def update_tick(self, tick: TickData):
"""
Update new tick data into generator and new_shared time data.
"""
new_minute = False
self.last_price = tick.last_price
self.open_interest = tick.open_interest
self.volume = tick.volume
self.molecule = self.molecule + tick.last_price * tick.volume
self.denominator = self.denominator + tick.volume
try:
self.average_price = self.molecule / self.denominator
except ZeroDivisionError:
self.average_price = tick.last_price
if self.last_volume is None:
self.last_volume = tick.volume
if self.local_symbol is None:
self.local_symbol = tick.local_symbol
if not self.bar:
new_minute = True
elif self.bar.datetime.minute != tick.datetime.minute:
self.bar.datetime = self.bar.datetime.replace(
second=0, microsecond=0
)
self.bar.interval = 1
event = Event(type=EVENT_BAR, data=self.bar)
self.rpo.put(event)
[self.update_bar(x, getattr(self, "min_{}_bar".format(x)), self.bar) for x in self.XMIN]
new_minute = True
if new_minute:
shared = SharedData(last_price=round(self.last_price, 2), datetime=tick.datetime, local_symbol=self.local_symbol,
open_interest=self.open_interest, average_price=round(self.average_price, 2),
volume=self.volume - self.last_volume, gateway_name=tick.gateway_name)
self.last_volume = tick.volume
event = Event(type=EVENT_SHARED, data=shared)
self.rpo.put(event)
self.bar = BarData(
symbol=tick.symbol,
exchange=tick.exchange,
datetime=tick.datetime,
gateway_name=tick.gateway_name,
open_price=tick.last_price,
high_price=tick.last_price,
low_price=tick.last_price,
close_price=tick.last_price,
)
else:
self.bar.high_price = max(self.bar.high_price, tick.last_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price)
self.bar.close_price = tick.last_price
self.bar.datetime = tick.datetime
if self.last_tick:
volume_change = tick.volume - self.last_tick.volume
self.bar.volume += max(volume_change, 0)
self.last_tick = tick
def on_event(self, type, data):
if type == EVENT_TICK:
event = Event(type=type, data=data)
signal = getattr(common_signals, f"{type}_signal")
signal.send(event)
else:
event = Event(type=type, data=data)
signal = getattr(self.app_signal, f"{type}_signal")
signal.send(event)
def connect(self, info):
try:
self.client.login(**info)
title = '广发证券核新网上交易系统7.65'
self.api = self.client.bind(title).init()
event = Event(EVENT_LOG, data="股票账户登录成功")
self.event_engine.put(event)
except Exception:
event = Event(EVENT_LOG, data="账户登录失败 ")
self.event_engine.put(event)
def generate(self):
if self.bar is not None:
self.bar.interval = 1
event = Event(type=EVENT_BAR, data=self.bar)
self.rpo.put(event)
for x in self.XMIN:
if self.bar is not None:
bar = getattr(self, "min_{}_bar".format(x))
bar.interval = x
event = Event(type=EVENT_BAR, data=bar)
self.rpo.put(event)
self.bar = None
[setattr(self, "min_{}_bar".format(x), None) for x in self.XMIN]
def update_bar(self, xmin, xmin_bar: BarData, bar: BarData):
"""
Update 1 minute bar into generator
"""
if not xmin_bar:
xmin_bar = BarData(symbol=bar.symbol,
exchange=bar.exchange,
datetime=bar.datetime,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price)
else:
xmin_bar.high_price = max(xmin_bar.high_price, bar.high_price)
xmin_bar.low_price = min(xmin_bar.low_price, bar.low_price)
xmin_bar.close_price = bar.close_price
xmin_bar.volume += int(bar.volume)
if not (bar.datetime.minute + 1) % xmin:
xmin_bar.datetime = xmin_bar.datetime.replace(second=0,
microsecond=0)
xmin_bar.interval = xmin
event = Event(type=EVENT_BAR, data=xmin_bar)
self.rpo.put(event)
xmin_bar = None
def update_bar(self, xmin, bar: BarData):
"""
Update 1 minute bar into generator
"""
xmin_bar = getattr(self, f"min_{xmin}_bar", None)
if not xmin_bar:
xmin_bar = BarData(symbol=bar.symbol,
exchange=bar.exchange,
datetime=bar.datetime,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price)
setattr(self, f"min_{xmin}_bar", xmin_bar)
else:
xmin_bar.high_price = max(xmin_bar.high_price, bar.high_price)
xmin_bar.low_price = min(xmin_bar.low_price, bar.low_price)
xmin_bar.close_price = bar.close_price
xmin_bar.volume += int(bar.volume)
if not (bar.datetime.minute + 1) % xmin:
xmin_bar.datetime = xmin_bar.datetime.replace(second=0,
microsecond=0)
xmin_bar.interval = xmin
event = Event(type=EVENT_BAR, data=xmin_bar)
common_signals.bar_signal.send(event)
setattr(self, f"min_{xmin}_bar", None)
def _push_order(self, order: OrderData):
"""
将订单回报推送到策略层，这个地方将order请求转换为order数据， 从而简化代码
:param order:
:return:
"""
event = Event(EVENT_ORDER, deepcopy(order))
self.event_engine.put(event)
def send_order(self, order_req: OrderRequest) -> AnyStr:
"""发单"""
result = self.risk_gateway.send(self)
if False in result:
event = Event(type=EVENT_LOG, data="风控阻止下单")
self.event_engine.put(event)
return
send_monitor.send(order_req)
return self.trader.send_order(order_req)
def update_tick(self, tick: TickData):
"""
Update new tick data into generator and new_shared time data.
"""
new_minute = False
self.last_price = tick.last_price
self.open_interest = tick.open_interest
self.volume = tick.volume
if self.last_volume is None:
self.last_volume = tick.volume
if self.local_symbol is None:
self.local_symbol = tick.local_symbol
if not self.bar:
new_minute = True
elif self.bar.datetime.minute != tick.datetime.minute:
self.bar.datetime = self.bar.datetime.replace(
second=0, microsecond=0
)
self.bar.interval = 1
event = Event(type=EVENT_BAR, data=self.bar)
common_signals.bar_signal.send(event)
[self.update_bar(x, getattr(self, "min_{}_bar".format(x)), self.bar) for x in self.XMIN]
new_minute = True
if new_minute:
self.last_volume = tick.volume
self.bar = BarData(
symbol=tick.symbol,
exchange=tick.exchange,
datetime=tick.datetime,
gateway_name=tick.gateway_name,
open_price=tick.last_price,
high_price=tick.last_price,
low_price=tick.last_price,
close_price=tick.last_price,
)
else:
self.bar.high_price = max(self.bar.high_price, tick.last_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price)
self.bar.close_price = tick.last_price
self.bar.datetime = tick.datetime
if self.last_tick:
volume_change = tick.volume - self.last_tick.volume
self.bar.volume += max(volume_change, 0)
self.last_tick = tick
def log(self, log):
event = Event(EVENT_LOG, data=log)
self.app.event_engine.put(event)
def _push_trade(self, trade):
""" 将成交回报推送到策略层 """
event = Event(EVENT_TRADE, deepcopy(trade))
self.event_engine.put(event)
def on_event(type, data):
event = Event(type=type, data=data)
rpo.put(event)
def connect(self, info):
self.userid = info.get("userid")
# 初始化策略
event = Event(EVENT_INIT_FINISHED, True)
self.event_engine.put(event)
def export_log(self, log):
event = Event(EVENT_LOG, log)
self.app.event_engine.put(event)
def push_bar(self, bar):
event = Event(EVENT_BAR, bar)
self.app.event_engine.put(event)
def put_stop_order_event(self, stop_order: StopOrder):
"""
Put an event to update stop order status.
"""
event = Event(EVENT_CTA_STOPORDER, stop_order)
self.event_engine.put(event)
def query_account(self):
data = AccountData(account_id=self.api.account, balance=self.api.balance,
frozen=self.api.balance - self.api.assets)
event = Event(EVENT_ACCOUNT, data=data)
self.event_engine.put(data)
def running_timer(common_signal):
while True:
event = Event(type=EVENT_TIMER)
common_signal.timer_signal.send(event)
sleep(self.config['TIMER_INTERVAL'])
def query_position(self):
event = Event(type=EVENT_POSITION, data=self.api.position)
self.event_engine.put(event)
def onRspTic(self, data, bool):
tick = loads(data)
event = Event(type=EVENT_TICK, data=tick)
self.event_engine.put(event)
def on_event(self, type, data):
event = Event(type=type, data=data)
self.event_engine.put(event)
def put_stop_order_event(self, stop_order: StopOrder):
"""
推送事件到停止单处理函数更新
"""
event = Event(EVENT_CTA_STOPORDER, stop_order)
self.event_engine.put(event)
