最近，FMZ量化交易平台支持了数据库接口，因此使用JavaScript语言也能够很方便的实现一个K线行情数据收集器了。
有了需求，立刻行动~数据库
构建JavaScript版本行情收集器以前，咱们先来熟悉FMZ的数据库接口DBExec。函数
DBExec 函数
先熟悉如下几种操做：测试
- 建立表
- 向表中写入数据
- 查询表中数据
function main() { /* 建立表 var strSql = [ "CREATE TABLE RECORDS_MIN1(", "TS INT PRIMARY KEY NOT NULL,", "HIGH REAL NOT NULL,", "OPEN REAL NOT NULL,", "LOW REAL NOT NULL,", "CLOSE REAL NOT NULL,", "VOLUME REAL NOT NULL)" ].join("") // DBExec函数返回：{"rowsAffected":1,"lastInsertId":18} */ /* 表写入数据 // INSERT INTO COMPANY (ID,NAME,AGE,ADDRESS,SALARY) // VALUES (1, 'Paul', 32, 'California', 20000.00 ); var strSql = [ "INSERT INTO RECORDS_MIN1 (TS, HIGH, OPEN, LOW, CLOSE, VOLUME)", "VALUES (111111, 111.11, 111.12, 111.13, 111.14, 111.16);" ].join("") // DBExec函数返回：{"rowsAffected":1,"lastInsertId":1} */ /* 查询表中数据 // SELECT * FROM RECORDS_MIN1; var strSql = ["SELECT * FROM RECORDS_MIN1;"].join("") // DBExec函数返回：{"columns":["TS","HIGH","OPEN","LOW","CLOSE","VOLUME"],"values":[[111111,111.11,111.12,111.13,111.14,111.16]]} */ var ret = DBExec(strSql) // 执行SQL语句 Log(ret) }
设计行情收集器
利用FMZ的数据库接口DBExec能够实现收集交易所的K线数据。
例若有些策略基于很长的K线数据计算指标，很不容易收集数据让K线数据长度足够计算指标，可是遇到策略程序设计不完善实盘异常中止、临时调整代码、临时调整策略参数等须要重启实盘的场景。此时实盘一旦重启收集的数据就没有了（程序变量中保存）。因此使用数据库接口，保存收集的行情数据是一个很是好的解决办法。this
咱们的需求也十分简单：url
- 程序轮询获取行情
- 判断BAR更新，将完成的BAR数据写入数据库表保存。
- 查询数据库中表的数据
- 本例子为了展现数据，增长了画图（使用画线类库），经过策略交互按钮，更新K线图表。
- 删除数据库表
- 初始化，从新建立数据库表，写入最新的数据。
简单的数据收集器源码：spa
var collecter = {} collecter.init = function(tableName) { this.preBarTS = 0 this.tableName = tableName this.tableAvaliable = false // 检测tableName表 if (typeof(tableName) == "undefined" || typeof(tableName) != "string") { Log(tableName) throw "tableName error!" } // SELECT * FROM RECORDS_MIN1 LIMIT 1 var strSql = "SELECT * FROM " + tableName + " LIMIT 1" var ret = DBExec(strSql) if (!ret) { // 表不存在，建立表 Log("尝试读取表", this.tableName, "的数据，读取失败，开始建立表", this.tableName) var strSql = [ "CREATE TABLE " + tableName + "(", "TS INT PRIMARY KEY NOT NULL,", "HIGH REAL NOT NULL,", "OPEN REAL NOT NULL,", "LOW REAL NOT NULL,", "CLOSE REAL NOT NULL,", "VOLUME REAL NOT NULL)" ].join("") ret = DBExec(strSql) if (!ret) { throw "建立" + tableName + "表失败！" } Log("建立", tableName, "表", ret) } Log(this.tableName, ret) this.tableAvaliable = true } collecter.run = function(records) { if (!this.tableAvaliable) { return } var len = records.length var lastBar = records[len - 1] var beginBar = records[0] var ret = null if (this.preBarTS == 0) { // 初始 /* DELETE FROM table_name WHERE [condition]; */ var strSql = "DELETE FROM " + this.tableName + " WHERE TS >= " + beginBar.Time + ";" ret = DBExec(strSql) Log("删除与当前记录重复部分", ret) // 写入 ret = DBExec("BEGIN") Log("BEGIN:", ret) for (var i = 0 ; i < len - 1 ; i++) { var strSql = [ "INSERT INTO " + this.tableName + " (TS, HIGH, OPEN, LOW, CLOSE, VOLUME) ", `VALUES (${records[i].Time}, ${records[i].High}, ${records[i].Open}, ${records[i].Low}, ${records[i].Close}, ${records[i].Volume});` ].join("") DBExec(strSql) } ret = DBExec("COMMIT") Log("COMMIT:", ret) this.preBarTS = lastBar.Time } else if(this.preBarTS != lastBar.Time) { // 更新 var strSql = [ "INSERT INTO " + this.tableName + " (TS, HIGH, OPEN, LOW, CLOSE, VOLUME) ", `VALUES (${records[len-2].Time}, ${records[len-2].High}, ${records[len-2].Open}, ${records[len-2].Low}, ${records[len-2].Close}, ${records[len-2].Volume});` ].join("") ret = DBExec(strSql) Log("INSERT:", ret) this.preBarTS = lastBar.Time } } collecter.getRecords = function() { // 读取数据库 var strSql = "SELECT * FROM " + this.tableName + ";" var ret = DBExec(strSql) // Log("SELECT * FROM .. :", ret) // SELECT * FROM .. : {"columns":["TS","HIGH","OPEN","LOW","CLOSE","VOLUME"],"values":[[1616110200000,58085.9,57716.2,57664.3,57757.6,24.216], ...]} var arr = ret.values var r = [] for (var i = 0 ; i < arr.length ; i++) { r.push({ Time : arr[i][0], High : arr[i][1], Open : arr[i][2], Low : arr[i][3], Close : arr[i][4], Volume : arr[i][5] }) } return r } collecter.deleteTable = function() { // DROP TABLE database_name.table_name; var strSql = "DROP TABLE " + this.tableName var ret = DBExec(strSql) if (!ret) { Log("删除表", this.tableName, "失败：", ret) } else { Log("删除表", this.tableName, " DROP TABLE:", ret) this.tableAvaliable = false } } function main() { collecter.init(tableName) while(true) { var r = _C(exchange.GetRecords) // records tbl var rTbl = { type : "table", title : "数据", cols : ["strTime", "Time", "High", "Open", "Low", "Close", "Volume"], rows : [] } var arrR = [] if (collecter.tableAvaliable) { arrR = collecter.getRecords() } for (var i = arrR.length - 1; (i > arrR.length - 1 - 9) && (i >= 0); i--) { var bar = arrR[i] rTbl.rows.push([_D(bar.Time), bar.Time, bar.High, bar.Open, bar.Low, bar.Close, bar.Volume]) } LogStatus(_D(), "获取的K线数据长度：", arrR.length, ", collecter.tableAvaliable:", collecter.tableAvaliable, "\n", "`" + JSON.stringify(rTbl) + "`") collecter.run(r) // 交互测试 var cmd = GetCommand() if(cmd) { // 处理交互 Log("交互命令：", cmd) var arr = cmd.split(":") // 从数据库中读取K线数据，刷新图表 if(arr[0] == "refreshRecords") { if (collecter.tableAvaliable) { var records = collecter.getRecords() $.PlotRecords(records, collecter.tableName) // 使用画线类库画图 } else { Log("对应的数据库表不存在 collecter.tableAvaliable:", collecter.tableAvaliable) } } else if (arr[0] == "deleteBDTable") { // 删除数据库表 collecter.deleteTable() } else if (arr[0] == "initCollecter") { // 初始化收集器 Log("初始化收集器") collecter.init(tableName) } } Sleep(5000) } }
测试
对比数据.net