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fawce
82 lines
2.6 KiB
Python
82 lines
2.6 KiB
Python
import datetime
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import zmq
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import pymongo
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import pymongo.json_util
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import json
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import pytz
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import copy
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import multiprocessing
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import logging
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from pymongo import ASCENDING, DESCENDING
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from backtest.util import *
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class EquityMinuteTrades(object):
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def __init__(self, sid, db, data_address, sync_address, source_id):
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self.sid = sid
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self.db = db
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self.source_id = source_id
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self.logger = logging.getLogger()
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self.sync_address = sync_address
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self.data_address = data_address
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self.logger.info("data address is {ds}".format(ds=data_address))
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self.cur_event = None
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def start(self):
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self.proc = multiprocessing.Process(target=self.run)
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self.proc.start()
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def run(self):
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self.logger.info("starting data source:{sid} on {addr}".format(sid=self.sid, addr=self.data_address))
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self.context = zmq.Context()
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#synchronize with feed
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sync_socket = self.context.socket(zmq.REQ)
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sync_socket.connect(self.sync_address)
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# send a synchronization request to the feed
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sync_socket.send('')
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# wait for synchronization reply from the feed
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sync_socket.recv()
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sync_socket.close()
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#create the data sink. Based on http://zguide.zeromq.org/py:tasksink2
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self.data_socket = self.context.socket(zmq.PUSH)
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self.data_socket.connect(self.data_address)
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eventQS = self.db.equity.trades.minute.find(fields=["sid","price","volume","dt"],
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spec={"sid":self.sid},
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sort=[("dt",ASCENDING)],
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slave_ok=True)
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self.logger.info("found {count} events".format(count=eventQS.count()))
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for doc in eventQS:
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doc_dt = doc['dt'].replace(tzinfo = pytz.utc)
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doc_dt_str = format_date(doc_dt)
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event = copy.copy(doc)
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event['dt'] = doc_dt_str
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event['s'] = self.source_id
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event['type'] = 'event'
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del(event['_id'])
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#send this event to feed address
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#self.logger.info("sending {event}".format(event=event))
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self.data_socket.send(json.dumps(event))
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done_msg = {}
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done_msg['type'] = 'DONE'
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done_msg['s'] = self.source_id
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self.data_socket.send(json.dumps(done_msg))
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self.data_socket.close()
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self.context.term()
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self.logger.info("finished processing data source")
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