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| 部署一个处理期货交易数据的时间序列神经网络模型，机器、软件、数据收集如何做
做中国期货,3秒级，每天能有十次出入市就好
很好，可能是我表达不够清楚，我是要观察三秒或者五秒的K线，一次交易持仓可以在几分种几十分钟，知道5秒K线，30秒K线，1分钟K线组合显示要平仓或开仓
把“沪银 AG”做成一个完整示例
专门针对“沪银”的微结构alpha建模
给我中国期货3秒级交易系统项目目录和可运行代码骨架（CTP + LightGBM + 回测）
给我沪银微结构策略 v2（接近实盘）
帮做 v3 沪银微结构 v3（准实盘级）
v3的这些代码分别加在哪里，重新梳理下，或者给出各文件最终完整代码
ctp已经安装了vn.py,改了ctp/md_api.py：import logging
from vnpy_ctp.api import CtpMdApi, ApiStruct
class MdApiWrapper(CtpMdApi):
"""
基于 vnpy_ctp 封装的行情接口
"""
def __init__(self, config, on_tick_callback):
super().__init__()
self.config = config
self.on_tick = on_tick_callback
self.connection_status = False
self.login_status = False
# 记录已订阅的合约列表
self.subscribed_symbols = set()
# --- 核心回调接口 (Overriding CtpMdApi) ---
def onFrontConnected(self):
"""当网络连接建立时触发"""
logging.info("CTP行情前置连接成功")
self.connection_status = True
self.login()
def onFrontDisconnected(self, n: int):
"""当网络连接断开时触发"""
logging.warn(f"CTP行情连接断开，错误代码: {n}")
self.connection_status = False
self.login_status = False
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
"""登录请求响应"""
if error and error["ErrorID"] != 0:
logging.error(f"CTP登录失败: {error['ErrorMsg']}")
else:
logging.info(f"CTP登录成功: {data['UserID']}")
self.login_status = True
# 如果之前有订阅过的合约，重连后自动重新订阅
if self.subscribed_symbols:
self.subscribe(list(self.subscribed_symbols))
def onRtnDepthMarketData(self, data: dict):
"""
核心方法：当有新Tick行情时触发
vnpy 已经将 C++ 结构体转为了 Python 字典
"""
# 可以在这里做初步的数据清洗
tick = {
"symbol": data["InstrumentID"],
"last_price": data["LastPrice"],
"volume": data["Volume"],
"open_interest": data["OpenInterest"],
"datetime": f"{data['UpdateTime']}.{data['UpdateMillisec'] // 100}",
"bid_price_1": data["BidPrice1"],
"ask_price_1": data["AskPrice1"],
"bid_volume_1": data["BidVolume1"],
"ask_volume_1": data["AskVolume1"],
}
# 将数据推送到外部处理逻辑（如存入 data/raw_tick/）
self.on_tick(tick)
# --- 操作方法 ---
def login(self):
"""发送登录请求"""
req = {
"BrokerID": self.config.get("broker_id"),
"UserID": self.config.get("user_id"),
"Password": self.config.get("password"),
}
self.reqUserLogin(req, 1)
def subscribe(self, symbols: list):
"""订阅合约"""
if not self.login_status:
logging.warn("未登录成功，合约已记录，将在登录后尝试订阅")
for symbol in symbols:
self.subscribed_symbols.add(symbol)
if self.login_status:
self.subscribeMarketData(symbols)
logging.info(f"已发送订阅请求: {symbols}")
def connect(self):
"""初始化并启动 API"""
# 创建临时目录存放 CTP 生成的 .con 文件
import os
if not os.path.exists("temp"):
os.mkdir("temp")
self.createFtdcMdApi("temp/")
self.registerFront(self.config.get("md_address"))
self.init()
logging.info("CTP API 初始化完成")
uv run run/run_all.py
Traceback (most recent call last):
File "/root/ag_ctp_quant/run/run_all.py", line 3, in <module>
from feature.build_features import build_features
ModuleNotFoundError: No module named 'feature'
:~/ag_ctp_quant# uv run python -m run.run_all
Traceback (most recent call last):
File "<frozen runpy>", line 198, in _run_module_as_main
File "<frozen runpy>", line 88, in _run_code
File "/root/ag_ctp_quant/run/run_all.py", line 9, in <module>
df = pd.read_parquet("data/sample_tick.parquet")
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/io/parquet.py", line 671, in read_parquet
return impl.read(
^^^^^^^^^^
File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/io/parquet.py", line 253, in read
path_or_handle, handles, filesystem = _get_path_or_handle(
^^^^^^^^^^^^^^^^^^^^
File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/io/parquet.py", line 141, in _get_path_or_handle
handles = get_handle(
^^^^^^^^^^^
File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/io/common.py", line 935, in get_handle
handle = open(handle, ioargs.mode)
^^^^^^^^^^^^^^^^^^^^^^^^^
FileNotFoundError: [Errno 2] No such file or directory: 'data/sample_tick.parquet'
/ag_ctp_quant# uv run python -m run.run_all
Found files: []
Traceback (most recent call last):
File "<frozen runpy>", line 198, in _run_module_as_main
File "<frozen runpy>", line 88, in _run_code
File "/root/ag_ctp_quant/run/run_all.py", line 15, in <module>
df = pd.concat([pd.read_parquet(f) for f in files])
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/core/reshape/concat.py", line 407, in concat
objs, keys, ndims = _clean_keys_and_objs(objs, keys)
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/core/reshape/concat.py", line 808, in _clean_keys_and_objs
raise ValueError("No objects to concatenate")
ValueError: No objects to concatenate
from ctp.md_api import MdApiWrapper
:~/ag_ctp_quant# PYTHONPATH=. uv run python run/collect.py
Traceback (most recent call last):
File "/root/ag_ctp_quant/run/collect.py", line 3, in <module>
from ctp.md_api import MdApiWrapper
File "/root/ag_ctp_quant/ctp/md_api.py", line 3, in <module>
from vnpy_ctp.api import CtpMdApi
ImportError: cannot import name 'CtpMdApi' from 'vnpy_ctp.api' (/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/vnpy_ctp/api/__init__.py)
用vn.py重写collect
Connecting CTP...
2026-05-04 08:46:48.494 | INFO | MainEngine | 连接登录 -> CTP
2026-05-04 08:46:48.523 | INFO | CTP | 交易服务器连接成功
2026-05-04 08:46:48.525 | INFO | CTP | 行情服务器连接成功
terminate called after throwing an instance of 'std::runtime_error'
what(): locale::facet::_S_create_c_locale name not valid
z:~/ag_ctp_quant# LANG=en_US.UTF-8 LC_ALL=en_US.UTF-8 PYTHONPATH=. uv run python run/collect_vnpy.py
Connecting CTP...
2026-05-04 08:48:30.774 | INFO | MainEngine | 连接登录 -> CTP
2026-05-04 08:48:30.802 | INFO | CTP | 交易服务器连接成功
2026-05-04 08:48:30.805 | INFO | CTP | 行情服务器连接成功
terminate called after throwing an instance of 'std::runtime_error'
what(): locale::facet::_S_create_c_locale name not valid
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant#
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# what(): locale::facet::_S_create_c_locale name not valid
-bash: syntax error near unexpected token :'
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# LANG=en_US.UTF-8 LC_ALL=en_US.UTF-8 PYTHONPATH=. uv run python run/collect_vnpy.py
Connecting CTP...
2026-05-04 08:48:30.774 | INFO | MainEngine | 连接登录 -> CTP
2026-05-04 08:48:30.802 | INFO | CTP | 交易服务器连接成功
2026-05-04 08:48:30.805 | INFO | CTP | 行情服务器连接成功
terminate called after throwing an instance of 'std::runtime_error'
what(): locale::facet::_S_create_c_locale name not valid
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# apt update
Hit:1 http://mirrors.ivolces.com/ubuntu focal InRelease
Hit:2 http://mirrors.ivolces.com/ubuntu focal-security InRelease
Hit:3 http://mirrors.ivolces.com/ubuntu focal-updates InRelease
Hit:4 http://mirrors.ivolces.com/ubuntu focal-backports InRelease
Reading package lists... Done
Building dependency tree
Reading state information... Done
All packages are up to date.
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# apt install -y locales
Reading package lists... Done
Building dependency tree
Reading state information... Done
locales is already the newest version (2.31-0ubuntu9.18).
locales set to manually installed.
The following packages were automatically installed and are no longer required:
libdw1 libnuma1
Use 'apt autoremove' to remove them.
0 upgraded, 0 newly installed, 0 to remove and 0 not upgraded.
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# dpkg-reconfigure locales
Generating locales (this might take a while)...
en_US.UTF-8... done
Generation complete.
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# locale-gen en_US.UTF-8
Generating locales (this might take a while)...
en_US.UTF-8... done
Generation complete.
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# update-locale LANG=en_US.UTF-8locale -a
Unknown option: a
*** update-locale: Error: invalid locale settings: LANG=en_US.UTF-8locale
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# locale-gen en_US.UTF-8^C
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# locale-gen en_US.UTF-8
Generating locales (this might take a while)...
en_US.UTF-8... done
Generation complete.
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# update-locale LANG=en_US.UTF-8
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# locale -a
C
C.UTF-8
en_US.utf8
POSIX
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# PYTHONPATH=. uv run python run/collect_vnpy.py
Connecting CTP...
2026-05-04 08:53:38.170 | INFO | MainEngine | 连接登录 -> CTP
2026-05-04 08:53:38.201 | INFO | CTP | 行情服务器连接成功
2026-05-04 08:53:38.202 | INFO | CTP | 交易服务器连接成功
terminate called after throwing an instance of 'std::runtime_error'
what(): locale::facet::_S_create_c_locale name not valid
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# export LANG=en_US.UTF-8
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# PYTHONPATH=. uv run python run/collect_vnpy.py
Connecting CTP...
2026-05-04 08:54:01.572 | INFO | MainEngine | 连接登录 -> CTP
2026-05-04 08:54:01.604 | INFO | CTP | 交易服务器连接成功
2026-05-04 08:54:01.606 | INFO | CTP | 行情服务器连接成功
terminate called after throwing an instance of 'std::runtime_error'
what(): locale::facet::_S_create_c_locale name not valid
root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant#
用的是uv,降python
|