def __init__(self, enableCtaEngine=True, enableDrEngine=True, enableRmEngine=True):
"""Constructor"""
# 记录今日日期
self.todayDate = datetime.now().strftime('%Y%m%d')
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
if enableCtaEngine:
self.ctaEngine = CtaEngine(self, self.eventEngine)
else:
self.ctaEngine = None
if enableDrEngine:
self.drEngine = DrEngine(self, self.eventEngine)
else:
self.drEngine = None
if enableRmEngine:
self.rmEngine = RmEngine(self, self.eventEngine)
else:
self.rmEngine = None
def __init__(self, client, eventEngine):
"""Constructor"""
self.client = client
self.eventEngine = eventEngine
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
def __init__(self, client, eventEngine):
"""Constructor"""
self.client = client
self.eventEngine = eventEngine
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
def __init__(self, mainEngine, eventEngine):
"""Constructor"""
self.mainEngine = mainEngine
self.eventEngine = eventEngine
self.drEngine = DrEngine(mainEngine, eventEngine)
# 当前日期
self.today = datetime.now().replace(hour=0, minute=0, second=0, microsecond=0)
# 保存策略实例的字典
# key为策略名称，value为策略实例，注意策略名称不允许重复
self.strategyDict = {}
# 保存vtSymbol和策略实例映射的字典（用于推送tick数据）
# 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol
# value为包含所有相关strategy对象的list
self.tickStrategyDict = {}
# 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据）
# key为vtOrderID，value为strategy对象
self.orderStrategyDict = {}
# tradeID记录，防止系统重复返回
self.tradIDList = []
# 本地停止单编号计数
self.stopOrderCount = 0
# stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
# 本地停止单字典
# key为stopOrderID，value为stopOrder对象
self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
# 持仓缓存字典
# key为vtSymbol，value为PositionBuffer对象
self.posBufferDict = {}
# 引擎类型为实盘
self.engineType = ENGINETYPE_TRADING
# 注册事件监听
self.registerEvent()
# log 配置
if not os.path.exists(self.ctaEngineLogFile):
os.makedirs(self.ctaEngineLogFile)
with open(self.ctaEngineLogFile+'/ctaLog','ab') as f:
pass
self.logger1 = logging.getLogger('ctaLogger')
self.logger1.setLevel(logging.DEBUG)
fh = logging.handlers.RotatingFileHandler(self.ctaEngineLogFile+'/ctaLog', mode='a', maxBytes=1024*1024)
ch = logging.StreamHandler()
self.logger1.addHandler(fh)
self.logger1.addHandler(ch)
def __init__(self):
"""Constructor"""
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine) # cta策略运行模块
self.drEngine = DrEngine(self, self.eventEngine) # 数据记录模块
self.rmEngine = RmEngine(self, self.eventEngine) # 风险管理模块
def __init__(self):
"""Constructor"""
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
def __init__(self):
"""Constructor"""
# 记录今日日期
self.todayDate = datetime.now().strftime('%Y%m%d')
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
class MainEngine(object):
"""主引擎"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine) # cta策略运行模块
self.drEngine = DrEngine(self, self.eventEngine) # 数据记录模块
self.rmEngine = RmEngine(self, self.eventEngine) # 风险管理模块
#----------------------------------------------------------------------
def initGateway(self):
"""初始化接口对象"""
# 用来保存接口对象的字典
self.gatewayDict = OrderedDict()
# 创建我们想要接入的接口对象
try:
from ctpGateway.ctpGateway import CtpGateway
self.addGateway(CtpGateway, 'CTP')
self.gatewayDict['CTP'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_Prod')
self.gatewayDict['CTP_Prod'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_Post')
self.gatewayDict['CTP_Post'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_EBF')
self.gatewayDict['CTP_EBF'].setQryEnabled(True)
except Exception as e:
print e
"""
try:
from ltsGateway.ltsGateway import LtsGateway
self.addGateway(LtsGateway, 'LTS')
self.gatewayDict['LTS'].setQryEnabled(True)
except Exception, e:
print e
"""
"""
try:
from ksotpGateway.ksotpGateway import KsotpGateway
self.addGateway(KsotpGateway, 'KSOTP')
self.gatewayDict['KSOTP'].setQryEnabled(True)
except Exception, e:
print e
try:
from femasGateway.femasGateway import FemasGateway
self.addGateway(FemasGateway, 'FEMAS')
self.gatewayDict['FEMAS'].setQryEnabled(True)
except Exception, e:
print e
try:
from xspeedGateway.xspeedGateway import XspeedGateway
self.addGateway(XspeedGateway, 'XSPEED')
self.gatewayDict['XSPEED'].setQryEnabled(True)
except Exception, e:
print e
try:
from ksgoldGateway.ksgoldGateway import KsgoldGateway
self.addGateway(KsgoldGateway, 'KSGOLD')
self.gatewayDict['KSGOLD'].setQryEnabled(True)
except Exception, e:
print e
try:
from sgitGateway.sgitGateway import SgitGateway
self.addGateway(SgitGateway, 'SGIT')
self.gatewayDict['SGIT'].setQryEnabled(True)
except Exception, e:
print e
try:
from windGateway.windGateway import WindGateway
self.addGateway(WindGateway, 'Wind')
except Exception, e:
print e
try:
from ibGateway.ibGateway import IbGateway
self.addGateway(IbGateway, 'IB')
except Exception, e:
print e
try:
from oandaGateway.oandaGateway import OandaGateway
self.addGateway(OandaGateway, 'OANDA')
self.gatewayDict['OANDA'].setQryEnabled(True)
except Exception, e:
print e
try:
from okcoinGateway.okcoinGateway import OkcoinGateway
self.addGateway(OkcoinGateway, 'OKCOIN')
self.gatewayDict['OKCOIN'].setQryEnabled(True)
except Exception, e:
print e
"""
#----------------------------------------------------------------------
def addGateway(self, gateway, gatewayName=None):
"""创建接口"""
self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName)
# ----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.connect()
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
# ----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.subscribe(subscribeReq)
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
# ----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
# 如果风控检查失败则不发单
if not self.rmEngine.checkRisk(orderReq):
self.writeLog(u'风控检查不通过')
return ''
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
return gateway.sendOrder(orderReq)
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
# ----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.cancelOrder(cancelOrderReq)
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
#----------------------------------------------------------------------
def qryAccont(self, gatewayName):
"""查询特定接口的账户"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getAccount()
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
def getAccountInfo(self):
"""读取风控的账号与仓位数据
# Added by IncenseLee
仅支持一个账号。不支持多账号
以后支持跨市场套利才更新吧。
"""
return self.rmEngine.getAccountInfo()
#----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getPosition()
else:
self.writeLog(u'接口不存在：%s' % gatewayName)
# ----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 安全关闭所有接口
for gateway in self.gatewayDict.values():
gateway.close()
# 停止事件引擎
self.eventEngine.stop()
# 停止数据记录引擎
self.drEngine.stop()
# 保存数据引擎里的合约数据到硬盘
self.dataEngine.saveContracts()
def disconnect(self):
"""断开底层gateway的连接"""
for gateway in self.gatewayDict.values():
gateway.close()
# ----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
log = VtLogData()
log.logContent = content
event = Event(type_=EVENT_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
# 写入本地log日志
logging.info(content)
# ----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
if not self.dbClient:
# 读取MongoDB的设置
host, port = loadMongoSetting()
try:
# 设置MongoDB操作的超时时间为0.5秒
self.dbClient = MongoClient(host,
port,
serverSelectionTimeoutMS=500)
# 调用server_info查询服务器状态，防止服务器异常并未连接成功
self.dbClient.server_info()
self.writeLog(u'MongoDB连接成功')
except ConnectionFailure:
self.writeLog(u'MongoDB连接失败')
# ----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.insert(d)
# ----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
cursor = collection.find(d)
return cursor
else:
return None
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.dataEngine.getContract(vtSymbol)
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.dataEngine.getAllContracts()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.dataEngine.getOrder(vtOrderID)
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.dataEngine.getAllWorkingOrders()
def clearData(self):
"""清空数据引擎的数据"""
self.dataEngine.clearData()
self.ctaEngine.clearData()
def saveData(self):
self.ctaEngine.saveStrategyData()
class ClientEngine(object):
"""客户端引擎，提供和MainEngine完全相同的API接口"""
#----------------------------------------------------------------------
def __init__(self, client, eventEngine):
"""Constructor"""
self.client = client
self.eventEngine = eventEngine
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
#----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
self.client.connect(gatewayName)
#----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
self.client.subscribe(subscribeReq, gatewayName)
#----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
self.client.sendOrder(orderReq, gatewayName)
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
self.client.cancelOrder(cancelOrderReq, gatewayName)
#----------------------------------------------------------------------
def qryAccont(self, gatewayName):
"""查询特定接口的账户"""
self.client.qryAccount(gatewayName)
#----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
self.client.qryPosition(gatewayName)
#----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 停止事件引擎
self.eventEngine.stop()
# 关闭客户端的推送数据接收
self.client.stop()
# 停止数据记录引擎
self.drEngine.stop()
#----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
self.client.writeLog(content)
#----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
self.client.dbConnect()
#----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
self.client.dbInsert(dbName, collectionName, d)
#----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的数据列表"""
return self.client.dbQuery(dbName, collectionName, d)
#----------------------------------------------------------------------
def dbUpdate(self, dbName, collectionName, d, flt, upsert=False):
"""向MongoDB中更新数据，d是具体数据，flt是过滤条件，upsert代表若无是否要插入"""
self.client.dbUpdate(dbName, collectionName, d, flt, upsert)
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.client.getContract(vtSymbol)
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.client.getAllContracts()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.client.getOrder(vtOrderID)
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.client.getAllWorkingOrders()
#----------------------------------------------------------------------
def getAllGatewayNames(self):
"""查询所有的接口名称"""
return self.client.getAllGatewayNames()
# ----------------------------------------------------------------------
def getGateway4sysMenu(self):
return self.client.getGateway4sysMenu()
class ClientEngine(object):
"""客户端引擎，提供和MainEngine完全相同的API接口"""
# ----------------------------------------------------------------------
def __init__(self, client, eventEngine):
"""Constructor"""
self.client = client
self.eventEngine = eventEngine
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
# ----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
self.client.connect(gatewayName)
# ----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
self.client.subscribe(subscribeReq, gatewayName)
# ----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
self.client.sendOrder(orderReq, gatewayName)
# ----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
self.client.cancelOrder(cancelOrderReq, gatewayName)
# ----------------------------------------------------------------------
def qryAccont(self, gatewayName):
"""查询特定接口的账户"""
self.client.qryAccount(gatewayName)
# ----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
self.client.qryPosition(gatewayName)
# ----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 停止事件引擎
self.eventEngine.stop()
# 关闭客户端的推送数据接收
self.client.stop()
# 停止数据记录引擎
self.drEngine.stop()
# ----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
self.client.writeLog(content)
# ----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
self.client.dbConnect()
# ----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
self.client.dbInsert(dbName, collectionName, d)
# ----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的数据列表"""
return self.client.dbQuery(dbName, collectionName, d)
# ----------------------------------------------------------------------
def dbUpdate(self, dbName, collectionName, d, flt, upsert=False):
"""向MongoDB中更新数据，d是具体数据，flt是过滤条件，upsert代表若无是否要插入"""
self.client.dbUpdate(dbName, collectionName, d, flt, upsert)
# ----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.client.getContract(vtSymbol)
# ----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.client.getAllContracts()
# ----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.client.getOrder(vtOrderID)
# ----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.client.getAllWorkingOrders()
# ----------------------------------------------------------------------
def getAllGatewayNames(self):
"""查询所有的接口名称"""
return self.client.getAllGatewayNames()
class MainEngine(object):
"""主引擎"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 记录今日日期
self.todayDate = datetime.now().strftime('%Y%m%d')
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
#----------------------------------------------------------------------
def initGateway(self):
"""初始化接口对象"""
# 用来保存接口对象的字典
self.gatewayDict = OrderedDict()
# 遍历接口字典并自动创建所有的接口对象
for gatewayModule in GATEWAY_DICT.values():
try:
self.addGateway(gatewayModule.gateway, gatewayModule.gatewayName)
if gatewayModule.gatewayQryEnabled:
self.gatewayDict[gatewayModule.gatewayName].setQryEnabled(True)
except:
traceback.print_exc()
#----------------------------------------------------------------------
def addGateway(self, gateway, gatewayName=None):
"""创建接口"""
self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName)
#----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.connect()
# 接口连接后自动执行数据库连接的任务
self.dbConnect()
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.subscribe(subscribeReq)
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
# 如果风控检查失败则不发单
if not self.rmEngine.checkRisk(orderReq):
return ''
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
return gateway.sendOrder(orderReq)
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.cancelOrder(cancelOrderReq)
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def qryAccount(self, gatewayName):
"""查询特定接口的账户"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.qryAccount()
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.qryPosition()
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 安全关闭所有接口
for gateway in self.gatewayDict.values():
gateway.close()
# 停止事件引擎
self.eventEngine.stop()
# 停止数据记录引擎
self.drEngine.stop()
# 保存数据引擎里的合约数据到硬盘
self.dataEngine.saveContracts()
#----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
log = VtLogData()
log.logContent = content
event = Event(type_=EVENT_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
#----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
if not self.dbClient:
# 读取MongoDB的设置
host, port, logging = loadMongoSetting()
try:
# 设置MongoDB操作的超时时间为0.5秒
self.dbClient = MongoClient(host, port, connectTimeoutMS=500)
# 调用server_info查询服务器状态，防止服务器异常并未连接成功
self.dbClient.server_info()
self.writeLog(text.DATABASE_CONNECTING_COMPLETED)
# 如果启动日志记录，则注册日志事件监听函数
if logging:
self.eventEngine.register(EVENT_LOG, self.dbLogging)
except ConnectionFailure:
self.writeLog(text.DATABASE_CONNECTING_FAILED)
#----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.insert_one(d)
else:
self.writeLog(text.DATA_INSERT_FAILED)
#----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
cursor = collection.find(d)
if cursor:
return list(cursor)
else:
return []
else:
self.writeLog(text.DATA_QUERY_FAILED)
return []
#----------------------------------------------------------------------
def dbUpdate(self, dbName, collectionName, d, flt, upsert=False):
"""向MongoDB中更新数据，d是具体数据，flt是过滤条件，upsert代表若无是否要插入"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.replace_one(flt, d, upsert)
else:
self.writeLog(text.DATA_UPDATE_FAILED)
#----------------------------------------------------------------------
def dbLogging(self, event):
"""向MongoDB中插入日志"""
log = event.dict_['data']
d = {
'content': log.logContent,
'time': log.logTime,
'gateway': log.gatewayName
}
self.dbInsert(LOG_DB_NAME, self.todayDate, d)
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.dataEngine.getContract(vtSymbol)
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.dataEngine.getAllContracts()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.dataEngine.getOrder(vtOrderID)
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.dataEngine.getAllWorkingOrders()
#----------------------------------------------------------------------
def getAllGatewayNames(self):
"""查询引擎中所有可用接口的名称"""
return self.gatewayDict.keys()
# ----------------------------------------------------------------------
def getGateway4sysMenu(self):
"""
:return:
"""
toDict = lambda g: {
'gatewayType': g.gatewayType,
'gatewayName': g.gatewayName,
'gatewayDisplayName': g.gatewayDisplayName,
}
return [
toDict(g) for g in GATEWAY_DICT.values() if hasattr(g, 'gatewayType')
]
class MainEngine(object):
"""主引擎"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 记录今日日期
self.todayDate = datetime.now().strftime('%Y%m%d')
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
#----------------------------------------------------------------------
def initGateway(self):
"""初始化接口对象"""
# 用来保存接口对象的字典
self.gatewayDict = OrderedDict()
# 遍历接口字典并自动创建所有的接口对象
for gatewayModule in GATEWAY_DICT.values():
try:
self.addGateway(gatewayModule.gateway,
gatewayModule.gatewayName)
if gatewayModule.gatewayQryEnabled:
self.gatewayDict[gatewayModule.gatewayName].setQryEnabled(
True)
except:
traceback.print_exc()
#----------------------------------------------------------------------
def addGateway(self, gateway, gatewayName=None):
"""创建接口"""
self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName)
#----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.connect()
# 接口连接后自动执行数据库连接的任务
self.dbConnect()
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.subscribe(subscribeReq)
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
# 如果风控检查失败则不发单
if not self.rmEngine.checkRisk(orderReq):
return ''
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
return gateway.sendOrder(orderReq)
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.cancelOrder(cancelOrderReq)
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def qryAccount(self, gatewayName):
"""查询特定接口的账户"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.qryAccount()
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.qryPosition()
else:
self.writeLog(text.GATEWAY_NOT_EXIST.format(gateway=gatewayName))
#----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 安全关闭所有接口
for gateway in self.gatewayDict.values():
gateway.close()
# 停止事件引擎
self.eventEngine.stop()
# 停止数据记录引擎
self.drEngine.stop()
# 保存数据引擎里的合约数据到硬盘
self.dataEngine.saveContracts()
#----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
log = VtLogData()
log.logContent = content
event = Event(type_=EVENT_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
#----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
if not self.dbClient:
# 读取MongoDB的设置
host, port, logging = loadMongoSetting()
try:
# 设置MongoDB操作的超时时间为0.5秒
self.dbClient = MongoClient(host, port, connectTimeoutMS=500)
# 调用server_info查询服务器状态，防止服务器异常并未连接成功
self.dbClient.server_info()
self.writeLog(text.DATABASE_CONNECTING_COMPLETED)
# 如果启动日志记录，则注册日志事件监听函数
if logging:
self.eventEngine.register(EVENT_LOG, self.dbLogging)
except ConnectionFailure:
self.writeLog(text.DATABASE_CONNECTING_FAILED)
#----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.insert_one(d)
else:
self.writeLog(text.DATA_INSERT_FAILED)
#----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
cursor = collection.find(d)
if cursor:
return list(cursor)
else:
return []
else:
self.writeLog(text.DATA_QUERY_FAILED)
return []
#----------------------------------------------------------------------
def dbUpdate(self, dbName, collectionName, d, flt, upsert=False):
"""向MongoDB中更新数据，d是具体数据，flt是过滤条件，upsert代表若无是否要插入"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.replace_one(flt, d, upsert)
else:
self.writeLog(text.DATA_UPDATE_FAILED)
#----------------------------------------------------------------------
def dbLogging(self, event):
"""向MongoDB中插入日志"""
log = event.dict_['data']
d = {
'content': log.logContent,
'time': log.logTime,
'gateway': log.gatewayName
}
self.dbInsert(LOG_DB_NAME, self.todayDate, d)
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.dataEngine.getContract(vtSymbol)
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.dataEngine.getAllContracts()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.dataEngine.getOrder(vtOrderID)
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.dataEngine.getAllWorkingOrders()
#----------------------------------------------------------------------
def getAllGatewayNames(self):
"""查询引擎中所有可用接口的名称"""
return self.gatewayDict.keys()
# ----------------------------------------------------------------------
def getGateway4sysMenu(self):
"""
:return:
"""
toDict = lambda g: {
'gatewayType': g.gatewayType,
'gatewayName': g.gatewayName,
'gatewayDisplayName': g.gatewayDisplayName,
}
return [
toDict(g) for g in GATEWAY_DICT.values()
if hasattr(g, 'gatewayType')
]
class MainEngine(object):
"""主引擎"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 创建事件引擎
self.eventEngine = EventEngine2()
self.eventEngine.start()
# 创建数据引擎
self.dataEngine = DataEngine(self, self.eventEngine)
# MongoDB数据库相关
self.dbClient = None # MongoDB客户端对象
# 调用一个个初始化函数
self.initGateway()
# 扩展模块
self.ctaEngine = CtaEngine(self, self.eventEngine)
self.drEngine = DrEngine(self, self.eventEngine)
self.rmEngine = RmEngine(self, self.eventEngine)
#----------------------------------------------------------------------
def initGateway(self):
"""初始化接口对象"""
# 用来保存接口对象的字典
self.gatewayDict = OrderedDict()
# 创建我们想要接入的接口对象
try:
from ctpGateway.ctpGateway import CtpGateway
self.addGateway(CtpGateway, 'CTP')
self.gatewayDict['CTP'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_Prod')
self.gatewayDict['CTP_Prod'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_Post')
self.gatewayDict['CTP_Post'].setQryEnabled(True)
self.addGateway(CtpGateway, 'CTP_EBF')
self.gatewayDict['CTP_EBF'].setQryEnabled(True)
except Exception as e:
print e
"""
try:
from ltsGateway.ltsGateway import LtsGateway
self.addGateway(LtsGateway, 'LTS')
self.gatewayDict['LTS'].setQryEnabled(True)
except Exception, e:
print e
try:
from ksotpGateway.ksotpGateway import KsotpGateway
self.addGateway(KsotpGateway, 'KSOTP')
self.gatewayDict['KSOTP'].setQryEnabled(True)
except Exception, e:
print e
try:
from femasGateway.femasGateway import FemasGateway
self.addGateway(FemasGateway, 'FEMAS')
self.gatewayDict['FEMAS'].setQryEnabled(True)
except Exception, e:
print e
try:
from xspeedGateway.xspeedGateway import XspeedGateway
self.addGateway(XspeedGateway, 'XSPEED')
self.gatewayDict['XSPEED'].setQryEnabled(True)
except Exception, e:
print e
try:
from ksgoldGateway.ksgoldGateway import KsgoldGateway
self.addGateway(KsgoldGateway, 'KSGOLD')
self.gatewayDict['KSGOLD'].setQryEnabled(True)
except Exception, e:
print e
try:
from sgitGateway.sgitGateway import SgitGateway
self.addGateway(SgitGateway, 'SGIT')
self.gatewayDict['SGIT'].setQryEnabled(True)
except Exception, e:
print e
try:
from windGateway.windGateway import WindGateway
self.addGateway(WindGateway, 'Wind')
except Exception, e:
print e
try:
from ibGateway.ibGateway import IbGateway
self.addGateway(IbGateway, 'IB')
except Exception, e:
print e
try:
from oandaGateway.oandaGateway import OandaGateway
self.addGateway(OandaGateway, 'OANDA')
self.gatewayDict['OANDA'].setQryEnabled(True)
except Exception, e:
print e
try:
from okcoinGateway.okcoinGateway import OkcoinGateway
self.addGateway(OkcoinGateway, 'OKCOIN')
self.gatewayDict['OKCOIN'].setQryEnabled(True)
except Exception, e:
print e
"""
#----------------------------------------------------------------------
def addGateway(self, gateway, gatewayName=None):
"""创建接口"""
self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName)
# ----------------------------------------------------------------------
def connect(self, gatewayName):
"""连接特定名称的接口"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.connect()
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
# ----------------------------------------------------------------------
def subscribe(self, subscribeReq, gatewayName):
"""订阅特定接口的行情"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.subscribe(subscribeReq)
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
# ----------------------------------------------------------------------
def sendOrder(self, orderReq, gatewayName):
"""对特定接口发单"""
# 如果风控检查失败则不发单
if not self.rmEngine.checkRisk(orderReq):
self.writeLog(u'风控检查不通过')
return ''
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
return gateway.sendOrder(orderReq)
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
# ----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq, gatewayName):
"""对特定接口撤单"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.cancelOrder(cancelOrderReq)
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
#----------------------------------------------------------------------
def qryAccont(self, gatewayName):
"""查询特定接口的账户"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getAccount()
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
def getAccountInfo(self):
"""读取风控的账号与仓位数据
# Added by IncenseLee
仅支持一个账号。不支持多账号
以后支持跨市场套利才更新吧。
"""
return self.rmEngine.getAccountInfo()
#----------------------------------------------------------------------
def qryPosition(self, gatewayName):
"""查询特定接口的持仓"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getPosition()
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
# ----------------------------------------------------------------------
def exit(self):
"""退出程序前调用，保证正常退出"""
# 安全关闭所有接口
for gateway in self.gatewayDict.values():
gateway.close()
# 停止事件引擎
self.eventEngine.stop()
# 停止数据记录引擎
self.drEngine.stop()
# 保存数据引擎里的合约数据到硬盘
self.dataEngine.saveContracts()
def disconnect(self):
"""断开底层gateway的连接"""
for gateway in self.gatewayDict.values():
gateway.close()
# ----------------------------------------------------------------------
def writeLog(self, content):
"""快速发出日志事件"""
log = VtLogData()
log.logContent = content
event = Event(type_=EVENT_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
# 写入本地log日志
logging.info(content)
# ----------------------------------------------------------------------
def dbConnect(self):
"""连接MongoDB数据库"""
if not self.dbClient:
# 读取MongoDB的设置
host, port = loadMongoSetting()
try:
# 设置MongoDB操作的超时时间为0.5秒
self.dbClient = MongoClient(host, port, serverSelectionTimeoutMS=500)
# 调用server_info查询服务器状态，防止服务器异常并未连接成功
self.dbClient.server_info()
self.writeLog(u'MongoDB连接成功')
except ConnectionFailure:
self.writeLog(u'MongoDB连接失败')
# ----------------------------------------------------------------------
def dbInsert(self, dbName, collectionName, d):
"""向MongoDB中插入数据，d是具体数据"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
collection.insert(d)
# ----------------------------------------------------------------------
def dbQuery(self, dbName, collectionName, d):
"""从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针"""
if self.dbClient:
db = self.dbClient[dbName]
collection = db[collectionName]
cursor = collection.find(d)
return cursor
else:
return None
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约"""
return self.dataEngine.getContract(vtSymbol)
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约（返回列表）"""
return self.dataEngine.getAllContracts()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
return self.dataEngine.getOrder(vtOrderID)
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有的活跃的委托（返回列表）"""
return self.dataEngine.getAllWorkingOrders()
def clearData(self):
"""清空数据引擎的数据"""
self.dataEngine.clearData()
self.ctaEngine.clearData()
def saveData(self):
self.ctaEngine.saveStrategyData()
