vnpy/examples/DataService/CccDataService/dataService.py

# encoding: UTF-8

from __future__ import print_function

import json
import time
import datetime

import requests
from pymongo import MongoClient, ASCENDING

from vnpy.trader.vtObject import VtBarData
from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME, DAILY_DB_NAME


# 加载配置
config = open('config.json')
setting = json.load(config)

MONGO_HOST = setting['MONGO_HOST']
MONGO_PORT = setting['MONGO_PORT']
SYMBOLS = setting['SYMBOLS']

mc = MongoClient(MONGO_HOST, MONGO_PORT)                        # Mongo连接
db = mc[MINUTE_DB_NAME]                                         # 数据库
dbDaily = mc[DAILY_DB_NAME]

#----------------------------------------------------------------------
def generateVtBar(vtSymbol, d):
    """生成K线"""
    bar = VtBarData()
    bar.vtSymbol = vtSymbol
    bar.symbol, bar.exchange = bar.vtSymbol.split('.')
    
    bar.datetime = datetime.datetime.fromtimestamp(d['time'])
    bar.date = bar.datetime.strftime('%Y%m%d')
    bar.time = bar.datetime.strftime('%H:%M:%S')
    
    bar.open = d['open']
    bar.high = d['high']
    bar.low = d['low']
    bar.close = d['close']
    bar.volume = d['volumeto']
    
    return bar

#----------------------------------------------------------------------
def downloadMinuteBarBySymbol(vtSymbol, end):
    """下载某一合约的分钟线数据"""
    end = datetime.datetime.strptime(end, '%Y%m%d')
    startTime = time.time()
    
    cl = db[vtSymbol]                                                 
    cl.ensure_index([('datetime', ASCENDING)], unique=True)         
    
    symbol, exchange = vtSymbol.split('.')
    fsym, tsym = symbol.split('/')
    
    url = 'https://min-api.cryptocompare.com/data/histominute'
    params = {
        'fsym': fsym,
        'tsym': tsym,
        'e': exchange,
        'toTs': int(time.mktime(end.timetuple()))
    }
    resp = requests.get(url, headers={}, params=params)
    
    if resp.status_code != 200:
        print(u'%s数据下载失败' %vtSymbol)
        return
    
    j = resp.json()
    l = j['Data']
    
    for d in l:
        bar = generateVtBar(vtSymbol, d)
        d = bar.__dict__
        flt = {'datetime': bar.datetime}
        cl.replace_one(flt, d, True)
        
    endTime = time.time()
    cost = (endTime - startTime) * 1000
    
    
    print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(vtSymbol, 
                                                    datetime.datetime.fromtimestamp(l[0]['time']),
                                                    datetime.datetime.fromtimestamp(l[-1]['time']), 
                                                    cost))

#----------------------------------------------------------------------
def downloadDailyBarBySymbol(vtSymbol):
    """下载某一合约的分钟线数据"""
    startTime = time.time()
    
    cl = dbDaily[vtSymbol]                                                 
    cl.ensure_index([('datetime', ASCENDING)], unique=True)         
    
    symbol, exchange = vtSymbol.split('.')
    fsym, tsym = symbol.split('/')
    
    url = 'https://min-api.cryptocompare.com/data/histoday'
    params = {
        'fsym': fsym,
        'tsym': tsym,
        'e': exchange,
        'limit': 2000
    }
    resp = requests.get(url, headers={}, params=params)
    
    if resp.status_code != 200:
        print(u'%s数据下载失败' %vtSymbol)
        return
    
    j = resp.json()
    l = j['Data']
    
    for d in l:
        bar = generateVtBar(vtSymbol, d)
        d = bar.__dict__
        flt = {'datetime': bar.datetime}
        cl.replace_one(flt, d, True)
        
    endTime = time.time()
    cost = (endTime - startTime) * 1000
    
    
    print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(vtSymbol, 
                                                    datetime.datetime.fromtimestamp(l[0]['time']),
                                                    datetime.datetime.fromtimestamp(l[-1]['time']), 
                                                    cost))


#----------------------------------------------------------------------
def downloadAllMinuteBar(end):
    """下载所有配置中的合约的分钟线数据"""
    print('-' * 50)
    print(u'开始下载合约分钟线数据')
    print('-' * 50)
    
    for symbol in SYMBOLS:
        downloadMinuteBarBySymbol(symbol, end)
        time.sleep(1)

    print('-' * 50)
    print(u'合约分钟线数据下载完成')
    print('-' * 50)