config init
self.__epoch = Config()._Engine_epoch
self.__maxProcess = Config()._Engine_maxProcess
# 保存事件列表 按优先级不同分别保存
self.__lowEnventQueue = Queue()
self.__mediumEventQueue = Queue()
self.__highEventQueue = Queue()
# 引擎开关
self.__active = Value('b', False)
# 事件处理字典{'event1': [handler1,handler2] , 'event2':[handler3, ...,handler4]}
self.__handlers = {}
# 保存事件处理进程池 控制最大进程数量 以及关闭引擎时处理已启动进程
self.__processPool = Manager().list()
# 保存已执行事件处理状态
self.__status = Status()
# 事件引擎主进程
self.__mainProcess = Process(target=self.__run)
# logger
self.__logger = Logger()
def __init__(self):
# config param
self._epoch = Config()._Router_epoch
self._timeout = Config()._Router_timeout
self._marketKlineInterval = Config()._Main_marketKlineInterval
self._marketTickerInterval = Config()._Main_marketTickerInterval
self._statisticJudgeMarketTickerInterval = Config()._Main_statisticJudgeMarketTickerInterval
self._asyncAccount = Config()._Main_asyncAccount
self._syncAccountTimeout = Config()._Main_syncAccountTimeout
self._asyncMarketKline = Config()._Main_asyncMarketKline
self._syncMarketKlineTimeout = Config()._Main_syncMarketKlineTimeout
self._asyncMarketDepth = Config()._Main_asyncMarketDepth
self._syncMarketDepthTimeout = Config()._Main_syncMarketDepthTimeout
self._asyncMarketTicker = Config()._Main_asyncMarketTicker
self._syncMarketTickerTimeout = Config()._Main_syncMarketTickerTimeout
self._asyncJudge = Config()._Main_asyncJudge
self._syncJudgeTimeout = Config()._Main_syncJudgeTimeout
self._asyncBacktest = Config()._Main_asyncBacktest
self._syncBacktestTimeout = Config()._Main_syncBacktestTimeout
self._asyncOrder = Config()._Main_asyncOrder
self._syncOrderTimeout = Config()._Main_syncOrderTimeout
self._asyncStatistic = Config()._Main_asyncStatistic
self._syncStatisticTimeout = Config()._Main_syncStatisticTimeout
# class instance
self._eventEngine = EventEngine()
self._sender = Sender(self._eventEngine)
self._handler = Handler(self._eventEngine)
self._register = Register(self._eventEngine, self._handler)
self._util = Util(self._eventEngine, self._sender)
# logger
self._logger = Logger()
# router param
self._start = False
self._startTime = time.time()
self._marketKlineUpdateTime = time.time()
# self._marketKlineUpdateTime = time.time() - self._marketKlineInterval
self._marketTickerUpdateTime = time.time() - self._marketTickerInterval
self._statisticJudgeMarketTickerUpdateTime = time.time(
) - self._statisticJudgeMarketTickerInterval
class EventEngine(object):
# 初始化事件事件驱动引擎
def __init__(self):
# Config init
self.__epoch = Config()._Engine_epoch
self.__maxProcess = Config()._Engine_maxProcess
# 保存事件列表 按优先级不同分别保存
self.__lowEnventQueue = Queue()
self.__mediumEventQueue = Queue()
self.__highEventQueue = Queue()
# 引擎开关
self.__active = Value('b', False)
# 事件处理字典{'event1': [handler1,handler2] , 'event2':[handler3, ...,handler4]}
self.__handlers = {}
# 保存事件处理进程池 控制最大进程数量 以及关闭引擎时处理已启动进程
self.__processPool = Manager().list()
# 保存已执行事件处理状态
self.__status = Status()
# 事件引擎主进程
self.__mainProcess = Process(target=self.__run)
# logger
self.__logger = Logger()
# 执行事件循环
def __run(self):
self.__logger.debug(
"src.core.engine.engine.EventEngine.__mainProcess.__run")
try:
while self.__active.value:
# 执行 Epoch
time.sleep(self.__epoch)
# 控制最大进程数量
if self.getActiveEventNum() > int(self.__maxProcess):
self.__logger.warn(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__eventQueue: Too Many"
)
else:
# 按优先级 获取队列中的事件 超时1秒
event = None
if not self.__highEventQueue.empty():
self.__logger.debug(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__highEventQueue"
)
event = self.__highEventQueue.get(block=False)
while utcnow_timestamp(
) - event.timeStamp > HIGH_PRIORITY_EVENT_TIMEOUT:
self.__status.delEventStatus(event)
if not self.__highEventQueue.empty():
self.__logger.error(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__highEventQueue TIMEOUT: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority,
event.timeStamp, event.args))
event = self.__highEventQueue.get(block=False)
else:
event = None
break
if not self.__mediumEventQueue.empty() and event == None:
self.__logger.debug(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__mediumEventQueue"
)
event = self.__mediumEventQueue.get(block=False)
while utcnow_timestamp(
) - event.timeStamp > MEDIUM_PRIORITY_EVENT_TIMEOUT:
self.__status.delEventStatus(event)
if not self.__mediumEventQueue.empty():
self.__logger.error(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__mediumEventQueue TIMEOUT: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority,
event.timeStamp, event.args))
event = self.__mediumEventQueue.get(
block=False)
else:
event = None
break
if not self.__lowEnventQueue.empty() and event == None:
self.__logger.debug(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__lowEnventQueue"
)
event = self.__lowEnventQueue.get(block=False)
while utcnow_timestamp(
) - event.timeStamp > LOW_PRIORITY_EVENT_TIMEOUT:
self.__status.delEventStatus(event)
if not self.__lowEnventQueue.empty():
self.__logger.error(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__lowEnventQueue TIMEOUT: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority,
event.timeStamp, event.args))
event = self.__lowEnventQueue.get(block=False)
else:
event = None
break
# 事件队列非空
if not event == None:
# 执行事件
self.__logger.debug(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__eventQueue: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority,
event.timeStamp, event.args))
self.__process(event)
else:
self.__logger.debug(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__eventQueue: empty"
)
# 定期清理进程池
if len(self.__processPool) > self.__maxProcess:
for (_id, _pid) in self.__processPool:
if not psutil.pid_exists(_pid):
self.__processPool.remove((_id, _pid))
# break out while
# 终止所有事件处理进程
for (_id, _pid) in self.__processPool:
if psutil.pid_exists(_pid):
_p = psutil.Process(_pid)
_p.terminate()
self.__processPool.remove((_id, _pid))
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.__mainProcess.__run: exception err=%s" % EngineException(
err)
raise EngineException(errStr)
# 执行事件
def __process(self, event):
self.__logger.debug(
"src.core.engine.engine.EventEngine.__mainProcess.__run.__process: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
try:
if event.type in self.__handlers:
for handler in self.__handlers[event.type]:
# 开一个进程去异步处理
p = Process(
target=handler, args=(event, self.__status.delEventStatus))
# 运行进程
p.start()
# 同步抄送至事件运行状态表格里
self.__status.addEventStatus(event.id)
# 保存到进程池
self.__processPool.append((event.id, p.pid))
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.__mainProcess.__run.__process: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}, exception err=%s" % (
event.id, event.type, event.priority, event.timeStamp, event.args, EngineException(err))
raise EngineException(errStr)
# 开启事件引擎
def start(self):
self.__logger.debug("src.core.engine.engine.EventEngine.start")
try:
if not self.__active.value:
self.__active.value = True
# 开启事件引擎主进程
self.__mainProcess.start()
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.start: exception err=%s" % EngineException(
err)
raise EngineException(errStr)
# 暂停事件引擎
def stop(self):
self.__logger.debug("src.core.engine.engine.EventEngine.stop")
try:
if self.__active.value:
# 将事件管理器设为停止
self.__active.value = False
# 等待事件引擎主进程退出
self.__mainProcess.join()
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.stop: exception err=%s" % EngineException(
err)
raise EngineException(errStr)
# 终止事件引擎
def terminate(self):
self.__logger.debug("src.core.engine.engine.EventEngine.terminate")
try:
# 将事件管理器设为停止
self.__active.value = False
# 引擎主进程直接退出
self.__mainProcess.terminate()
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.terminate: exception err=%s" % EngineException(
err)
raise EngineException(errStr)
# 注册事件
def register(self, type, handler):
self.__logger.debug(
"src.core.engine.engine.EventEngine.register: {type:%s, handler:%s}"
% (type, handler))
# 尝试获取该事件类型对应的处理函数列表，若无则创建
try:
try:
handlerList = self.__handlers[type]
except KeyError:
handlerList = []
# 若要注册的处理器不在该事件的处理器列表中，则注册该事件
if handler not in handlerList:
handlerList.append(handler)
self.__handlers[type] = handlerList
except (KeyError, Exception) as err:
errStr = "src.core.engine.engine.EventEngine.register: {type:%s, handler:%s}, exception err=%s" % (type, handler, EngineException(
err))
raise EngineException(errStr)
# 注销事件
def unregister(self, type, handler):
self.__logger.debug(
"src.core.engine.engine.EventEngine.unregister: {type:%s, handler:%s}"
% (type, handler))
# 尝试获取该事件类型对应的处理函数列表，若无则忽略该次注销请求
try:
handlerList = self.__handlers[type]
# 如果该函数存在于列表中，则移除
if handler in handlerList:
handlerList.remove(handler)
# 如果函数列表为空，则从引擎中移除该事件类型
if not handlerList:
del self.__handlers[type]
except (KeyError, Exception) as err:
errStr = "src.core.engine.engine.EventEngine.unregister: {type:%s, handler:%s}, exception err=%s" % (
type, handler, EngineException(err))
raise EngineException(errStr)
# 发送事件
def sendEvent(self, event):
self.__logger.debug(
"src.core.engine.engine.EventEngine.sendEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}" % (
event.id, event.type, event.priority, event.timeStamp, event.args))
try:
# 发送事件 像队列里存入事件
if event.priority == LOW_PRIORITY_EVENT:
self.__lowEnventQueue.put(event)
if event.priority == MEDIUM_PRIORITY_EVENT:
self.__mediumEventQueue.put(event)
if event.priority == HIGH_PRIORITY_EVENT:
self.__highEventQueue.put(event)
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.sendEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}, exception err=%s" % (
event.id, event.type, event.priority, event.timeStamp, event.args, EngineException(err))
raise EngineException(errStr)
# kill 事件
def killEvent(self, id):
self.__logger.debug(
"src.core.engine.engine.EventEngine.killEvent: {id=%s}" % id)
try:
# 查询事件状态
status = self.getEventStatus(id)
# 删除事件进程
if not status == DONE_STATUS_EVENT:
for (_id, _pid) in self.__processPool:
if _id == id:
if psutil.pid_exists(_pid):
_p = psutil.Process(_pid)
_p.terminate()
# 更新事件状态
self.__processPool.remove((_id, _pid))
self.__status.delEventStatus(id)
# 确认事件状态
status = self.getEventStatus(id)
if not status == DONE_STATUS_EVENT:
return False
return True
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.killEvent: {id=%s}, exception err=%s" % (
id, EngineException(err))
raise EngineException(errStr)
# 获取事件ID
def getEventID(self):
try:
id = self.__status.calcEventID()
self.__logger.debug(
"src.core.engine.engine.EventEngine.getEventID: {id=%s}" % id)
return id
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.getEventID: exception err=%s" % EngineException(
err)
raise EngineException(errStr)
def getEventStatus(self, id):
try:
status = QUEUE_STATUS_EVENT
res = self.__status.getActiveStatusTable()
if not res == []:
if id in res:
status = ACTIVE_STATUS_EVENT
res = self.__status.getDoneStatusTable()
if not res == []:
if id in res:
status = DONE_STATUS_EVENT
# 进程池二次确认
if status == ACTIVE_STATUS_EVENT:
for (_id, _pid) in self.__processPool:
if _id == id:
if not psutil.pid_exists(_pid):
status = DONE_STATUS_EVENT
self.__status.delEventStatus(_id)
self.__processPool.remove((_id, _pid))
self.__logger.debug(
"src.core.engine.engine.EventEngine.getEventStatus: {id=%s, status=%s}"
% (id, status))
return status
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.getEventStatus: exception err=%s" % EngineException(
err)
raise EngineException(errStr)
def getActiveEventNum(self):
try:
res = self.__status.calcActiveEventNum()
self.__logger.debug(
"src.core.engine.engine.EventEngine.getActiveEventNum: {res=%s}" %
res)
return res
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.getActiveEventNum: exception err=%s" % EngineException(
err)
raise EngineException(errStr)
def getActiveEventTable(self):
try:
res = self.__status.getActiveStatusTable()
self.__logger.debug(
"src.core.engine.engine.EventEngine.getActiveEventTable: {res=%s}" %
res)
return res
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.getActiveEventTable: exception err=%s" % EngineException(
err)
raise EngineException(errStr)
def getDoneEventTable(self):
try:
res = self.__status.getDoneStatusTable()
self.__logger.debug(
"src.core.engine.engine.EventEngine.getDoneEventTable: {res=%s}" %
res)
return res
except Exception as err:
errStr = "src.core.engine.engine.EventEngine.getDoneEventTable: exception err=%s" % EngineException(
err)
raise EngineException(errStr)
import os
import sys
import time
sys.path.append(os.getcwd())
from src.core.engine.engine import EventEngine
from src.core.engine.register import Register
from src.core.engine.sender import Sender
from src.core.engine.handler import Handler
from src.core.util.util import Util
from src.core.util.log import Logger
# global var
__eventEngine = EventEngine()
__logger = Logger()
# Begin Test
if __name__ == '__main__':
# exec time
start = time.time()
# clase instanse
sender = Sender(__eventEngine)
handler = Handler(__eventEngine)
register = Register(__eventEngine, handler)
util = Util(__eventEngine, sender)
# app init
util.initServerLimits()
# register engine
def __init__(self, eventEngine):
self._engine = eventEngine
self._logger = Logger()
class Sender(object):
def __init__(self, eventEngine):
self._engine = eventEngine
self._logger = Logger()
# Account Balance 事件
def sendListenAccountBalanceEvent(self, exchange):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
LISTEN_ACCOUNT_BALANCE_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendListenAccountBalanceEvent: "
+ json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendListenAccountBalanceEvent: %s" % EngineException(
err)
raise EngineException(errStr)
# Account Withdraw 事件
def sendListenAccountWithdrawEvent(self, exchange, asset):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
LISTEN_ACCOUNT_WITHDRAW_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange,
asset=asset))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendListenAccountWithdrawEvent: "
+ json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendListenAccountWithdrawEvent: %s" % EngineException(
err)
raise EngineException(errStr)
# Market Depth 事件
def sendListenMarketDepthEvent(self,
exchange,
fSymbol,
tSymbol,
limit=100):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
LISTEN_MARKET_DEPTH_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange,
fSymbol=fSymbol,
tSymbol=tSymbol,
limit=limit))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendListenMarketDepthEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendListenMarketDepthEvent: %s" % EngineException(
err)
raise EngineException(errStr)
# Market Kline 事件
def sendListenMarketKlineEvent(self, exchange, fSymbol, tSymbol, interval,
start, end):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
LISTEN_MARKET_KLINE_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange,
fSymbol=fSymbol,
tSymbol=tSymbol,
interval=interval,
start=start,
end=end))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendListenMarketKlineEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendListenMarketKlineEvent: %s" % EngineException(
err)
raise EngineException(errStr)
# Market ticker 事件
def sendListenMarketTickerEvent(self, exchange, fSymbol, tSymbol,
aggDepth):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
LISTEN_MARKET_TICKER_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange,
fSymbol=fSymbol,
tSymbol=tSymbol,
aggDepth=aggDepth))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendListenMarketTickerEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendListenMarketTickerEvent: %s" % EngineException(
err)
raise EngineException(errStr)
# Judge 事件
def sendJudgeMarketDepthEvent(self, args):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
JUDGE_MARKET_DEPTH_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
args=""))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendJudgeMarketDepthEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
pass
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendJudgeMarketDepthEvent: %s" % EngineException(
err)
raise EngineException(errStr)
def sendJudgeMarketKlineEvent(self, args):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
JUDGE_MARKET_KLINE_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
args=""))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendJudgeMarketKlineEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
pass
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendJudgeMarketKlineEvent: %s" % EngineException(
err)
raise EngineException(errStr)
def sendJudgeMarketTickerEvent(self, exchange, types):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
JUDGE_MARKET_TICKER_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange,
types=types))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendJudgeMarketTickerEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendJudgeMarketTickerEvent: %s" % EngineException(
err)
raise EngineException(errStr)
# Backtest 事件
def sendBacktestHistoryCreatEvent(self, exchange, signals, timeout):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
BACKTEST_HISTORY_CREAT_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange,
signals=signals,
timeout=timeout))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendBacktestHistoryCreatEvent: "
+ json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendBacktestHistoryCreatEvent: %s" % EngineException(
err)
raise EngineException(errStr)
# Order 事件
def sendOrderHistorySyncEvent(self, exchange, fSymbol, tSymbol, limit,
ratio):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
ORDER_HISTORY_SYNC_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange,
fSymbol=fSymbol,
tSymbol=tSymbol,
limit=limit,
ratio=ratio))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendOrderHistorySyncEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendOrderHistorySyncEvent: %s" % EngineException(
err)
raise EngineException(errStr)
def sendOrderHistoryCreatEvent(self, exchange, signals, timeout):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
BACKTEST_HISTORY_CREAT_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange,
signals=signals,
timeout=timeout))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendOrderHistoryCreatEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendOrderHistoryCreatEvent: %s" % EngineException(
err)
raise EngineException(errStr)
# Statistic 事件
def sendStatiscJudgeEvent(self, exchange, types):
try:
# 构造事件对象
TEMP_EVENT = json.loads(
STATISTIC_JUDGE_EVENT.substitute(id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
exchange=exchange,
types=types))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendStatiscJudgeEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendStatiscJudgeEvent: %s" % EngineException(
err)
raise EngineException(errStr)
def sendStatiscBacktestEvent(self, signals):
try:
for signal in signals:
signal['status_assets'] = json_escape(signal['status_assets'])
# 构造事件对象
TEMP_EVENT = json.loads(
STATISTIC_BACKTEST_EVENT.substitute(
id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
signals=signals))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendStatiscBacktestEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendStatiscBacktestEvent: %s" % EngineException(
err)
raise EngineException(errStr)
def sendStatiscOrderEvent(self, signals):
try:
for signal in signals:
signal['status_assets'] = json_escape(signal['status_assets'])
# 构造事件对象
TEMP_EVENT = json.loads(
STATISTIC_ORDER_EVENT.substitute(id=self._engine.getEventID(),
timeStamp=utcnow_timestamp(),
signals=signals))
event = Event(TEMP_EVENT)
self._logger.debug(
"src.core.engine.sender.Sender.sendStatiscOrderEvent: " +
json.dumps(TEMP_EVENT))
# 发送事件
self._engine.sendEvent(event)
# 返回参数
return event.id
except Exception as err:
errStr = "src.core.engine.sender.Sender.sendStatiscOrderEvent: %s" % EngineException(
err)
raise EngineException(errStr)
# -*- coding: utf-8 -*-
import os
import sys
sys.path.append(os.getcwd())
from src.core.util.log import Logger
logger = Logger()
# Begin Test
if __name__ == '__main__':
# 1. integration test for test_listen
logger.info("3.1 sub testing... python3 tests/engine/test_listen.py")
os.system("python3 tests/engine/test_listen.py")
# 2. integration test for test_judge
logger.info("3.2 sub testing... python3 tests/engine/test_judge.py")
os.system("python3 tests/engine/test_judge.py")
# 3. integration test for test_backtest
logger.info("3.3 sub testing... python3 tests/engine/test_backtest.py")
os.system("python3 tests/engine/test_backtest.py")
# 4. integration test for test_order
logger.info("3.4 sub testing... python3 tests/engine/test_order.py")
os.system("python3 tests/engine/test_order.py")
# 5. integration test for test_statistic
logger.info("3.5 sub testing... python3 tests/engine/test_statistic.py")
os.system("python3 tests/engine/test_statistic.py")
class Status(object):
def __init__(self):
# Status ID
self._id = Value('i', 0)
self._activeStatus = Manager().list()
self._doneStatus = Manager().list()
self._cachesize = Config()._Engine_cacheSize
# logger
self._logger = Logger()
def getActiveStatusTable(self):
self._logger.debug(
"src.core.engine.status.Status.getActiveStatusTable")
try:
return self._activeStatus
except Exception as err:
raise (EngineException(err))
def getDoneStatusTable(self):
self._logger.debug("src.core.engine.status.Status.getDoneStatusTable")
try:
return self._doneStatus
except Exception as err:
raise (EngineException(err))
def calcEventID(self):
self._logger.debug("src.core.engine.status.Status.calcEventID")
try:
self._id.value = self._id.value + 1
return self._id.value
except Exception as err:
raise (EngineException(err))
def calcActiveEventNum(self):
self._logger.debug("src.core.engine.status.Status.calcActiveEventNum")
try:
num = len(self._activeStatus)
return num
except Exception as err:
raise (EngineException(err))
def addEventStatus(self, id):
self._logger.debug(
"src.core.engine.status.Status.addEventStatus: {id=%s}" % id)
try:
if id not in self._activeStatus:
self._activeStatus.append(id)
except Exception as err:
raise (EngineException(err))
def delEventStatus(self, id):
self._logger.debug(
"src.core.engine.status.Status.delEventStatus: {id=%s}" % id)
try:
if id in self._activeStatus:
self._activeStatus.remove(id)
if id not in self._doneStatus:
if len(self._doneStatus) < self._cachesize:
self._doneStatus.append(id)
else:
self._doneStatus.pop(0)
self._doneStatus.append(id)
except Exception as err:
raise (EngineException(err))
class Signal(object):
def __init__(self, signals=[]):
# signal init
self._signals = signals
self._signals_str = SIGNAL_SIGNALS
# logger
self._logger = Logger()
def signals(self, exchange='all', types='all', auto=SIGNAL_AUTO):
self._logger.debug(
"src.core.calc.signal.Signal.signals: {exchange=%s, types=%s, auto=%s}"
% (exchange, types, auto))
try:
if not self._signals == []:
signals = []
for s in self._signals:
if s['type'] == TYPE_DIS:
if (types == 'all' or TYPE_DIS in types) and (
exchange == 'all' or
(s['bid_server'] in exchange
and s['ask_server'] in exchange)):
signals.append(s)
if s['type'] == TYPE_TRA:
if (types == 'all' or TYPE_TRA in types) and (
exchange == 'all' or s['server'] in exchange):
signals.append(s)
if s['type'] == TYPE_PAIR:
if (types == 'all' or TYPE_PAIR in types) and (
exchange == 'all' or
(s['J1_server'] in exchange
and s['J2_server'] in exchange)):
signals.append(s)
return signals
if auto:
return self._autoSignals(exchange, types)
if not auto:
return self._configSignals(exchange, types)
except Exception as err:
errStr = "src.core.calc.signal.Signal.signals: {exchange=%s, types=%s, auto=%s}, exception err=%s" % (
exchange, types, auto, err)
raise CalcException(errStr)
def _autoSignals(self, exchange, types):
self._logger.debug("src.core.calc.signal.Signal._autoSignals")
try:
signals = []
# return signals
return signals
except Exception as err:
errStr = "src.core.calc.signal.Signal.signals, exception err=%s" % err
raise CalcException(errStr)
def _configSignals(self, exchange, types):
self._logger.debug("src.core.calc.signal.Signal._configSignals")
try:
signals = []
strList = ast.literal_eval(self._signals_str)
if not strList == []:
pid = os.getpid()
timeStamp = utcnow_timestamp()
id = 0
for s in strList:
id = id + 1
signal = {}
if s['type'] == TYPE_DIS:
if (types == 'all' or TYPE_DIS in types) and (
exchange == 'all' or
(s['bid_server'] in exchange
and s['ask_server'] in exchange)):
id_str = str(pid) + str(timeStamp) + str(id)
signal['timeStamp'] = timeStamp
signal['signal_id'] = '0x1c-' + str(
uuid.uuid3(uuid.NAMESPACE_DNS, id_str))
signal['type'] = s['type']
signal['bid_server'] = s['bid_server']
signal['ask_server'] = s['ask_server']
signal['fSymbol'] = s['fSymbol']
signal['tSymbol'] = s['tSymbol']
signal['forward_ratio'] = float(s['forward_ratio'])
signal['backward_ratio'] = float(
s['backward_ratio'])
signal['base_start'] = float(s['base_start'])
signal['base_gain'] = float(s['base_gain'])
signal['base_timeout'] = float(s['base_timeout'])
signal['group_id'] = str(s['group_id'])
signal['status_done'] = False
signal['status_assets'] = [{
"server":
s['bid_server'],
"asset":
SIGNAL_BASECOIN,
"balance":
float(s['base_start']) / 2,
"free":
float(s['base_start']) / 2,
"locked":
0.0
}, {
"server":
s['ask_server'],
"asset":
SIGNAL_BASECOIN,
"balance":
float(s['base_start']) / 2,
"free":
float(s['base_start']) / 2,
"locked":
0.0
}]
signal['status_gain'] = 0.0
if s['type'] == TYPE_TRA:
if (types == 'all' or TYPE_TRA in types) and (
exchange == 'all' or s['server'] in exchange):
tuple = tuple_str_to_list(s['symbol_pair'])
id_str = str(pid) + str(timeStamp) + str(id)
signal['timeStamp'] = timeStamp
signal['signal_id'] = '0x2c-' + str(
uuid.uuid3(uuid.NAMESPACE_DNS, id_str))
signal['type'] = s['type']
signal['server'] = s['server']
signal['V1_fSymbol'] = tuple[0][0]
signal['V1_tSymbol'] = tuple[0][1]
signal['V2_fSymbol'] = tuple[1][0]
signal['V2_tSymbol'] = tuple[1][1]
signal['V3_fSymbol'] = tuple[2][0]
signal['V3_tSymbol'] = tuple[2][1]
signal['forward_ratio'] = float(s['forward_ratio'])
signal['base_start'] = float(s['base_start'])
signal['base_gain'] = float(s['base_gain'])
signal['base_timeout'] = float(s['base_timeout'])
signal['group_id'] = str(s['group_id'])
signal['status_done'] = False
signal['status_assets'] = [{
"server":
s['server'],
"asset":
SIGNAL_BASECOIN,
"balance":
float(s['base_start']),
"free":
float(s['base_start']),
"locked":
0.0
}]
signal['status_gain'] = 0.0
if s['type'] == TYPE_PAIR:
if (types == 'all' or TYPE_PAIR in types) and (
exchange == 'all' or
(s['J1_server'] in exchange
and s['J2_server'] in exchange)):
tuple = tuple_str_to_list(s['symbol_pair'])
id_str = str(pid) + str(timeStamp) + str(id)
signal['timeStamp'] = timeStamp
signal['signal_id'] = '0x3c-' + str(
uuid.uuid3(uuid.NAMESPACE_DNS, id_str))
signal['type'] = s['type']
signal['J1_server'] = s['J1_server']
signal['J2_server'] = s['J2_server']
signal['V1_fSymbol'] = tuple[0][0]
signal['V1_tSymbol'] = tuple[0][1]
signal['V2_fSymbol'] = tuple[1][0]
signal['V2_tSymbol'] = tuple[1][1]
signal['V3_fSymbol'] = tuple[2][0]
signal['V3_tSymbol'] = tuple[2][1]
signal['forward_ratio'] = float(s['forward_ratio'])
signal['base_start'] = float(s['base_start'])
signal['base_gain'] = float(s['base_gain'])
signal['base_timeout'] = float(s['base_timeout'])
signal['group_id'] = str(s['group_id'])
signal['status_done'] = False
signal['status_assets'] = [{
"server":
s['J1_server'],
"asset":
SIGNAL_BASECOIN,
"balance":
float(s['base_start']) / 2,
"free":
float(s['base_start']) / 2,
"locked":
0.0
}, {
"server":
s['J2_server'],
"asset":
SIGNAL_BASECOIN,
"balance":
float(s['base_start']) / 2,
"free":
float(s['base_start']) / 2,
"locked":
0.0
}]
signal['status_gain'] = 0.0
if not signal == {}:
signals.append(signal)
# return signals
return signals
except Exception as err:
errStr = "src.core.calc.signal.Signal.signals, exception err=%s" % err
raise CalcException(errStr)
def backtestUpdateSignalStatusByOrders(self, infoOrders, resInfoSymbol):
self._logger.debug(
"src.core.calc.signal.Signal.backtestUpdateSignalStatusByOrders: {infoOrders=%s, resInfoSymbol=%s}"
% ('infoOrders', 'resInfoSymbol'))
try:
if not self._signals:
raise Exception("NO SIGNAL ERROR, signals empty.")
calc = Calc()
resStatus = []
timeStamp = utcnow_timestamp()
for signal in self._signals:
orders = infoOrders[(
infoOrders['group_id'] == signal['group_id'])]
status = calc.calcSignalStatusByOrders(signal, orders,
resInfoSymbol,
SIGNAL_BASECOIN)
if not status == []:
resStatus.append({
"signal_id": signal['signal_id'],
"status": status
})
if not resStatus == []:
for signal in self._signals:
for res in resStatus:
if signal['signal_id'] == res['signal_id']:
signal['timeStamp'] = timeStamp
signal['status_done'] = res['status'][
'status_done']
signal['status_assets'] = res['status'][
'status_assets']
signal['status_gain'] = res['status'][
'status_gain']
except Exception as err:
errStr = "src.core.calc.signal.Signal.backtestUpdateSignalStatusByOrders: {infoOrders=%s, resInfoSymbol=%s}, exception err=%s" % (
'infoOrders', 'resInfoSymbol', err)
raise CalcException(errStr)
def backtestSignalsPreTrade(self, resInfoSymbol):
self._logger.debug(
"src.core.calc.signal.Signal.backtestSignalsPreTrade: {resInfoSymbol=%s}"
% 'resInfoSymbol')
try:
if not self._signals:
raise Exception("NO SIGNAL ERROR, signals empty.")
calc = Calc()
res = []
for signal in self._signals:
orders = calc.calcSignalPreTradeOrders(signal, resInfoSymbol,
SIGNAL_BASECOIN)
if not orders == []:
res.extend(orders)
return res
except Exception as err:
errStr = "src.core.calc.signal.Signal.backtestSignalsPreTrade: {resInfoSymbol=%s}, exception err=%s" % (
'resInfoSymbol', err)
raise CalcException(errStr)
def backtestSignalsRunTrade(self, resInfoSymbol):
self._logger.debug(
"src.core.calc.signal.Signal.backtestSignalsRunTrade: {resInfoSymbol=%s}"
% 'resInfoSymbol')
try:
if not self._signals:
raise Exception("NO SIGNAL ERROR, signals empty.")
calc = Calc()
res = []
for signal in self._signals:
if signal['status_gain'] < signal['base_gain']:
orders = calc.calcSignalRunTradeOrders(
signal, resInfoSymbol)
if not orders == []:
res.extend(orders)
if signal['status_gain'] >= signal['base_gain']:
orders = calc.calcSignalAfterTradeOrders(
signal, resInfoSymbol, SIGNAL_BASECOIN)
if not orders == []:
res.extend(orders)
return res
except Exception as err:
errStr = "src.core.calc.signal.Signal.backtestSignalsRunTrade: {resInfoSymbol=%s}, exception err=%s" % (
'resInfoSymbol', err)
raise CalcException(errStr)
def backtestSignalsIsRunMore(self, resInfoSymbol):
self._logger.debug(
"src.core.calc.signal.Signal.backtestSignalsIsRunMore: {resInfoSymbol=%s}"
% 'resInfoSymbol')
try:
if not self._signals:
raise Exception("NO SIGNAL ERROR, signals empty.")
isMore = False
for signal in self._signals:
if signal['status_gain'] < signal['base_gain']:
isMore = True
break
return isMore
except Exception as err:
errStr = "src.core.calc.signal.Signal.backtestSignalsIsRunMore: {resInfoSymbol=%s}, exception err=%s" % (
'resInfoSymbol', err)
raise CalcException(errStr)
def backtestSignalsAfterTrade(self, resInfoSymbol):
self._logger.debug(
"src.core.calc.signal.Signal.backtestSignalsAfterTrade: {resInfoSymbol=%s}"
% 'resInfoSymbol')
try:
if not self._signals:
raise Exception("NO SIGNAL ERROR, signals empty.")
calc = Calc()
res = []
for signal in self._signals:
orders = calc.calcSignalAfterTradeOrders(
signal, resInfoSymbol, SIGNAL_BASECOIN)
if not orders == []:
res.extend(orders)
return res
except Exception as err:
errStr = "src.core.calc.signal.Signal.backtestSignalsAfterTrade: {resInfoSymbol=%s}, exception err=%s" % (
'resInfoSymbol', err)
raise CalcException(errStr)
def backtestSignalsIsAfterMore(self, resInfoSymbol):
self._logger.debug(
"src.core.calc.signal.Signal.backtestSignalsIsAfterMore: {resInfoSymbol=%s}"
% 'resInfoSymbol')
try:
if not self._signals:
raise Exception("NO SIGNAL ERROR, signals empty.")
calc = Calc()
isMore = False
for signal in self._signals:
isMore = calc.calcSignalIsAfterMore(signal, resInfoSymbol,
SIGNAL_BASECOIN)
if isMore:
break
return isMore
except Exception as err:
errStr = "src.core.calc.signal.Signal.backtestSignalsIsAfterMore: {resInfoSymbol=%s}, exception err=%s" % (
'resInfoSymbol', err)
raise CalcException(errStr)
# -*- coding: utf-8 -*-
import os
import sys
sys.path.append(os.getcwd())
from src.core.util.log import Logger
logger = Logger()
# Begin Test
if __name__ == '__main__':
# 1. unit test for test_coin
logger.debug("1. unit testing... python3 tests/test_coin.py")
os.system("python3 tests/test_coin.py")
# 2. unit test for test_db
logger.debug("2. unit testing... python3 tests/test_db.py")
os.system("python3 tests/test_db.py")
# 3. integration test for test_engine
logger.debug("3. intergration testing... python3 tests/test_engine.py")
os.system("python3 tests/test_engine.py")
# # 4. system test for test_router
logger.debug("4. system testing... python3 tests/test_router.py")
os.system("python3 tests/test_router.py")
# # 5. system test for test_main
logger.debug("5. system testing... python3 tests/test_main.py")
os.system("python3 tests/test_main.py")
class Register(object):
def __init__(self, eventEngine, handler):
self._eventEngine = eventEngine
self._handler = handler
self._logger = Logger()
# 事件
# listen event
self.LISTEN_ACCOUNT_BALANCE_EVENT_TYPE = json.loads(
LISTEN_ACCOUNT_BALANCE_EVENT.substitute())["type"]
self.LISTEN_ACCOUNT_WITHDRAW_EVENT_TYPE = json.loads(
LISTEN_ACCOUNT_WITHDRAW_EVENT.substitute())["type"]
self.LISTEN_MARKET_KLINE_EVENT_TYPE = json.loads(
LISTEN_MARKET_KLINE_EVENT.substitute())["type"]
self.LISTEN_MARKET_TICKER_EVENT_TYPE = json.loads(
LISTEN_MARKET_TICKER_EVENT.substitute())["type"]
self.LISTEN_MARKET_DEPTH_EVENT_TYPE = json.loads(
LISTEN_MARKET_DEPTH_EVENT.substitute())["type"]
# judge event
self.JUDGE_MARKET_DEPTH_EVENT_TYPE = json.loads(
JUDGE_MARKET_DEPTH_EVENT.substitute())["type"]
self.JUDGE_MARKET_KLINE_EVENT_TYPE = json.loads(
JUDGE_MARKET_KLINE_EVENT.substitute())["type"]
self.JUDGE_MARKET_TICKER_EVENT_TYPE = json.loads(
JUDGE_MARKET_TICKER_EVENT.substitute())["type"]
# backtest event
self.BACKTEST_HISTORY_CREAT_EVENT_TYPE = json.loads(
BACKTEST_HISTORY_CREAT_EVENT.substitute())["type"]
# order event
self.ORDER_HISTORY_SYNC_EVENT_TYPE = json.loads(
ORDER_HISTORY_SYNC_EVENT.substitute())["type"]
self.ORDER_HISTORY_CREAT_EVENT_TYPE = json.loads(
ORDER_HISTORY_CREAT_EVENT.substitute())["type"]
# statistic event
self.STATISTIC_JUDGE_EVENT_TYPE = json.loads(
STATISTIC_JUDGE_EVENT.substitute())["type"]
self.STATISTIC_BACKTEST_EVENT_TYPE = json.loads(
STATISTIC_BACKTEST_EVENT.substitute())["type"]
self.STATISTIC_ORDER_EVENT_TYPE = json.loads(
STATISTIC_ORDER_EVENT.substitute())["type"]
# handler
# listen handler
self.LISTEN_ACCOUNT_BALANCE_EVENT_HANDLER = self._handler.handleListenAccountBalanceEvent
self.LISTEN_ACCOUNT_WITHDRAW_EVENT_HANDLER = self._handler.handleListenAccountWithdrawEvent
self.LISTEN_MARKET_KLINE_EVENT_HANDLER = self._handler.handleListenMarketKlineEvent
self.LISTEN_MARKET_TICKER_EVENT_HANDLER = self._handler.handleListenMarketTickerEvent
self.LISTEN_MARKET_DEPTH_EVENT_HANDLER = self._handler.handleListenMarketDepthEvent
# judge handler
self.JUDGE_MARKET_DEPTH_EVENT_HANDLER = self._handler.handleJudgeMarketDepthEvent
self.JUDGE_MARKET_KLINE_EVENT_HANDLER = self._handler.handleJudgeMarketKlineEvent
self.JUDGE_MARKET_TICKER_EVENT_HANDLER = self._handler.handleJudgeMarketTickerEvent
# backtest handler
self.BACKTEST_HISTORY_CREAT_EVENT_HANDLER = self._handler.handleBacktestHistoryCreatEvent
# order handler
self.ORDER_HISTORY_SYNC_EVENT_HANDLER = self._handler.handleOrderHistorySyncEvent
self.ORDER_HISTORY_CREAT_EVENT_HANDLER = self._handler.handleOrderHistoryCreatEvent
# statistic handler
self.STATISTIC_JUDGE_EVENT_HANDLER = self._handler.handleStatisticJudgeEvent
self.STATISTIC_BACKTEST_EVENT_HANDLER = self._handler.handleStatisticBacktestEvent
self.STATISTIC_ORDER_EVENT_HANDLER = self._handler.handleStatisticOrderEvent
def register(self):
self._logger.debug("src.core.engine.register.Register.register")
try:
# 注册事件
self._eventEngine.register(
self.LISTEN_ACCOUNT_BALANCE_EVENT_TYPE,
self.LISTEN_ACCOUNT_BALANCE_EVENT_HANDLER)
self._eventEngine.register(
self.LISTEN_ACCOUNT_WITHDRAW_EVENT_TYPE,
self.LISTEN_ACCOUNT_WITHDRAW_EVENT_HANDLER)
self._eventEngine.register(self.LISTEN_MARKET_KLINE_EVENT_TYPE,
self.LISTEN_MARKET_KLINE_EVENT_HANDLER)
self._eventEngine.register(self.LISTEN_MARKET_TICKER_EVENT_TYPE,
self.LISTEN_MARKET_TICKER_EVENT_HANDLER)
self._eventEngine.register(self.LISTEN_MARKET_DEPTH_EVENT_TYPE,
self.LISTEN_MARKET_DEPTH_EVENT_HANDLER)
self._eventEngine.register(self.JUDGE_MARKET_DEPTH_EVENT_TYPE,
self.JUDGE_MARKET_DEPTH_EVENT_HANDLER)
self._eventEngine.register(self.JUDGE_MARKET_KLINE_EVENT_TYPE,
self.JUDGE_MARKET_KLINE_EVENT_HANDLER)
self._eventEngine.register(self.JUDGE_MARKET_TICKER_EVENT_TYPE,
self.JUDGE_MARKET_TICKER_EVENT_HANDLER)
self._eventEngine.register(
self.BACKTEST_HISTORY_CREAT_EVENT_TYPE,
self.BACKTEST_HISTORY_CREAT_EVENT_HANDLER)
self._eventEngine.register(self.ORDER_HISTORY_SYNC_EVENT_TYPE,
self.ORDER_HISTORY_SYNC_EVENT_HANDLER)
self._eventEngine.register(self.ORDER_HISTORY_CREAT_EVENT_TYPE,
self.ORDER_HISTORY_CREAT_EVENT_HANDLER)
self._eventEngine.register(self.STATISTIC_JUDGE_EVENT_TYPE,
self.STATISTIC_JUDGE_EVENT_HANDLER)
self._eventEngine.register(self.STATISTIC_BACKTEST_EVENT_TYPE,
self.STATISTIC_BACKTEST_EVENT_HANDLER)
self._eventEngine.register(self.STATISTIC_ORDER_EVENT_TYPE,
self.STATISTIC_ORDER_EVENT_HANDLER)
except Exception as err:
errStr = "src.core.engine.register.Register.register: %s" % EngineException(
err)
self._logger.error(errStr)
raise EngineException(err)
def unregister(self):
self._logger.debug("src.core.engine.register.Register.unregister")
try:
# 注销事件
self._eventEngine.unregister(
self.LISTEN_ACCOUNT_BALANCE_EVENT_TYPE,
self.LISTEN_ACCOUNT_BALANCE_EVENT_HANDLER)
self._eventEngine.unregister(
self.LISTEN_ACCOUNT_WITHDRAW_EVENT_TYPE,
self.LISTEN_ACCOUNT_WITHDRAW_EVENT_HANDLER)
self._eventEngine.unregister(
self.LISTEN_MARKET_KLINE_EVENT_TYPE,
self.LISTEN_MARKET_KLINE_EVENT_HANDLER)
self._eventEngine.unregister(
self.LISTEN_MARKET_TICKER_EVENT_TYPE,
self.LISTEN_MARKET_TICKER_EVENT_HANDLER)
self._eventEngine.unregister(
self.LISTEN_MARKET_DEPTH_EVENT_TYPE,
self.LISTEN_MARKET_DEPTH_EVENT_HANDLER)
self._eventEngine.unregister(self.JUDGE_MARKET_KLINE_EVENT_TYPE,
self.JUDGE_MARKET_KLINE_EVENT_HANDLER)
self._eventEngine.unregister(
self.BACKTEST_HISTORY_CREAT_EVENT_TYPE,
self.BACKTEST_HISTORY_CREAT_EVENT_HANDLER)
self._eventEngine.unregister(self.ORDER_HISTORY_SYNC_EVENT_TYPE,
self.ORDER_HISTORY_SYNC_EVENT_HANDLER)
self._eventEngine.unregister(
self.ORDER_HISTORY_CREAT_EVENT_TYPE,
self.ORDER_HISTORY_CREAT_EVENT_HANDLER)
self._eventEngine.unregister(self.STATISTIC_JUDGE_EVENT_TYPE,
self.STATISTIC_JUDGE_EVENT_HANDLER)
self._eventEngine.unregister(self.STATISTIC_BACKTEST_EVENT_TYPE,
self.STATISTIC_BACKTEST_EVENT_HANDLER)
self._eventEngine.unregister(self.STATISTIC_ORDER_EVENT_TYPE,
self.STATISTIC_ORDER_EVENT_HANDLER)
except Exception as err:
errStr = "src.core.engine.register.Register.unregister: %s" % EngineException(
err)
self._logger.error(errStr)
raise EngineException(err)
class Router(object):
def __init__(self):
# config param
self._epoch = Config()._Router_epoch
self._timeout = Config()._Router_timeout
self._marketKlineInterval = Config()._Main_marketKlineInterval
self._marketTickerInterval = Config()._Main_marketTickerInterval
self._statisticJudgeMarketTickerInterval = Config()._Main_statisticJudgeMarketTickerInterval
self._asyncAccount = Config()._Main_asyncAccount
self._syncAccountTimeout = Config()._Main_syncAccountTimeout
self._asyncMarketKline = Config()._Main_asyncMarketKline
self._syncMarketKlineTimeout = Config()._Main_syncMarketKlineTimeout
self._asyncMarketDepth = Config()._Main_asyncMarketDepth
self._syncMarketDepthTimeout = Config()._Main_syncMarketDepthTimeout
self._asyncMarketTicker = Config()._Main_asyncMarketTicker
self._syncMarketTickerTimeout = Config()._Main_syncMarketTickerTimeout
self._asyncJudge = Config()._Main_asyncJudge
self._syncJudgeTimeout = Config()._Main_syncJudgeTimeout
self._asyncBacktest = Config()._Main_asyncBacktest
self._syncBacktestTimeout = Config()._Main_syncBacktestTimeout
self._asyncOrder = Config()._Main_asyncOrder
self._syncOrderTimeout = Config()._Main_syncOrderTimeout
self._asyncStatistic = Config()._Main_asyncStatistic
self._syncStatisticTimeout = Config()._Main_syncStatisticTimeout
# class instance
self._eventEngine = EventEngine()
self._sender = Sender(self._eventEngine)
self._handler = Handler(self._eventEngine)
self._register = Register(self._eventEngine, self._handler)
self._util = Util(self._eventEngine, self._sender)
# logger
self._logger = Logger()
# router param
self._start = False
self._startTime = time.time()
self._marketKlineUpdateTime = time.time()
# self._marketKlineUpdateTime = time.time() - self._marketKlineInterval
self._marketTickerUpdateTime = time.time() - self._marketTickerInterval
self._statisticJudgeMarketTickerUpdateTime = time.time(
) - self._statisticJudgeMarketTickerInterval
def start(self):
self._logger.info("src.core.router.Router.start")
try:
# register engine
self._register.register()
# start engine
self._eventEngine.start()
# set start param
self._start = True
except (UtilException, EngineException, Exception) as err:
errStr = "src.core.router.Router.start: %s" % RouterException(err)
self._logger.critical(errStr)
raise RouterException(err)
def stop(self):
self._logger.info("src.core.router.Router.stop")
try:
# stop engine
self._eventEngine.stop()
# unregister engine
self._register.unregister()
# set start param
self._start = False
except (UtilException, EngineException, Exception) as err:
errStr = "src.core.router.Router.stop: %s" % RouterException(err)
self._logger.critical(errStr)
raise RouterException(err)
def initAPP(self):
self._logger.info("src.core.router.Router.initAPP")
try:
self._util.initDB()
self._util.initDBInfo()
self._util.initServerLimits()
self._util.updateDBAccountBalance(
async=self._asyncAccount, timeout=self._syncAccountTimeout)
# 暂时可不考虑充提币 耗时约 1min
self._util.updateDBAccountWithdraw(
async=self._asyncAccount, timeout=self._syncAccountTimeout)
# 暂时不同步历史交易 耗时约 2min
# util.updateDBOrderHistorySync(
# async=self._asyncAccount, timeout=self._syncAccountTimeout)
except (UtilException, EngineException, Exception) as err:
errStr = "src.core.router.Router.initAPP: %s" % RouterException(
err)
self._logger.critical(errStr)
raise RouterException(err)
def updateAPP(self):
self._logger.info("src.core.router.Router.updateAPP")
try:
# make sure engine start
if not self._start:
raise Exception(
'ENGINE STAUS ERROR, make sure engine is started.')
# init first
self._startTime = time.time()
# run initServerLimits
self._util.initServerLimits()
# run monitor
while time.time(
) - self._startTime < self._timeout or self._timeout == 0:
self.runMonitor()
self._logger.info(
"src.core.router.Router.updateAPP: sleep epoch for %ss" %
self._epoch)
time.sleep(self._epoch)
except (UtilException, EngineException, Exception) as err:
errStr = "src.core.router.Router.updateAPP: %s" % RouterException(
err)
self._logger.critical(errStr)
raise RouterException(err)
def runMonitor(self):
self._logger.info("src.core.router.Router.runMonitor")
try:
# update market kline after interval
if time.time(
) - self._marketKlineUpdateTime > self._marketKlineInterval:
self._logger.info(
"src.core.router.Router.runMonitor: updateDBMarketKline")
self._marketKlineUpdateTime = time.time()
# update db market kline, async must be false
self._util.updateDBMarketKline(
async=self._asyncMarketKline,
timeout=self._syncMarketKlineTimeout)
# update market ticker after interval, update judge after ticker
if time.time(
) - self._marketTickerUpdateTime > self._marketTickerInterval:
self._logger.info(
"src.core.router.Router.runMonitor: updateDBMarketTicker")
self._marketTickerUpdateTime = time.time()
# update db market ticker, async must be false
self._util.updateDBMarketTicker(
async=self._asyncMarketTicker,
timeout=self._syncMarketTickerTimeout)
self._logger.info(
"src.core.router.Router.runMonitor: updateDBJudgeMarketTicker"
)
# update db judge market ticker, async false only on slow pc
self._util.updateDBJudgeMarketTicker(
async=self._asyncJudge, timeout=self._syncJudgeTimeout)
# update statistic after interval
if time.time(
) - self._statisticJudgeMarketTickerUpdateTime > self._statisticJudgeMarketTickerInterval:
self._logger.info(
"src.core.router.Router.runMonitor: updateDBStatisticJudge"
)
self._statisticJudgeMarketTickerUpdateTime = time.time()
# update db statistic judge, async false only on slow pc
self._util.updateDBStatisticJudge(
async=self._asyncStatistic,
timeout=self._syncStatisticTimeout)
except (UtilException, EngineException, Exception) as err:
errStr = "src.core.router.Router.runMonitor: %s" % RouterException(
err)
raise RouterException(err)
def runBacktest(self):
self._logger.info("src.core.router.Router.runBacktest")
try:
pass
except (UtilException, EngineException, Exception) as err:
errStr = "src.core.router.Router.runBacktest: %s" % RouterException(
err)
self._logger.critical(errStr)
raise RouterException(err)
def runBacktestStatistic(self):
self._logger.info("src.core.router.Router.runBacktestStatistic")
try:
pass
except (UtilException, EngineException, Exception) as err:
errStr = "src.core.router.Router.runBacktestStatistic: %s" % RouterException(
err)
raise RouterException(err)
def runOrder(self):
self._logger.info("src.core.router.Router.runOrder")
try:
pass
except (UtilException, EngineException, Exception) as err:
errStr = "src.core.router.Router.runOrder: %s" % RouterException(
err)
raise RouterException(err)
def runOrderStatistic(self):
self._logger.info("src.core.router.Router.runOrder")
try:
pass
except (UtilException, EngineException, Exception) as err:
errStr = "src.core.router.Router.runOrder: %s" % RouterException(
err)
raise RouterException(err)
class Handler(object):
def __init__(self, eventEngine):
self._engine = eventEngine
self._logger = Logger()
# Account Balance 事件
def handleListenAccountBalanceEvent(self, event, callback):
# 接收事件
self._logger.debug(
"src.core.engine.handler.Handler.handleListenAccountBalanceEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
[exchange] = event.args
exchange = str_to_list(exchange)
try:
db = DB()
db.insertAccountBalanceHistory(exchange)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleListenAccountBalanceEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
# Account Withdraw 事件
def handleListenAccountWithdrawEvent(self, event, callback):
# 接收事件
self._logger.debug(
"src.core.engine.handler.Handler.handleListenAccountWithdrawEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
[exchange, asset] = event.args
exchange = str_to_list(exchange)
try:
db = DB()
db.insertAccountWithdrawHistoryAsset(exchange, asset)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleListenAccountWithdrawEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
# Market Depth 事件
def handleListenMarketDepthEvent(self, event, callback):
# 接收事件
self._logger.debug(
"src.core.engine.handler.Handler.handleListenMarketDepthEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
[exchange, fSymbol, tSymbol, limit] = event.args
exchange = str_to_list(exchange)
try:
db = DB()
db.insertMarketDepth(exchange, fSymbol, tSymbol, limit)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleListenDepthEvent { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
# Market Kline 事件
def handleListenMarketKlineEvent(self, event, callback):
# 接收事件
self._logger.debug(
"src.core.engine.handler.Handler.handleListenMarketKlineEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
[exchange, fSymbol, tSymbol, interval, start, end] = event.args
exchange = str_to_list(exchange)
try:
db = DB()
db.insertMarketKline(exchange, fSymbol, tSymbol, interval, start,
end)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleListenKlineEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
# Market ticker 事件
def handleListenMarketTickerEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleListenMarketTickerEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
# 接收事件
[exchange, fSymbol, tSymbol, aggDepth] = event.args
exchange = str_to_list(exchange)
try:
db = DB()
db.insertMarketTicker(exchange, fSymbol, tSymbol, aggDepth)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleListenTickerEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
# Judge 事件
def handleJudgeMarketDepthEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleJudgeMarketDepthEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
# 接收事件
[args] = event.args
try:
pass
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleJudgeMarketDepthEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
def handleJudgeMarketKlineEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleJudgeMarketKlineEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
# 接收事件
[args] = event.args
try:
pass
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleJudgeMarketKlineEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
def handleJudgeMarketTickerEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleJudgeMarketTickerEvent: " +
event.type)
# 接收事件
[exchange, types] = event.args
exchange = str_to_list(exchange)
types = str_to_list(types)
try:
db = DB()
calc = Calc()
resInfoSymbol = pd.DataFrame(db.getViewMarketSymbolPairs(exchange))
prs = []
# calc dis type
if TYPE_DIS in types:
signalDis = calc.calcJudgeMarketTickerDis(
exchange, TYPE_DIS_THRESHOLD, resInfoSymbol)
if not signalDis == []:
db.insertJudgeMarketTickerDis(signalDis)
# calc tra type
if TYPE_TRA in types:
signalTra = calc.calcJudgeMarketTickerTra(
exchange, TYPE_TRA_THRESHOLD, resInfoSymbol)
if not signalTra == []:
db.insertJudgeMarketTickerTra(signalTra)
# calc pair type
if TYPE_PAIR in types:
signalPair = calc.calcJudgeMarketTickerPair(
exchange, TYPE_PAIR_THRESHOLD, resInfoSymbol)
if not signalPair == []:
db.insertJudgeMarketTickerPair(signalPair)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleJudgeMarketTickerEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
# Backtest 事件
def rollbackHandleBacktestHistoryCreatEvent(self, sgn, pdOrders, exchange,
resInfoSymbol):
self._logger.debug(
"src.core.engine.handler.Handler.rollbackHandleBacktestHistoryCreatEvent"
)
try:
db = DB()
# update orders sgn status
infoOrders = []
if not pdOrders.empty:
for server in exchange:
res = []
orderIDs = pdOrders[(
pdOrders['server'] == server)]['order_id'].tolist()
res = db.getTradeBacktestHistoryServerOrder([server],
orderIDs)
if not res == []:
infoOrders.extend(res)
if not infoOrders == []:
infoOrders = pd.DataFrame(infoOrders)
isError = SIGNAL_MAX_NUM
while isError > 0:
try:
isError = isError - 1
sgn.backtestUpdateSignalStatusByOrders(
infoOrders, resInfoSymbol)
isError = 0
except Exception as err:
self._logger.warn('rollback failed, will try again...')
if isError > 0:
raise Exception(
'rollback error, start_base assets may loss control.')
# insert db signals
db.insertSignalTradeDis(sgn.signals(exchange, [TYPE_DIS]),
SIGNAL_BACKTEST)
db.insertSignalTradeTra(sgn.signals(exchange, [TYPE_TRA]),
SIGNAL_BACKTEST)
db.insertSignalTradePair(sgn.signals(exchange, [TYPE_PAIR]),
SIGNAL_BACKTEST)
# rollback assets
isError = SIGNAL_MAX_NUM
while isError > 0:
isError = isError - 1
# calc after orders
afterOrders = []
isSubError = SIGNAL_MAX_NUM
while isSubError > 0:
try:
isSubError = isSubError - 1
afterOrders = sgn.backtestSignalsAfterTrade(
resInfoSymbol)
isSubError = 0
except Exception as err:
self._logger.warn('rollback failed, will try again...')
if isSubError > 0:
raise Exception(
'rollback error, start_base assets may loss control.')
# calc afterExecOrders
afterExecOrders = []
if not afterOrders == []:
for order in afterOrders:
identify = identify + 1
isSubError = SIGNAL_MAX_NUM
res = []
while isSubError > 0:
try:
isSubError = isSubError - 1
res = db.insertCreatTradeBacktestHistory(
order['server'], order['fSymbol'],
order['tSymbol'], order['ask_or_bid'],
order['price'], order['quantity'],
order['ratio'], order['type'],
order['signal_id'], order['group_id'],
identify)
isSubError = 0
except Exception as err:
self._logger.warn(
'rollback failed, will try again...')
if not res == []:
afterExecOrders.extend(res)
if isSubError > 0:
raise Exception(
'rollback error, start_base assets may loss control.'
)
# calc afterInfoOrders
afterInfoOrders = []
if not afterExecOrders == []:
afterExecOrders = pd.DataFrame(afterExecOrders)
for server in exchange:
res = []
orderIDs = preExecOrders[(
preExecOrders['server'] == server
)]['order_id'].tolist()
res = db.getTradeBacktestHistoryServerOrder([server],
orderIDs)
if not res == []:
afterInfoOrders.extend(res)
# update signals status
if not afterInfoOrders == []:
afterInfoOrders = pd.DataFrame(afterInfoOrders)
isSubError = SIGNAL_MAX_NUM
while isSubError > 0:
try:
isSubError = isSubError - 1
sgn.backtestUpdateSignalStatusByOrders(
afterInfoOrders, resInfoSymbol)
isSubError = 0
except Exception as err:
self._logger.warn(
'rollback failed, will try again...')
if isSubError > 0:
raise Exception(
'rollback error, start_base assets may loss control.'
)
# insert db signals
db.insertSignalTradeDis(sgn.signals(exchange, [TYPE_DIS]),
SIGNAL_BACKTEST)
db.insertSignalTradeTra(sgn.signals(exchange, [TYPE_TRA]),
SIGNAL_BACKTEST)
db.insertSignalTradePair(
sgn.signals(exchange, [TYPE_PAIR]), SIGNAL_BACKTEST)
# update isError
isMore = sgn.backtestSignalsIsRunMore(resInfoSymbol)
if not isMore:
isError = 0
except Exception as err:
errStr = "src.core.engine.handler.Handler.rollbackHandleBacktestHistoryCreatEvent, err=%s" % err
self._logger.critical(errStr)
def handleBacktestHistoryCreatEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleBacktestHistoryCreatEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
# 接收事件
[exchange, signals, timeout] = event.args
exchange = str_to_list(exchange)
signals = str_to_list(signals)
timeout = float(timeout)
# 处理事件
try:
db = DB()
sgn = Signal(signals)
resInfoSymbol = pd.DataFrame(db.getViewMarketSymbolPairs(exchange))
# 0. start
identify = 0
startTime = time.time()
str = "src.core.engine.handler.Handler.handleBacktestHistoryCreatEvent: { type=%s, priority=%s, args=%s }" % (
event.type, event.priority, event.args)
warnStr = Template(
", err=$err, backtest trade filed at $here, will try again...")
errStr = Template(
"BACKTEST TRADE ERROR. pre trade failed at $here.")
########################################
# 1. pre trade
# 1.1 calc pre orders
preOrders = []
isError = SIGNAL_MAX_NUM
while isError > 0:
try:
isError = isError - 1
preOrders = sgn.backtestSignalsPreTrade(resInfoSymbol)
isError = 0
except Exception as err:
self._logger.warn(str + warnStr.substitute(
err=err, here='1.1 calc pre orders'))
if isError > 0:
raise Exception(errStr.substitute(here='1.1 calc pre orders'))
# print('1. pre signals preOrders:\n%s' % preOrders)
# 1.2 calc preExecOrders
preExecOrders = []
if not preOrders == []:
for order in preOrders:
identify = identify + 1
isError = SIGNAL_MAX_NUM
res = []
while isError > 0:
try:
isError = isError - 1
res = db.insertCreatTradeBacktestHistory(
order['server'], order['fSymbol'],
order['tSymbol'], order['ask_or_bid'],
order['price'], order['quantity'],
order['ratio'], order['type'],
order['signal_id'], order['group_id'],
identify)
isError = 0
except Exception as err:
self._logger.warn(str + warnStr.substitute(
err=err, here='1.2 excute preOrders'))
if not res == []:
preExecOrders.extend(res)
if isError > 0:
# rollback:
pdOrders = pd.DataFrame(preExecOrders)
self.rollbackHandleBacktestHistoryCreatEvent(
sgn, pdOrders, exchange, resInfoSymbol)
raise Exception(
errStr.substitute(here='1.2 excute preOrders'))
# print('1. pre signals preExecOrders:\n%s' % preExecOrders)
# 1.3 calc preInfoOrders
preInfoOrders = []
if not preExecOrders == []:
preExecOrders = pd.DataFrame(preExecOrders)
for server in exchange:
res = []
orderIDs = preExecOrders[(preExecOrders['server'] == server
)]['order_id'].tolist()
res = db.getTradeBacktestHistoryServerOrder([server],
orderIDs)
if not res == []:
preInfoOrders.extend(res)
# print('1. pre signals preInfoOrders:\n%s' % preInfoOrders)
# 1.4 update signals status
if not preInfoOrders == []:
preInfoOrders = pd.DataFrame(preInfoOrders)
isError = SIGNAL_MAX_NUM
while isError > 0:
try:
isError = isError - 1
sgn.backtestUpdateSignalStatusByOrders(
preInfoOrders, resInfoSymbol)
isError = 0
except Exception as err:
self._logger.warn(str + warnStr.substitute(
err=err, here='1.4 update signals status'))
if isError > 0:
# rollback:
pdOrders = preExecOrders
self.rollbackHandleBacktestHistoryCreatEvent(
sgn, pdOrders, exchange, resInfoSymbol)
raise Exception(
errStr.substitute(here='1.4 update signals status'))
# insert db signals
db.insertSignalTradeDis(sgn.signals(exchange, [TYPE_DIS]),
SIGNAL_BACKTEST)
db.insertSignalTradeTra(sgn.signals(exchange, [TYPE_TRA]),
SIGNAL_BACKTEST)
db.insertSignalTradePair(sgn.signals(exchange, [TYPE_PAIR]),
SIGNAL_BACKTEST)
# print('1. pre signals after update:\n%s' % sgn.signals())
########################################
# 2. run trade
isError = True
while isError and (time.time() - startTime < timeout
or timeout == 0):
# 2.1 calc run orders
runOrders = []
isSubError = SIGNAL_MAX_NUM
while isSubError > 0 and (time.time() - startTime < timeout
or timeout == 0):
try:
isSubError = isSubError - 1
runOrders = sgn.backtestSignalsRunTrade(resInfoSymbol)
isSubError = 0
except Exception as err:
self._logger.warn(str + warnStr.substitute(
err=err, here='2.1 calc run orders'))
if isSubError > 0:
# rollback:
pdOrders = []
self.rollbackHandleBacktestHistoryCreatEvent(
sgn, pdOrders, exchange, resInfoSymbol)
raise Exception(
errStr.substitute(here='2.1 calc run orders'))
# print('2. run signals runOrders:\n%s' % runOrders)
# 2.2 calc runExecOrders
runExecOrders = []
if not runOrders == []:
for order in runOrders:
identify = identify + 1
isSubError = SIGNAL_MAX_NUM
res = []
while isSubError > 0 and (time.time() - startTime <
timeout or timeout == 0):
try:
isSubError = isSubError - 1
res = db.insertCreatTradeBacktestHistory(
order['server'], order['fSymbol'],
order['tSymbol'], order['ask_or_bid'],
order['price'], order['quantity'],
order['ratio'], order['type'],
order['signal_id'], order['group_id'],
identify)
isSubError = 0
except Exception as err:
self._logger.warn(str + warnStr.substitute(
err=err, here='2.2 execute runOrders'))
if not res == []:
runExecOrders.extend(res)
if isSubError > 0:
# rollback:
pdOrders = pd.DataFrame(runExecOrders)
self.rollbackHandleBacktestHistoryCreatEvent(
sgn, pdOrders, exchange, resInfoSymbol)
raise Exception(
errStr.substitute(here='2.2 execute runOrders'))
# print('2. run signals runExecOrders:\n%s' % runExecOrders)
# 2.3 calc runInfoOrders
runInfoOrders = []
if not runExecOrders == []:
runExecOrders = pd.DataFrame(runExecOrders)
for server in exchange:
res = []
orderIDs = runExecOrders[(
runExecOrders['server'] == server
)]['order_id'].tolist()
res = db.getTradeBacktestHistoryServerOrder([server],
orderIDs)
if not res == []:
runInfoOrders.extend(res)
# print('2. run signals runInfoOrders:\n%s' % runInfoOrders)
# 2.4 update signals status
if not runInfoOrders == []:
runInfoOrders = pd.DataFrame(runInfoOrders)
isSubError = SIGNAL_MAX_NUM
while isSubError > 0 and (time.time() - startTime < timeout
or timeout == 0):
try:
isSubError = isSubError - 1
sgn.backtestUpdateSignalStatusByOrders(
runInfoOrders, resInfoSymbol)
isSubError = 0
except Exception as err:
self._logger.warn(str + warnStr.substitute(
err=err, here='2.4 update signals status'))
if isSubError > 0:
# rollback:
pdOrders = runExecOrders
self.rollbackHandleBacktestHistoryCreatEvent(
sgn, pdOrders, exchange, resInfoSymbol)
raise Exception(
errStr.substitute(
here='2.4 update signals status'))
# insert db signals
db.insertSignalTradeDis(sgn.signals(exchange, [TYPE_DIS]),
SIGNAL_BACKTEST)
db.insertSignalTradeTra(sgn.signals(exchange, [TYPE_TRA]),
SIGNAL_BACKTEST)
db.insertSignalTradePair(
sgn.signals(exchange, [TYPE_PAIR]), SIGNAL_BACKTEST)
# print('2. run signals after update:\n%s' % sgn.signals())
# 2.5 update isError
isMore = sgn.backtestSignalsIsRunMore(resInfoSymbol)
if not isMore:
isError = False
########################################
# 3. after trade
isError = SIGNAL_MAX_NUM
while isError > 0:
isError = isError - 1
# 3.1 calc after orders
afterOrders = []
isSubError = SIGNAL_MAX_NUM
while isSubError > 0:
try:
isSubError = isSubError - 1
afterOrders = sgn.backtestSignalsAfterTrade(
resInfoSymbol)
isSubError = 0
except Exception as err:
self._logger.warn(str + warnStr.substitute(
err=err, here='3.1 calc after orders'))
if isSubError > 0:
# rollback
pdOrders = []
self.rollbackHandleBacktestHistoryCreatEvent(
sgn, pdOrders, exchange, resInfoSymbol)
raise Exception(
errStr.substitute(here='3.1 calc after orders'))
# print('3. after signals afterOrders:\n%s' % afterOrders)
# 3.2 calc afterExecOrders
afterExecOrders = []
if not afterOrders == []:
for order in afterOrders:
identify = identify + 1
isSubError = SIGNAL_MAX_NUM
res = []
while isSubError > 0:
try:
isSubError = isSubError - 1
res = db.insertCreatTradeBacktestHistory(
order['server'], order['fSymbol'],
order['tSymbol'], order['ask_or_bid'],
order['price'], order['quantity'],
order['ratio'], order['type'],
order['signal_id'], order['group_id'],
identify)
isSubError = 0
except Exception as err:
self._logger.warn(str + warnStr.substitute(
err=err, here='3.2 excute preOrders'))
if not res == []:
afterExecOrders.extend(res)
if isSubError > 0:
# rollback:
pdOrders = pd.DataFrame(afterExecOrders)
self.rollbackHandleBacktestHistoryCreatEvent(
sgn, pdOrders, exchange, resInfoSymbol)
raise Exception(
errStr.substitute(here='3.2 excute preOrders'))
# print('3. after signals afterExecOrders:\n%s' % afterExecOrders)
# 3.3 calc afterInfoOrders
afterInfoOrders = []
if not afterExecOrders == []:
afterExecOrders = pd.DataFrame(afterExecOrders)
for server in exchange:
res = []
orderIDs = preExecOrders[(
preExecOrders['server'] == server
)]['order_id'].tolist()
res = db.getTradeBacktestHistoryServerOrder([server],
orderIDs)
if not res == []:
afterInfoOrders.extend(res)
# print('3. after signals afterInfoOrders:\n%s' % afterInfoOrders)
# 3.4 update signals status
if not afterInfoOrders == []:
afterInfoOrders = pd.DataFrame(afterInfoOrders)
isSubError = SIGNAL_MAX_NUM
while isSubError > 0:
try:
isSubError = isSubError - 1
sgn.backtestUpdateSignalStatusByOrders(
afterInfoOrders, resInfoSymbol)
isSubError = 0
except Exception as err:
self._logger.warn(str + warnStr.substitute(
err=err, here='3.4 update signals status'))
if isSubError > 0:
# rollback:
pdOrders = afterExecOrders
self.rollbackHandleBacktestHistoryCreatEvent(
sgn, pdOrders, exchange, resInfoSymbol)
raise Exception(
errStr.substitute(
here='3.4 update signals status'))
# insert db signals
db.insertSignalTradeDis(sgn.signals(exchange, [TYPE_DIS]),
SIGNAL_BACKTEST)
db.insertSignalTradeTra(sgn.signals(exchange, [TYPE_TRA]),
SIGNAL_BACKTEST)
db.insertSignalTradePair(
sgn.signals(exchange, [TYPE_PAIR]), SIGNAL_BACKTEST)
# print('3. after signals after update:\n%s' % sgn.signals())
# 3.5 update isError
isMore = sgn.backtestSignalsIsRunMore(resInfoSymbol)
if not isMore:
isError = 0
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleBacktestHistoryCreatEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
# Order 事件
def handleOrderHistorySyncEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleOrderHistorySyncEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
# 接收事件
[exchange, fSymbol, tSymbol, limit, ratio] = event.args
exchange = str_to_list(exchange)
try:
db = DB()
db.insertSyncTradeOrderHistory(exchange, fSymbol, tSymbol, limit,
ratio)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleOrderHistorySyncEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
def handleOrderHistoryCreatEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleOrderHistoryCreatEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
# 接收事件
pass
# Statistic 事件
def handleStatisticJudgeEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleStatisticJudgeEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
# 接收事件
[exchange, types] = event.args
exchange = str_to_list(exchange)
types = str_to_list(types)
try:
db = DB()
calc = Calc()
# calc dis type
if TYPE_DIS in types:
statisticDis = calc.calcStatisticJudgeMarketTickerDis(
exchange, TYPE_DIS_TIMEWINDOW)
if not statisticDis == []:
db.insertStatisticJudgeMarketTickerDis(statisticDis)
# calc tra type
if TYPE_TRA in types:
statisticTra = calc.calcStatisticJudgeMarketTickerTra(
exchange, TYPE_TRA_TIMEWINDOW)
if not statisticTra == []:
db.insertStatisticJudgeMarketTickerTra(statisticTra)
# calc pair type
if TYPE_PAIR in types:
statisticPair = calc.calcStatisticJudgeMarketTickerPair(
exchange, TYPE_PAIR_TIMEWINDOW)
if not statisticPair == []:
db.insertStatisticJudgeMarketTickerPair(statisticPair)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleStatisticJudgeEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
def handleStatisticBacktestEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleStatisticBacktestEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
# 接收事件
[signals] = event.args
signals = str_to_list(signals)
for signal in signals:
signal['status_assets'] = json.loads(
json_reverse(signal['status_assets']))
try:
db = DB()
calc = Calc()
statistic = calc.calcStatisticTradeBacktestHistory(signals)
db.insertStatisticTradeBacktestHistory(statistic)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleStatisticBacktestEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
def handleStatisticOrderEvent(self, event, callback):
self._logger.debug(
"src.core.engine.handler.Handler.handleStatisticOrderEvent: {id=%s, type=%s, priority=%s, timeStamp=%s, args=%s}"
% (event.id, event.type, event.priority, event.timeStamp,
event.args))
# 接收事件
[signals] = event.args
signals = str_to_list(signals)
for signal in signals:
signal['status_assets'] = json.loads(
json_reverse(signal['status_assets']))
try:
db = DB()
calc = Calc()
statistic = calc.calcStatisticTradeOrderHistory(signals)
db.insertStatisticTradeOrderHistory(statistic)
except (DBException, CalcException, EngineException, Exception) as err:
errStr = "src.core.engine.handler.Handler.handleStatisticOrderEvent: { type=%s, priority=%s, args=%s }, err=%s" % (
event.type, event.priority, event.args, err)
self._logger.error(errStr)
callback(event.id)
def __init__(self, signals=[]):
# signal init
self._signals = signals
self._signals_str = SIGNAL_SIGNALS
# logger
self._logger = Logger()
from src.core.coin.huobi import Huobi
from src.core.config import Config
from src.core.util.log import Logger
# proxies
_proxies = Config()._Proxies_url if Config()._Proxies_proxies else None
# Huobi
_Huobi_exchange = Config()._Huobi_exchange
_Huobi_api_key = Config()._Huobi_api_key
_Huobi_api_secret = Config()._Huobi_api_secret
_Huobi_acct_id = Config()._Huobi_acct_id
huobi = Huobi(_Huobi_exchange, _Huobi_api_key, _Huobi_api_secret,
_Huobi_acct_id, _proxies)
logger = Logger()
class TestHuobi(unittest.TestCase):
def test_getConfig(self):
res = huobi.getConfig()
logger.debug(res)
self.assertEqual(res["exchange"], _Huobi_exchange)
def test_setProxy(self):
huobi.setProxy(_proxies)
res = huobi.getConfig()
logger.debug(res)
self.assertEqual(res["proxies"], _proxies)
def test_getServerTime(self):
# -*- coding: utf-8 -*-
import os
import sys
import time
sys.path.append(os.getcwd())
from src.core.router import Router
from src.core.util.log import Logger
# global var
__Router = Router()
__logger = Logger()
# Begin Test
if __name__ == '__main__':
# exec time
start = time.time()
# start
__Router.start()
# app init
# __Router.initAPP()
# app update
__Router.updateAPP()
# stop
__Router.stop()