commit a479f1c26c02d556904e546386bbf4defaceef97 Author: Guofu Li Date: Fri Aug 12 16:15:29 2022 +0800 init diff --git a/DDBLoader.py b/DDBLoader.py new file mode 100644 index 0000000..0a90df3 --- /dev/null +++ b/DDBLoader.py @@ -0,0 +1,513 @@ +import importlib +import gzip +import pickle +import functools + +from pprint import pprint +from pathlib import Path +from tqdm import tqdm +#from tqdm.contrib.concurrent import process_map +from multiprocessing import Pool + +import numpy as np +import pandas as pd + +import dolphindb as ddb +import dolphindb.settings as keys + +import sqlalchemy as sa + +import ProtoBuffEntitys + + +def make_stock_daily_df(blob, type_name, stock_id): + blob = gzip.decompress(blob) + dataArray = eval(f"ProtoBuffEntitys.{type_name}Message_pb2.{type_name}Array()") + dataArray.ParseFromString(blob) + + data_dict_list = [ + {field.name : val for field, val in entry.ListFields()} + for entry in dataArray.dataArray + ] + + array_type_list = [ + field.name + for field, val in dataArray.dataArray[0].ListFields() + if isinstance(field.default_value, list) + ] + #pprint(array_type_list) + + df = pd.DataFrame(data_dict_list) + #df['code'] = make_symbol(df['code']) + df['code'] = stock_id + df['m_nDate'] = make_date(df['m_nDate']) + df['m_nTime'] = df['m_nDate'] + make_time(df['m_nTime']) + for field_name in array_type_list: + df[field_name] = make_nparray(df[field_name]) + + #print(f"Did create ddb table for dataframe of shape {df.shape}") + # self.make_table_skeleton(type_name, df.shape[0]) + return df + + +def dump_stock_daily_to_ddb(row, type_name, stock_id): + df_table_name = type_name + df = make_stock_daily_df(row[2], type_name, stock_id) + + ddb_sess = ddb.session(DDBLoader.ddb_config['host'], 8848) + ddb_sess.login(DDBLoader.ddb_config['username'], DDBLoader.ddb_config['password']) + + ddb_sess.upload({df_table_name : df}) + ddb_sess.run("tableInsert(loadTable('{dbPath}', `{partitioned_table_name}), {df_table_name})".format( + dbPath = DDBLoader.ddb_path, + partitioned_table_name = type_name + DDBLoader.ddb_partition_table_suffix, + df_table_name = df_table_name + )) + + + +def make_symbol(series): + return series.astype('int32').astype('str')\ + .apply(str.zfill, args=(6,))\ + .apply(lambda code : \ + code + '.SH' if code[0] == '6' \ + else code + '.SZ') + + +def make_date(series): + return pd.to_datetime( + series.astype(str), format='%Y%m%d') + + +def make_nparray(series): + return series.apply(lambda x : np.array(x)) + + +def make_time(series): + s_hr = series // 10000000 * 3600000 + s_min = series % 10000000 // 100000 * 60000 + s_sec = series % 100000 // 1000 + s_ms = series % 1000 + return pd.to_timedelta(s_hr + s_min + s_sec + s_ms, unit='ms') + + +class DDBLoader(object): + """ + 0. 从sql-server中读取calendar数据，并创建成员变量df_calendar，df_calendar可以保存在本地pickle作为缓存 + |- `def make_calendar_df(self) -> df_calendar` + + 1. 创建ddb中的数据库，分区性质从calendar数据中获取 + |- `def create_ddb_database(self, df_calendar) -> void` + |- `def load_ddb_database(self) -> void` + + 2. 在ddb数据库中创建calendar表 + |- `def create_ddb_calendar(self, df_calendar) -> void` + + 3. 创建ddb的分布式表结构 + |- `create_ddb_partition_table(self, hft_type_name)` + |- `_make_table_skeleton(self, hft_type_name, capacity) -> memory_table_name` + + 4. 从sql server的高频数据转录到dolpindb数据库中 + |- `dump_hft_to_ddb(self, type_name, stock_id, trade_date=None)` + """ + + hft_type_list = ['KLine', 'Order', 'Tick', 'TickQueue', 'Transe'] + + protobuff_name_dict = { + name : f"{name}Message_pb2" for name in hft_type_list + } + + protobuff_module_dict = { + type_name : importlib.import_module(f".{module_name}", package='ProtoBuffEntitys') + for type_name, module_name in protobuff_name_dict.items() + } + + protobuff_desc_dict = { + type_name : eval(f"ProtoBuffEntitys.{module_name}.{type_name}Array.{type_name}Data.DESCRIPTOR") + for type_name, module_name in protobuff_name_dict.items() + } + + mssql_name_dict = { + type_name : ( + f"{type_name}" if type_name != 'TickQueue' \ + else f"TickQue" + ) for type_name in hft_type_list + } + + # 数据库路径和数据库名可以不一致 + ddb_path = "dfs://hft_stock_ts" + ddb_dbname = "db_stock_ts" + ddb_memory_table_suffix = "Memroy" + ddb_partition_table_suffix = "Partitioned" + + # calendar表不需要分区，因此需要创建一个新的数据库 + # 该数据库可以是一个简单的csv，现在还不清楚两者的差别 + #ddb_calendar_path = "dfs://daily_calendar" + #ddb_calendar_dbname = "db_calendar" + ddb_calendar_table_name = "Calendar" + + col_type_mapping = { + 'code' : 'SYMBOL', + 'm_nDate' : 'DATE', + 'm_nTime' : 'TIME', + 1 : 'FLOAT', + 3 : 'INT', + 5 : 'INT', + 13 : 'INT', + } + + mssql_config = { + 'host' : '192.168.1.7', + 'username' : 'sa', + 'password' : 'passw0rd!' + } + + ddb_config = { + 'host' : '192.168.1.7', + 'username' : 'admin', + 'password' : '123456' + } + + num_workers = 8 + default_table_capacity = 10000 + ddb_dump_journal_fname = 'ddb_dump_journal.csv' + + + def __init__(self): + self.mssql_engine = sa.create_engine( + "mssql+pyodbc://{username}:{password}@{host}/master?driver=ODBC+Driver+18+for+SQL+Server".format(**self.mssql_config), + connect_args = { + "TrustServerCertificate": "yes" + }, echo=False + ) + + self.ddb_sess = ddb.session(self.ddb_config['host'], 8848) + self.ddb_sess.login(self.ddb_config['username'], self.ddb_config['password']) + + + def init_ddb_database(self, df_calendar): + """ + 1. 创建ddb_database + 2. 创建calendar表 + 3. 创建数据分区表 + """ + # df_calendar还是由外部输入比较方便 + #df_calendar = self.make_calendar_df() + self.create_ddb_database(df_calendar) + self.create_ddb_calendar(df_calendar) + for hft_type_name in self.hft_type_list: + self.create_ddb_partition_table(hft_type_name) + + + def init_ddb_table_data(self, df_calendar, num_workers=None): + """ + 对每个股票进行循环，转录数据到分区表 + """ + stock_list = df_calendar['code'].unique().astype('str') + + # 不能重复创建Pool对象，因此需要在循环的最外侧创建好Pool对象，然后传参进去 + with Pool(self.num_workers if num_workers is None else num_workers) as pool: + for hft_type_name in self.hft_type_list: + print('Will work on hft type:', hft_type_name) + with tqdm(stock_list) as pbar: + for stock_id in pbar: + pbar.set_description(f"Working on stock {stock_id}") + self.dump_hft_to_ddb(hft_type_name, stock_id, pbar=pbar, pool=pool) + + + def _get_stock_date_list(self, cache=False): + """ + Deprecated: This function is replaced by `create_ddb_calendar()`. + """ + if cache: + with open('tmp.pkl', 'rb') as fin: + stock_list, date_list = pickle.load(fin) + else: + with self.mssql_engine.connect() as conn: + # 从KLine表查询，主要是因为KLine表最小 + stat = "select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine" + rs = conn.execute(stat) + stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()] + stock_list, date_list = zip(*stock_date_list) + + # cache + #with open('tmp.pkl', 'wb') as fout: + # pickle.dump((stock_list, date_list), fout) + + return pd.Series(stock_list, dtype='str').unique(), \ + pd.Series(date_list, dtype='datetime64[D]').unique() + + + def create_ddb_database(self, pd_calendar): + # 从`pd_calendar`中创建`stock_list`和`date_list` + stock_list = pd_calendar['code'].unique().astype('str') + date_list = pd_calendar['m_nDate'].unique().astype('datetime64[D]') + + # 可以把所有股票高频数据放在一个数据库中不同的表 + # 分区策略是跟数据库绑定的，因此需要保证同一个数据库中的表都使用同样的分区额策略 + # 对于股票高频数据，我们可以使用COMPO的分区策略，并且两个子db的分区策略都是VALUE类型的code和m_nDate字段 + if self.ddb_sess.existsDatabase(self.ddb_path): + print('Wiil drop database:', self.ddb_path) + self.ddb_sess.dropDatabase(self.ddb_path) + + # 要创建一个COMPO分区的数据库，需要首先创建两个简单分区的子数据库 + # 这里我们使用先按日期，然后按股票分区的子数据库 + # Please note that when creating a DFS database with COMPO domain, + # the parameter dbPath for each partition level must be either an empty string or unspecified. + db_date = self.ddb_sess.database('db_date', partitionType=keys.VALUE, partitions=date_list, dbPath='') + + # 这里看起来直接使用dolphindb的脚本语句更方便一些 + self.ddb_sess.run(""" + db_stock = database("", 5, [SYMBOL, 50]) + """) + #self.ddb_sess.run(""" + # db_stock = database("", 1, symbol({partitions})) + #""".format( + # partitions = '`' + '`'.join(stock_list) + #)) + + self.ddb_sess.run(""" + {dbName} = database( + directory = '{dbPath}', + partitionType = COMPO, + partitionScheme = [db_date, db_stock], + engine = "TSDB") + """.format( + dbName = self.ddb_dbname, + dbPath = self.ddb_path + )) + + self._load_ddb_dump_journal(recreate=True) + + + def load_ddb_database(self): + db_date = self.ddb_sess.database('db_date', dbPath='') + db_stock = self.ddb_sess.database('db_stock', dbPath='') + + self.ddb_sess.run("{dbName} = database(directory='{dbPath}')".format( + dbName = self.ddb_dbname, + dbPath = self.ddb_path + )) + + self._load_ddb_dump_journal() + + + def _load_ddb_dump_journal(self, recreate=False): + if recreate or not Path(self.ddb_dump_journal_fname).exists(): + print('Will create new dump journal.') + self.dump_journal_writer = open(self.ddb_dump_journal_fname, 'w') + self.dump_journal_writer.write("type_name,stock_id,status\n") + self.dump_journal_writer.flush() + else: + print('Will load previous dump journal.') + self.dump_journal_writer = open(self.ddb_dump_journal_fname, 'a') + + self.dump_journal_df = pd.read_csv(self.ddb_dump_journal_fname) + self.dump_journal_df.set_index(['type_name', 'stock_id', 'status'], inplace=True) + # 因为dump_journal_df只会在创建的时候载入一次数据，之后不会在写入，因此可以在此时对index进行排序 + self.dump_journal_df.sort_index(inplace=True) + print('Did load the dump journal, shape', self.dump_journal_df.shape) + #pprint(self.dump_journal_df.head()) + + + def create_ddb_calendar(self, df_calendar): + mem_table = self.ddb_calendar_table_name + self.ddb_memory_table_suffix + per_table = self.ddb_calendar_table_name + # 1. 创建临时内存表 + # calendar的行数大概是股票数量 * 交易日数量 + self.ddb_sess.run(""" + {table_name} = table({capacity}:0, {col_names}, [{col_types}]); + """.format( + table_name = mem_table, + capacity = 5000 * 1000, + col_names = '`code`m_nDate', + col_types = "SYMBOL, DATE" + )) + print('Did create the memory table') + + # 2. 向内存表中插入所有(code, date)数据 + appender = ddb.tableAppender(tableName=mem_table, ddbSession=self.ddb_sess) + num = appender.append(df_calendar) + print('Did append calendar data into ddb memory table, return code', num) + + # 3. 创建持久化表格之前需要先根据路径创建一个database对象 + # 但研究了一下，发现好像一个database里面可以同时存在分区表和非分区表， + # 所以在这里暂时就不创建新的database了 + # 但因为原database设置成了TSDB，所以必须在createTable的时候指定sortKey + #self.ddb_sess.run(""" + # {db_name} = + #""") + + # 4. 直接从内存表创建一个持久化表格 + if self.ddb_sess.existsTable(self.ddb_path, per_table): + self.ddb_sess.dropTable(self.ddb_path, per_table) + self.ddb_sess.run(""" + tableInsert(createTable( + dbHandle={ddb_dbname}, + table={mem_table}, + tableName=`{per_table}, + sortCOlumns=`code`m_nDate, + compressMethods={{"m_nDate":"delta"}} + ), {mem_table}) + """.format( + ddb_dbname = self.ddb_dbname, + mem_table = mem_table, + per_table = per_table + )) + print('Did create the persistent table with the memory table') + + + def make_calendar_df(self): + print('Will create calendar dataframe from SQL Server') + # 从KLine表查询，主要是因为KLine表最小 + with self.mssql_engine.connect() as conn: + stat = "select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine" + rs = conn.execute(stat) + stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()] + + df_calendar = pd.DataFrame(stock_date_list, columns=['code', 'm_nDate']) + df_calendar['m_nDate'] = make_date(df_calendar['m_nDate']) + print('Did make the DataFrame for calendar') + return df_calendar + + + def _make_table_skeleton(self, hft_type_name, table_capacity=default_table_capacity): + + def _make_tbl_config(field_list): + """ + 根据ProtoBuffEntity对象的Descriptor.fields，创建ddb标准的列名列表和列类型列表。 + """ + col_name_list, col_type_list = [], [] + for desc in field_list: + col_name_list.append(desc.name) + # 如果对列明有特殊设定，目前仅包括`code`m_nDate和`m_nTime三个字段 + if desc.name in self.col_type_mapping: + col_type_list.append(self.col_type_mapping[desc.name]) + # 通过对ProtoBuffEntity的类型编号，映射到ddb的类型编号 + # 如果默认值是一个数组，那么ddb类型要额外增加说明是数组 + # ProtoBuffEntity的类型编号只针对基本类型，数组需要通过`default_value`来判断 + else: + col_type = self.col_type_mapping[desc.type] + if isinstance(desc.default_value, list): + col_type += '[]' + col_type_list.append(col_type) + return col_name_list, col_type_list + + desc_obj = self.protobuff_desc_dict[hft_type_name] + col_name_list, col_type_list = _make_tbl_config(desc_obj.fields) + + table_name = hft_type_name + self.ddb_memory_table_suffix + print('-' * 80) + print('Will create table structure:', table_name) + + self.ddb_sess.run(""" + {table_name} = table({capacity}:0, {col_names}, [{col_types}]); + """.format( + table_name = table_name, + capacity = table_capacity, + col_names = '`' + '`'.join(col_name_list), + col_types = ', '.join([f"'{type_name}'" for type_name in col_type_list]) + )) + res = self.ddb_sess.run(f"schema({table_name}).colDefs") + pprint(res) + print('-' * 80) + return table_name + + + def create_ddb_partition_table(self, hft_type_name): + memory_table_name = self._make_table_skeleton(hft_type_name, 10) + partition_table_name = hft_type_name + self.ddb_partition_table_suffix + + print('-' * 80) + print('Will create partitioned table:', partition_table_name) + + self.ddb_sess.run(""" + {ddb_dbname}.createPartitionedTable( + table = {memory_table_name}, + tableName = `{partition_table_name}, + partitionColumns = `m_nDate`code, + sortColumns = `code`m_nDate`m_nTime, + compressMethods = {{m_nDate:"delta", m_nTime:"delta"}} + ) + """.format( + ddb_dbname = self.ddb_dbname, + memory_table_name = memory_table_name, + partition_table_name = partition_table_name + )) + + res = self.ddb_sess.run(f"schema(loadTable('{self.ddb_path}', '{partition_table_name}')).colDefs") + pprint(res) + print('-' * 80) + + + def dump_hft_to_ddb(self, type_name, stock_id, trade_date=None, pbar=None, pool=None): + if (type_name, stock_id, 'OK') in self.dump_journal_df.index: + message = f"Wiil skip ({type_name}, {stock_id}) as it appears in the dump journal." + if pbar is None: + print(message) + else: + pbar.set_description(message) + return + + self.dump_journal_writer.write(f"{type_name},{stock_id},START\n") + self.dump_journal_writer.flush() + + # 经过尝试，按个股来做batch查询效率还是可以接受的 + # mssql中，索引字段是(S_INFO_WINDCODE, TRADE_DT) + with self.mssql_engine.connect() as conn: + stat = """ + select * from [Level2Bytes{mssql_type_name}].dbo.[{mssql_type_name}] + where S_INFO_WINDCODE='{stock_id}' + """.format( + mssql_type_name = self.mssql_name_dict[type_name], + stock_id = stock_id + ) + row_list = list(conn.execute(stat).fetchall()) + num_rows = len(row_list) + + if pbar: + #pbar.set_description(f"Did get the result set for stock {stock_id} from mssql") + pbar.set_description(f"Will work in paralle on dumping job on {stock_id} of len {num_rows}") + else: + print(f"Did get the result set for stock {stock_id} from mssql") + + # 每一行是当个个股某一日的所有高频交易信息 + # 使用多进程来加快速度 + + #with Pool(self.num_workers if num_workers is None else num_workers) as pool: + if pool is None: + print("Will create new Pool object, but this is not encourage for large batch work.") + pool = Pool(self.num_worker) + + with tqdm(total=num_rows, leave=False) as sub_pbar: + for _ in pool.imap_unordered( + functools.partial( + dump_stock_daily_to_ddb, + type_name = type_name, + stock_id = stock_id + ), + row_list + ): + sub_pbar.update() + + self.dump_journal_writer.write(f"{type_name},{stock_id},OK\n") + self.dump_journal_writer.flush() + + +def main(): + loader = DDBLoader() + df_calendar = loader.make_calendar_df() + + loader.init_ddb_database(df_calendar) + print('Did finish init_ddb_database') + + #loader.load_ddb_database() + #print('Did load ddb database') + + loader.init_ddb_table_data(df_calendar) + print('Did finish init_table_data') + + +if __name__ == '__main__': + main() + diff --git a/ProtoBuffEntitys/HFDataTableMessage_pb2.py b/ProtoBuffEntitys/HFDataTableMessage_pb2.py new file mode 100644 index 0000000..d38934f --- /dev/null +++ b/ProtoBuffEntitys/HFDataTableMessage_pb2.py @@ -0,0 +1,122 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: HFDataTableMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='HFDataTableMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x18HFDataTableMessage.proto\"\x86\x01\n\x10HFDataTableArray\x12\x34\n\tdataArray\x18\x01 \x03(\x0b\x32!.HFDataTableArray.HFDataTableData\x1a<\n\x0fHFDataTableData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\t\x12\x0c\n\x04\x64\x61te\x18\x02 \x02(\x05\x12\r\n\x05\x42ytes\x18\x03 \x02(\x0c' +) + + + + +_HFDATATABLEARRAY_HFDATATABLEDATA = _descriptor.Descriptor( + name='HFDataTableData', + full_name='HFDataTableArray.HFDataTableData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='code', full_name='HFDataTableArray.HFDataTableData.code', index=0, + number=1, type=9, cpp_type=9, label=2, + has_default_value=False, default_value=b"".decode('utf-8'), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='date', full_name='HFDataTableArray.HFDataTableData.date', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='Bytes', full_name='HFDataTableArray.HFDataTableData.Bytes', index=2, + number=3, type=12, cpp_type=9, label=2, + has_default_value=False, default_value=b"", + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=103, + serialized_end=163, +) + +_HFDATATABLEARRAY = _descriptor.Descriptor( + name='HFDataTableArray', + full_name='HFDataTableArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='HFDataTableArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_HFDATATABLEARRAY_HFDATATABLEDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=29, + serialized_end=163, +) + +_HFDATATABLEARRAY_HFDATATABLEDATA.containing_type = _HFDATATABLEARRAY +_HFDATATABLEARRAY.fields_by_name['dataArray'].message_type = _HFDATATABLEARRAY_HFDATATABLEDATA +DESCRIPTOR.message_types_by_name['HFDataTableArray'] = _HFDATATABLEARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +HFDataTableArray = _reflection.GeneratedProtocolMessageType('HFDataTableArray', (_message.Message,), { + + 'HFDataTableData' : _reflection.GeneratedProtocolMessageType('HFDataTableData', (_message.Message,), { + 'DESCRIPTOR' : _HFDATATABLEARRAY_HFDATATABLEDATA, + '__module__' : 'HFDataTableMessage_pb2' + # @@protoc_insertion_point(class_scope:HFDataTableArray.HFDataTableData) + }) + , + 'DESCRIPTOR' : _HFDATATABLEARRAY, + '__module__' : 'HFDataTableMessage_pb2' + # @@protoc_insertion_point(class_scope:HFDataTableArray) + }) +_sym_db.RegisterMessage(HFDataTableArray) +_sym_db.RegisterMessage(HFDataTableArray.HFDataTableData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ProtoBuffEntitys/IndexFutureKLineMessage_pb2.py b/ProtoBuffEntitys/IndexFutureKLineMessage_pb2.py new file mode 100644 index 0000000..146c925 --- /dev/null +++ b/ProtoBuffEntitys/IndexFutureKLineMessage_pb2.py @@ -0,0 +1,178 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: IndexFutureKLineMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='IndexFutureKLineMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x1dIndexFutureKLineMessage.proto\"\xc0\x02\n\x15IndexFutureKLineArray\x12>\n\tdataArray\x18\x01 \x03(\x0b\x32+.IndexFutureKLineArray.IndexFutureKLineData\x1a\xe6\x01\n\x14IndexFutureKLineData\x12\x15\n\rm_strWindCode\x18\x01 \x02(\t\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x0f\n\x07m_nOpen\x18\x04 \x02(\x01\x12\x0f\n\x07m_nHigh\x18\x05 \x02(\x01\x12\x0e\n\x06m_nLow\x18\x06 \x02(\x01\x12\x10\n\x08m_nClose\x18\x07 \x02(\x01\x12\x11\n\tm_iVolume\x18\x08 \x02(\x03\x12\x12\n\nm_iTurover\x18\t \x02(\x03\x12\x15\n\rm_nMatchItems\x18\n \x02(\x05\x12\x13\n\x0bm_nInterest\x18\x0b \x02(\x05' +) + + + + +_INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA = _descriptor.Descriptor( + name='IndexFutureKLineData', + full_name='IndexFutureKLineArray.IndexFutureKLineData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='m_strWindCode', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_strWindCode', index=0, + number=1, type=9, cpp_type=9, label=2, + has_default_value=False, default_value=b"".decode('utf-8'), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nDate', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nDate', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTime', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nTime', index=2, + number=3, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nOpen', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nOpen', index=3, + number=4, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nHigh', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nHigh', index=4, + number=5, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nLow', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nLow', index=5, + number=6, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nClose', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nClose', index=6, + number=7, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iVolume', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_iVolume', index=7, + number=8, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iTurover', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_iTurover', index=8, + number=9, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nMatchItems', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nMatchItems', index=9, + number=10, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nInterest', full_name='IndexFutureKLineArray.IndexFutureKLineData.m_nInterest', index=10, + number=11, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=124, + serialized_end=354, +) + +_INDEXFUTUREKLINEARRAY = _descriptor.Descriptor( + name='IndexFutureKLineArray', + full_name='IndexFutureKLineArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='IndexFutureKLineArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=34, + serialized_end=354, +) + +_INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA.containing_type = _INDEXFUTUREKLINEARRAY +_INDEXFUTUREKLINEARRAY.fields_by_name['dataArray'].message_type = _INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA +DESCRIPTOR.message_types_by_name['IndexFutureKLineArray'] = _INDEXFUTUREKLINEARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +IndexFutureKLineArray = _reflection.GeneratedProtocolMessageType('IndexFutureKLineArray', (_message.Message,), { + + 'IndexFutureKLineData' : _reflection.GeneratedProtocolMessageType('IndexFutureKLineData', (_message.Message,), { + 'DESCRIPTOR' : _INDEXFUTUREKLINEARRAY_INDEXFUTUREKLINEDATA, + '__module__' : 'IndexFutureKLineMessage_pb2' + # @@protoc_insertion_point(class_scope:IndexFutureKLineArray.IndexFutureKLineData) + }) + , + 'DESCRIPTOR' : _INDEXFUTUREKLINEARRAY, + '__module__' : 'IndexFutureKLineMessage_pb2' + # @@protoc_insertion_point(class_scope:IndexFutureKLineArray) + }) +_sym_db.RegisterMessage(IndexFutureKLineArray) +_sym_db.RegisterMessage(IndexFutureKLineArray.IndexFutureKLineData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ProtoBuffEntitys/IndexFutureL1TickMessage_pb2.py b/ProtoBuffEntitys/IndexFutureL1TickMessage_pb2.py new file mode 100644 index 0000000..7b931ce --- /dev/null +++ b/ProtoBuffEntitys/IndexFutureL1TickMessage_pb2.py @@ -0,0 +1,255 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: IndexFutureL1TickMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='IndexFutureL1TickMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x1eIndexFutureL1TickMessage.proto\"\xb5\x04\n\x16IndexFutureL1TickArray\x12@\n\tdataArray\x18\x01 \x03(\x0b\x32-.IndexFutureL1TickArray.IndexFutureL1TickData\x1a\xd8\x03\n\x15IndexFutureL1TickData\x12\x15\n\rm_strWindCode\x18\x01 \x02(\t\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nPrice\x18\x04 \x02(\x01\x12\x11\n\tm_iVolume\x18\x05 \x02(\x03\x12\x12\n\nm_iTurover\x18\x06 \x02(\x03\x12\x15\n\rm_nMatchItems\x18\x07 \x02(\x05\x12\x15\n\rm_chTradeFlag\x18\x08 \x02(\r\x12\x12\n\nm_chBSFlag\x18\t \x02(\r\x12\x14\n\x0cm_iAccVolume\x18\n \x02(\x03\x12\x15\n\rm_iAccTurover\x18\x0b \x02(\x03\x12\x0f\n\x07m_nHigh\x18\x0c \x02(\x01\x12\x0e\n\x06m_nLow\x18\r \x02(\x01\x12\x0f\n\x07m_nOpen\x18\x0e \x02(\x01\x12\x13\n\x0bm_nPreClose\x18\x0f \x02(\x01\x12\x13\n\x0bm_nAskPrice\x18\x10 \x02(\x01\x12\x14\n\x0cm_nAskVolume\x18\x11 \x02(\x05\x12\x13\n\x0bm_nBidPrice\x18\x12 \x02(\x01\x12\x14\n\x0cm_nBidVolume\x18\x13 \x02(\x05\x12\x13\n\x0bm_nPosition\x18\x14 \x02(\x05\x12\x14\n\x0cm_nPreSettle\x18\x15 \x02(\x01\x12\x16\n\x0em_nPrePosition\x18\x16 \x02(\x05' +) + + + + +_INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA = _descriptor.Descriptor( + name='IndexFutureL1TickData', + full_name='IndexFutureL1TickArray.IndexFutureL1TickData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='m_strWindCode', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_strWindCode', index=0, + number=1, type=9, cpp_type=9, label=2, + has_default_value=False, default_value=b"".decode('utf-8'), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nDate', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nDate', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTime', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nTime', index=2, + number=3, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPrice', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPrice', index=3, + number=4, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iVolume', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_iVolume', index=4, + number=5, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iTurover', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_iTurover', index=5, + number=6, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nMatchItems', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nMatchItems', index=6, + number=7, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_chTradeFlag', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_chTradeFlag', index=7, + number=8, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_chBSFlag', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_chBSFlag', index=8, + number=9, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iAccVolume', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_iAccVolume', index=9, + number=10, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iAccTurover', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_iAccTurover', index=10, + number=11, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nHigh', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nHigh', index=11, + number=12, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nLow', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nLow', index=12, + number=13, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nOpen', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nOpen', index=13, + number=14, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPreClose', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPreClose', index=14, + number=15, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nAskPrice', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nAskPrice', index=15, + number=16, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nAskVolume', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nAskVolume', index=16, + number=17, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nBidPrice', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nBidPrice', index=17, + number=18, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nBidVolume', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nBidVolume', index=18, + number=19, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPosition', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPosition', index=19, + number=20, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPreSettle', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPreSettle', index=20, + number=21, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPrePosition', full_name='IndexFutureL1TickArray.IndexFutureL1TickData.m_nPrePosition', index=21, + number=22, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=128, + serialized_end=600, +) + +_INDEXFUTUREL1TICKARRAY = _descriptor.Descriptor( + name='IndexFutureL1TickArray', + full_name='IndexFutureL1TickArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='IndexFutureL1TickArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=35, + serialized_end=600, +) + +_INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA.containing_type = _INDEXFUTUREL1TICKARRAY +_INDEXFUTUREL1TICKARRAY.fields_by_name['dataArray'].message_type = _INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA +DESCRIPTOR.message_types_by_name['IndexFutureL1TickArray'] = _INDEXFUTUREL1TICKARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +IndexFutureL1TickArray = _reflection.GeneratedProtocolMessageType('IndexFutureL1TickArray', (_message.Message,), { + + 'IndexFutureL1TickData' : _reflection.GeneratedProtocolMessageType('IndexFutureL1TickData', (_message.Message,), { + 'DESCRIPTOR' : _INDEXFUTUREL1TICKARRAY_INDEXFUTUREL1TICKDATA, + '__module__' : 'IndexFutureL1TickMessage_pb2' + # @@protoc_insertion_point(class_scope:IndexFutureL1TickArray.IndexFutureL1TickData) + }) + , + 'DESCRIPTOR' : _INDEXFUTUREL1TICKARRAY, + '__module__' : 'IndexFutureL1TickMessage_pb2' + # @@protoc_insertion_point(class_scope:IndexFutureL1TickArray) + }) +_sym_db.RegisterMessage(IndexFutureL1TickArray) +_sym_db.RegisterMessage(IndexFutureL1TickArray.IndexFutureL1TickData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ProtoBuffEntitys/IndexKLineMessage_pb2.py b/ProtoBuffEntitys/IndexKLineMessage_pb2.py new file mode 100644 index 0000000..ea7f4a1 --- /dev/null +++ b/ProtoBuffEntitys/IndexKLineMessage_pb2.py @@ -0,0 +1,164 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: IndexKLineMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='IndexKLineMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x17IndexKLineMessage.proto\"\xf3\x01\n\x0fIndexKLineArray\x12\x32\n\tdataArray\x18\x01 \x03(\x0b\x32\x1f.IndexKLineArray.IndexKLineData\x1a\xab\x01\n\x0eIndexKLineData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x0f\n\x07m_nOpen\x18\x04 \x02(\x01\x12\x0f\n\x07m_nHigh\x18\x05 \x02(\x01\x12\x0e\n\x06m_nLow\x18\x06 \x02(\x01\x12\x10\n\x08m_nClose\x18\x07 \x02(\x01\x12\x11\n\tm_iVolume\x18\x08 \x02(\x03\x12\x12\n\nm_iTurover\x18\t \x02(\x03' +) + + + + +_INDEXKLINEARRAY_INDEXKLINEDATA = _descriptor.Descriptor( + name='IndexKLineData', + full_name='IndexKLineArray.IndexKLineData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='code', full_name='IndexKLineArray.IndexKLineData.code', index=0, + number=1, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nDate', full_name='IndexKLineArray.IndexKLineData.m_nDate', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTime', full_name='IndexKLineArray.IndexKLineData.m_nTime', index=2, + number=3, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nOpen', full_name='IndexKLineArray.IndexKLineData.m_nOpen', index=3, + number=4, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nHigh', full_name='IndexKLineArray.IndexKLineData.m_nHigh', index=4, + number=5, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nLow', full_name='IndexKLineArray.IndexKLineData.m_nLow', index=5, + number=6, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nClose', full_name='IndexKLineArray.IndexKLineData.m_nClose', index=6, + number=7, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iVolume', full_name='IndexKLineArray.IndexKLineData.m_iVolume', index=7, + number=8, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iTurover', full_name='IndexKLineArray.IndexKLineData.m_iTurover', index=8, + number=9, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=100, + serialized_end=271, +) + +_INDEXKLINEARRAY = _descriptor.Descriptor( + name='IndexKLineArray', + full_name='IndexKLineArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='IndexKLineArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_INDEXKLINEARRAY_INDEXKLINEDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=28, + serialized_end=271, +) + +_INDEXKLINEARRAY_INDEXKLINEDATA.containing_type = _INDEXKLINEARRAY +_INDEXKLINEARRAY.fields_by_name['dataArray'].message_type = _INDEXKLINEARRAY_INDEXKLINEDATA +DESCRIPTOR.message_types_by_name['IndexKLineArray'] = _INDEXKLINEARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +IndexKLineArray = _reflection.GeneratedProtocolMessageType('IndexKLineArray', (_message.Message,), { + + 'IndexKLineData' : _reflection.GeneratedProtocolMessageType('IndexKLineData', (_message.Message,), { + 'DESCRIPTOR' : _INDEXKLINEARRAY_INDEXKLINEDATA, + '__module__' : 'IndexKLineMessage_pb2' + # @@protoc_insertion_point(class_scope:IndexKLineArray.IndexKLineData) + }) + , + 'DESCRIPTOR' : _INDEXKLINEARRAY, + '__module__' : 'IndexKLineMessage_pb2' + # @@protoc_insertion_point(class_scope:IndexKLineArray) + }) +_sym_db.RegisterMessage(IndexKLineArray) +_sym_db.RegisterMessage(IndexKLineArray.IndexKLineData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ProtoBuffEntitys/IndexTickMessage_pb2.py b/ProtoBuffEntitys/IndexTickMessage_pb2.py new file mode 100644 index 0000000..5219b90 --- /dev/null +++ b/ProtoBuffEntitys/IndexTickMessage_pb2.py @@ -0,0 +1,185 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: IndexTickMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='IndexTickMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x16IndexTickMessage.proto\"\xb1\x02\n\x0eIndexTickArray\x12\x30\n\tdataArray\x18\x01 \x03(\x0b\x32\x1d.IndexTickArray.IndexTickData\x1a\xec\x01\n\rIndexTickData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nPrice\x18\x04 \x02(\x01\x12\x11\n\tm_iVolume\x18\x05 \x02(\x03\x12\x12\n\nm_iTurover\x18\x06 \x02(\x03\x12\x14\n\x0cm_iAccVolume\x18\x07 \x02(\x03\x12\x15\n\rm_iAccTurover\x18\x08 \x02(\x03\x12\x0f\n\x07m_nHigh\x18\t \x02(\x01\x12\x0e\n\x06m_nLow\x18\n \x02(\x01\x12\x0f\n\x07m_nOpen\x18\x0b \x02(\x01\x12\x13\n\x0bm_nPreClose\x18\x0c \x02(\x01' +) + + + + +_INDEXTICKARRAY_INDEXTICKDATA = _descriptor.Descriptor( + name='IndexTickData', + full_name='IndexTickArray.IndexTickData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='code', full_name='IndexTickArray.IndexTickData.code', index=0, + number=1, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nDate', full_name='IndexTickArray.IndexTickData.m_nDate', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTime', full_name='IndexTickArray.IndexTickData.m_nTime', index=2, + number=3, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPrice', full_name='IndexTickArray.IndexTickData.m_nPrice', index=3, + number=4, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iVolume', full_name='IndexTickArray.IndexTickData.m_iVolume', index=4, + number=5, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iTurover', full_name='IndexTickArray.IndexTickData.m_iTurover', index=5, + number=6, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iAccVolume', full_name='IndexTickArray.IndexTickData.m_iAccVolume', index=6, + number=7, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iAccTurover', full_name='IndexTickArray.IndexTickData.m_iAccTurover', index=7, + number=8, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nHigh', full_name='IndexTickArray.IndexTickData.m_nHigh', index=8, + number=9, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nLow', full_name='IndexTickArray.IndexTickData.m_nLow', index=9, + number=10, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nOpen', full_name='IndexTickArray.IndexTickData.m_nOpen', index=10, + number=11, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPreClose', full_name='IndexTickArray.IndexTickData.m_nPreClose', index=11, + number=12, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=96, + serialized_end=332, +) + +_INDEXTICKARRAY = _descriptor.Descriptor( + name='IndexTickArray', + full_name='IndexTickArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='IndexTickArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_INDEXTICKARRAY_INDEXTICKDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=27, + serialized_end=332, +) + +_INDEXTICKARRAY_INDEXTICKDATA.containing_type = _INDEXTICKARRAY +_INDEXTICKARRAY.fields_by_name['dataArray'].message_type = _INDEXTICKARRAY_INDEXTICKDATA +DESCRIPTOR.message_types_by_name['IndexTickArray'] = _INDEXTICKARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +IndexTickArray = _reflection.GeneratedProtocolMessageType('IndexTickArray', (_message.Message,), { + + 'IndexTickData' : _reflection.GeneratedProtocolMessageType('IndexTickData', (_message.Message,), { + 'DESCRIPTOR' : _INDEXTICKARRAY_INDEXTICKDATA, + '__module__' : 'IndexTickMessage_pb2' + # @@protoc_insertion_point(class_scope:IndexTickArray.IndexTickData) + }) + , + 'DESCRIPTOR' : _INDEXTICKARRAY, + '__module__' : 'IndexTickMessage_pb2' + # @@protoc_insertion_point(class_scope:IndexTickArray) + }) +_sym_db.RegisterMessage(IndexTickArray) +_sym_db.RegisterMessage(IndexTickArray.IndexTickData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ProtoBuffEntitys/KLineMessage_pb2.py b/ProtoBuffEntitys/KLineMessage_pb2.py new file mode 100644 index 0000000..b697813 --- /dev/null +++ b/ProtoBuffEntitys/KLineMessage_pb2.py @@ -0,0 +1,171 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: KLineMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='KLineMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x12KLineMessage.proto\"\xf6\x01\n\nKLineArray\x12(\n\tdataArray\x18\x01 \x03(\x0b\x32\x15.KLineArray.KLineData\x1a\xbd\x01\n\tKLineData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x0f\n\x07m_nOpen\x18\x04 \x02(\x01\x12\x0f\n\x07m_nHigh\x18\x05 \x02(\x01\x12\x0e\n\x06m_nLow\x18\x06 \x02(\x01\x12\x10\n\x08m_nClose\x18\x07 \x02(\x01\x12\x11\n\tm_iVolume\x18\x08 \x02(\x03\x12\x12\n\nm_iTurover\x18\t \x02(\x03\x12\x15\n\rm_nMatchItems\x18\n \x02(\x05' +) + + + + +_KLINEARRAY_KLINEDATA = _descriptor.Descriptor( + name='KLineData', + full_name='KLineArray.KLineData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='code', full_name='KLineArray.KLineData.code', index=0, + number=1, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nDate', full_name='KLineArray.KLineData.m_nDate', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTime', full_name='KLineArray.KLineData.m_nTime', index=2, + number=3, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nOpen', full_name='KLineArray.KLineData.m_nOpen', index=3, + number=4, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nHigh', full_name='KLineArray.KLineData.m_nHigh', index=4, + number=5, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nLow', full_name='KLineArray.KLineData.m_nLow', index=5, + number=6, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nClose', full_name='KLineArray.KLineData.m_nClose', index=6, + number=7, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iVolume', full_name='KLineArray.KLineData.m_iVolume', index=7, + number=8, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iTurover', full_name='KLineArray.KLineData.m_iTurover', index=8, + number=9, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nMatchItems', full_name='KLineArray.KLineData.m_nMatchItems', index=9, + number=10, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=80, + serialized_end=269, +) + +_KLINEARRAY = _descriptor.Descriptor( + name='KLineArray', + full_name='KLineArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='KLineArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_KLINEARRAY_KLINEDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=23, + serialized_end=269, +) + +_KLINEARRAY_KLINEDATA.containing_type = _KLINEARRAY +_KLINEARRAY.fields_by_name['dataArray'].message_type = _KLINEARRAY_KLINEDATA +DESCRIPTOR.message_types_by_name['KLineArray'] = _KLINEARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +KLineArray = _reflection.GeneratedProtocolMessageType('KLineArray', (_message.Message,), { + + 'KLineData' : _reflection.GeneratedProtocolMessageType('KLineData', (_message.Message,), { + 'DESCRIPTOR' : _KLINEARRAY_KLINEDATA, + '__module__' : 'KLineMessage_pb2' + # @@protoc_insertion_point(class_scope:KLineArray.KLineData) + }) + , + 'DESCRIPTOR' : _KLINEARRAY, + '__module__' : 'KLineMessage_pb2' + # @@protoc_insertion_point(class_scope:KLineArray) + }) +_sym_db.RegisterMessage(KLineArray) +_sym_db.RegisterMessage(KLineArray.KLineData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ProtoBuffEntitys/OrderMessage_pb2.py b/ProtoBuffEntitys/OrderMessage_pb2.py new file mode 100644 index 0000000..ac1bd51 --- /dev/null +++ b/ProtoBuffEntitys/OrderMessage_pb2.py @@ -0,0 +1,164 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: OrderMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='OrderMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x12OrderMessage.proto\"\xf8\x01\n\nOrderArray\x12(\n\tdataArray\x18\x01 \x03(\x0b\x32\x15.OrderArray.OrderData\x1a\xbf\x01\n\tOrderData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nIndex\x18\x04 \x02(\x05\x12\x10\n\x08m_nOrder\x18\x05 \x02(\x05\x12\x15\n\rm_chOrderKind\x18\x06 \x02(\r\x12\x18\n\x10m_chFunctionCode\x18\x07 \x02(\r\x12\x15\n\rm_nTradePrice\x18\x08 \x02(\x01\x12\x16\n\x0em_nTradeVolume\x18\t \x02(\x05' +) + + + + +_ORDERARRAY_ORDERDATA = _descriptor.Descriptor( + name='OrderData', + full_name='OrderArray.OrderData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='code', full_name='OrderArray.OrderData.code', index=0, + number=1, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nDate', full_name='OrderArray.OrderData.m_nDate', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTime', full_name='OrderArray.OrderData.m_nTime', index=2, + number=3, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nIndex', full_name='OrderArray.OrderData.m_nIndex', index=3, + number=4, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nOrder', full_name='OrderArray.OrderData.m_nOrder', index=4, + number=5, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_chOrderKind', full_name='OrderArray.OrderData.m_chOrderKind', index=5, + number=6, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_chFunctionCode', full_name='OrderArray.OrderData.m_chFunctionCode', index=6, + number=7, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTradePrice', full_name='OrderArray.OrderData.m_nTradePrice', index=7, + number=8, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTradeVolume', full_name='OrderArray.OrderData.m_nTradeVolume', index=8, + number=9, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=80, + serialized_end=271, +) + +_ORDERARRAY = _descriptor.Descriptor( + name='OrderArray', + full_name='OrderArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='OrderArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_ORDERARRAY_ORDERDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=23, + serialized_end=271, +) + +_ORDERARRAY_ORDERDATA.containing_type = _ORDERARRAY +_ORDERARRAY.fields_by_name['dataArray'].message_type = _ORDERARRAY_ORDERDATA +DESCRIPTOR.message_types_by_name['OrderArray'] = _ORDERARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +OrderArray = _reflection.GeneratedProtocolMessageType('OrderArray', (_message.Message,), { + + 'OrderData' : _reflection.GeneratedProtocolMessageType('OrderData', (_message.Message,), { + 'DESCRIPTOR' : _ORDERARRAY_ORDERDATA, + '__module__' : 'OrderMessage_pb2' + # @@protoc_insertion_point(class_scope:OrderArray.OrderData) + }) + , + 'DESCRIPTOR' : _ORDERARRAY, + '__module__' : 'OrderMessage_pb2' + # @@protoc_insertion_point(class_scope:OrderArray) + }) +_sym_db.RegisterMessage(OrderArray) +_sym_db.RegisterMessage(OrderArray.OrderData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ProtoBuffEntitys/TickMessage_pb2.py b/ProtoBuffEntitys/TickMessage_pb2.py new file mode 100644 index 0000000..de1d1e4 --- /dev/null +++ b/ProtoBuffEntitys/TickMessage_pb2.py @@ -0,0 +1,262 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: TickMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='TickMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x11TickMessage.proto\"\x99\x04\n\tTickArray\x12&\n\tdataArray\x18\x01 \x03(\x0b\x32\x13.TickArray.TickData\x1a\xe3\x03\n\x08TickData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nPrice\x18\x04 \x02(\x01\x12\x11\n\tm_iVolume\x18\x05 \x02(\x03\x12\x12\n\nm_iTurover\x18\x06 \x02(\x03\x12\x15\n\rm_nMatchItems\x18\x07 \x02(\x05\x12\x15\n\rm_chTradeFlag\x18\x08 \x02(\r\x12\x12\n\nm_chBSFlag\x18\t \x02(\r\x12\x14\n\x0cm_iAccVolume\x18\n \x02(\x03\x12\x15\n\rm_iAccTurover\x18\x0b \x02(\x03\x12\x0f\n\x07m_nHigh\x18\x0c \x02(\x01\x12\x0e\n\x06m_nLow\x18\r \x02(\x01\x12\x0f\n\x07m_nOpen\x18\x0e \x02(\x01\x12\x13\n\x0bm_nPreClose\x18\x0f \x02(\x01\x12\x13\n\x0bm_nAskPrice\x18\x10 \x03(\x01\x12\x14\n\x0cm_nAskVolume\x18\x11 \x03(\x05\x12\x13\n\x0bm_nBidPrice\x18\x12 \x03(\x01\x12\x14\n\x0cm_nBidVolume\x18\x13 \x03(\x05\x12\x15\n\rm_nAskAvPrice\x18\x14 \x02(\x01\x12\x15\n\rm_nBidAvPrice\x18\x15 \x02(\x01\x12\x19\n\x11m_iTotalAskVolume\x18\x16 \x02(\x03\x12\x19\n\x11m_iTotalBidVolume\x18\x17 \x02(\x03' +) + + + + +_TICKARRAY_TICKDATA = _descriptor.Descriptor( + name='TickData', + full_name='TickArray.TickData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='code', full_name='TickArray.TickData.code', index=0, + number=1, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nDate', full_name='TickArray.TickData.m_nDate', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTime', full_name='TickArray.TickData.m_nTime', index=2, + number=3, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPrice', full_name='TickArray.TickData.m_nPrice', index=3, + number=4, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iVolume', full_name='TickArray.TickData.m_iVolume', index=4, + number=5, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iTurover', full_name='TickArray.TickData.m_iTurover', index=5, + number=6, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nMatchItems', full_name='TickArray.TickData.m_nMatchItems', index=6, + number=7, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_chTradeFlag', full_name='TickArray.TickData.m_chTradeFlag', index=7, + number=8, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_chBSFlag', full_name='TickArray.TickData.m_chBSFlag', index=8, + number=9, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iAccVolume', full_name='TickArray.TickData.m_iAccVolume', index=9, + number=10, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iAccTurover', full_name='TickArray.TickData.m_iAccTurover', index=10, + number=11, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nHigh', full_name='TickArray.TickData.m_nHigh', index=11, + number=12, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nLow', full_name='TickArray.TickData.m_nLow', index=12, + number=13, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nOpen', full_name='TickArray.TickData.m_nOpen', index=13, + number=14, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPreClose', full_name='TickArray.TickData.m_nPreClose', index=14, + number=15, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nAskPrice', full_name='TickArray.TickData.m_nAskPrice', index=15, + number=16, type=1, cpp_type=5, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nAskVolume', full_name='TickArray.TickData.m_nAskVolume', index=16, + number=17, type=5, cpp_type=1, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nBidPrice', full_name='TickArray.TickData.m_nBidPrice', index=17, + number=18, type=1, cpp_type=5, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nBidVolume', full_name='TickArray.TickData.m_nBidVolume', index=18, + number=19, type=5, cpp_type=1, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nAskAvPrice', full_name='TickArray.TickData.m_nAskAvPrice', index=19, + number=20, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nBidAvPrice', full_name='TickArray.TickData.m_nBidAvPrice', index=20, + number=21, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iTotalAskVolume', full_name='TickArray.TickData.m_iTotalAskVolume', index=21, + number=22, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_iTotalBidVolume', full_name='TickArray.TickData.m_iTotalBidVolume', index=22, + number=23, type=3, cpp_type=2, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=76, + serialized_end=559, +) + +_TICKARRAY = _descriptor.Descriptor( + name='TickArray', + full_name='TickArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='TickArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_TICKARRAY_TICKDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=22, + serialized_end=559, +) + +_TICKARRAY_TICKDATA.containing_type = _TICKARRAY +_TICKARRAY.fields_by_name['dataArray'].message_type = _TICKARRAY_TICKDATA +DESCRIPTOR.message_types_by_name['TickArray'] = _TICKARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +TickArray = _reflection.GeneratedProtocolMessageType('TickArray', (_message.Message,), { + + 'TickData' : _reflection.GeneratedProtocolMessageType('TickData', (_message.Message,), { + 'DESCRIPTOR' : _TICKARRAY_TICKDATA, + '__module__' : 'TickMessage_pb2' + # @@protoc_insertion_point(class_scope:TickArray.TickData) + }) + , + 'DESCRIPTOR' : _TICKARRAY, + '__module__' : 'TickMessage_pb2' + # @@protoc_insertion_point(class_scope:TickArray) + }) +_sym_db.RegisterMessage(TickArray) +_sym_db.RegisterMessage(TickArray.TickData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ProtoBuffEntitys/TickQueueMessage_pb2.py b/ProtoBuffEntitys/TickQueueMessage_pb2.py new file mode 100644 index 0000000..03885f1 --- /dev/null +++ b/ProtoBuffEntitys/TickQueueMessage_pb2.py @@ -0,0 +1,157 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: TickQueueMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='TickQueueMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x16TickQueueMessage.proto\"\xe7\x01\n\x0eTickQueueArray\x12\x30\n\tdataArray\x18\x01 \x03(\x0b\x32\x1d.TickQueueArray.TickQueueData\x1a\xa2\x01\n\rTickQueueData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x0f\n\x07m_nSide\x18\x04 \x02(\r\x12\x10\n\x08m_nPrice\x18\x05 \x02(\x01\x12\x15\n\rm_nOrderItems\x18\x06 \x02(\x05\x12\x12\n\nm_nABItems\x18\x07 \x02(\x05\x12\x13\n\x0bm_nABVolume\x18\x08 \x03(\x05' +) + + + + +_TICKQUEUEARRAY_TICKQUEUEDATA = _descriptor.Descriptor( + name='TickQueueData', + full_name='TickQueueArray.TickQueueData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='code', full_name='TickQueueArray.TickQueueData.code', index=0, + number=1, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nDate', full_name='TickQueueArray.TickQueueData.m_nDate', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTime', full_name='TickQueueArray.TickQueueData.m_nTime', index=2, + number=3, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nSide', full_name='TickQueueArray.TickQueueData.m_nSide', index=3, + number=4, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nPrice', full_name='TickQueueArray.TickQueueData.m_nPrice', index=4, + number=5, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nOrderItems', full_name='TickQueueArray.TickQueueData.m_nOrderItems', index=5, + number=6, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nABItems', full_name='TickQueueArray.TickQueueData.m_nABItems', index=6, + number=7, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nABVolume', full_name='TickQueueArray.TickQueueData.m_nABVolume', index=7, + number=8, type=5, cpp_type=1, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=96, + serialized_end=258, +) + +_TICKQUEUEARRAY = _descriptor.Descriptor( + name='TickQueueArray', + full_name='TickQueueArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='TickQueueArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_TICKQUEUEARRAY_TICKQUEUEDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=27, + serialized_end=258, +) + +_TICKQUEUEARRAY_TICKQUEUEDATA.containing_type = _TICKQUEUEARRAY +_TICKQUEUEARRAY.fields_by_name['dataArray'].message_type = _TICKQUEUEARRAY_TICKQUEUEDATA +DESCRIPTOR.message_types_by_name['TickQueueArray'] = _TICKQUEUEARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +TickQueueArray = _reflection.GeneratedProtocolMessageType('TickQueueArray', (_message.Message,), { + + 'TickQueueData' : _reflection.GeneratedProtocolMessageType('TickQueueData', (_message.Message,), { + 'DESCRIPTOR' : _TICKQUEUEARRAY_TICKQUEUEDATA, + '__module__' : 'TickQueueMessage_pb2' + # @@protoc_insertion_point(class_scope:TickQueueArray.TickQueueData) + }) + , + 'DESCRIPTOR' : _TICKQUEUEARRAY, + '__module__' : 'TickQueueMessage_pb2' + # @@protoc_insertion_point(class_scope:TickQueueArray) + }) +_sym_db.RegisterMessage(TickQueueArray) +_sym_db.RegisterMessage(TickQueueArray.TickQueueData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ProtoBuffEntitys/TranseMessage_pb2.py b/ProtoBuffEntitys/TranseMessage_pb2.py new file mode 100644 index 0000000..fb27f73 --- /dev/null +++ b/ProtoBuffEntitys/TranseMessage_pb2.py @@ -0,0 +1,178 @@ +# -*- coding: utf-8 -*- +# Generated by the protocol buffer compiler. DO NOT EDIT! +# source: TranseMessage.proto + +from google.protobuf import descriptor as _descriptor +from google.protobuf import message as _message +from google.protobuf import reflection as _reflection +from google.protobuf import symbol_database as _symbol_database +# @@protoc_insertion_point(imports) + +_sym_db = _symbol_database.Default() + + + + +DESCRIPTOR = _descriptor.FileDescriptor( + name='TranseMessage.proto', + package='', + syntax='proto2', + serialized_options=None, + serialized_pb=b'\n\x13TranseMessage.proto\"\xa8\x02\n\x0bTranseArray\x12*\n\tdataArray\x18\x01 \x03(\x0b\x32\x17.TranseArray.TranseData\x1a\xec\x01\n\nTranseData\x12\x0c\n\x04\x63ode\x18\x01 \x02(\x05\x12\x0f\n\x07m_nDate\x18\x02 \x02(\x05\x12\x0f\n\x07m_nTime\x18\x03 \x02(\x05\x12\x10\n\x08m_nIndex\x18\x04 \x02(\x05\x12\x18\n\x10m_chFunctionCode\x18\x05 \x02(\r\x12\x15\n\rm_chOrderKind\x18\x06 \x02(\r\x12\x12\n\nm_chBSFlag\x18\x07 \x02(\r\x12\x15\n\rm_nTradePrice\x18\x08 \x02(\x01\x12\x16\n\x0em_nTradeVolume\x18\t \x02(\x05\x12\x13\n\x0bm_nAskOrder\x18\n \x02(\x05\x12\x13\n\x0bm_nBidOrder\x18\x0b \x02(\x05' +) + + + + +_TRANSEARRAY_TRANSEDATA = _descriptor.Descriptor( + name='TranseData', + full_name='TranseArray.TranseData', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='code', full_name='TranseArray.TranseData.code', index=0, + number=1, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nDate', full_name='TranseArray.TranseData.m_nDate', index=1, + number=2, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTime', full_name='TranseArray.TranseData.m_nTime', index=2, + number=3, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nIndex', full_name='TranseArray.TranseData.m_nIndex', index=3, + number=4, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_chFunctionCode', full_name='TranseArray.TranseData.m_chFunctionCode', index=4, + number=5, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_chOrderKind', full_name='TranseArray.TranseData.m_chOrderKind', index=5, + number=6, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_chBSFlag', full_name='TranseArray.TranseData.m_chBSFlag', index=6, + number=7, type=13, cpp_type=3, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTradePrice', full_name='TranseArray.TranseData.m_nTradePrice', index=7, + number=8, type=1, cpp_type=5, label=2, + has_default_value=False, default_value=float(0), + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nTradeVolume', full_name='TranseArray.TranseData.m_nTradeVolume', index=8, + number=9, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nAskOrder', full_name='TranseArray.TranseData.m_nAskOrder', index=9, + number=10, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + _descriptor.FieldDescriptor( + name='m_nBidOrder', full_name='TranseArray.TranseData.m_nBidOrder', index=10, + number=11, type=5, cpp_type=1, label=2, + has_default_value=False, default_value=0, + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=84, + serialized_end=320, +) + +_TRANSEARRAY = _descriptor.Descriptor( + name='TranseArray', + full_name='TranseArray', + filename=None, + file=DESCRIPTOR, + containing_type=None, + fields=[ + _descriptor.FieldDescriptor( + name='dataArray', full_name='TranseArray.dataArray', index=0, + number=1, type=11, cpp_type=10, label=3, + has_default_value=False, default_value=[], + message_type=None, enum_type=None, containing_type=None, + is_extension=False, extension_scope=None, + serialized_options=None, file=DESCRIPTOR), + ], + extensions=[ + ], + nested_types=[_TRANSEARRAY_TRANSEDATA, ], + enum_types=[ + ], + serialized_options=None, + is_extendable=False, + syntax='proto2', + extension_ranges=[], + oneofs=[ + ], + serialized_start=24, + serialized_end=320, +) + +_TRANSEARRAY_TRANSEDATA.containing_type = _TRANSEARRAY +_TRANSEARRAY.fields_by_name['dataArray'].message_type = _TRANSEARRAY_TRANSEDATA +DESCRIPTOR.message_types_by_name['TranseArray'] = _TRANSEARRAY +_sym_db.RegisterFileDescriptor(DESCRIPTOR) + +TranseArray = _reflection.GeneratedProtocolMessageType('TranseArray', (_message.Message,), { + + 'TranseData' : _reflection.GeneratedProtocolMessageType('TranseData', (_message.Message,), { + 'DESCRIPTOR' : _TRANSEARRAY_TRANSEDATA, + '__module__' : 'TranseMessage_pb2' + # @@protoc_insertion_point(class_scope:TranseArray.TranseData) + }) + , + 'DESCRIPTOR' : _TRANSEARRAY, + '__module__' : 'TranseMessage_pb2' + # @@protoc_insertion_point(class_scope:TranseArray) + }) +_sym_db.RegisterMessage(TranseArray) +_sym_db.RegisterMessage(TranseArray.TranseData) + + +# @@protoc_insertion_point(module_scope) diff --git a/ReadTickFromDB.py b/ReadTickFromDB.py new file mode 100644 index 0000000..a510693 --- /dev/null +++ b/ReadTickFromDB.py @@ -0,0 +1,108 @@ +import pymssql +import gzip +from ProtoBuffEntitys import TickMessage_pb2 +from ProtoBuffEntitys import OrderMessage_pb2 +from ProtoBuffEntitys import TranseMessage_pb2 +from ProtoBuffEntitys import TickQueueMessage_pb2 +from ProtoBuffEntitys import KLineMessage_pb2 + +def ReadTick(ip,user,pw,dbName,code,date): + conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName) + cursor = conn.cursor() + sql = '''SELECT [S_INFO_WINDCODE] + ,[TRADE_DT] + ,[Bytes] + FROM [{0}].[dbo].[Tick] + WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code) + cursor.execute(sql) + rs = cursor.fetchall() + if len(rs) == 0: + return [] + f_all=rs[0][2] + f_all=gzip.decompress(f_all) + dataArray=TickMessage_pb2.TickArray() + dataArray.ParseFromString(f_all) + return dataArray.dataArray + +array=ReadTick('10.10.11.61','yuhaomiao','yhm9591','Level2BytesTick','000001.SZ',20200911) +print('''Tick Code:{0}'''.format(array[0].code)) +def ReadTickQue(ip,user,pw,dbName,code,date): + conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName) + cursor = conn.cursor() + sql = '''SELECT [S_INFO_WINDCODE] + ,[TRADE_DT] + ,[Bytes] + FROM [{0}].[dbo].[TickQue] + WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code) + cursor.execute(sql) + rs = cursor.fetchall() + if len(rs) == 0: + return [] + f_all=rs[0][2] + f_all=gzip.decompress(f_all) + dataArray=TickQueueMessage_pb2.TickQueueArray() + dataArray.ParseFromString(f_all) + return dataArray.dataArray + +array=ReadTickQue('10.10.11.61','yuhaomiao','yhm9591','Level2BytesTickQue','000001.SZ',20200911) +print('''TickQue Code:{0}'''.format(array[0].code)) +def ReadTranse(ip,user,pw,dbName,code,date): + conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName) + cursor = conn.cursor() + sql = '''SELECT [S_INFO_WINDCODE] + ,[TRADE_DT] + ,[Bytes] + FROM [{0}].[dbo].[Transe] + WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code) + cursor.execute(sql) + rs = cursor.fetchall() + if len(rs) == 0: + return [] + f_all=rs[0][2] + f_all=gzip.decompress(f_all) + dataArray=TranseMessage_pb2.TranseArray() + dataArray.ParseFromString(f_all) + return dataArray.dataArray + +array=ReadTranse('10.10.11.61','yuhaomiao','yhm9591','Level2BytesTranse','000001.SZ',20200911) +print('''Transe Code:{0}'''.format(array[0].code)) +def ReadOrder(ip,user,pw,dbName,code,date): + conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName) + cursor = conn.cursor() + sql = '''SELECT [S_INFO_WINDCODE] + ,[TRADE_DT] + ,[Bytes] + FROM [{0}].[dbo].[Order] + WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code) + cursor.execute(sql) + rs = cursor.fetchall() + if len(rs) == 0: + return [] + f_all=rs[0][2] + f_all=gzip.decompress(f_all) + dataArray=OrderMessage_pb2.OrderArray() + dataArray.ParseFromString(f_all) + return dataArray.dataArray + +array=ReadOrder('10.10.11.61','yuhaomiao','yhm9591','Level2BytesOrder','000001.SZ',20200911) +print('''Order Code:{0}'''.format(array[0].code)) +def ReadKLine(ip,user,pw,dbName,code,date): + conn = pymssql.connect(host=ip,user=user,password=pw,database=dbName) + cursor = conn.cursor() + sql = '''SELECT [S_INFO_WINDCODE] + ,[TRADE_DT] + ,[Bytes] + FROM [{0}].[dbo].[KLine] + WHERE [TRADE_DT]='{1}' AND [S_INFO_WINDCODE]='{2}' '''.format(dbName, date,code) + cursor.execute(sql) + rs = cursor.fetchall() + if len(rs) == 0: + return [] + f_all=rs[0][2] + f_all=gzip.decompress(f_all) + dataArray=KLineMessage_pb2.KLineArray() + dataArray.ParseFromString(f_all) + return dataArray.dataArray + +array=ReadKLine('10.10.11.61','yuhaomiao','yhm9591','Level2BytesKLine','000001.SZ',20200911) +print('''KLine Code:{0}'''.format(array[0].code)) \ No newline at end of file diff --git a/Readme.txt b/Readme.txt new file mode 100644 index 0000000..3907f77 --- /dev/null +++ b/Readme.txt @@ -0,0 +1,3 @@ +Python语言从数据库中读取字节流程序并解码还原示例程序在ReadTickFromDB.py中。 +该函数需要pymssql、gzip、google.protobuf（可用pip install protobuf安装）三个外部依赖库需要在运行程序。 +成功读取后，每个标的会读出并解析成一个结构体数组的数据结构，可以对于该数据进行进一步操作。 \ No newline at end of file diff --git a/dolphindb/demo.dos b/dolphindb/demo.dos new file mode 100644 index 0000000..b563594 --- /dev/null +++ b/dolphindb/demo.dos @@ -0,0 +1,12 @@ +n=1000000 +date=take(2006.01.01..2006.01.31, n); +x=rand(10.0, n); +t=table(date, x); + +login("admin","123456") +db=database("dfs://valuedb", VALUE, 2006.01.01..2006.01.31) +pt = db.createPartitionedTable(t, `pt, `date); +pt.append!(t); + +pt=loadTable("dfs://valuedb","pt") +select top 100 * from pt \ No newline at end of file diff --git a/dolphindb/demo2.dos b/dolphindb/demo2.dos new file mode 100644 index 0000000..a7da4b4 --- /dev/null +++ b/dolphindb/demo2.dos @@ -0,0 +1 @@ +db=database("dfs://L2_ORDER", VALUE, 2019.01.01..2022.01.31) \ No newline at end of file diff --git a/dolphindb/test.dos b/dolphindb/test.dos new file mode 100644 index 0000000..77ae25f --- /dev/null +++ b/dolphindb/test.dos @@ -0,0 +1,13 @@ +symbol = take(`AAPL, 6) join take(`FB, 5) +time = 2019.02.27T09:45:01.000000000 + [146, 278, 412, 445, 496, 789, 212, 556, 598, 712, 989] +price=173.27 173.26 173.24 173.25 173.26 173.27 161.51 161.50 161.49 161.50 161.51 +quotes=table(symbol, time, price) +print(quotes) + +weights = dict(`AAPL`FB, 0.6 0.4) +print(weights) + +ETF = select symbol, time, price*weights[symbol] as price from quotes; +print(ETF) + +select rowSum(ffill(last(price))) from ETF pivot by time, symbol; \ No newline at end of file diff --git a/dolphindb/test1.dos b/dolphindb/test1.dos new file mode 100644 index 0000000..730dc31 --- /dev/null +++ b/dolphindb/test1.dos @@ -0,0 +1,10 @@ + +login('admin', '123456') + +tt = table(100:0, `code`m_nDate`m_nTime`m_nSide`m_nPrice`m_nOrderItems`m_nABItems`m_nABVolume, [SYMBOL, DATE, TIME, INT, FLOAT, INT, INT, INT[]]) + +share t as gt + +share tt as gtt + +dropStreamTable(gt) \ No newline at end of file diff --git a/dolphindb/test2.dos b/dolphindb/test2.dos new file mode 100644 index 0000000..a92ff6c --- /dev/null +++ b/dolphindb/test2.dos @@ -0,0 +1,5 @@ + +login("admin","123456") +pt=loadTable("dfs://valuedb","pt") +getTabletsMeta("/valuedb/%", `pt, true); +select top 100 * from pt \ No newline at end of file diff --git a/dos.ipynb b/dos.ipynb new file mode 100644 index 0000000..6ffcf27 --- /dev/null +++ b/dos.ipynb @@ -0,0 +1,354 @@ +{ + "cells": [ + { + "cell_type": "code", + "execution_count": 3, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "True" + ] + }, + "execution_count": 3, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "import dolphindb as ddb\n", + "s = ddb.session()\n", + "s.connect(\"localhost\", 8848, 'admin', '123456')" + ] + }, + { + "cell_type": "code", + "execution_count": 5, + "metadata": {}, + "outputs": [], + "source": [ + "import dolphindb as ddb\n", + "import dolphindb.settings as keys\n", + "import numpy as np\n", + "import pandas as pd\n", + "\n", + "from pprint import pprint" + ] + }, + { + "cell_type": "code", + "execution_count": 6, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "array(['2012-01-01', '2012-01-02', '2012-01-03', '2012-01-04',\n", + " '2012-01-05', '2012-01-06', '2012-01-07', '2012-01-08',\n", + " '2012-01-09', '2012-01-10'], dtype='datetime64[D]')\n" + ] + } + ], + "source": [ + "s = ddb.session()\n", + "s.connect('localhost', 8848, 'admin', '123456')\n", + "\n", + "dates = np.array(pd.date_range(start='20120101', end='20120110'), dtype='datetime64[D]')\n", + "pprint(dates)" + ] + }, + { + "cell_type": "code", + "execution_count": 8, + "metadata": {}, + "outputs": [], + "source": [ + "dbPath = \"dfs://tsdb\"\n", + "if s.existsDatabase(dbPath): s.dropDatabase(dbPath)\n", + "\n", + "# TODO: \n", + "# 1. change `partitionType` to keys.COMPO\n", + "# 2. specify the partition hierarchy\n", + "db = s.database(\n", + " dbName='mydb_tsdb', \n", + " partitionType=keys.VALUE, \n", + " partitions=dates, \n", + " dbPath=dbPath,\n", + " engine=\"TSDB\")\n", + "\n" + ] + }, + { + "cell_type": "code", + "execution_count": 10, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + " datetime sym val\n", + "0 2012-01-01 AA 1\n", + "1 2012-01-02 BB 2\n", + "2 2012-01-04 BB 3\n", + "3 2012-01-05 AA 4\n", + "4 2012-01-08 BB 5\n" + ] + } + ], + "source": [ + "df = pd.DataFrame({\n", + " 'datetime' : np.array(\n", + " np.array(\n", + " ['2012-01-01T00:00:00', '2012-01-02T00:00:00', '2012-01-04T00:00:00', '2012-01-05T00:00:00', '2012-01-08T00:00:00'],\n", + " dtype='datetime64')\n", + " ),\n", + " 'sym' : ['AA', 'BB', 'BB', 'AA', 'BB'],\n", + " 'val' : range(1, 6)\n", + "})\n", + "pprint(df)" + ] + }, + { + "cell_type": "code", + "execution_count": 26, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "array([ '2012-01-01T00:00:00', '20120102-01-01T00:00:00',\n", + " '2012-01-04T00:00:00', '2012-01-05T00:00:00',\n", + " '2012-01-08T00:00:00'], dtype='datetime64[s]')" + ] + }, + "execution_count": 26, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "np.array(\n", + " ['2012-01-01', '20120102', '2012-01-04T00:00:00', '2012-01-05T00:00:00', '2012-01-08T00:00:00'],\n", + " dtype='datetime64')" + ] + }, + { + "cell_type": "code", + "execution_count": 11, + "metadata": {}, + "outputs": [], + "source": [ + "t = s.table(data=df)" + ] + }, + { + "cell_type": "code", + "execution_count": 13, + "metadata": {}, + "outputs": [], + "source": [ + "pt = db.createPartitionedTable(table=t, tableName='pt', partitionColumns='datetime', sortColumns=[\"sym\", \"datetime\"])\n", + "pt.append(t)\n" + ] + }, + { + "cell_type": "code", + "execution_count": 15, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + " datetime sym val\n", + "0 2012-01-01 AA 1\n", + "1 2012-01-01 AA 1\n", + "2 2012-01-02 BB 2\n", + "3 2012-01-02 BB 2\n", + "4 2012-01-04 BB 3\n", + "5 2012-01-04 BB 3\n", + "6 2012-01-05 AA 4\n", + "7 2012-01-05 AA 4\n", + "8 2012-01-08 BB 5\n", + "9 2012-01-08 BB 5\n" + ] + } + ], + "source": [ + "re = s.loadTable(tableName='pt', dbPath=dbPath).toDF()\n", + "pprint(re)" + ] + }, + { + "cell_type": "code", + "execution_count": 16, + "metadata": {}, + "outputs": [], + "source": [ + "s = ddb.session()\n", + "s.connect(\"localhost\", 8848, \"admin\", \"123456\")\n", + "script='''\n", + " rows=100000;\n", + " testblock=table(\n", + " take(1,rows) as id,\n", + " take(`A,rows) as symbol,\n", + " take(2020.08.01..2020.10.01,rows) as date, \n", + " rand(50,rows) as size,\n", + " rand(50.5,rows) as price\n", + " );\n", + "'''\n", + "s.run(script)" + ] + }, + { + "cell_type": "code", + "execution_count": 17, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + " 8192, iter: 1\n", + " 16384, iter: 2\n", + " 24576, iter: 3\n", + " 32768, iter: 4\n", + " 40960, iter: 5\n", + " 49152, iter: 6\n", + " 57344, iter: 7\n", + " 65536, iter: 8\n", + " 73728, iter: 9\n", + " 81920, iter: 10\n", + " 90112, iter: 11\n", + " 98304, iter: 12\n", + " 100000, iter: 13\n", + "total= 100000\n" + ] + } + ], + "source": [ + "script1='''\n", + "select * from testblock\n", + "'''\n", + "block= s.run(script1, fetchSize = 8192)\n", + "total = 0\n", + "iter = 0\n", + "while block.hasNext():\n", + " tem = block.read() \n", + " total += len(tem)\n", + " iter += 1\n", + " print(f\"{total: {total}}, iter: {iter}\")\n", + " \n", + "print(\"total=\", total)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "import pandas as pd\n", + "import dolphindb as ddb\n", + "import numpy as np\n", + "\n", + "s = ddb.session()\n", + "s.connect(\"localhost\", 8848, \"admin\", \"123456\")\n", + "script='''\n", + "dbPath = \"dfs://tableAppender\"\n", + "\n", + "if(existsDatabase(dbPath))\n", + " dropDatabase(dbPath)\n", + "\n", + "t = table(\n", + " 1000:0, \n", + " `sym`date`month`time`minute`second`datetime`timestamp`nanotimestamp`qty, \n", + " [SYMBOL, DATE,MONTH,TIME,MINUTE,SECOND,DATETIME,TIMESTAMP,NANOTIMESTAMP, INT]\n", + " )\n", + "\n", + "db=database(dbPath,RANGE,100000 200000 300000 400000 600001)\n", + "\n", + "pt = db.createPartitionedTable(t, `pt, `qty)\n", + "'''\n", + "s.run(script)\n", + "\n", + "appender = ddb.tableAppender(\"dfs://tableAppender\",\"pt\", s)\n", + "\n", + "sym = list(map(str, np.arange(100000, 600000)))\n", + "\n", + "date = np.array(np.tile(['2012-01-01', 'NaT', '1965-07-25', 'NaT', '2020-12-23', '1970-01-01', 'NaT', 'NaT', 'NaT', '2009-08-05'],50000), dtype=\"datetime64[D]\")\n", + "month = np.array(np.tile(['1965-08', 'NaT','2012-02', '2012-03', 'NaT'],100000), dtype=\"datetime64\")\n", + "time = np.array(np.tile(['2012-01-01T00:00:00.000', '2015-08-26T05:12:48.426', 'NaT', 'NaT', '2015-06-09T23:59:59.999'],100000), dtype=\"datetime64\")\n", + "second = np.array(np.tile(['2012-01-01T00:00:00', '2015-08-26T05:12:48', 'NaT', 'NaT', '2015-06-09T23:59:59'],100000), dtype=\"datetime64\")\n", + "\n", + "nanotime = np.array(np.tile(['2012-01-01T00:00:00.000000000', '2015-08-26T05:12:48.008007006', 'NaT', 'NaT', '2015-06-09T23:59:59.999008007'],100000), dtype=\"datetime64\")\n", + "\n", + "qty = np.arange(100000, 600000)\n", + "\n", + "data = pd.DataFrame({'sym': sym, 'date': date, 'month':month, 'time':time, 'minute':time, 'second':second, 'datetime':second, 'timestamp':time, 'nanotimestamp':nanotime, 'qty': qty})\n", + "num = appender.append(data)\n", + "\n", + "print(num)\n", + "print(s.run(\"select * from pt\"))\n" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "**Note**: In asynchronous mode, only the method `session.run()` is supported to communicate with the server and no value is returned.\n", + "\n", + "The asynchronous mode shows better performance with higher data throughput. The following example writes to a stream table. For details on Python Streaming API, see Chap 10." + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "import dolphindb as ddb\n", + "import numpy as np\n", + "import pandas as pd\n", + "import random\n", + "import datetime\n", + "\n", + "s = ddb.session(enableASYN=True)\n", + "s.connect(\"localhost\", 8848, \"admin\", \"123456\")\n", + "\n", + "n = 100\n", + "\n", + "script = \"\"\"trades = streamTable(10000:0,`time`sym`price`id, [TIMESTAMP,SYMBOL,DOUBLE,INT])\"\"\"\n", + "s.run(script) # The script above can be executed on the server\n", + "\n", + "# Randomly generate a DataFrame\n", + "sym_list = ['IBN', 'GTYU', 'FHU', 'DGT', 'FHU', 'YUG', 'EE', 'ZD', 'FYU']\n", + "price_list = []\n", + "time_list = []\n", + "for i in range(n):\n", + " price_list.append(round(np.random.uniform(1, 100), 1))\n", + " time_list.append(np.datetime64(datetime.date(2020, random.randint(1, 12), random.randint(1, 20))))\n", + "\n", + "tb = pd.DataFrame({'time': time_list,\n", + " 'sym': np.random.choice(sym_list, n),\n", + " 'price': price_list,\n", + " 'id': np.random.choice([1, 2, 3, 4, 5], n)})\n", + "\n", + "s.run(\"append!{trades}\", tb)" + ] + } + ], + "metadata": { + "kernelspec": { + "display_name": "Python 3 (ipykernel)", + "language": "python", + "name": "python3" + }, + "orig_nbformat": 4 + }, + "nbformat": 4, + "nbformat_minor": 2 +} diff --git a/make_hft.py b/make_hft.py new file mode 100644 index 0000000..abe450e --- /dev/null +++ b/make_hft.py @@ -0,0 +1,439 @@ +import importlib +import gzip +import pickle + +from pprint import pprint +from tqdm import tqdm +from tqdm.contrib.concurrent import process_map + +import numpy as np +import pandas as pd + +import dolphindb as ddb +import dolphindb.settings as keys + +import sqlalchemy as sa + +import ProtoBuffEntitys + + +def make_symbol(series): + return series.astype('int32').astype('str')\ + .apply(str.zfill, args=(6,))\ + .apply(lambda code : \ + code + '.SH' if code[:2] == '60' \ + else code + '.SZ') + + +def make_date(series): + return pd.to_datetime( + series.astype(str), format='%Y%m%d') + + +def make_nparray(series): + return series.apply(lambda x : np.array(x)) + + +def make_time(series): + s_hr = series // 10000000 * 3600000 + s_min = series % 1000000 // 100000 * 60000 + s_sec = series % 100000 // 1000 + s_ms = series % 1000 + return pd.to_timedelta(s_hr + s_min + s_sec + s_ms, unit='ms') + + +class DDBLoader(object): + """ + 0. 从sql-server中读取calendar数据，并创建成员变量df_calendar，df_calendar可以保存在本地pickle作为缓存 + |- `def make_calendar_df(self) -> df_calendar` + + 1. 创建ddb中的数据库，分区性质从calendar数据中获取 + |- `def create_ddb_database(self, df_calendar) -> void` + |- `def load_ddb_database(self) -> void` + + 2. 在ddb数据库中创建calendar表 + |- `def create_ddb_calendar(self, df_calendar) -> void` + + 3. 创建ddb的分布式表结构 + |- `create_ddb_partition_table(self, hft_type_name)` + |- `_make_table_skeleton(self, hft_type_name, capacity) -> memory_table_name` + + 4. 从sql server的高频数据转录到dolpindb数据库中 + |- `dump_hft_to_ddb(self, type_name, stock_id, trade_date=None)` + """ + + hft_type_list = ['KLine', 'Order', 'Tick', 'TickQueue', 'Transe'] + + protobuff_name_dict = { + name : f"{name}Message_pb2" for name in hft_type_list + } + + protobuff_module_dict = { + type_name : importlib.import_module(f".{module_name}", package='ProtoBuffEntitys') + for type_name, module_name in protobuff_name_dict.items() + } + + protobuff_desc_dict = { + type_name : eval(f"ProtoBuffEntitys.{module_name}.{type_name}Array.{type_name}Data.DESCRIPTOR") + for type_name, module_name in protobuff_name_dict.items() + } + + mssql_name_dict = { + type_name : ( + f"{type_name}" if type_name != 'TickQueue' \ + else f"TickQue" + ) for type_name in hft_type_list + } + + # 数据库路径和数据库名可以不一致 + ddb_path = "dfs://hft_ts_stock" + ddb_dbname = "db_ts_stock" + ddb_memory_table_suffix = "Memroy" + ddb_partition_table_suffix = "Partitioned" + + # calendar表不需要分区，因此需要创建一个新的数据库 + # 该数据库可以是一个简单的csv，现在还不清楚两者的差别 + #ddb_calendar_path = "dfs://daily_calendar" + #ddb_calendar_dbname = "db_calendar" + ddb_calendar_table_name = "Calendar" + + col_type_mapping = { + 'code' : 'SYMBOL', + 'm_nDate' : 'DATE', + 'm_nTime' : 'TIME', + 1 : 'FLOAT', + 3 : 'INT', + 5 : 'INT', + 13 : 'INT', + } + + mssql_config = { + 'host' : '192.168.1.7', + 'username' : 'sa', + 'password' : 'passw0rd!' + } + + ddb_config = { + 'host' : '192.168.1.167', + 'username' : 'admin', + 'password' : '123456' + } + + default_table_capacity = 10000 + + def __init__(self): + self.mssql_engine = sa.create_engine( + "mssql+pyodbc://{username}:{password}@{host}/master?driver=ODBC+Driver+18+for+SQL+Server".format(**self.mssql_config), + connect_args = { + "TrustServerCertificate": "yes" + }, echo=False + ) + + self.ddb_sess = ddb.session(self.ddb_config['host'], 8848) + self.ddb_sess.login(self.ddb_config['username'], self.ddb_config['password']) + + + def init_ddb_database(self, df_calendar): + """ + 1. 创建ddb_database + 2. 创建calendar表 + 3. 创建数据分区表 + """ + # df_calendar还是由外部输入比较方便 + #df_calendar = self.make_calendar_df() + self.create_ddb_database(df_calendar) + self.create_ddb_calendar(df_calendar) + for hft_type_name in self.hft_type_list: + self.create_ddb_partition_table(hft_type_name) + + + def init_ddb_table_data(self, df_calendar): + """ + 对每个股票进行循环，转录数据到分区表 + """ + stock_list = df_calendar['code'].unique().astype('str') + for hft_type_name in self.hft_type_list: + print('Will work on hft type:', hft_type_name) + with tqdm(stock_list) as pbar: + for stock_id in pbar: + pbar.set_description(f"Working on stock {stock_id}") + self.dump_hft_to_ddb(hft_type_name, stock_id, pbar=pbar) + + + def _get_stock_date_list(self, cache=False): + """ + Deprecated: This function is replaced by `create_ddb_calendar()`. + """ + if cache: + with open('tmp.pkl', 'rb') as fin: + stock_list, date_list = pickle.load(fin) + else: + with self.mssql_engine.connect() as conn: + # 从KLine表查询，主要是因为KLine表最小 + stat = "select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine" + rs = conn.execute(stat) + stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()] + stock_list, date_list = zip(*stock_date_list) + + # cache + #with open('tmp.pkl', 'wb') as fout: + # pickle.dump((stock_list, date_list), fout) + + return pd.Series(stock_list, dtype='str').unique(), \ + pd.Series(date_list, dtype='datetime64[D]').unique() + + + def create_ddb_database(self, pd_calendar): + # 从`pd_calendar`中创建`stock_list`和`date_list` + stock_list = pd_calendar['code'].unique().astype('str') + date_list = pd_calendar['m_nDate'].unique().astype('datetime64[D]') + + # 可以把所有股票高频数据放在一个数据库中不同的表 + # 分区策略是跟数据库绑定的，因此需要保证同一个数据库中的表都使用同样的分区额策略 + # 对于股票高频数据，我们可以使用COMPO的分区策略，并且两个子db的分区策略都是VALUE类型的code和m_nDate字段 + if self.ddb_sess.existsDatabase(self.ddb_path): + print('Wiil drop database:', self.ddb_path) + self.ddb_sess.dropDatabase(self.ddb_path) + + # 要创建一个COMPO分区的数据库，需要首先创建两个简单分区的子数据库 + # 这里我们使用先按日期，然后按股票分区的子数据库 + # Please note that when creating a DFS database with COMPO domain, + # the parameter dbPath for each partition level must be either an empty string or unspecified. + db_date = self.ddb_sess.database('db_date', partitionType=keys.VALUE, partitions=date_list, dbPath='') + + # 这里看起来直接使用dolphindb的脚本语句更方便一些 + #db_stock = self.ddb_sess.database('db_stock', partitionType=keys.VALUE, partitions=stock_list, dbPath='') + self.ddb_sess.run(""" + db_stock = database("", 1, symbol({partitions})) + """.format( + partitions = '`' + '`'.join(stock_list) + )) + + self.ddb_sess.run(""" + {dbName} = database( + directory = '{dbPath}', + partitionType = COMPO, + partitionScheme = [db_date, db_stock], + engine = "TSDB") + """.format( + dbName = self.ddb_dbname, + dbPath = self.ddb_path + )) + + + def load_ddb_database(self): + db_date = self.ddb_sess.database('db_date', dbPath='') + db_stock = self.ddb_sess.database('db_stock', dbPath='') + + self.ddb_sess.run("{dbName} = database(directory='{dbPath}')".format( + dbName = self.ddb_dbname, + dbPath = self.ddb_path + )) + + + def create_ddb_calendar(self, df_calendar): + mem_table = self.ddb_calendar_table_name + self.ddb_memory_table_suffix + per_table = self.ddb_calendar_table_name + # 1. 创建临时内存表 + # calendar的行数大概是股票数量 * 交易日数量 + self.ddb_sess.run(""" + {table_name} = table({capacity}:0, {col_names}, [{col_types}]); + """.format( + table_name = mem_table, + capacity = 5000 * 1000, + col_names = '`code`m_nDate', + col_types = "SYMBOL, DATE" + )) + print('Did create the memory table') + + # 2. 向内存表中插入所有(code, date)数据 + appender = ddb.tableAppender(tableName=mem_table, ddbSession=self.ddb_sess) + num = appender.append(df_calendar) + print('Did append calendar data into ddb memory table, return code', num) + + # 3. 创建持久化表格之前需要先根据路径创建一个database对象 + # 但研究了一下，发现好像一个database里面可以同时存在分区表和非分区表， + # 所以在这里暂时就不创建新的database了 + # 但因为原database设置成了TSDB，所以必须在createTable的时候指定sortKey + #self.ddb_sess.run(""" + # {db_name} = + #""") + + # 4. 直接从内存表创建一个持久化表格 + if self.ddb_sess.existsTable(self.ddb_path, per_table): + self.ddb_sess.dropTable(self.ddb_path, per_table) + self.ddb_sess.run(""" + tableInsert(createTable( + dbHandle={ddb_dbname}, + table={mem_table}, + tableName=`{per_table}, + sortCOlumns=`code`m_nDate, + compressMethods={{"m_nDate":"delta"}} + ), {mem_table}) + """.format( + ddb_dbname = self.ddb_dbname, + mem_table = mem_table, + per_table = per_table + )) + print('Did create the persistent table with the memory table') + + + def make_calendar_df(self): + # 从KLine表查询，主要是因为KLine表最小 + with self.mssql_engine.connect() as conn: + stat = "select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine" + rs = conn.execute(stat) + stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()] + + df_calendar = pd.DataFrame(stock_date_list, columns=['code', 'm_nDate']) + df_calendar['m_nDate'] = make_date(df_calendar['m_nDate']) + print('Did make the DataFrame for calendar') + return df_calendar + + + def _make_table_skeleton(self, hft_type_name, table_capacity=default_table_capacity): + + def _make_tbl_config(field_list): + """ + 根据ProtoBuffEntity对象的Descriptor.fields，创建ddb标准的列名列表和列类型列表。 + """ + col_name_list, col_type_list = [], [] + for desc in field_list: + col_name_list.append(desc.name) + # 如果对列明有特殊设定，目前仅包括`code`m_nDate和`m_nTime三个字段 + if desc.name in self.col_type_mapping: + col_type_list.append(self.col_type_mapping[desc.name]) + # 通过对ProtoBuffEntity的类型编号，映射到ddb的类型编号 + # 如果默认值是一个数组，那么ddb类型要额外增加说明是数组 + # ProtoBuffEntity的类型编号只针对基本类型，数组需要通过`default_value`来判断 + else: + col_type = self.col_type_mapping[desc.type] + if isinstance(desc.default_value, list): + col_type += '[]' + col_type_list.append(col_type) + return col_name_list, col_type_list + + desc_obj = self.protobuff_desc_dict[hft_type_name] + col_name_list, col_type_list = _make_tbl_config(desc_obj.fields) + + table_name = hft_type_name + self.ddb_memory_table_suffix + print('-' * 80) + print('Will create table structure:', table_name) + + self.ddb_sess.run(""" + {table_name} = table({capacity}:0, {col_names}, [{col_types}]); + """.format( + table_name = table_name, + capacity = table_capacity, + col_names = '`' + '`'.join(col_name_list), + col_types = ', '.join([f"'{type_name}'" for type_name in col_type_list]) + )) + res = self.ddb_sess.run(f"schema({table_name}).colDefs") + pprint(res) + print('-' * 80) + return table_name + + + def create_ddb_partition_table(self, hft_type_name): + memory_table_name = self._make_table_skeleton(hft_type_name, 10) + partition_table_name = hft_type_name + self.ddb_partition_table_suffix + + print('-' * 80) + print('Will create partitioned table:', partition_table_name) + + self.ddb_sess.run(""" + db_ts_stock.createPartitionedTable( + table = {memory_table_name}, + tableName = `{partition_table_name}, + partitionColumns = `m_nDate`code, + sortColumns = `code`m_nDate`m_nTime, + compressMethods = {{m_nDate:"delta", m_nTime:"delta"}} + ) + """.format( + memory_table_name = memory_table_name, + partition_table_name = partition_table_name + )) + + res = self.ddb_sess.run(f"schema(loadTable('{self.ddb_path}', '{partition_table_name}')).colDefs") + pprint(res) + print('-' * 80) + + + def _make_stock_daily_df(self, blob, type_name): + blob = gzip.decompress(blob) + dataArray = eval(f"ProtoBuffEntitys.{type_name}Message_pb2.{type_name}Array()") + dataArray.ParseFromString(blob) + + data_dict_list = [ + {field.name : val for field, val in entry.ListFields()} + for entry in dataArray.dataArray + ] + + array_type_list = [ + field.name + for field, val in dataArray.dataArray[0].ListFields() + if isinstance(field.default_value, list) + ] + #pprint(array_type_list) + + df = pd.DataFrame(data_dict_list) + df['code'] = make_symbol(df['code']) + df['m_nDate'] = make_date(df['m_nDate']) + df['m_nTime'] = df['m_nDate'] + make_time(df['m_nTime']) + for field_name in array_type_list: + df[field_name] = make_nparray(df[field_name]) + + #print(f"Did create ddb table for dataframe of shape {df.shape}") + # self.make_table_skeleton(type_name, df.shape[0]) + self.ddb_sess.upload({type_name : df}) + return type_name + + + def dump_hft_to_ddb(self, type_name, stock_id, trade_date=None, pbar=None, num_workers=4): + + def _dump_stock_daily(row): + df_table_name = self._make_stock_daily_df(row[2], type_name) + self.ddb_sess.run("tableInsert(loadTable('{dbPath}', `{partitioned_table_name}), {df_table_name})".format( + dbPath = self.ddb_path, + partitioned_table_name = type_name + self.ddb_partition_table_suffix, + df_table_name = df_table_name + )) + + + # 经过尝试，按个股来做batch查询效率还是可以接受的 + # mssql中，索引字段是(S_INFO_WINDCODE, TRADE_DT) + with self.mssql_engine.connect() as conn: + stat = """ + select * from [Level2Bytes{mssql_type_name}].dbo.[{mssql_type_name}] + where S_INFO_WINDCODE='{stock_id}' + """.format( + mssql_type_name = self.mssql_name_dict[type_name], + stock_id = stock_id + ) + rs = conn.execute(stat) + if pbar: + pbar.set_description(f"Did get the result set for stock {stock_id} from mssql") + else: + print(f"Did get the result set for stock {stock_id} from mssql") + + # 每一行是当个个股某一日的所有高频交易信息 + # 使用多进程来加快速度 + #with tqdm(rs.fetchall(), leave=False) as pbar: + # for row in pbar: + # pbar.set_description(f"Working on {row[0]} {row[1]}") + process_map(_dump_stock_daily, rs.fetchall(), max_workers=num_workers) + + +def main(): + loader = DDBLoader() + df_calendar = loader.make_calendar_df() + + loader.init_ddb_database(df_calendar) + print('Did finish init_ddb_database') + loader.init_ddb_table_data(df_calendar) + print('Did finish init_table_data') + + +if __name__ == '__main__': + main() + diff --git a/mssql.ipynb b/mssql.ipynb new file mode 100644 index 0000000..faeda4b --- /dev/null +++ b/mssql.ipynb @@ -0,0 +1,829 @@ +{ + "cells": [ + { + "cell_type": "code", + "execution_count": 2, + "metadata": {}, + "outputs": [], + "source": [ + " import sqlalchemy as sa\n", + " engine = sa.create_engine(\n", + " 'mssql+pyodbc://sa:passw0rd!@192.168.1.7/master?driver=ODBC+Driver+18+for+SQL+Server',\n", + " connect_args = {\n", + " \"TrustServerCertificate\": \"yes\"\n", + " }, echo=False)" + ] + }, + { + "cell_type": "code", + "execution_count": 39, + "metadata": {}, + "outputs": [], + "source": [ + "with engine.connect() as conn:\n", + " stat = \"select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKLine.dbo.KLine\"\n", + " rs = conn.execute(stat)\n", + " stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()]" + ] + }, + { + "cell_type": "code", + "execution_count": 40, + "metadata": {}, + "outputs": [], + "source": [ + "stock_list, trade_list = zip(*stock_date_list)" + ] + }, + { + "cell_type": "code", + "execution_count": 45, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "4843" + ] + }, + "execution_count": 45, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "len(set(stock_list))" + ] + }, + { + "cell_type": "code", + "execution_count": 1, + "metadata": {}, + "outputs": [ + { + "ename": "NameError", + "evalue": "name 'blob' is not defined", + "output_type": "error", + "traceback": [ + "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m", + "\u001b[0;31mNameError\u001b[0m Traceback (most recent call last)", + "\u001b[1;32m/home/guofu/Workspaces/dolphin-dev/mssql.ipynb Cell 3\u001b[0m in \u001b[0;36m\u001b[0;34m()\u001b[0m\n\u001b[1;32m 1\u001b[0m \u001b[39mimport\u001b[39;00m \u001b[39mgzip\u001b[39;00m\n\u001b[1;32m 2\u001b[0m \u001b[39mfrom\u001b[39;00m \u001b[39mProtoBuffEntitys\u001b[39;00m \u001b[39mimport\u001b[39;00m TranseMessage_pb2\n\u001b[0;32m----> 4\u001b[0m f_all \u001b[39m=\u001b[39m gzip\u001b[39m.\u001b[39mdecompress(blob)\n\u001b[1;32m 5\u001b[0m dataArray \u001b[39m=\u001b[39m TranseMessage_pb2\u001b[39m.\u001b[39mTranseArray()\n\u001b[1;32m 6\u001b[0m dataArray\u001b[39m.\u001b[39mParseFromString(f_all)\n", + "\u001b[0;31mNameError\u001b[0m: name 'blob' is not defined" + ] + } + ], + "source": [ + "import gzip\n", + "from ProtoBuffEntitys import TranseMessage_pb2\n", + "\n", + "f_all = gzip.decompress(blob)\n", + "dataArray = TranseMessage_pb2.TranseArray()\n", + "dataArray.ParseFromString(f_all)\n", + "\n", + "print(dataArray.dataArray)" + ] + }, + { + "cell_type": "code", + "execution_count": 29, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "code 600843\n", + "m_nDate 20130104\n", + "m_nTime 92506510\n", + "m_nIndex 0\n", + "m_chFunctionCode 0\n", + "m_chOrderKind 0\n", + "m_chBSFlag 83\n", + "m_nTradePrice 6.8\n", + "m_nTradeVolume 200\n", + "m_nAskOrder 0\n", + "m_nBidOrder 0\n" + ] + } + ], + "source": [ + "for item in dataArray.dataArray:\n", + " fields = item.ListFields()\n", + " for desc, val in fields:\n", + " print(desc.name, val)\n", + " break\n", + " " + ] + }, + { + "cell_type": "code", + "execution_count": 62, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "\n" + ] + } + ], + "source": [ + "with engine.connect() as conn:\n", + " stat = \"select top 1 * from Level2BytesTickQue.dbo.TickQue\"\n", + " rs = conn.execute(stat)\n", + "\n", + " for row in rs.fetchall():\n", + " print(type(row))\n", + " blob = row[2]\n" + ] + }, + { + "cell_type": "code", + "execution_count": 63, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "1499694" + ] + }, + "execution_count": 63, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "import gzip\n", + "from ProtoBuffEntitys import TickQueueMessage_pb2\n", + "\n", + "f_all = gzip.decompress(blob)\n", + "dataArray = TickQueueMessage_pb2.TickQueueArray()\n", + "dataArray.ParseFromString(f_all)" + ] + }, + { + "cell_type": "code", + "execution_count": 80, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0]\n", + "\n", + "[0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0\n", + " 0 0 0 0 0 0 0 0 0 0 0 0 0]\n" + ] + } + ], + "source": [ + "import numpy as np\n", + "print(dataArray.dataArray[0].m_nABVolume)\n", + "print(type(dataArray.dataArray[0].m_nABVolume))\n", + "print(np.array(dataArray.dataArray[0].m_nABVolume))" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "import urllib\n", + "\n", + "server = 'serverName\\instanceName,port' # to specify an alternate port\n", + "database = 'mydb' \n", + "username = 'myusername' \n", + "password = 'mypassword'\n", + "\n", + "params = urllib.parse.quote_plus(\"'DRIVER={ODBC Driver 17 for SQL Server};SERVER='+server+';DATABASE='+database+';UID='+username+';PWD='+ password\")\n", + "\n", + "engine = sa.ceate_engine(\"mssql+pyodbc:///?odbc_connect=%s\" % params)" + ] + }, + { + "cell_type": "code", + "execution_count": 25, + "metadata": {}, + "outputs": [], + "source": [ + "from ProtoBuffEntitys import KLineMessage_pb2, OrderMessage_pb2, TickMessage_pb2, TickQueueMessage_pb2, TranseMessage_pb2" + ] + }, + { + "cell_type": "code", + "execution_count": 33, + "metadata": {}, + "outputs": [], + "source": [ + "HFT_TYPE_LIST = [\n", + " 'KLine', 'Order', 'Tick', 'TickQueue', 'Transe'\n", + "]\n", + "PROTOBUFF_NAME_LIST = [f\"{name}Message_pb2\" for name in PROTOBUFF_NAME_LIST]\n", + "\n", + "import importlib\n", + "\n", + "PROTOBUFF_MODULE_LIST = [importlib.import_module(f\".{name}\", package='ProtoBuffEntitys') for name in PROTOBUFF_MODULE_LIST]" + ] + }, + { + "cell_type": "code", + "execution_count": 34, + "metadata": {}, + "outputs": [ + { + "ename": "SyntaxError", + "evalue": "invalid syntax (99226286.py, line 1)", + "output_type": "error", + "traceback": [ + "\u001b[0;36m Input \u001b[0;32mIn [35]\u001b[0;36m\u001b[0m\n\u001b[0;31m from ProtoBuffEntitys import KLineMessage_pb2.KLineArray.KLineData.DESCRIPTOR\u001b[0m\n\u001b[0m ^\u001b[0m\n\u001b[0;31mSyntaxError\u001b[0m\u001b[0;31m:\u001b[0m invalid syntax\n" + ] + } + ], + "source": [ + "import ProtoBuffEntitys.KLineMessage_pb2.KLineArray.KLineData.DESCRIPTOR " + ] + }, + { + "cell_type": "code", + "execution_count": 22, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "'code'\n", + "'m_nDate'\n", + "'m_nTime'\n", + "'m_nOpen'\n", + "'m_nHigh'\n", + "'m_nLow'\n", + "'m_nClose'\n", + "'m_iVolume'\n", + "'m_iTurover'\n", + "'m_nMatchItems'\n" + ] + } + ], + "source": [ + "from pprint import pprint\n", + "\n", + "for field in KLineMessage_pb2.KLineArray.KLineData.DESCRIPTOR.fields:\n", + " pprint(field.name)\n" + ] + }, + { + "cell_type": "code", + "execution_count": 46, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "'\\n db_ts_stock.createPartitionedTable(\\n table = t, \\n tableName = abd, \\n partitionColumns = `code`m_nDate, \\n sortColumns = `code`m_nDate`m_nTime,\\n compressMethods = {m_nDate:\"delta\", m_nTime:\"delta\"}\\n )\\n'" + ] + }, + "execution_count": 46, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "\"\"\"\n", + " db_ts_stock.createPartitionedTable(\n", + " table = t, \n", + " tableName = {hft_type_name}, \n", + " partitionColumns = `code`m_nDate, \n", + " sortColumns = `code`m_nDate`m_nTime,\n", + " compressMethods = {{m_nDate:\"delta\", m_nTime:\"delta\"}}\n", + " )\n", + "\"\"\".format(\n", + " hft_type_name = \"abd\"\n", + ")" + ] + }, + { + "cell_type": "code", + "execution_count": 61, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "('600519.SH', '20210531', b'\\x1f\\x8b\\x08\\x00\\x00\\x00\\x00\\x00\\x04\\x00\\x8c\\xddy\\\\^Yz\\x1f\\xf8tuUw\\xed%$\\xb4K\\x15\\x12\\x97+\\xd7V}\\x9cr\\xb7\\xa7\\xd3\\xd3^\\xd2\\xe5`\\xbb\\xd3\\xe9\\xe9\\xd8\\ ... (1454851 characters truncated) ... 17\\xb2\\x87\\xe4\\xce\\x94T\\xe8\\xe2O\\xc8\\xe6\\x10\\x1c=\\r\\xd9+\\x02\\xcc\\x9c!\\xc56\\xdb\\xef\\xb3uf\\xe5,d\\x9f\\xc8\\xd1\\xbc$\\xe7~)\\xe4\\xff\\x075\\xea@$i\\x1c\\x1a\\x00')\n" + ] + } + ], + "source": [ + "with engine.connect() as conn:\n", + " stat = \"select * from Level2BytesOrder.dbo.[Order] where S_INFO_WINDCODE='600519.SH'\"\n", + " rs = conn.execute(stat)\n", + " for row in rs.fetchall():\n", + " print(row)\n", + " break" + ] + }, + { + "cell_type": "code", + "execution_count": 53, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "(4708,)\n" + ] + } + ], + "source": [ + "with engine.connect() as conn:\n", + " stat = \"select count(*) from Level2BytesKLine.dbo.KLine where TRADE_DT='20220608'\"\n", + " rs = conn.execute(stat)\n", + " for row in rs.fetchall():\n", + " print(row)" + ] + }, + { + "cell_type": "code", + "execution_count": 58, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "('NonClusteredIndex-Order', 'nonclustered located on PRIMARY', 'S_INFO_WINDCODE, TRADE_DT')\n" + ] + } + ], + "source": [ + "engine = sa.create_engine(\n", + " 'mssql+pyodbc://sa:passw0rd!@192.168.1.7/Level2BytesOrder?driver=ODBC+Driver+18+for+SQL+Server',\n", + " connect_args = {\n", + " \"TrustServerCertificate\": \"yes\"\n", + " }, echo=False)\n", + " \n", + "with engine.connect() as conn:\n", + " stat = \"EXEC sp_helpindex 'Level2BytesOrder.dbo.[Order]'\"\n", + " rs = conn.execute(stat)\n", + " for row in rs.fetchall():\n", + " print(row)" + ] + }, + { + "cell_type": "code", + "execution_count": 4, + "metadata": {}, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "('master', 1, datetime.datetime(2003, 4, 8, 9, 13, 36, 390000))\n", + "('tempdb', 2, datetime.datetime(2022, 8, 3, 4, 47, 56, 987000))\n", + "('model', 3, datetime.datetime(2003, 4, 8, 9, 13, 36, 390000))\n", + "('msdb', 4, datetime.datetime(2022, 5, 29, 16, 33, 42, 60000))\n", + "('test', 5, datetime.datetime(2022, 8, 3, 4, 52, 46, 450000))\n", + "('Level1BytesIndexFutureKLine', 6, datetime.datetime(2022, 8, 3, 5, 2, 17, 660000))\n", + "('Level2BytesConvBondKLine', 7, datetime.datetime(2022, 8, 3, 5, 2, 30, 837000))\n", + "('Level2BytesConvBondOrder', 8, datetime.datetime(2022, 8, 3, 5, 2, 39, 987000))\n", + "('Level2BytesConvBondTick', 9, datetime.datetime(2022, 8, 3, 5, 2, 54, 587000))\n", + "('Level2BytesConvBondTickQue', 10, datetime.datetime(2022, 8, 3, 5, 3, 58, 270000))\n", + "('Level2BytesConvBondTranse', 11, datetime.datetime(2022, 8, 3, 5, 4, 14, 500000))\n", + "('Level2BytesETFKLine', 12, datetime.datetime(2022, 8, 3, 5, 4, 27, 270000))\n", + "('Level2BytesETFOrder', 13, datetime.datetime(2022, 8, 3, 5, 4, 43, 457000))\n", + "('Level2BytesTick', 14, datetime.datetime(2022, 8, 3, 8, 51, 40, 633000))\n", + "('Level2BytesTickQue', 15, datetime.datetime(2022, 8, 3, 8, 51, 58, 650000))\n", + "('Level2BytesTranse', 16, datetime.datetime(2022, 8, 3, 8, 52, 14, 103000))\n", + "('Level2BytesOrder', 17, datetime.datetime(2022, 8, 3, 8, 52, 27, 740000))\n", + "('Level2BytesKLine', 18, datetime.datetime(2022, 8, 3, 8, 52, 44, 610000))\n", + "('Level2BytesIndexTick', 19, datetime.datetime(2022, 8, 3, 9, 22, 36, 850000))\n", + "('Level2BytesIndexKLine', 20, datetime.datetime(2022, 8, 3, 9, 22, 57, 527000))\n", + "('Level2BytesETFTranse', 21, datetime.datetime(2022, 8, 3, 9, 23, 53, 713000))\n", + "('Level2BytesETFTickQue', 22, datetime.datetime(2022, 8, 3, 9, 24, 9, 87000))\n", + "('Level2BytesETFTick', 23, datetime.datetime(2022, 8, 3, 9, 24, 26, 267000))\n" + ] + } + ], + "source": [ + "stat = \"\"\"SELECT name, database_id, create_date FROM sys.databases; \n", + "\"\"\"\n", + "\n", + "with engine.connect() as conn:\n", + " rs = conn.execute(stat)\n", + " for row in rs.fetchall():\n", + " print(row)" + ] + }, + { + "cell_type": "code", + "execution_count": 9, + "metadata": {}, + "outputs": [], + "source": [ + "a = [1,2,3]\n", + "b = {x : (x + 1 if x != 3 else x + 2) for x in a}" + ] + }, + { + "cell_type": "code", + "execution_count": 4, + "metadata": {}, + "outputs": [], + "source": [ + "import pandas as pd" + ] + }, + { + "cell_type": "code", + "execution_count": 5, + "metadata": {}, + "outputs": [], + "source": [ + "\n", + "with engine.connect() as conn:\n", + " stat = \"select distinct S_INFO_WINDCODE, TRADE_DT from Level2BytesKline.dbo.KLine\"\n", + " rs = conn.execute(stat)\n", + " stock_date_list = [(stock_name, date) for stock_name, date in rs.fetchall()]\n", + "\n" + ] + }, + { + "cell_type": "code", + "execution_count": 7, + "metadata": {}, + "outputs": [ + { + "data": { + "text/html": [ + "
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7379206 rows × 2 columns

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" + ], + "text/plain": [ + " code m_nDate\n", + "0 000001.SZ 20130104\n", + "1 000001.SZ 20130107\n", + "2 000001.SZ 20130108\n", + "3 000001.SZ 20130109\n", + "4 000001.SZ 20130110\n", + "... ... ...\n", + "7379201 689009.SH 20220704\n", + "7379202 689009.SH 20220705\n", + "7379203 689009.SH 20220706\n", + "7379204 689009.SH 20220707\n", + "7379205 689009.SH 20220708\n", + "\n", + "[7379206 rows x 2 columns]" + ] + }, + "execution_count": 7, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "pd.DataFrame(stock_date_list, columns=['code', 'm_nDate'])" + ] + }, + { + "cell_type": "code", + "execution_count": 51, + "metadata": {}, + "outputs": [], + "source": [ + "import pandas as pd\n", + "\n", + "df = pd.read_csv('ddb_dump_journal.csv')" + ] + }, + { + "cell_type": "code", + "execution_count": 52, + "metadata": {}, + "outputs": [ + { + "data": { + "text/html": [ + "
\n", + "\n", + "\n", + " \n", + " \n", + " \n", + " \n", + " \n", + " \n", + " \n", + " \n", + " \n", + " \n", + "
type_namestock_idstatus
\n", + "
" + ], + "text/plain": [ + "Empty DataFrame\n", + "Columns: [type_name, stock_id, status]\n", + "Index: []" + ] + }, + "execution_count": 52, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "df" + ] + }, + { + "cell_type": "code", + "execution_count": 53, + "metadata": {}, + "outputs": [ + { + "name": "stderr", + "output_type": "stream", + "text": [ + "/tmp/ipykernel_259767/4140820348.py:1: FutureWarning: The frame.append method is deprecated and will be removed from pandas in a future version. Use pandas.concat instead.\n", + " df = df.append({'type_name':'KLine', 'stock_id':'000001.SZ', 'status':'OK'},ignore_index=True)\n" + ] + } + ], + "source": [ + "df = df.append({'type_name':'KLine', 'stock_id':'000001.SZ', 'status':'OK'},ignore_index=True)" + ] + }, + { + "cell_type": "code", + "execution_count": 54, + "metadata": {}, + "outputs": [ + { + "data": { + "text/html": [ + "
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type_namestock_idstatus
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\n", + "
" + ], + "text/plain": [ + "Empty DataFrame\n", + "Columns: []\n", + "Index: [(KLine, 000001.SZ, OK)]" + ] + }, + "execution_count": 54, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "df.set_index(['type_name', 'stock_id', 'status'], inplace=True)\n", + "df" + ] + }, + { + "cell_type": "code", + "execution_count": 56, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "Series([], Name: (KLine, 000001.SZ, OK), dtype: float64)" + ] + }, + "execution_count": 56, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "df.loc[('KLine', '000001.SZ', 'OK')]" + ] + }, + { + "cell_type": "code", + "execution_count": 57, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "True" + ] + }, + "execution_count": 57, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "('KLine', '000001.SZ', 'OK') in df.index" + ] + }, + { + "cell_type": "code", + "execution_count": 60, + "metadata": {}, + "outputs": [], + "source": [ + "import pickle as pkl\n", + "with open('tmp.pkl', 'rb') as fin:\n", + " stock_list, date_list = pkl.load(fin)" + ] + }, + { + "cell_type": "code", + "execution_count": 61, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "('20130104',\n", + " '20130107',\n", + " '20130108',\n", + " '20130109',\n", + " '20130110',\n", + " '20130111',\n", + " '20130114',\n", + " '20130115',\n", + " '20130116',\n", + " '20130117')" + ] + }, + "execution_count": 61, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "date_list[:10]" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [] + } + ], + "metadata": { + "kernelspec": { + "display_name": "Python 3 (ipykernel)", + "language": "python", + "name": "python3" + }, + "language_info": { + "codemirror_mode": { + "name": "ipython", + "version": 3 + }, + "file_extension": ".py", + "mimetype": "text/x-python", + "name": "python", + "nbconvert_exporter": "python", + "pygments_lexer": "ipython3", + "version": "3.8.13" + }, + "vscode": { + "interpreter": { + "hash": "5a0c795ff324b912f12ad95b94c9d776ccc7a75bdf6a126a4f44b3067472979e" + } + } + }, + "nbformat": 4, + "nbformat_minor": 4 +} diff --git a/script.py b/script.py new file mode 100644 index 0000000..15a0c00 --- /dev/null +++ b/script.py @@ -0,0 +1,94 @@ +import importlib +import gzip +import pickle +from pprint import pprint +from tqdm import tqdm + +import numpy as np +import pandas as pd + +import dolphindb as ddb +import dolphindb.settings as keys + +import sqlalchemy as sa + +import ProtoBuffEntitys + + +def main(): + from ProtoBuffEntitys import TickQueueMessage_pb2 + engine = sa.create_engine( + "mssql+pyodbc://{username}:{password}@{host}/master?driver=ODBC+Driver+18+for+SQL+Server".format(**DDBLoader.mssql_config), + connect_args = { + "TrustServerCertificate": "yes" + }, echo=False + ) + + s = ddb.session(DDBLoader.ddb_config['host'], 8848) + s.login(DDBLoader.ddb_config['username'], DDBLoader.ddb_config['password']) + + with engine.connect() as conn: + stat = "select top 1 * from Level2BytesTickQue.dbo.TickQue" + rs = conn.execute(stat) + + for row in rs.fetchall(): + print(type(row)) + blob = gzip.decompress(row[2]) + dataArray = TickQueueMessage_pb2.TickQueueArray() + dataArray.ParseFromString(blob) + + data_dict_list = [ + {field.name : val for field, val in entry.ListFields()} + for entry in dataArray.dataArray + ] + + df = pd.DataFrame(data_dict_list) + df['code'] = make_symbol(df['code']) + df['m_nDate'] = make_date(df['m_nDate']) + df['m_nTime'] = df['m_nDate'] + make_time(df['m_nTime']) + df['m_nABVolume'] = make_nparray(df['m_nABVolume']) + + pprint(df[['code', 'm_nDate', 'm_nTime']].head()) + + s.upload({'tb' : df}) + res = s.run("typestr(tb)") + pprint(res) + + stat = """ + syms = symbol(exec code from tb) + replaceColumn!(tb, `code, syms) + """ + res = s.run(stat) + pprint(res) + pprint(s.run("schema(tb).colDefs")) + + res = s.run("append!(gtt, tb)") + s.undef("tb", "VAR") + + print(res) + break + + +def main2(): + loader = DDBLoader() + #pprint(loader.mssql_name_dict) + + stock_list, date_list = loader.get_stock_date_list(True) + print('Did get stock list and date list from mssql') + #pprint(date_list[:5]) + #pprint(stock_list[:5]) + + loader.create_ddb_database(stock_list, date_list) + print('Did create ddb database') + + for type_name in loader.hft_type_list: + loader.create_ddb_partition_table(type_name) + print(f"Did create ddb table for {type_name}") + + loader.do_load_from_mssql(type_name, stock_list[0], date_list[0]) + + + +if __name__ == '__main__': + main3() + diff --git a/stockMarketReplay.dos b/stockMarketReplay.dos new file mode 100644 index 0000000..feed719 --- /dev/null +++ b/stockMarketReplay.dos @@ -0,0 +1,47 @@ +/** +stcokMarketReplay.txt +Script to replay stock market data +DolphinDB Inc. +DolphinDB server version: 2.00.6 2022.05.31 +Storage engine: TSDB +Last modification time: 2022.07.07 +*/ + +//login account +login("admin", "123456") + +//create stream table: messageStream +def createStreamTableFunc(){ + colName = `msgTime`msgType`msgBody + colType = [TIMESTAMP,SYMBOL, BLOB] + messageTemp = streamTable(1000000:0, colName, colType) + enableTableShareAndPersistence(table=messageTemp, tableName="messageStream", asynWrite=true, compress=true, cacheSize=1000000, retentionMinutes=1440, flushMode=0, preCache=10000) + messageTemp = NULL +} +createStreamTableFunc() +go + +//replay history data +def replayStockMarketData(){ + timeRS = cutPoints(09:15:00.000..15:00:00.000, 100) + orderDS = replayDS(sqlObj=, dateColumn=`Date, timeColumn=`Time, timeRepartitionSchema=timeRS) + snapshotDS = replayDS(sqlObj=