async def _md_recv(self, pack):
""" 处理下行数据包
0 将行情数据和交易数据合并至 self._data
1 生成增量业务截面, 该截面包含期权补充的字段
"""
for d in pack.get("data", {}):
self._datetime_state.update_state(d)
_simple_merge_diff(self._data_quotes, d.get('quotes', {}))
_merge_diff(self._data, {"trade": d.get('trade', {})}, prototype=self._prototype, persist=False, reduce_diff=False)
self._diffs.append(d) # 添加至 self._diff 等待被发送
for obj in self._new_objs_list:
# 新添加的 Position / Order / Trade 节点
if hasattr(obj, '_path') and obj['_path'][2] in ['positions', 'trades', 'orders']:
symbol = f"{obj.get('exchange_id', '')}.{obj.get('instrument_id', '')}"
if symbol not in self._all_trade_symbols:
self._all_trade_symbols.add(symbol)
self._need_wait_symbol_info.add(symbol) # 需要发送合约信息请求
for s in self._need_wait_symbol_info.copy():
if self._data_quotes.get(s, {}).get("price_tick", 0) > 0:
self._need_wait_symbol_info.remove(s) # 需要发送合约信息请求 + 不知道合约信息的合约
# 不知道合约信息 并且未发送请求查询合约信息
unknown_symbols = self._need_wait_symbol_info - self._query_symbols
if len(unknown_symbols) > 0:
self._query_symbols = self._query_symbols.union(unknown_symbols) # 所有发送过ins_query的合约
query_pack = _query_for_quote(list(unknown_symbols))
await self._md_send_chan.send(query_pack)
async def _ensure_symbols(self):
if all([q.price_tick > 0 for q in self]):
return
query_symbols = [q._path[-1] for q in self if not q.price_tick > 0]
query_pack = _query_for_quote(query_symbols)
self._api._send_pack(query_pack)
async with self._api.register_update_notify(self) as update_chan:
async for _ in update_chan:
if all([q.price_tick > 0 for q in self]):
return
async def _ensure_quote_info(self, symbol, quote_chan):
"""quote收到合约信息后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
if quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
if quote.get("price_tick") != quote.get("price_tick"):
await self._md_send_chan.send(_query_for_quote(symbol))
async for _ in quote_chan:
quote_chan.task_done()
if quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
async def _ensure_quote(self, ins):
# 在接新版合约服务器后，合约信息程序运行过程中查询得到的，这里不再能保证合约一定存在，需要添加 quote 默认值
quote = _get_obj(self._data, ["quotes", ins], BtQuote(self._api))
if math.isnan(quote.get("price_tick")):
query_pack = _query_for_quote(ins)
await self._md_send_chan.send(query_pack)
async with TqChan(self._api, last_only=True) as update_chan:
quote["_listener"].add(update_chan)
while math.isnan(quote.get("price_tick")):
await update_chan.recv()
if ins not in self._quotes or self._quotes[ins]["min_duration"] > 60000000000:
await self._ensure_serial(ins, 60000000000)
async def _ensure_quote(self, symbol, quote_chan):
"""quote收到行情以及合约信息后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
_register_update_chan(quote, quote_chan)
if quote.get("datetime", "") and quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
if quote.get("price_tick") != quote.get("price_tick"):
# 对于没有合约信息的 quote，发送查询合约信息的请求
await self._md_send_chan.send(_query_for_quote(symbol))
async for _ in quote_chan:
quote_chan.task_done()
if quote.get("datetime", "") and quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
print(
"* margin commission 部分合约不一致, 组合没有 volume_multiple, 指数、主连符合预期，SPOT 没有 expired product_short_name，"
)
print(
"* 新版合约服务中已经删去的字段",
["ins_id", "ins_name", "sort_key", "delivery_year", "delivery_month"])
print("* 旧版合约服务里行情相关的数据不需要关心",
["settlement_price", "open_interest", "last_price", "pre_volume"])
symbols_diff = {}
i = 0
for symbol, old_quote in old_symbols.items():
# i += 1
# if i > 100:
# break
query_pack = _query_for_quote(symbol)
query_result = api.query_graphql(query=query_pack["query"],
variables=query_pack["variables"])
quotes = query_result.get("result", {}).get("symbol_info", [])
assert len(quotes) == 1
new_quote = quotes[0]
assert new_quote["instrument_id"] == symbol
diff = symbols_diff.setdefault(symbol, [])
different(old_quote, new_quote, diff)
for symbol, diffs in symbols_diff.items():
if diffs:
logger.info(
f"{'-'*10} {symbol} {old_symbols[symbol]['class']} {'-'*20}")
for d in diffs:
logger.info(d)