开始收录

• 在“本地代码”选择输入需要订阅的行情，如rb1905.SHFE；
• 然后点击后边“K线记录”或者“Tick记录”中的“添加”选项，会把记录特定品种任务添加到data_recorder_setting.json上，并且显示到“K线记录列表”或者“Tick记录列表”中，如图。
• 通过queue.put()与queue.get()异步完成收录行情信息任务。

下面介绍行情收录的具体原理：若无合约记录的历史，用户需要先添加行情记录任务，如连接CTP接口后记录rb1905.SHFE的tick数据，然后调用add_tick_recording()函数执行下面工作：

• 先创建tick_recordings字典；
• 调用接口的suscribe()函数订阅行情；3 )保存该tick_recordings字典到json文件上；
• 推送行情记录事件。

    def add_tick_recording(self, vt_symbol: str):
        """"""
        if vt_symbol in self.tick_recordings:
            self.write_log(f"已在Tick记录列表中：{vt_symbol}")
            return
 
        contract = self.main_engine.get_contract(vt_symbol)
        if not contract:
            self.write_log(f"找不到合约：{vt_symbol}")
            return
 
        self.tick_recordings[vt_symbol] = {}
            "symbol": contract.symbol,
            "exchange": contract.exchange.value,
            "gateway_name": contract.gateway_name
        }
 
        self.subscribe(contract)
        self.save_setting()
        self.put_event()
 
        self.write_log(f"添加Tick记录成功：{vt_symbol}")

下面对add_tick_recording()函数里面调用的子函数进行扩展：

订阅行情

调用main_engine的suscribe()函数来订阅行情，需要填入的信息为symbol、exchange、gateway_name

    def subscribe(self, contract: ContractData):
        """"""
        req = SubscribeRequest(
            symbol=contract.symbol,
            exchange=contract.exchange
        )
        self.main_engine.subscribe(req, contract.gateway_name)

将订阅信息保存到json文件

• 主要把tick_recordings或者bar_recordings通过save_json()函数保存到C:\Users\Administrator.vntrader文件夹内的data_recorder_setting.json上。
• 该json文件用于存放行情记录的任务，当每次启动行情模块后，会调用load_setting()函数来得到tick_recordings和bar_recordings字典，进而开始记录的任务。

setting_filename = "data_recorder_setting.json"
    def save_setting(self):
        """"""
        setting = {
            "tick": self.tick_recordings,
            "bar": self.bar_recordings
        }
        save_json(self.setting_filename, setting)
 
    def load_setting(self):
        """"""
        setting = load_json(self.setting_filename)
        self.tick_recordings = setting.get("tick", {})
        self.bar_recordings = setting.get("bar", {})        

推送行情记录事件

• 创建行情记录列表tick_symbols和bar_symbols，并且缓存在data字典里；
• 创建evnte对象，其类型是EVENT_RECORDER_UPDATE, 内容是data字典；
• 调用event_engine的put()函数推送event事件。

    def put_event(self):
        """"""
        tick_symbols = list(self.tick_recordings.keys())
        tick_symbols.sort()
 
        bar_symbols = list(self.bar_recordings.keys())
        bar_symbols.sort()
 
        data = {
            "tick": tick_symbols,
            "bar": bar_symbols
        }
 
        event = Event(
            EVENT_RECORDER_UPDATE,
            data
        )
        self.event_engine.put(event)

注册行情记录事件

register_event()函数分别注册2种事件：EVENT_CONTRACT、EVENT_TICK

• EVENT_CONTRACT事件，调用的是process_contract_event()函数: 从tick_recordings和bar_recordings字典获取需要订阅的合约品种；然后使用subscribe()函数进行订阅行情。
• EVENT_TICK事件，调用的是process_tick_event()函数：从tick_recordings和bar_recordings字典获取需要订阅的合约品种；然后使用record_tick()和record_bar()函数，把行情记录任务推送到queue队列中等待执行。

    def register_event(self):
        """"""
        self.event_engine.register(EVENT_TICK, self.process_tick_event)
        self.event_engine.register(EVENT_CONTRACT, self.process_contract_event)
 
    def process_tick_event(self, event: Event):
        """"""
        tick = event.data
 
        if tick.vt_symbol in self.tick_recordings:
            self.record_tick(tick)
 
        if tick.vt_symbol in self.bar_recordings:
            bg = self.get_bar_generator(tick.vt_symbol)
            bg.update_tick(tick)
 
    def process_contract_event(self, event: Event):
        """"""
        contract = event.data
        vt_symbol = contract.vt_symbol
 
        if (vt_symbol in self.tick_recordings or vt_symbol in self.bar_recordings):
            self.subscribe(contract)
 
    def record_tick(self, tick: TickData):
        """"""
        task = ("tick", copy(tick))
        self.queue.put(task)
 
    def record_bar(self, bar: BarData):
        """"""
        task = ("bar", copy(bar))
        self.queue.put(task)
 
    def get_bar_generator(self, vt_symbol: str):
        """"""
        bg = self.bar_generators.get(vt_symbol, None)
 
        if not bg:
            bg = BarGenerator(self.record_bar)
            self.bar_generators[vt_symbol] = bg
 
        return bg

执行记录行情任务

在while循环中，从queue队列读取任务，调用save_tick_data()或者save_bar_data()函数来记录数据，并且载入到数据库中。

    def run(self):
        """"""
        while self.active:
            try:
                task = self.queue.get(timeout=1)
                task_type, data = task
 
                if task_type == "tick":
                    database_manager.save_tick_data([data])
                elif task_type == "bar":
                    database_manager.save_bar_data([data])
 
            except Empty:
                continue