def rolling_forward(self):
""" Retrieve data of next step """
self.has_pending_data, self._next_bar = self._helper.rolling_forward()
if not self.has_pending_data:
return False, None
self.next_datetime = self._raw_data.index[self._next_bar]
if self.datetime[0] >= self.next_datetime and self.curbar != 0:
log.error('合约[%s] 数据时间逆序或冗余' % self.pcontract)
raise
return True, self.has_pending_data
def _process(self, event):
""" 基于多线程的处理事件 """
if event.route not in self._routes:
log.warning("事件%s 没有被处理" % event.route)
return
for handler in self._routes[event.route]:
try:
log.debug("处理事件%s" % event.route)
_thread.start_new_thread(handler, (event, ))
#handler(event)
except Exception as e:
log.error(e)
def __init__(self, str_contract):
## @TODO 修改参数为（code, exchange)
info = str_contract.split('.')
if len(info) == 2:
code = info[0].upper()
exchange = info[1].upper()
else:
log.error('错误的合约格式: %s' % str_contract)
log.exception()
self.exchange = exchange
self.code = code
if self.exchange == 'SZ' or self.exchange == 'SH':
self.is_stock = True
elif self.exchange == 'SHFE':
self.is_stock = False
elif self.exchange == 'TEST' and self.code == 'STOCK':
self.is_stock = True
elif self.exchange == 'TEST':
self.is_stock = False
else:
log.error('Unknown exchange: {0}', self.exchange)
assert (False)
def _process_apiback(self, event):
assert (event.route == self.EVENT_FROM_SERVER)
self._timeout = 0
rid = event.args['rid']
try:
with self._handlers_lock:
handler = self._handlers[rid]
except KeyError:
log.info('[RPCClient._process_apiback] 放弃超时任务的返回结果')
else:
try:
if handler:
# 异步
handler(event.args['ret'])
else:
# 同步
self._sync_ret = event.args['ret']
self._notify_server_data()
except Exception as e:
log.error(e)
log.debug("[RPCClient._process_apiback] 删除已经完成的任务 rid; %s" % rid)
with self._handlers_lock:
del self._handlers[rid]
def make_market(self, bars, at_baropen):
""" 价格撮合"""
if len(self._open_orders) == 0:
return
fill_orders = set()
for order in self._open_orders:
if order.side == TradeSide.CANCEL:
fill_orders.add(order)
transact = Transaction(order)
self.events.put(FillEvent(transact))
continue
try:
bar = bars[order.contract]
except KeyError:
log.error('所交易的合约[%s]数据不存在' % order.contract)
continue
transact = Transaction(order)
if self._strict:
if at_baropen:
if order.price_type == PriceType.LMT:
price = bar.open
if (order.side == TradeSide.OPEN and \
(order.direction == Direction.LONG and order.price >= price or \
order.direction == Direction.SHORT and order.price <= price)) or \
(order.side == TradeSide.CLOSE and \
(order.direction == Direction.LONG and order.price <= price or \
order.direction == Direction.SHORT and order.price >= price)):
transact.price = order.price
transact.datetime = bar.datetime
fill_orders.add(order)
self.events.put(FillEvent(transact))
elif order.price_type == PriceType.MKT:
transact.price = bar.open
transact.datetime = bar.datetime
# recompute commission when price changed
transact.compute_commission()
fill_orders.add(order)
self.events.put(FillEvent(transact))
else:
if order.price_type == PriceType.LMT:
# 限价单以最高和最低价格为成交的判断条件．
if (order.side == TradeSide.OPEN and \
(order.direction == Direction.LONG and order.price >= bar.low or \
order.direction == Direction.SHORT and order.price <= bar.high)) or \
(order.side == TradeSide.CLOSE and \
(order.direction == Direction.LONG and order.price <= bar.high or \
order.direction == Direction.SHORT and order.price >= bar.low)):
transact.price = order.price
# Bar的结束时间做为交易成交时间.
transact.datetime = bar.datetime
fill_orders.add(order)
self.events.put(FillEvent(transact))
elif order.price_type == PriceType.MKT:
# 市价单以最高或最低价格为成交价格．
if order.side == TradeSide.OPEN:
if order.direction == Direction.LONG:
transact.price = bar.high
else:
transact.price = bar.low
elif order.side == TradeSide.CLOSE:
if order.direction == Direction.LONG:
transact.price = bar.low
else:
transact.price = bar.high
transact.datetime = bar.datetime
# recompute commission when price changed
transact.compute_commission()
fill_orders.add(order)
self.events.put(FillEvent(transact))
else:
transact.datetime = bar.datetime
fill_orders.add(order)
#
self.events.put(FillEvent(transact))
# end of for
if fill_orders:
self._open_orders -= fill_orders