def tickToBar(tick, granularity=180):
#tick data to bar
# global bars
instrument_id = tick.InstrumentID
action_day = tick.ActionDay
update_time = tick.UpdateTime.replace(':', '')
last_price = int(
tick.LastPrice) if instrument_id[0:2] in int_instruments else float(
tick.LastPrice)
volume = tick.Volume
# if volume == 0:
# continue
if update_time.find('.') != -1:
dt = datetime.strptime(' '.join([action_day, update_time]),
"%Y%m%d %H%M%S.%f")
timestamp = time.mktime(dt.timetuple()) + (dt.microsecond / 1e6)
else:
timestamp = int(
time.mktime(
time.strptime(' '.join([action_day, update_time]),
"%Y%m%d %H%M%S")))
date_time = time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(timestamp))
ohlc_key = generate_ohlc_key(instrument_id=instrument_id,
granularity=granularity,
timestamp=timestamp)
if ohlc_key not in nest:
nest[ohlc_key] = {
'date_time': date_time,
'last_timestamp': timestamp,
'high': last_price,
'low': last_price,
'close': last_price,
'open': last_price
}
nest[ohlc_key]['last_timestamp'] = timestamp
nest[ohlc_key]['date_time'] = date_time
nest[ohlc_key]['close'] = last_price
if last_price > nest[ohlc_key]['high']:
nest[ohlc_key]['high'] = last_price
elif last_price < nest[ohlc_key]['low']:
nest[ohlc_key]['low'] = last_price
if nest.__len__() > 1:
for k, v in nest.items():
if k == ohlc_key:
continue
q_bar.put(nest[k])
del nest[k]
def login():
# 登录行情服务器
user = MyMdApi(instruments=inst, broker_id=BROKER_ID, investor_id=INVESTOR_ID, password=PASSWORD)
user.Create("data")
user.RegisterFront(ADDR_MD)
user.Init()
print('行情服务器登录成功')
while True:
if Utils.exit_flag:
msg = 'Thread CTPDataCollectEngine say bye-bye'
print(msg)
logger.info(msg=msg)
return
try:
payload = q_depth_market_data.get(timeout=1)
print(payload)
q_depth_market_data.task_done()
instrument_id = payload.InstrumentID
action_day = payload.ActionDay
update_time = payload.UpdateTime.replace(':', '')
last_price = payload.LastPrice
volume = payload.Volume
if volume == 0:
continue
if update_time.find('.') != -1:
dt = datetime.strptime(' '.join([action_day, update_time]), "%Y%m%d %H%M%S.%f")
timestamp = time.mktime(dt.timetuple()) + (dt.microsecond / 1e6)
else:
timestamp = int(time.mktime(time.strptime(' '.join([action_day, update_time]), "%Y%m%d %H%M%S")))
date_time = time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(timestamp))
ohlc_key = generate_ohlc_key(instrument_id=instrument_id, granularity=granularity, timestamp=timestamp)
if ohlc_key not in nest:
nest[ohlc_key] = {
'date_time': date_time,
'last_timestamp': timestamp,
'high': last_price,
'low': last_price,
'close': last_price,
'open': last_price
}
nest[ohlc_key]['last_timestamp'] = timestamp
nest[ohlc_key]['date_time'] = date_time
nest[ohlc_key]['close'] = last_price
if last_price > decimal.Decimal(nest[ohlc_key]['high']):
nest[ohlc_key]['high'] = last_price
elif last_price < decimal.Decimal(nest[ohlc_key]['low']):
nest[ohlc_key]['low'] = last_price
if nest.__len__() > 1:
for k, v in list(nest.items()):
if k == ohlc_key:
continue
data.append(nest[k]) #
del nest[k]
high = get_k_line_column(data=data, depth=20)
ma_5 = ma(elements=high, step=5)
ma_10 = ma(elements=high, step=10)
# print high
# print ma_5
# print ma_10
cu = cross(ma_5, ma_10)
print(cu)
far = be_apart_from(cu)
print(far)
print(nest)
except queue.Empty as e:
pass