def send_order(self, strategy: StrategyTemplate, vt_symbol: str,
direction: Direction, offset: Offset, price: float,
volume: float, lock: bool) -> List[str]:
""""""
price = round_to(price, self.priceticks[vt_symbol])
symbol, exchange = extract_vt_symbol(vt_symbol)
self.limit_order_count += 1
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=str(self.limit_order_count),
direction=direction,
offset=offset,
price=price,
volume=volume,
status=Status.SUBMITTING,
datetime=self.datetime,
gateway_name=self.gateway_name,
)
self.active_limit_orders[order.vt_orderid] = order
self.limit_orders[order.vt_orderid] = order
return [order.vt_orderid]
def load_bar_data(vt_symbol: str, interval: Interval, start: datetime,
end: datetime):
""""""
symbol, exchange = extract_vt_symbol(vt_symbol)
return database_manager.load_bar_data(symbol, exchange, interval, start,
end)
def load_bar(self, vt_symbol: str, days: int, interval: Interval) -> List[BarData]:
""""""
symbol, exchange = extract_vt_symbol(vt_symbol)
end = datetime.now(get_localzone())
start = end - timedelta(days)
contract: ContractData = self.main_engine.get_contract(vt_symbol)
data = []
# Query bars from gateway if available
if contract and contract.history_data:
req = HistoryRequest(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end
)
data = self.main_engine.query_history(req, contract.gateway_name)
# Try to query bars from RQData, if not found, load from database.
else:
data = self.query_bar_from_rq(symbol, exchange, interval, start, end)
if not data:
data = database_manager.load_bar_data(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end,
)
return data
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.bgs: Dict[str, BarGenerator] = {}
self.last_tick_time: datetime = None
# Obtain contract info
for vt_symbol in self.vt_symbols:
symbol, exchange = extract_vt_symbol(vt_symbol)
if "C" in symbol:
self.call_symbol = vt_symbol
_, strike_str = symbol.split("-C-") # For CFFEX/DCE options
self.strike_price = int(strike_str)
elif "P" in symbol:
self.put_symbol = vt_symbol
else:
self.futures_symbol = vt_symbol
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
def load_bar_data(spread: SpreadData,
interval: Interval,
start: datetime,
end: datetime,
pricetick: float = 0):
""""""
# Load bar data of each spread leg
leg_bars: Dict[str, Dict] = {}
for vt_symbol in spread.legs.keys():
symbol, exchange = extract_vt_symbol(vt_symbol)
bar_data: List[BarData] = database_manager.load_bar_data(
symbol, exchange, interval, start, end)
bars: Dict[datetime, BarData] = {bar.datetime: bar for bar in bar_data}
leg_bars[vt_symbol] = bars
# Calculate spread bar data
spread_bars: List[BarData] = []
for dt in bars.keys():
spread_price = 0
spread_value = 0
spread_available = True
for leg in spread.legs.values():
leg_bar = leg_bars[leg.vt_symbol].get(dt, None)
if leg_bar:
price_multiplier = spread.price_multipliers[leg.vt_symbol]
spread_price += price_multiplier * leg_bar.close_price
spread_value += abs(price_multiplier) * leg_bar.close_price
else:
spread_available = False
if spread_available:
if pricetick:
spread_price = round_to(spread_price, pricetick)
spread_bar = BarData(
symbol=spread.name,
exchange=exchange.LOCAL,
datetime=dt,
interval=interval,
open_price=spread_price,
high_price=spread_price,
low_price=spread_price,
close_price=spread_price,
gateway_name="SPREAD",
)
spread_bar.value = spread_value
spread_bars.append(spread_bar)
return spread_bars
def get_position(self, vt_symbol: str, direction: Direction):
""""""
key = (vt_symbol, direction)
if key in self.positions:
return self.positions[key]
else:
symbol, exchange = extract_vt_symbol(vt_symbol)
position = PositionData(
symbol=symbol,
exchange=exchange,
direction=direction,
gateway_name=GATEWAY_NAME
)
self.positions[key] = position
return position
def load_bar(
self,
vt_symbol: str,
days: int,
interval: Interval,
callback: Callable[[BarData], None],
use_database: bool
):
""""""
symbol, exchange = extract_vt_symbol(vt_symbol)
end = datetime.now(get_localzone())
start = end - timedelta(days)
bars = []
# Pass gateway and RQData if use_database set to True
if not use_database:
# Query bars from gateway if available
contract = self.main_engine.get_contract(vt_symbol)
if contract and contract.history_data:
req = HistoryRequest(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end
)
bars = self.main_engine.query_history(req, contract.gateway_name)
# Try to query bars from RQData, if not found, load from database.
else:
bars = self.query_bar_from_rq(symbol, exchange, interval, start, end)
if not bars:
bars = database_manager.load_bar_data(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end,
)
for bar in bars:
callback(bar)
def load_tick(
self,
vt_symbol: str,
days: int,
callback: Callable[[TickData], None]
):
""""""
symbol, exchange = extract_vt_symbol(vt_symbol)
end = datetime.now()
start = end - timedelta(days)
ticks = database_manager.load_tick_data(
symbol=symbol,
exchange=exchange,
start=start,
end=end,
)
for tick in ticks:
callback(tick)
def run_downloading(self, vt_symbol: str, interval: str, start: datetime,
end: datetime):
"""
Query bar data from RQData.
"""
self.write_log(f"{vt_symbol}-{interval}开始下载历史数据")
try:
symbol, exchange = extract_vt_symbol(vt_symbol)
except ValueError:
self.write_log(f"{vt_symbol}解析失败，请检查交易所后缀")
self.thread = None
return
req = HistoryRequest(symbol=symbol,
exchange=exchange,
interval=Interval(interval),
start=start,
end=end)
contract = self.main_engine.get_contract(vt_symbol)
try:
# If history data provided in gateway, then query
if contract and contract.history_data:
data = self.main_engine.query_history(req,
contract.gateway_name)
if data:
database_manager.save_bar_data(data)
self.write_log(f"{vt_symbol}-{interval}历史数据下载完成")
else:
self.write_log(f"数据下载失败，无法获取{vt_symbol}的历史数据")
except Exception:
msg = f"数据下载失败，触发异常：\n{traceback.format_exc()}"
self.write_log(msg)
# Clear thread object handler.
self.thread = None