def __init__(self, event_engine: EventEngine = None):
""""""
if event_engine:
self.event_engine = event_engine
else:
self.event_engine = EventEngine()
self.event_engine.start()
self.engines = {'Event':self.event_engine}
self.exchanges = []
def __init__(self, event_engine: EventEngine = None):
""""""
if event_engine:
self.event_engine = event_engine
else:
self.event_engine = EventEngine()
self.event_engine.start()
self.gateways = {}
self.engines = {}
self.apps = {}
self.init_engines()
def __init__(self, event_engine: EventEngine = None):
""""""
if event_engine:
self.event_engine: EventEngine = event_engine
else:
self.event_engine = EventEngine()
self.event_engine.start()
self.gateways: Dict[str, BaseGateway] = {}
self.engines: Dict[str, BaseEngine] = {}
self.apps: Dict[str, BaseApp] = {}
self.exchanges: List[Exchange] = []
os.chdir(TRADER_DIR) # Change working directory
self.init_engines() # Initialize function engines
def __init__(self):
Strategy.__init__(self)
self.pm = PortfolioManager()
self.pm.strategy = self
# TODO remove
self.eventEngine = EventEngine()
self.eventEngine.register(eventType.EVENT_TIMER, self.on_cycle)
self.eventEngine.register(eventType.EVENT_MD_QUOTE, self.on_quote)
self.eventEngine.register(eventType.EVENT_TRADE_IND,
self.pm.on_trade_ind)
self.eventEngine.register(eventType.EVENT_ORDERSTATUS_IND,
self.pm.on_order_status)
def main():
"""主程序入口"""
# 创建Qt应用对象
qApp = createQApp()
# 创建事件引擎
ee = EventEngine()
# 创建主引擎
me = MainEngine(ee)
# 添加交易接口
me.addGateway(secGateway)
me.addGateway(ctpGateway)
me.addGateway(ctpsecGateway)
# 添加上层应用
me.addApp(riskManager)
me.addApp(optionMaster)
# 创建主窗口
mw = MainWindow(me, ee)
mw.showMaximized()
# 在主线程中启动Qt事件循环
sys.exit(qApp.exec_())
def main():
"""主程序入口"""
# 创建Qt应用对象
qApp = createQApp()
# 创建事件引擎
ee = EventEngine()
# 创建主引擎
me = MainEngine(ee)
# 添加交易接口
me.addGateway(ctpGateway)
# me.addGateway(oandaGateway)
# me.addGateway(ibGateway)
# 添加上层应用
me.addApp(ctaStrategy)
me.addApp(riskManager)
me.addApp(spreadTrading)
me.addApp(dataRecorder)
# 创建主窗口
mw = MainWindow(me, ee)
mw.showMaximized()
# 在主线程中启动Qt事件循环
sys.exit(qApp.exec_())
def main():
qapp = create_qapp('My Trading System')
event_engine = EventEngine()
# event_engine.start()
main_engine = MainEngine(event_engine)
main_window = MainWindow(main_engine, event_engine)
main_window.showMaximized()
qapp.exec()
def main():
"""主程序入口"""
le = LogEngine()
le.setLogLevel(le.LEVEL_INFO)
le.addConsoleHandler()
le.addFileHandler()
le.info(u'启动JAQS服务进程')
ee = EventEngine()
le.info(u'事件引擎创建成功')
me = MainEngine(ee)
me.addGateway(ctpGateway)
me.addApp(jaqsService)
le.info(u'主引擎创建成功')
ee.register(EVENT_LOG, le.processLogEvent)
ee.register(EVENT_JS_LOG, le.processLogEvent)
le.info(u'注册日志事件监听')
me.connect('CTP')
le.info(u'连接CTP接口')
while True:
sleep(1)
def main():
""""""
qapp = create_qapp()
event_engine = EventEngine()
main_engine = MainEngine(event_engine)
main_engine.add_gateway(CtpGateway)
main_window = MainWindow(main_engine, event_engine)
main_window.showMaximized()
qapp.exec()
class MainEngine:
def __init__(self, event_engine: EventEngine = None):
""""""
if event_engine:
self.event_engine = event_engine
else:
self.event_engine = EventEngine()
self.event_engine.start()
self.engines = {'Event':self.event_engine}
self.exchanges = []
def add_engine(self, engine_class: Any):
"""
Add function engine.
"""
engine = engine_class(self, self.event_engine)
# print(engine.engine_name)
self.engines[engine.engine_name] = engine
return engine
def subscribe(self, req:OrderRequest ):
"""
Subscribe tick data update of a specific gateway.
"""
gateway = Gateway(self.event_engine,req.symbol, req.exchange)
gateway.generate_Tick()
def send_order(self, req: OrderRequest, ):
"""
Send new order request
"""
self.subscribe(req)
self.event_engine.put(req)
def close(self):
"""
Make sure every gateway and app is closed properly before
programme exit.
"""
# Stop event engine first to prevent new timer event.
self.event_engine.stop()
def main():
"""主程序入口"""
# 创建Qt应用对象
qApp = createQApp()
# 创建事件引擎
ee = EventEngine()
# 创建主引擎
reqAddress = 'tcp://localhost:2014'
subAddress = 'tcp://localhost:0602'
me = MainEngineProxy(ee)
me.init(reqAddress, subAddress)
# 创建主窗口
mw = MainWindow(me, ee)
mw.showMaximized()
# 在主线程中启动Qt事件循环
sys.exit(qApp.exec_())
def main():
"""主程序入口"""
# 创建Qt应用对象
qApp = createQApp()
# 创建事件引擎
ee = EventEngine()
# 创建主引擎
me = MainEngine(ee)
# 添加交易接口
me.addGateway(ctpGateway)
# 添加上层应用
me.addApp(jaqsService)
# 创建主窗口
mw = MainWindow(me, ee)
mw.showMaximized()
# 在主线程中启动Qt事件循环
sys.exit(qApp.exec_())
class MainEngine:
"""
Acts as the core of VN Trader.
"""
def __init__(self, event_engine: EventEngine = None):
""""""
if event_engine:
self.event_engine: EventEngine = event_engine
else:
self.event_engine = EventEngine()
self.event_engine.start()
self.gateways: Dict[str, BaseGateway] = {}
self.engines: Dict[str, BaseEngine] = {}
self.apps: Dict[str, BaseApp] = {}
self.exchanges: List[Exchange] = []
os.chdir(TRADER_DIR) # Change working directory
self.init_engines() # Initialize function engines
def add_engine(self, engine_class: Any) -> "BaseEngine":
"""
Add function engine.
"""
engine = engine_class(self, self.event_engine)
self.engines[engine.engine_name] = engine
return engine
def add_gateway(self, gateway_class: Type[BaseGateway]) -> BaseGateway:
"""
Add gateway.
"""
gateway = gateway_class(self.event_engine)
self.gateways[gateway.gateway_name] = gateway
# Add gateway supported exchanges into engine
for exchange in gateway.exchanges:
if exchange not in self.exchanges:
self.exchanges.append(exchange)
return gateway
def add_app(self, app_class: Type[BaseApp]) -> "BaseEngine":
"""
Add app.
"""
app = app_class()
self.apps[app.app_name] = app
engine = self.add_engine(app.engine_class)
return engine
def init_engines(self) -> None:
"""
Init all engines.
"""
self.add_engine(LogEngine)
self.add_engine(OmsEngine)
self.add_engine(EmailEngine)
def write_log(self, msg: str, source: str = "") -> None:
"""
Put log event with specific message.
"""
log = LogData(msg=msg, gateway_name=source)
event = Event(EVENT_LOG, log)
self.event_engine.put(event)
def get_gateway(self, gateway_name: str) -> BaseGateway:
"""
Return gateway object by name.
"""
gateway = self.gateways.get(gateway_name, None)
if not gateway:
self.write_log(f"找不到底层接口：{gateway_name}")
return gateway
def get_engine(self, engine_name: str) -> "BaseEngine":
"""
Return engine object by name.
"""
engine = self.engines.get(engine_name, None)
if not engine:
self.write_log(f"找不到引擎：{engine_name}")
return engine
def get_default_setting(self,
gateway_name: str) -> Optional[Dict[str, Any]]:
"""
Get default setting dict of a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
return gateway.get_default_setting()
return None
def get_all_gateway_names(self) -> List[str]:
"""
Get all names of gatewasy added in main engine.
"""
return list(self.gateways.keys())
def get_all_apps(self) -> List[BaseApp]:
"""
Get all app objects.
"""
return list(self.apps.values())
def get_all_exchanges(self) -> List[Exchange]:
"""
Get all exchanges.
"""
return self.exchanges
def connect(self, setting: dict, gateway_name: str) -> None:
"""
Start connection of a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.connect(setting)
def subscribe(self, req: SubscribeRequest, gateway_name: str) -> None:
"""
Subscribe tick data update of a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.subscribe(req)
def send_order(self, req: OrderRequest, gateway_name: str) -> str:
"""
Send new order request to a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
return gateway.send_order(req)
else:
return ""
def cancel_order(self, req: CancelRequest, gateway_name: str) -> None:
"""
Send cancel order request to a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.cancel_order(req)
def send_orders(self, reqs: Sequence[OrderRequest],
gateway_name: str) -> List[str]:
"""
"""
gateway = self.get_gateway(gateway_name)
if gateway:
return gateway.send_orders(reqs)
else:
return ["" for req in reqs]
def cancel_orders(self, reqs: Sequence[CancelRequest],
gateway_name: str) -> None:
"""
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.cancel_orders(reqs)
def query_history(self, req: HistoryRequest,
gateway_name: str) -> Optional[List[BarData]]:
"""
Send cancel order request to a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
return gateway.query_history(req)
else:
return None
def close(self) -> None:
"""
Make sure every gateway and app is closed properly before
programme exit.
"""
# Stop event engine first to prevent new timer event.
self.event_engine.stop()
for engine in self.engines.values():
engine.close()
for gateway in self.gateways.values():
gateway.close()
class EventDrivenStrategy(Strategy, Subscriber):
def __init__(self):
Strategy.__init__(self)
self.pm = PortfolioManager()
self.pm.strategy = self
# TODO remove
self.eventEngine = EventEngine()
self.eventEngine.register(eventType.EVENT_TIMER, self.on_cycle)
self.eventEngine.register(eventType.EVENT_MD_QUOTE, self.on_quote)
self.eventEngine.register(eventType.EVENT_TRADE_IND,
self.pm.on_trade_ind)
self.eventEngine.register(eventType.EVENT_ORDERSTATUS_IND,
self.pm.on_order_status)
@abstractmethod
def on_new_day(self, trade_date):
pass
@abstractmethod
def on_quote(self, quote):
pass
@abstractmethod
def on_cycle(self):
pass
def initialize(self, runmode):
if runmode == common.RUN_MODE.REALTIME:
self.subscribe_events()
def subscribe_events(self):
universe = self.context.universe
data_server = self.context.dataserver
for i in xrange(len(universe)):
self.subscribe(data_server, universe[i])
def subscribe(self, publisher, topic):
publisher.add_subscriber(self, topic)
def start(self):
self.eventEngine.start(False)
def stop(self):
self.eventEngine.stop()
def register_event(self, event):
self.eventEngine.put(event)
from trader.engine import MainEngine
from trader.setting import get_settings
if __name__ == '__main__':
from vnpy.app.cta_strategy.backtesting import BacktestingEngine, OptimizationSetting
from celue.fx.EMA_fx_mz_strategy import (
EmaFxMzStrategy,
)
from datetime import datetime
# engine = BacktestingEngine()
# engine.set_parameters(
# vt_symbol="BTCUSDT.BINANCE",
# interval="1h",
# start=datetime(2020, 1, 25),
# end=datetime(2020, 11, 5),
# rate=0.25 / 10000,
# slippage=0.2,
# size=100,
# pricetick=0.2,
# capital=1_000_000,
# )
# engine.add_strategy(EmaFxMzStrategy, {})
# engine.load_data()
# engine.run_backtesting()
# df = engine.calculate_result()
# engine.calculate_statistics()
event_engine = EventEngine()
main_engine = MainEngine(event_engine)
main_engine.get_account('a')
class MainEngine:
"""
Acts as the core of VN Trader.
"""
def __init__(self, event_engine: EventEngine = None):
""""""
if event_engine:
self.event_engine = event_engine
else:
self.event_engine = EventEngine()
self.event_engine.start()
self.gateways = {}
self.engines = {}
self.apps = {}
self.init_engines()
def add_engine(self, engine_class: Any):
"""
Add function engine.
"""
engine = engine_class(self, self.event_engine)
self.engines[engine.engine_name] = engine
def add_gateway(self, gateway_class: BaseGateway):
"""
Add gateway.
"""
gateway = gateway_class(self.event_engine)
self.gateways[gateway.gateway_name] = gateway
def add_app(self, app_class: BaseApp):
"""
Add app.
"""
app = app_class()
self.apps[app.app_name] = app
self.add_engine(app.engine_class)
def init_engines(self):
"""
Init all engines.
"""
self.add_engine(LogEngine)
# self.add_engine(OmsEngine)
# self.add_engine(EmailEngine)
self.add_engine(StEngine)
def write_log(self, msg: str):
"""
Put log event with specific message.
"""
log = StLogData(msg=msg)
event = Event(EVENT_LOG, log)
self.event_engine.put(event)
def get_gateway(self, gateway_name: str):
"""
Return gateway object by name.
"""
gateway = self.gateways.get(gateway_name, None)
if not gateway:
self.write_log(f"找不到底层接口：{gateway_name}")
return gateway
def get_engine(self, engine_name: str):
"""
Return engine object by name.
"""
engine = self.engines.get(engine_name, None)
if not engine:
self.write_log(f"找不到引擎：{engine_name}")
return engine
def get_default_setting(self, gateway_name: str):
"""
Get default setting dict of a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
return gateway.get_default_setting()
return None
def get_all_gateway_names(self):
"""
Get all names of gatewasy added in main engine.
"""
return list(self.gateways.keys())
def get_all_apps(self):
"""
Get all app objects.
"""
return list(self.apps.values())
def query_contract(self, gateway_name: str):
"""
Get contract of a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.query_contract()
def query_position(self, strategy_name: str, symbol: str,
gateway_name: str):
"""
Get position of a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.query_position(strategy_name, symbol)
def connect(self, setting: dict, gateway_name: str):
"""
Start connection of a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.connect(gateway.default_setting)
def subscribe(self, req: SubscribeRequest, gateway_name: str):
"""
Subscribe tick data update of a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.subscribe(req)
def un_subscribe(self, req: SubscribeRequest, gateway_name: str):
"""
unSubscribe tick data update of a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.un_subscribe(req)
def send_order(self, req: OrderRequest, gateway_name: str):
"""
Send new order request to a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
return gateway.send_order(req)
else:
return ""
def cancel_order(self, req: CancelRequest, gateway_name: str):
"""
Send cancel order request to a specific gateway.
"""
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.cancel_order(req)
def close(self):
"""
Make sure every gateway and app is closed properly before
programme exit.
"""
# Stop event engine first to prevent new timer event.
self.event_engine.stop()
for engine in self.engines.values():
engine.close()
for gateway in self.gateways.values():
gateway.close()