剥离excel_rtd模块

.flake8

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+[flake8]
+exclude = build,__pycache__,__init__.py
+ignore =
+    E501 line too long, fixed by black
+    W503 line break before binary operator

README.md

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 # vnpy_excelrtd
 vn.py框架的Excel RTD应用模块
+
+<p align="center">
+  <img src ="https://vnpy.oss-cn-shanghai.aliyuncs.com/vnpy-logo.png"/>
+</p>
+
+<p align="center">
+    <img src ="https://img.shields.io/badge/version-1.0.0-blueviolet.svg"/>
+    <img src ="https://img.shields.io/badge/platform-windows|linux|macos-yellow.svg"/>
+    <img src ="https://img.shields.io/badge/python-3.7-blue.svg" />
+    <img src ="https://img.shields.io/github/license/vnpy/vnpy.svg?color=orange"/>
+</p>
+
+## 说明
+
+RTD全称是RealTimeData，是微软提供的主要面向金融行业中实时数据需求设计的Excel数据对接方案，而ExcelRtd模块则是vn.py官方提供的用于实现在Excel中访问vn.py程序内任意数据信息的功能模块。
+
+## 安装
+
+安装需要基于2.7.0版本以上的[VN Studio](https://www.vnpy.com)。
+
+直接使用pip命令：
+
+```
+pip install vnpy_excelrtd
+```
+
+下载解压后在cmd中运行
+
+```
+python setup.py install
+```

setup.cfg

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+[metadata]
+name = vnpy_excelrtd
+version = 1.0.0
+url = https://www.vnpy.com
+license = MIT
+author = Xiaoyou Chen
+author_email = [email protected]
+description = excel RTD application for vn.py quant trading framework.
+long_description = file: README.md
+long_description_content_type = text/markdown
+keywords =
+    quant
+    quantitative
+    investment
+    trading
+    algotrading
+classifiers =
+    Development Status :: 5 - Production/Stable
+    Operating System :: OS Independent
+    Programming Language :: Python :: 3
+    Programming Language :: Python :: 3.7
+    Programming Language :: Python :: 3.8
+    Programming Language :: Python :: 3.9
+    Programming Language :: Python :: 3.10
+    Topic :: Office/Business :: Financial :: Investment
+    Programming Language :: Python :: Implementation :: CPython
+    License :: OSI Approved :: MIT License
+    Natural Language :: Chinese (Simplified)
+
+[options]
+packages = find:
+zip_safe = False
+install_requires =
+    importlib_metadata
+
+[options.package_data]
+* = *.ico

setup.py

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+from setuptools import setup
+
+setup()

vnpy_excelrtd/__init__.py

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+from pathlib import Path
+from vnpy.trader.app import BaseApp
+from .engine import RtdEngine, APP_NAME
+
+
+class ExcelRtdApp(BaseApp):
+    """"""
+    app_name = APP_NAME
+    app_module = __module__
+    app_path = Path(__file__).parent
+    display_name = "Excel RTD"
+    engine_class = RtdEngine
+    widget_name = "RtdManager"
+    icon_name = "rtd.ico"

vnpy_excelrtd/engine.py

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+""""""
+
+from typing import Set
+
+from vnpy.event import Event, EventEngine
+from vnpy.rpc import RpcServer
+from vnpy.trader.engine import BaseEngine, MainEngine
+from vnpy.trader.object import TickData, LogData, SubscribeRequest
+from vnpy.trader.event import EVENT_TICK
+
+
+APP_NAME = "ExcelRtd"
+
+EVENT_RTD_LOG = "eRtdLog"
+
+REP_ADDRESS = "tcp://*:9001"
+PUB_ADDRESS = "tcp://*:9002"
+
+
+class RtdEngine(BaseEngine):
+    """
+    The engine for managing RTD objects and data update.
+    """
+
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
+        """"""
+        super().__init__(main_engine, event_engine, APP_NAME)
+
+        self.server: RpcServer = RpcServer()
+        self.server.register(self.subscribe)
+        self.server.register(self.write_log)
+        self.server.start(REP_ADDRESS, PUB_ADDRESS)
+
+        self.subscribed: Set[str] = set()
+
+        self.register_event()
+
+    def register_event(self) -> None:
+        """
+        Register event handler.
+        """
+        self.event_engine.register(EVENT_TICK, self.process_tick_event)
+
+    def process_tick_event(self, event: Event) -> None:
+        """
+        Process tick event and update related RTD value.
+        """
+        tick: TickData = event.data
+        self.server.publish("tick", tick)
+
+    def write_log(self, msg: str) -> None:
+        """
+        Output RTD related log message.
+        """
+        log = LogData(msg=msg, gateway_name=APP_NAME)
+        event = Event(EVENT_RTD_LOG, log)
+        self.event_engine.put(event)
+
+    def subscribe(self, vt_symbol: str) -> None:
+        """
+        Subscribe tick data update.
+        """
+        contract = self.main_engine.get_contract(vt_symbol)
+        if not contract:
+            return
+
+        if vt_symbol in self.subscribed:
+            return
+        self.subscribed.add(vt_symbol)
+
+        req = SubscribeRequest(
+            contract.symbol,
+            contract.exchange
+        )
+        self.main_engine.subscribe(req, contract.gateway_name)
+
+    def close(self):
+        """"""
+        self.server.stop()
+        self.server.join()

vnpy_excelrtd/ui/__init__.py

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+from .widget import RtdManager

vnpy_excelrtd/ui/widget.py

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+from pathlib import Path
+
+from vnpy.event import EventEngine, Event
+from vnpy.trader.engine import MainEngine
+from vnpy.trader.ui import QtWidgets, QtCore
+from vnpy.trader.object import LogData
+from ..engine import APP_NAME, EVENT_RTD_LOG
+
+
+class RtdManager(QtWidgets.QWidget):
+    """"""
+    signal_log = QtCore.pyqtSignal(Event)
+
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
+        """"""
+        super().__init__()
+
+        self.main_engine = main_engine
+        self.event_engine = event_engine
+        self.rm_engine = main_engine.get_engine(APP_NAME)
+
+        self.init_ui()
+        self.register_event()
+
+    def init_ui(self) -> None:
+        """
+        Init widget ui components.
+        """
+        self.setWindowTitle("Excel RTD")
+        self.resize(600, 600)
+
+        module_path = Path(__file__).parent.parent
+        client_path = module_path.joinpath("vnpy_rtd.py")
+        self.client_line = QtWidgets.QLineEdit(str(client_path))
+        self.client_line.setReadOnly(True)
+
+        copy_button = QtWidgets.QPushButton("复制")
+        copy_button.clicked.connect(self.copy_client_path)
+
+        self.log_monitor = QtWidgets.QTextEdit()
+        self.log_monitor.setReadOnly(True)
+
+        self.port_label = QtWidgets.QLabel(
+            "使用Socket端口：请求回应9001、广播推送9002"
+        )
+
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addWidget(self.client_line)
+        hbox.addWidget(copy_button)
+
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addLayout(hbox)
+        vbox.addWidget(self.log_monitor)
+        vbox.addWidget(self.port_label)
+        self.setLayout(vbox)
+
+    def register_event(self) -> None:
+        """
+        Register event handler.
+        """
+        self.signal_log.connect(self.process_log_event)
+
+        self.event_engine.register(EVENT_RTD_LOG, self.signal_log.emit)
+
+    def process_log_event(self, event: Event) -> None:
+        """
+        Show log message in monitor.
+        """
+        log: LogData = event.data
+
+        msg = f"{log.time}: {log.msg}"
+        self.log_monitor.append(msg)
+
+    def copy_client_path(self) -> None:
+        """
+        Copy path of client python file to clipboard.
+        """
+        self.client_line.selectAll()
+        self.client_line.copy()

vnpy_excelrtd/vnpy_rtd.py

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+""""""
+
+from typing import Dict, Set, Any
+from collections import defaultdict
+
+from pyxll import RTD, xl_func
+
+from vnpy.rpc import RpcClient
+from vnpy.trader.object import TickData
+
+
+REQ_ADDRESS = "tcp://localhost:9001"
+SUB_ADDRESS = "tcp://localhost:9002"
+
+
+rtd_client: "RtdClient" = None
+
+
+class ObjectRtd(RTD):
+    """
+    RTD proxy for object in Python.
+    """
+
+    def __init__(self, engine: "RtdClient", name: str, field: str):
+        """Constructor"""
+        super().__init__(value=0)
+
+        self.engine = engine
+        self.name = name
+        self.field = field
+
+    def connect(self) -> None:
+        """
+        Callback when excel cell rtd is connected.
+        """
+        self.engine.add_rtd(self)
+
+    def disconnect(self) -> None:
+        """
+        Callback when excel cell rtd is disconncted.
+        """
+        self.engine.remove_rtd(self)
+
+    def update(self, data: Any) -> None:
+        """
+        Update value in excel cell.
+        """
+        new_value = getattr(data, self.field, "N/A")
+
+        if new_value != self.value:
+            self.value = new_value
+
+
+class RtdClient(RpcClient):
+    """
+    The engine for managing RTD objects and data update.
+    """
+
+    def __init__(self):
+        """"""
+        super().__init__()
+
+        self.rtds: Dict[str, Set[ObjectRtd]] = defaultdict(set)
+
+        global rtd_client
+        rtd_client = self
+
+    def callback(self, topic: str, data: Any) -> None:
+        """"""
+        tick: TickData = data
+        buf = self.rtds[tick.vt_symbol]
+
+        for rtd in buf:
+            rtd.update(tick)
+
+    def add_rtd(self, rtd: ObjectRtd) -> None:
+        """
+        Add a new RTD into the engine..
+        """
+        buf = self.rtds[rtd.name]
+        buf.add(rtd)
+        self.write_log(f"新增RTD连接：{rtd.name} {rtd.field}")
+
+        # Auto subscribe tick data
+        self.subscribe(rtd.name)
+
+    def remove_rtd(self, rtd: ObjectRtd) -> None:
+        """
+        Remove an existing RTD from the engine.
+        """
+        buf = self.rtds[self.name]
+        if self in buf:
+            buf.remove(rtd)
+            self.write_log(f"移除RTD连接：{rtd.name} {rtd.field}")
+
+
+def init_client() -> None:
+    """Initialize vnpy rtd client"""
+    global rtd_client
+    rtd_client = RtdClient()
+    rtd_client.subscribe_topic("")
+    rtd_client.start(REQ_ADDRESS, SUB_ADDRESS)
+
+
+@xl_func("string vt_symbol, string field: rtd")
+def rtd_tick_data(vt_symbol: str, field: str) -> ObjectRtd:
+    """
+    Return the streaming value of the tick data field.
+    """
+    if not rtd_client:
+        init_client()
+
+    rtd = ObjectRtd(rtd_client, vt_symbol, field)
+    return rtd