https://github.com/yutiansut/quantaxis_realtimecollector
quantaxis 实时行情采集/分发
https://github.com/yutiansut/quantaxis_realtimecollector
quantaxis
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quantaxis 实时行情采集/分发
- Host: GitHub
- URL: https://github.com/yutiansut/quantaxis_realtimecollector
- Owner: yutiansut
- License: mit
- Created: 2019-07-12T03:18:34.000Z (almost 7 years ago)
- Default Branch: master
- Last Pushed: 2020-05-18T00:08:04.000Z (about 6 years ago)
- Last Synced: 2025-04-11T17:14:17.777Z (about 1 year ago)
- Topics: quantaxis
- Language: Python
- Size: 107 KB
- Stars: 51
- Watchers: 5
- Forks: 50
- Open Issues: 3
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# QAREALTIMEMARKETCOLLECTOR
> quantaxis 实时行情采集/分发。本项目从QAREALTIME_SOLUTION 拆出来
- 流程
策略订阅(行情端) --> 基于QATrader的账户信息 --> 下单到EventMQ 业务总线
## 数据
> 期货源
- 快期的5挡websocket行情
- ctp直连的tick
> 股票源
- 股票的5挡行情订阅推送(包括A股/指数/创业板)
> RabbitMQ
- 可订阅的实时tick exchange
- 可订阅的实时bar exchange
## 安装
```bash
pip install qarealtime_collector
# ubuntu install rabbitmq-server
sudo apt install rabbitmq-server -y
sudo rabbitmq-plugins enable rabbitmq_management
sudo service rabbitmq-server restart
# 为QAREALTIMEMARKETCOLLECTOR增加一个rabbitmq的账户
sudo rabbitmqctl add_user admin admin
# 用户组具体请根据需要调整
sudo rabbitmqctl set_user_tags admin administrator
# 用户权具体请根据需要调整
sudo rabbitmqctl set_permissions -p / admin '.*' '.*' '.*'
# 期货需要安装QACTPBEE、QACTPBeeBroker
pip install ctpbee==0.24
pip install git+https://github.com/yutiansut/QACTPBeeBroker
sudo locale-gen zh_CN.GB18030
```
## 系统环境
> 为了适配 QA_Service的docker采用了以下默认参数（若非docker请按实际情况修改QARealtimeCollector/setting.py）
```python
mongo_ip = os.environ.get('MONGODB', '127.0.0.1')
eventmq_ip = os.environ.get('EventMQ_IP', '127.0.0.1')
market_data_user = 'admin'
market_data_password = 'admin'
```
## 启动服务
- realtime
```bash
QARC_WEBSERVER
# 股票
QARC_Stock
# 期货
nohup QACTPBEE --userid 133496 >> ./output_ctpbee.log 2>&1 &
# 缺少说明
nohup QARC_Start --code rb1910 >> ./output_qarcCollect.log 2>&1 &
# 缺少说明
nohup QARC_Resample --code rb1910 --freq 60min >> ./output_resample.log 2>&1 &
```
- 虚拟行情
```bash
QARC_WEBSERVER
# 虚拟行情测试, 切记: 此命令会污染实时行情源, 切记不能和实时行情同时运行
# price是设定的初始价格, 会基于ou行情伪造实时tick
# interval是tick间隔, 1 指的是1秒一个
nohup QARC_Random --code rb1910 --date 20190619 --price 3800 --interval 1
```
## 关于订阅申请
此环节已经被docker集成, 具体参见QUANTAXIS的 qaservice [https://github.com/QUANTAXIS/QUANTAXIS/tree/master/docker/qa-service-future]
> 标准化订阅topic合约流程:
- 1.发起订阅请求
```bash
# 期货订阅请求
curl -X POST "http://127.0.0.1:8011?action=new_handler&market_type=future_cn&code=au1911"
```bash
# 股票订阅请求
curl -X POST "http://127.0.0.1:8011?action=new_handler&market_type=stock_cn&code=000001"
# 二次采样请求
curl -X POST "http://127.0.0.1:8011?action=new_resampler&market_type=future_cn&code=au1911&frequence=2min"
```
- 2.开始订阅数据
```bash
# eventmq: 股票的主推的 exchange 为 stocktransction
qaps_sub --exchange stocktransaction --model fanout
```
- 3.取消订阅(系统释放资源)
## EXCHANGE格式
> 格式: $type_$freq_$code
- example: realtime_1min_rb1910, bar_15min_jm1909
> 期货
|key|value|comment|
|:-|:-|:-|
|type|realtime,bar|realtime就是在这个级别下的实时更新|
|freq|1min,5min, 15min, 30min ,60min|周期|
|code|rb1910,j1909, etc.|期货合约代码|
> 股票
|key|value|comment|
|:-|:-|:-|
|type|realtime,tick, bar|realtime就是在这个级别下的实时更新|
|freq|1min,5min, 15min, 30min ,60min|周期|
|code|000001,000002, etc.|股票代码|
## 数据格式
- realtime
|key|value_type|comment|
|:-|:-|:-|
|open|float|开盘价|
|high|float|最高价|
|low|float|最低价|
|close|float|收盘价|
|code|str|代码，UPPERCASE(大写)|
|datetime|str|2019-08-16 09:25:00:500000|
|volume|float|成交量|
```python
{
'open': float,
'high': float,
'low': float,
'close': float,
'code': str,
'datetime': str '2019-08-16 09:25:00:500000'
'volume': float
}
```