forked from vnpy/vnpy.github.io
-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathbasic-tutorial-6.html
467 lines (403 loc) · 37.4 KB
/
basic-tutorial-6.html
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
<!DOCTYPE html>
<html lang="zh"
>
<head>
<title>Python量化交易平台开发教程系列6-中层引擎设计 - vn.py</title>
<!-- Using the latest rendering mode for IE -->
<meta http-equiv="X-UA-Compatible" content="IE=edge">
<meta charset="utf-8">
<meta name="viewport" content="width=device-width, initial-scale=1.0">
<link href="/images/favicon.png" rel="icon">
<link rel="canonical" href="/basic-tutorial-6.html">
<meta name="author" content="用Python的交易员" />
<meta name="description" content="原创文章，转载请注明出处：用Python的交易员 前言 中层引擎在设计上主要是为了进一步封装底层接口所暴露出的API函数，使得其更容易被上层的GUI和策略组件调用。本篇的内容会相对简单，主要以LTS接口DEMO为例介绍一些设计方面的思路。 相关的示例都是基于vn.demo中的LTS接口DEMO，发布在： https://github.com/vnpy/vnpy/tree/master/vn.demo/ltsdemo 中层引擎设计 构造函数 ######################################################################## class MainEngine: """主引擎，负责对API的调度""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.ee = EventEngine() # 创建事件驱动引擎 self.md = DemoMdApi(self.ee) # 创建API接口 #self.md = DemoL2Api(self.ee) # 如果使用L2行情就改为这行 self.td = DemoTdApi ..." />
<meta property="og:site_name" content="vn.py" />
<meta property="og:type" content="article"/>
<meta property="og:title" content="Python量化交易平台开发教程系列6-中层引擎设计"/>
<meta property="og:url" content="/basic-tutorial-6.html"/>
<meta property="og:description" content="原创文章，转载请注明出处：用Python的交易员 前言 中层引擎在设计上主要是为了进一步封装底层接口所暴露出的API函数，使得其更容易被上层的GUI和策略组件调用。本篇的内容会相对简单，主要以LTS接口DEMO为例介绍一些设计方面的思路。 相关的示例都是基于vn.demo中的LTS接口DEMO，发布在： https://github.com/vnpy/vnpy/tree/master/vn.demo/ltsdemo 中层引擎设计 构造函数 ######################################################################## class MainEngine: """主引擎，负责对API的调度""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.ee = EventEngine() # 创建事件驱动引擎 self.md = DemoMdApi(self.ee) # 创建API接口 #self.md = DemoL2Api(self.ee) # 如果使用L2行情就改为这行 self.td = DemoTdApi ..."/>
<meta property="article:published_time" content="2015-05-20" />
<meta property="article:section" content="文章" />
<meta property="article:author" content="用Python的交易员" />
<!-- Bootstrap -->
<link rel="stylesheet" href="/theme/css/bootstrap.readable.min.css" type="text/css"/>
<link href="/theme/css/font-awesome.min.css" rel="stylesheet">
<link href="/theme/css/pygments/monokai.css" rel="stylesheet">
<link rel="stylesheet" href="/theme/css/style.css" type="text/css"/>
<script>
var _hmt = _hmt || [];
(function() {
var hm = document.createElement("script");
hm.src = "//hm.baidu.com/hm.js?e8c7573f82d43fa50c895a8e28c49ceb";
var s = document.getElementsByTagName("script")[0];
s.parentNode.insertBefore(hm, s);
})();
</script>
</head>
<body>
<div class="navbar navbar-default navbar-fixed-top" role="navigation">
<div class="container">
<div class="navbar-header">
<button type="button" class="navbar-toggle" data-toggle="collapse" data-target=".navbar-ex1-collapse">
<span class="sr-only">Toggle navigation</span>
<span class="icon-bar"></span>
<span class="icon-bar"></span>
<span class="icon-bar"></span>
</button>
<a href="/" class="navbar-brand">
<img src="/images/favicon.png" width=""/> vn.py </a>
</div>
<div class="collapse navbar-collapse navbar-ex1-collapse">
<ul class="nav navbar-nav">
<li><a href="/pages/quickstart.html">
Quick Start
</a></li>
<li><a href="/pages/tutorial.html">
教程
</a></li>
<li><a href="/pages/blog.html">
日志
</a></li>
<li><a href="/pages/screenshot.html">
截图
</a></li>
<li><a href="/pages/community.html">
社区
</a></li>
<li><a href="/pages/api.html">
API接口
</a></li>
</ul>
<ul class="nav navbar-nav navbar-right">
<li><a href="/archives.html"><i class="fa fa-th-list"></i><span class="icon-label">Archives</span></a></li>
</ul>
</div>
<!-- /.navbar-collapse -->
</div>
</div> <!-- /.navbar -->
<!-- Banner -->
<style>
#banner{
background-image:url("/images/banner.png");
}
</style>
<div id="banner">
<div class="container">
<div class="copy">
<h1>vn.py</h1>
<p class="intro">Developed by traders, for traders.</p>
</div>
</div>
</div><!-- End Banner -->
<div class="container">
<div class="row">
<div class="col-sm-9">
<section id="content">
<article>
<header class="page-header">
<h1>
<a href="/basic-tutorial-6.html"
rel="bookmark"
title="Permalink to Python量化交易平台开发教程系列6-中层引擎设计">
Python量化交易平台开发教程系列6-中层引擎设计
</a>
</h1>
</header>
<div class="entry-content">
<div class="panel">
<div class="panel-body">
<footer class="post-info">
<span class="label label-default">Date</span>
<span class="published">
<i class="fa fa-calendar"></i><time datetime="2015-05-20T09:20:00+08:00"> 2015-05-20(周三)</time>
</span>
</footer><!-- /.post-info --> </div>
</div>
<p>原创文章，转载请注明出处：用Python的交易员</p>
<h2>前言</h2>
<p>中层引擎在设计上主要是为了进一步封装底层接口所暴露出的API函数，使得其更容易被上层的GUI和策略组件调用。本篇的内容会相对简单，主要以LTS接口DEMO为例介绍一些设计方面的思路。</p>
<p>相关的示例都是基于vn.demo中的LTS接口DEMO，发布在：
<a href="https://github.com/vnpy/vnpy/tree/master/vn.demo/ltsdemo">https://github.com/vnpy/vnpy/tree/master/vn.demo/ltsdemo</a></p>
<h2>中层引擎设计</h2>
<h3>构造函数</h3>
<div class="highlight"><pre><span class="c">########################################################################</span>
<span class="k">class</span> <span class="nc">MainEngine</span><span class="p">:</span>
<span class="sd">"""主引擎，负责对API的调度"""</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
<span class="sd">"""Constructor"""</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span> <span class="o">=</span> <span class="n">EventEngine</span><span class="p">()</span> <span class="c"># 创建事件驱动引擎</span>
<span class="bp">self</span><span class="o">.</span><span class="n">md</span> <span class="o">=</span> <span class="n">DemoMdApi</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="p">)</span> <span class="c"># 创建API接口</span>
<span class="c">#self.md = DemoL2Api(self.ee) # 如果使用L2行情就改为这行</span>
<span class="bp">self</span><span class="o">.</span><span class="n">td</span> <span class="o">=</span> <span class="n">DemoTdApi</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="p">)</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="o">.</span><span class="n">start</span><span class="p">()</span> <span class="c"># 启动事件驱动引擎</span>
<span class="c"># 循环查询持仓和账户相关</span>
<span class="bp">self</span><span class="o">.</span><span class="n">countGet</span> <span class="o">=</span> <span class="mi">0</span> <span class="c"># 查询延时计数</span>
<span class="bp">self</span><span class="o">.</span><span class="n">lastGet</span> <span class="o">=</span> <span class="s">'Account'</span> <span class="c"># 上次查询的性质</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="o">.</span><span class="n">register</span><span class="p">(</span><span class="n">EVENT_TDLOGIN</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">initGet</span><span class="p">)</span> <span class="c"># 登录成功后开始初始化查询</span>
<span class="c"># 合约储存相关</span>
<span class="bp">self</span><span class="o">.</span><span class="n">dictInstrument</span> <span class="o">=</span> <span class="p">{}</span> <span class="c"># 字典（保存合约查询数据）</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="o">.</span><span class="n">register</span><span class="p">(</span><span class="n">EVENT_INSTRUMENT</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">insertInstrument</span><span class="p">)</span>
</pre></div>
<ol>
<li>
<p>首先以主引擎成员变量的形式创建事件驱动引擎ee、行情接口md和交易接口td的对象，两个接口对象创建时传入事件驱动引擎ee对象作为构造函数的参数。</p>
</li>
<li>
<p>在创建以上三个对象后，立即启动事件驱动引擎，此后当用户调用接口的连接、登录等功能收到事件推送后，ee可以立即推送到监听这些事件的组件进行处理。</p>
</li>
<li>
<p>LTS和CTP接口的持仓情况和账户情况并不会通过回调函数主动推送，只有在投资者调用查询函数时才会返回，我们的DEMO作为一个手动交易终端，选择使用循环查询的模式不断获取持仓和账户情况的更新。这里的每次查询都会占用网络带宽导致系统延时的增加，对于某些运行全自动策略的程序，可以选择不进行查询，而通过对成交、行情等数据的统计来自行计算持仓和账户情况（甚至对于某些策略可以直接忽略该步骤，进一步降低延时水平）。</p>
</li>
<li>
<p>LTS和CTP发送主动查询指令时，存在流量控制（通常限制在1秒一次查询），因此选择间隔发送查询账户和查询持仓的指令。</p>
</li>
<li>
<p>在登录成功后，我们需要查询柜台上所有可交易的合约信息，将这些信息保存到字典dictInstrument中，方便后面需要时进行查询。这里很好的体现出了Python的方便，笔者在设计封装API的回调函数时特别选择使用Python字典的形式推送信息，包含合约信息的字典收到后，可以直接插入到dictInstrument字典进行保存（字典嵌字典），查询时直接使用合约代码即可。而用C++语言开发时通常还需要用到Sqlite之类的内存数据库进行保存，麻烦了不少。</p>
</li>
</ol>
<h3>其他主动函数</h3>
<div class="highlight"><pre> <span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">login</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">userid</span><span class="p">,</span> <span class="n">mdPassword</span><span class="p">,</span> <span class="n">tdPassword</span><span class="p">,</span> <span class="n">brokerid</span><span class="p">,</span> <span class="n">mdAddress</span><span class="p">,</span> <span class="n">tdAddress</span><span class="p">):</span>
<span class="sd">"""登陆"""</span>
<span class="bp">self</span><span class="o">.</span><span class="n">md</span><span class="o">.</span><span class="n">login</span><span class="p">(</span><span class="n">mdAddress</span><span class="p">,</span> <span class="n">userid</span><span class="p">,</span> <span class="n">mdPassword</span><span class="p">,</span> <span class="n">brokerid</span><span class="p">)</span>
<span class="bp">self</span><span class="o">.</span><span class="n">td</span><span class="o">.</span><span class="n">login</span><span class="p">(</span><span class="n">tdAddress</span><span class="p">,</span> <span class="n">userid</span><span class="p">,</span> <span class="n">tdPassword</span><span class="p">,</span> <span class="n">brokerid</span><span class="p">)</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">subscribe</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">instrumentid</span><span class="p">,</span> <span class="n">exchangeid</span><span class="p">):</span>
<span class="sd">"""订阅合约"""</span>
<span class="bp">self</span><span class="o">.</span><span class="n">md</span><span class="o">.</span><span class="n">subscribe</span><span class="p">(</span><span class="n">instrumentid</span><span class="p">,</span> <span class="n">exchangeid</span><span class="p">)</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">getAccount</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
<span class="sd">"""查询账户"""</span>
<span class="bp">self</span><span class="o">.</span><span class="n">td</span><span class="o">.</span><span class="n">getAccount</span><span class="p">()</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">getInvestor</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
<span class="sd">"""查询投资者"""</span>
<span class="bp">self</span><span class="o">.</span><span class="n">td</span><span class="o">.</span><span class="n">getInvestor</span><span class="p">()</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">getPosition</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
<span class="sd">"""查询持仓"""</span>
<span class="bp">self</span><span class="o">.</span><span class="n">td</span><span class="o">.</span><span class="n">getPosition</span><span class="p">()</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">getInstrument</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
<span class="sd">"""获取合约"""</span>
<span class="n">event</span> <span class="o">=</span> <span class="n">Event</span><span class="p">(</span><span class="n">type_</span><span class="o">=</span><span class="n">EVENT_LOG</span><span class="p">)</span>
<span class="n">log</span> <span class="o">=</span> <span class="s">u'查询合约信息'</span>
<span class="n">event</span><span class="o">.</span><span class="n">dict_</span><span class="p">[</span><span class="s">'log'</span><span class="p">]</span> <span class="o">=</span> <span class="n">log</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="o">.</span><span class="n">put</span><span class="p">(</span><span class="n">event</span><span class="p">)</span>
<span class="bp">self</span><span class="o">.</span><span class="n">td</span><span class="o">.</span><span class="n">getInstrument</span><span class="p">()</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">sendOrder</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">instrumentid</span><span class="p">,</span> <span class="n">exchangeid</span><span class="p">,</span> <span class="n">price</span><span class="p">,</span> <span class="n">pricetype</span><span class="p">,</span> <span class="n">volume</span><span class="p">,</span> <span class="n">direction</span><span class="p">,</span> <span class="n">offset</span><span class="p">):</span>
<span class="sd">"""发单"""</span>
<span class="bp">self</span><span class="o">.</span><span class="n">td</span><span class="o">.</span><span class="n">sendOrder</span><span class="p">(</span><span class="n">instrumentid</span><span class="p">,</span> <span class="n">exchangeid</span><span class="p">,</span> <span class="n">price</span><span class="p">,</span> <span class="n">pricetype</span><span class="p">,</span> <span class="n">volume</span><span class="p">,</span> <span class="n">direction</span><span class="p">,</span> <span class="n">offset</span><span class="p">)</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">cancelOrder</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">instrumentid</span><span class="p">,</span> <span class="n">exchangeid</span><span class="p">,</span> <span class="n">orderref</span><span class="p">,</span> <span class="n">frontid</span><span class="p">,</span> <span class="n">sessionid</span><span class="p">):</span>
<span class="sd">"""撤单"""</span>
<span class="bp">self</span><span class="o">.</span><span class="n">td</span><span class="o">.</span><span class="n">cancelOrder</span><span class="p">(</span><span class="n">instrumentid</span><span class="p">,</span> <span class="n">exchangeid</span><span class="p">,</span> <span class="n">orderref</span><span class="p">,</span> <span class="n">frontid</span><span class="p">,</span> <span class="n">sessionid</span><span class="p">)</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">getAccountPosition</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">event</span><span class="p">):</span>
<span class="sd">"""循环查询账户和持仓"""</span>
<span class="bp">self</span><span class="o">.</span><span class="n">countGet</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">countGet</span> <span class="o">+</span> <span class="mi">1</span>
<span class="c"># 每5秒发一次查询</span>
<span class="k">if</span> <span class="bp">self</span><span class="o">.</span><span class="n">countGet</span> <span class="o">></span> <span class="mi">5</span><span class="p">:</span>
<span class="bp">self</span><span class="o">.</span><span class="n">countGet</span> <span class="o">=</span> <span class="mi">0</span> <span class="c"># 清空计数</span>
<span class="k">if</span> <span class="bp">self</span><span class="o">.</span><span class="n">lastGet</span> <span class="o">==</span> <span class="s">'Account'</span><span class="p">:</span>
<span class="bp">self</span><span class="o">.</span><span class="n">getPosition</span><span class="p">()</span>
<span class="bp">self</span><span class="o">.</span><span class="n">lastGet</span> <span class="o">=</span> <span class="s">'Position'</span>
<span class="k">else</span><span class="p">:</span>
<span class="bp">self</span><span class="o">.</span><span class="n">getAccount</span><span class="p">()</span>
<span class="bp">self</span><span class="o">.</span><span class="n">lastGet</span> <span class="o">=</span> <span class="s">'Account'</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">initGet</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">event</span><span class="p">):</span>
<span class="sd">"""在交易服务器登录成功后，开始初始化查询"""</span>
<span class="c"># 打开设定文件setting.vn</span>
<span class="n">f</span> <span class="o">=</span> <span class="n">shelve</span><span class="o">.</span><span class="n">open</span><span class="p">(</span><span class="s">'setting.vn'</span><span class="p">)</span>
<span class="c"># 尝试读取设定字典，若该字典不存在，则发出查询请求</span>
<span class="k">try</span><span class="p">:</span>
<span class="n">d</span> <span class="o">=</span> <span class="n">f</span><span class="p">[</span><span class="s">'instrument'</span><span class="p">]</span>
<span class="c"># 如果本地保存的合约数据是今日的，则载入，否则发出查询请求</span>
<span class="n">today</span> <span class="o">=</span> <span class="n">date</span><span class="o">.</span><span class="n">today</span><span class="p">()</span>
<span class="k">if</span> <span class="n">d</span><span class="p">[</span><span class="s">'date'</span><span class="p">]</span> <span class="o">==</span> <span class="n">today</span><span class="p">:</span>
<span class="bp">self</span><span class="o">.</span><span class="n">dictInstrument</span> <span class="o">=</span> <span class="n">d</span><span class="p">[</span><span class="s">'dictInstrument'</span><span class="p">]</span>
<span class="n">event</span> <span class="o">=</span> <span class="n">Event</span><span class="p">(</span><span class="n">type_</span><span class="o">=</span><span class="n">EVENT_LOG</span><span class="p">)</span>
<span class="n">log</span> <span class="o">=</span> <span class="s">u'合约信息读取完成'</span>
<span class="n">event</span><span class="o">.</span><span class="n">dict_</span><span class="p">[</span><span class="s">'log'</span><span class="p">]</span> <span class="o">=</span> <span class="n">log</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="o">.</span><span class="n">put</span><span class="p">(</span><span class="n">event</span><span class="p">)</span>
<span class="bp">self</span><span class="o">.</span><span class="n">getInvestor</span><span class="p">()</span>
<span class="c"># 开始循环查询</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="o">.</span><span class="n">register</span><span class="p">(</span><span class="n">EVENT_TIMER</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">getAccountPosition</span><span class="p">)</span>
<span class="k">else</span><span class="p">:</span>
<span class="bp">self</span><span class="o">.</span><span class="n">getInstrument</span><span class="p">()</span>
<span class="k">except</span> <span class="ne">KeyError</span><span class="p">:</span>
<span class="bp">self</span><span class="o">.</span><span class="n">getInstrument</span><span class="p">()</span>
<span class="n">f</span><span class="o">.</span><span class="n">close</span><span class="p">()</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">insertInstrument</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">event</span><span class="p">):</span>
<span class="sd">"""插入合约对象"""</span>
<span class="n">data</span> <span class="o">=</span> <span class="n">event</span><span class="o">.</span><span class="n">dict_</span><span class="p">[</span><span class="s">'data'</span><span class="p">]</span>
<span class="n">last</span> <span class="o">=</span> <span class="n">event</span><span class="o">.</span><span class="n">dict_</span><span class="p">[</span><span class="s">'last'</span><span class="p">]</span>
<span class="bp">self</span><span class="o">.</span><span class="n">dictInstrument</span><span class="p">[</span><span class="n">data</span><span class="p">[</span><span class="s">'InstrumentID'</span><span class="p">]]</span> <span class="o">=</span> <span class="n">data</span>
<span class="c"># 合约对象查询完成后，查询投资者信息并开始循环查询</span>
<span class="k">if</span> <span class="n">last</span><span class="p">:</span>
<span class="c"># 将查询完成的合约信息保存到本地文件，今日登录可直接使用不再查询</span>
<span class="bp">self</span><span class="o">.</span><span class="n">saveInstrument</span><span class="p">()</span>
<span class="n">event</span> <span class="o">=</span> <span class="n">Event</span><span class="p">(</span><span class="n">type_</span><span class="o">=</span><span class="n">EVENT_LOG</span><span class="p">)</span>
<span class="n">log</span> <span class="o">=</span> <span class="s">u'合约信息查询完成'</span>
<span class="n">event</span><span class="o">.</span><span class="n">dict_</span><span class="p">[</span><span class="s">'log'</span><span class="p">]</span> <span class="o">=</span> <span class="n">log</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="o">.</span><span class="n">put</span><span class="p">(</span><span class="n">event</span><span class="p">)</span>
<span class="bp">self</span><span class="o">.</span><span class="n">getInvestor</span><span class="p">()</span>
<span class="c"># 开始循环查询</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="o">.</span><span class="n">register</span><span class="p">(</span><span class="n">EVENT_TIMER</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">getAccountPosition</span><span class="p">)</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">selectInstrument</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">instrumentid</span><span class="p">):</span>
<span class="sd">"""获取合约信息对象"""</span>
<span class="k">try</span><span class="p">:</span>
<span class="n">instrument</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">dictInstrument</span><span class="p">[</span><span class="n">instrumentid</span><span class="p">]</span>
<span class="k">except</span> <span class="ne">KeyError</span><span class="p">:</span>
<span class="n">instrument</span> <span class="o">=</span> <span class="bp">None</span>
<span class="k">return</span> <span class="n">instrument</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">exit</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
<span class="sd">"""退出"""</span>
<span class="c"># 销毁API对象</span>
<span class="bp">self</span><span class="o">.</span><span class="n">td</span> <span class="o">=</span> <span class="bp">None</span>
<span class="bp">self</span><span class="o">.</span><span class="n">md</span> <span class="o">=</span> <span class="bp">None</span>
<span class="c"># 停止事件驱动引擎</span>
<span class="bp">self</span><span class="o">.</span><span class="n">ee</span><span class="o">.</span><span class="n">stop</span><span class="p">()</span>
<span class="c">#----------------------------------------------------------------------</span>
<span class="k">def</span> <span class="nf">saveInstrument</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
<span class="sd">"""保存合约属性数据"""</span>
<span class="n">f</span> <span class="o">=</span> <span class="n">shelve</span><span class="o">.</span><span class="n">open</span><span class="p">(</span><span class="s">'setting.vn'</span><span class="p">)</span>
<span class="n">d</span> <span class="o">=</span> <span class="p">{}</span>
<span class="n">d</span><span class="p">[</span><span class="s">'dictInstrument'</span><span class="p">]</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">dictInstrument</span>
<span class="n">d</span><span class="p">[</span><span class="s">'date'</span><span class="p">]</span> <span class="o">=</span> <span class="n">date</span><span class="o">.</span><span class="n">today</span><span class="p">()</span>
<span class="n">f</span><span class="p">[</span><span class="s">'instrument'</span><span class="p">]</span> <span class="o">=</span> <span class="n">d</span>
<span class="n">f</span><span class="o">.</span><span class="n">close</span><span class="p">()</span>
</pre></div>
<ol>
<li>
<p>LTS和CTP的行情和交易账户通常是由经纪商一起提供的，为了简洁起见，把两个接口的登录一起封装在了login函数中。</p>
</li>
<li>
<p>subscribe, getAccount, getPosition, getInvestor, getInstrument, sendOrder, cancelOrder都只是直接调用行情和交易接口的功能，做这种设计的目的是为了让用户在写上层组件代码时，可以直接写self.mainEngine.subscribe('IF1506', 'CFFEX')，而不必去写self.mainEngine.md.subscribe('IF1506', 'CFFEX')，很小的区别，但是相信我，程序规模大了后会让你烦到崩溃。</p>
</li>
<li>
<p>getAccountPosition用于实现循环查询账户和持仓，这里我设为了每5秒发一次，基本够用就好。</p>
</li>
<li>
<p>initGet和insertInstrument两个函数实现了登录后初始化查询相关的功能。首先登录完成后，程序用shelve模块打开本地保存的文件setting.vn，检查其中的合约信息数据，如果该数据的更新日期为今日，则直接读取使用，无需再次查询可交易合约信息（一般该信息每天日内保持不变）。否则调用getInstrument函数查询合约信息，insertInstrument函数负责将收到的合约信息插入到dictInstrument字典中，当所有合约信息都插入完成后，通过saveInstrument函数将该字典保存到setting.vn中，即可实现日内再次登录无需查询直接读取。</p>
</li>
<li>
<p>合约信息查询完成后，通常会再查询一次投资者姓名getInvestor，主要用于输出在程序的标题栏上（方便用户检查，防止登录错账户等），并将循环查询函数getAccountPosition注册到每秒触发的定时器事件监听上，开始循环查询。</p>
</li>
<li>
<p>当用户退出程序时，需要调用主引擎的exit函数，释放行情和交易API接口对象（在C++环境中会自动析构），并停止事件驱动引擎的工作线程（否则可能报线程退出错误等）。</p>
</li>
</ol>
<h2>总结</h2>
<p>中层引擎的设计思路主要是封装底层接口，从而让用户在开发顶层GUI和策略组件时无需直接调用底层接口的主动函数，降低开发和维护的复杂度。</p>
<p>DEMO中的这个中层引擎非常简单，功能上只实现了个循环查询（其实也可以在接口层中实现，视乎需求）。而在实际开发中，中层引擎通常会包含用户最常用的一些功能模块，比如做期权策略的会加入期权定价引擎，做期现套利的会加入持仓组合的敞口监控对冲引擎等等。</p>
</div>
<!-- /.entry-content -->
</article>
</section>
</div>
<div class="col-sm-3" id="sidebar">
<aside>
<section class="well well-sm">
<ul class="list-group list-group-flush">
<li class="list-group-item"><h4><i class="fa fa-home fa-lg"></i><span class="icon-label">Social</span></h4>
<ul class="list-group" id="social">
<li class="list-group-item"><a href="http://github.com/vnpy/vnpy"><i class="fa fa-github-square fa-lg"></i> Github</a></li>
</ul>
</li>
<li class="list-group-item"><h4><i class="fa fa-external-link-square fa-lg"></i><span class="icon-label">Links</span></h4>
<ul class="list-group" id="links">
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.trader" target="_blank">
交易平台
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.event" target="_blank">
事件引擎
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.ctp" target="_blank">
CTP接口
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.xspeed" target="_blank">
飞创接口
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.femas" target="_blank">
飞马接口
</a>
</li>
<li class="list-group-item">
<a href="https://github.com/vnpy/vnpy/tree/master/vn.lts" target="_blank">
LTS接口
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.ksotp" target="_blank">
金仕达期权接口
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.ksgold" target="_blank">
金仕达黄金接口
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.sgit" target="_blank">
飞鼠接口
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.oanda" target="_blank">
OANDA接口
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.datayes" target="_blank">
通联数据接口
</a>
</li>
<li class="list-group-item">
<a href="http://github.com/vnpy/vnpy/tree/master/vn.demo" target="_blank">
开发DEMO
</a>
</li>
</ul>
</li>
</ul>
</section>
</aside>
</div>
</div>
</div>
<footer>
<div class="container">
<hr>
<div class="row">
<div class="col-xs-10">© 2016 用Python的交易员
· Powered by <a href="https://github.com/DandyDev/pelican-bootstrap3" target="_blank">pelican-bootstrap3</a>,
<a href="http://docs.getpelican.com/" target="_blank">Pelican</a>,
<a href="http://getbootstrap.com" target="_blank">Bootstrap</a> </div>
<div class="col-xs-2"><p class="pull-right"><i class="fa fa-arrow-up"></i> <a href="#">Back to top</a></p></div>
</div>
</div>
</footer>
<script src="/theme/js/jquery.min.js"></script>
<!-- Include all compiled plugins (below), or include individual files as needed -->
<script src="/theme/js/bootstrap.min.js"></script>
<!-- Enable responsive features in IE8 with Respond.js (https://github.com/scottjehl/Respond) -->
<script src="/theme/js/respond.min.js"></script>
<script src="/theme/js/bodypadding.js"></script>
</body>
</html>