-
Notifications
You must be signed in to change notification settings - Fork 663
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
- Loading branch information
1 parent
9afe7f3
commit 41d8f69
Showing
9 changed files
with
235 additions
and
99 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
|
|
@@ -36,7 +36,7 @@ def get_tag(self): | |
|
|
||
| setuptools.setup( | ||
| name='tqsdk', | ||
| version="2.8.1", | ||
| version="2.8.2", | ||
| description='TianQin SDK', | ||
| author='TianQin', | ||
| author_email='[email protected]', | ||
|
|
||
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1 +1 @@ | ||
| __version__ = '2.8.1' | ||
| __version__ = '2.8.2' |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,136 @@ | ||
| #!/usr/bin/env python | ||
| # -*- coding: utf-8 -*- | ||
| __author__ = 'mayanqiong' | ||
|
|
||
|
|
||
| from tqsdk.datetime import _get_expire_rest_days | ||
| from tqsdk.datetime_state import TqDatetimeState | ||
| from tqsdk.diff import _simple_merge_diff | ||
|
|
||
|
|
||
| class DataExtension(object): | ||
| """ | ||
| 为数据截面添加以下字段： | ||
| { | ||
| quotes: { | ||
| *: { | ||
| expire_rest_days: int | ||
| } | ||
| }, | ||
| trade: { | ||
| *: { | ||
| positions: { | ||
| *: { | ||
| 'pos_long': int, | ||
| 'pos_short': int, | ||
| 'pos': int | ||
| } | ||
| } | ||
| } | ||
| } | ||
| } | ||
| """ | ||
|
|
||
| def __init__(self, api): | ||
| self._api = api | ||
| self._data = {'trade': {}} # 数据截面, 现在的功能只需要记录 trade | ||
| self._diffs = [] | ||
|
|
||
| async def _run(self, api_send_chan, api_recv_chan, md_send_chan, md_recv_chan): | ||
| self._logger = self._api._logger.getChild("DataExtension") | ||
| self._api_send_chan = api_send_chan | ||
| self._api_recv_chan = api_recv_chan | ||
| self._md_send_chan = md_send_chan | ||
| self._md_recv_chan = md_recv_chan | ||
| self._datetime_state = TqDatetimeState() | ||
| md_task = self._api.create_task(self._md_handler()) | ||
| self._pending_peek = False # True 表示收到下游的 peek_message ，并且没有发给过下游回复；False 表示发给过下游回复，没有 pending_peek_message | ||
| self._pending_peek_md = False # True 表示发给过上游 peek_message；False 表示对上游没有 pending_peek_message | ||
| try: | ||
| async for pack in api_send_chan: | ||
| if "_md_recv" in pack: | ||
| self._pending_peek_md = False | ||
| await self._md_recv(pack) | ||
| await self._send_diff() | ||
| if self._pending_peek and self._pending_peek_md is False: | ||
| self._pending_peek_md = True | ||
| await self._md_send_chan.send({"aid": "peek_message"}) | ||
| elif pack["aid"] == "peek_message": | ||
| self._pending_peek = True | ||
| await self._send_diff() | ||
| if self._pending_peek and self._pending_peek_md is False: | ||
| self._pending_peek_md = True | ||
| await self._md_send_chan.send(pack) | ||
| else: | ||
| await self._md_send_chan.send(pack) | ||
| finally: | ||
| md_task.cancel() | ||
|
|
||
| async def _md_handler(self): | ||
| """0 接收上游数据包 """ | ||
| async for pack in self._md_recv_chan: | ||
| pack["_md_recv"] = True | ||
| await self._api_send_chan.send(pack) | ||
|
|
||
| async def _md_recv(self, pack): | ||
| """将行情数据和交易数据合并至 self._data """ | ||
| for d in pack.get("data", {}): | ||
| self._datetime_state.update_state(d) | ||
| if d.get('trade', None): | ||
| _simple_merge_diff(self._data['trade'], d['trade'], reduce_diff=False) | ||
| self._diffs.append(d) | ||
|
|
||
| def _generate_ext_diff(self): | ||
| """" | ||
| 补充 quote, position 额外字段 | ||
| 此函数在 send_diff() 才会调用， self._datetime_state.data_ready 一定为 True， | ||
| 调用 self._datetime_state.get_current_dt() 一定有正确的当前时间 | ||
| """ | ||
| pend_diff = {} | ||
| for d in self._diffs: | ||
| if d.get('quotes', None): | ||
| _simple_merge_diff(pend_diff, self._update_quotes(d), reduce_diff=False) | ||
| if d.get('trade', None): | ||
| _simple_merge_diff(pend_diff, self._update_positions(d), reduce_diff=False) | ||
| return pend_diff | ||
|
|
||
| def _update_quotes(self, diff): | ||
| pend_diff = {} | ||
| for symbol in diff['quotes']: | ||
| expire_datetime = diff['quotes'].get(symbol, {}).get('expire_datetime', float('nan')) | ||
| if expire_datetime == expire_datetime: | ||
| # expire_rest_days 距离到期日的剩余天数（自然日天数） | ||
| # 正数表示距离到期日的剩余天数，0表示到期日当天，负数表示距离到期日已经过去的天数 | ||
| expire_rest_days = _get_expire_rest_days(expire_datetime, self._datetime_state.get_current_dt() / 1e9) | ||
| pend_diff[symbol] = {'expire_rest_days': expire_rest_days} | ||
| return {'quotes': pend_diff} if pend_diff else {} | ||
|
|
||
| def _update_positions(self, diff): | ||
| pend_diff = {} | ||
| for account_key in diff['trade']: | ||
| for symbol in diff['trade'].get(account_key, {}).get('positions', {}): | ||
| pos = diff['trade'][account_key]['positions'][symbol] | ||
| if 'pos_long_his' in pos or 'pos_long_today' in pos or 'pos_short_his' in pos or 'pos_short_today' in pos: | ||
| data_pos = self._data['trade'][account_key]['positions'][symbol] | ||
| pos_long = data_pos['pos_long_his'] + data_pos['pos_long_today'] | ||
| pos_short = data_pos['pos_short_his'] + data_pos['pos_short_today'] | ||
| pend_diff.setdefault(account_key, {}) | ||
| pend_diff[account_key].setdefault('positions', {}) | ||
| pend_diff[account_key]['positions'][symbol] = { | ||
| 'pos_long': pos_long, | ||
| 'pos_short': pos_short, | ||
| 'pos': pos_long - pos_short | ||
| } | ||
| return {'trade': pend_diff} if pend_diff else {} | ||
|
|
||
| async def _send_diff(self): | ||
| if self._datetime_state.data_ready and self._pending_peek and self._diffs: | ||
| # 生成增量业务截面, 该截面包含补充的字段，只在真正需要给下游发送数据时，才将需要发送的数据放在 _diffs 中 | ||
| ext_diff = self._generate_ext_diff() | ||
| rtn_data = { | ||
| "aid": "rtn_data", | ||
| "data": self._diffs + [ext_diff], | ||
| } | ||
| self._diffs = [] | ||
| self._pending_peek = False | ||
| await self._api_recv_chan.send(rtn_data) |
Oops, something went wrong.