vnpy/vn.trader/ctaStrategy/ctaHistoryData.py

# encoding: UTF-8

"""
本模块中主要包含：
1. 从通联数据下载历史行情的引擎
2. 用来把MultiCharts导出的历史数据载入到MongoDB中用的函数
3. 增加从通达信导出的历史数据载入到MongoDB中的函数
"""

from datetime import datetime, timedelta
import pymongo
from time import time
from multiprocessing.pool import ThreadPool

from ctaBase import *
from vtConstant import *
from vtFunction import loadMongoSetting
from datayesClient import DatayesClient


# 以下为vn.trader和通联数据规定的交易所代码映射 
VT_TO_DATAYES_EXCHANGE = {}
VT_TO_DATAYES_EXCHANGE[EXCHANGE_CFFEX] = 'CCFX'     # 中金所
VT_TO_DATAYES_EXCHANGE[EXCHANGE_SHFE] = 'XSGE'      # 上期所 
VT_TO_DATAYES_EXCHANGE[EXCHANGE_CZCE] = 'XZCE'       # 郑商所
VT_TO_DATAYES_EXCHANGE[EXCHANGE_DCE] = 'XDCE'       # 大商所
DATAYES_TO_VT_EXCHANGE = {v:k for k,v in VT_TO_DATAYES_EXCHANGE.items()}


########################################################################
class HistoryDataEngine(object):
    """CTA模块用的历史数据引擎"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        host, port, logging = loadMongoSetting()
        
        self.dbClient = pymongo.MongoClient(host, port)
        self.datayesClient = DatayesClient()
        
    #----------------------------------------------------------------------
    def lastTradeDate(self):
        """获取最近交易日（只考虑工作日，无法检查国内假期）"""
        today = datetime.now()
        oneday = timedelta(1)
        
        if today.weekday() == 5:
            today = today - oneday
        elif today.weekday() == 6:
            today = today - oneday*2        
        
        return today.strftime('%Y%m%d')
    
    #----------------------------------------------------------------------
    def readFuturesProductSymbol(self):
        """查询所有期货产品代码"""
        cx = self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].find()
        return set([d['productSymbol'] for d in cx])    # 这里返回的是集合（因为会重复）
    
    #----------------------------------------------------------------------
    def readFuturesSymbol(self):
        """查询所有期货合约代码"""
        cx = self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].find()
        return [d['symbol'] for d in cx]    # 这里返回的是列表
        
    #----------------------------------------------------------------------
    def downloadFuturesSymbol(self, tradeDate=''):
        """下载所有期货的代码"""
        if not tradeDate:
            tradeDate = self.lastTradeDate()
        
        self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].ensure_index([('symbol', pymongo.ASCENDING)], 
                                                                       unique=True)
        

        path = 'api/market/getMktMFutd.json'
        
        params = {}
        params['tradeDate'] = tradeDate
        
        data = self.datayesClient.downloadData(path, params)
        
        if data:
            for d in data:
                symbolDict = {}
                symbolDict['symbol'] = d['ticker']
                symbolDict['productSymbol'] = d['contractObject']
                flt = {'symbol': d['ticker']}
                
                self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].update_one(flt, {'$set':symbolDict}, 
                                                                           upsert=True)
            print u'期货合约代码下载完成'
        else:
            print u'期货合约代码下载失败'
        
    #----------------------------------------------------------------------
    def downloadFuturesDailyBar(self, symbol):
        """
        下载期货合约的日行情，symbol是合约代码，
        若最后四位为0000（如IF0000），代表下载连续合约。
        """
        print u'开始下载%s日行情' %symbol
        
        # 查询数据库中已有数据的最后日期
        cl = self.dbClient[DAILY_DB_NAME][symbol]
        cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
        if cx.count():
            last = cx[0]
        else:
            last = ''
        
        # 主力合约
        if '0000' in symbol:
            path = 'api/market/getMktMFutd.json'
            
            params = {}
            params['contractObject'] = symbol.replace('0000', '')
            params['mainCon'] = 1
            if last:
                params['startDate'] = last['date']
        # 交易合约
        else:
            path = 'api/market/getMktFutd.json'
            
            params = {}
            params['ticker'] = symbol
            if last:
                params['startDate'] = last['date']
        
        # 开始下载数据
        data = self.datayesClient.downloadData(path, params)
        
        if data:
            # 创建datetime索引
            self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                                      unique=True)                

            for d in data:
                bar = CtaBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
                    bar.open = d.get('openPrice', 0)
                    bar.high = d.get('highestPrice', 0)
                    bar.low = d.get('lowestPrice', 0)
                    bar.close = d.get('closePrice', 0)
                    bar.date = d.get('tradeDate', '').replace('-', '')
                    bar.time = ''
                    bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
                    bar.volume = d.get('turnoverVol', 0)
                    bar.openInterest = d.get('openInt', 0)
                except KeyError:
                    print d
                
                flt = {'datetime': bar.datetime}
                self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)            
            
                print u'%s下载完成' %symbol
        else:
            print u'找不到合约%s' %symbol
            
    #----------------------------------------------------------------------
    def downloadAllFuturesDailyBar(self):
        """下载所有期货的主力合约日行情"""
        start = time()
        print u'开始下载所有期货的主力合约日行情'
        
        productSymbolSet = self.readFuturesProductSymbol()
        
        print u'代码列表读取成功，产品代码：%s' %productSymbolSet
        
        # 这里也测试了线程池，但可能由于下载函数中涉及较多的数据格
        # 式转换，CPU开销较大，多线程效率并无显著改变。
        #p = ThreadPool(10)
        #p.map(self.downloadFuturesDailyBar, productSymbolSet)
        #p.close()
        #p.join()
        
        for productSymbol in productSymbolSet:
            self.downloadFuturesDailyBar(productSymbol+'0000')

        print u'所有期货的主力合约日行情已经全部下载完成, 耗时%s秒' %(time()-start)
        
    #----------------------------------------------------------------------
    def downloadFuturesIntradayBar(self, symbol):
        """下载期货的日内分钟行情"""
        print u'开始下载%s日内分钟行情' %symbol
                
        # 日内分钟行情只有具体合约
        path = 'api/market/getFutureBarRTIntraDay.json'
        
        params = {}
        params['instrumentID'] = symbol
        params['unit'] = 1
        
        data = self.datayesClient.downloadData(path, params)
        
        if data:
            today = datetime.now().strftime('%Y%m%d')
            
            # 创建datetime索引
            self.dbClient[MINUTE_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                                      unique=True)                

            for d in data:
                bar = CtaBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
                    bar.open = d.get('openPrice', 0)
                    bar.high = d.get('highestPrice', 0)
                    bar.low = d.get('lowestPrice', 0)
                    bar.close = d.get('closePrice', 0)
                    bar.date = today
                    bar.time = d.get('barTime', '')
                    bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M')
                    bar.volume = d.get('totalVolume', 0)
                    bar.openInterest = 0
                except KeyError:
                    print d
                
                flt = {'datetime': bar.datetime}
                self.dbClient[MINUTE_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)            
            
            print u'%s下载完成' %symbol
        else:
            print u'找不到合约%s' %symbol   

    #----------------------------------------------------------------------
    def downloadEquitySymbol(self, tradeDate=''):
        """下载所有股票的代码"""
        if not tradeDate:
            tradeDate = self.lastTradeDate()
        
        self.dbClient[SETTING_DB_NAME]['EquitySymbol'].ensure_index([('symbol', pymongo.ASCENDING)], 
                                                                       unique=True)
        

        path = 'api/market/getMktEqud.json'
        
        params = {}
        params['tradeDate'] = tradeDate
        
        data = self.datayesClient.downloadData(path, params)
        
        if data:
            for d in data:
                symbolDict = {}
                symbolDict['symbol'] = d['ticker']
                flt = {'symbol': d['ticker']}
                
                self.dbClient[SETTING_DB_NAME]['EquitySymbol'].update_one(flt, {'$set':symbolDict}, 
                                                                           upsert=True)
            print u'股票代码下载完成'
        else:
            print u'股票代码下载失败'
        
    #----------------------------------------------------------------------
    def downloadEquityDailyBar(self, symbol):
        """
        下载股票的日行情，symbol是股票代码
        """
        print u'开始下载%s日行情' %symbol
        
        # 查询数据库中已有数据的最后日期
        cl = self.dbClient[DAILY_DB_NAME][symbol]
        cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
        if cx.count():
            last = cx[0]
        else:
            last = ''
        
        # 开始下载数据
        path = 'api/market/getMktEqud.json'
            
        params = {}
        params['ticker'] = symbol
        if last:
            params['beginDate'] = last['date']
        
        data = self.datayesClient.downloadData(path, params)
        
        if data:
            # 创建datetime索引
            self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                                unique=True)                

            for d in data:
                bar = CtaBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
                    bar.open = d.get('openPrice', 0)
                    bar.high = d.get('highestPrice', 0)
                    bar.low = d.get('lowestPrice', 0)
                    bar.close = d.get('closePrice', 0)
                    bar.date = d.get('tradeDate', '').replace('-', '')
                    bar.time = ''
                    bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
                    bar.volume = d.get('turnoverVol', 0)
                except KeyError:
                    print d
                
                flt = {'datetime': bar.datetime}
                self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)            
            
            print u'%s下载完成' %symbol
        else:
            print u'找不到合约%s' %symbol    
        


#----------------------------------------------------------------------
def downloadEquityDailyBarts(self, symbol):
        """
        下载股票的日行情，symbol是股票代码
        """
        print u'开始下载%s日行情' %symbol
        
        # 查询数据库中已有数据的最后日期
        cl = self.dbClient[DAILY_DB_NAME][symbol]
        cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
        if cx.count():
            last = cx[0]
        else:
            last = ''
        # 开始下载数据
        import tushare as ts
        
        if last:
            start = last['date'][:4]+'-'+last['date'][4:6]+'-'+last['date'][6:]
            
        data = ts.get_k_data(symbol,start)
        
        if not data.empty:
            # 创建datetime索引
            self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                                unique=True)                
            
            for index, d in data.iterrows():
                bar = CtaBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.open = d.get('open')
                    bar.high = d.get('high')
                    bar.low = d.get('low')
                    bar.close = d.get('close')
                    bar.date = d.get('date').replace('-', '')
                    bar.time = ''
                    bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
                    bar.volume = d.get('volume')
                except KeyError:
                    print d
                
                flt = {'datetime': bar.datetime}
                self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)            
            
            print u'%s下载完成' %symbol
        else:
            print u'找不到合约%s' %symbol
#----------------------------------------------------------------------
def loadMcCsv(fileName, dbName, symbol):
    """将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
    import csv
    
    start = time()
    print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
    
    # 锁定集合，并创建索引
    host, port, logging = loadMongoSetting()
    
    client = pymongo.MongoClient(host, port)    
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)   
    
    # 读取数据和插入到数据库
    reader = csv.DictReader(file(fileName, 'r'))
    for d in reader:
        bar = CtaBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d['Open'])
        bar.high = float(d['High'])
        bar.low = float(d['Low'])
        bar.close = float(d['Close'])
        bar.date = datetime.strptime(d['Date'], '%Y-%m-%d').strftime('%Y%m%d')
        bar.time = d['Time']
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
        bar.volume = d['TotalVolume']

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)  
        print bar.date, bar.time
    
    print u'插入完毕，耗时：%s' % (time()-start)

#----------------------------------------------------------------------
def loadTdxCsv(fileName, dbName, symbol):
    """将通达信导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    import csv
    
    start = time()
    print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
    
    # 锁定集合，并创建索引
    host, port, logging = loadMongoSetting()
    
    client = pymongo.MongoClient(host, port)    
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)   
    
    # 读取数据和插入到数据库
    reader = csv.reader(file(fileName, 'r'))
    for d in reader:
        bar = CtaBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d[2])
        bar.high = float(d[3])
        bar.low = float(d[4])
        bar.close = float(d[5])
        bar.date = datetime.strptime(d[0], '%Y/%m/%d').strftime('%Y%m%d')
        bar.time = d[1][:2]+':'+d[1][2:4]+':00'
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
        bar.volume = d[6]
        bar.openInterest = d[7]

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)  
        print bar.date, bar.time
    
    print u'插入完毕，耗时：%s' % (time()-start)
    
#----------------------------------------------------------------------
def loadTBCsv(fileName, dbName, symbol):
    """将TradeBlazer导出的csv格式的历史数据插入到Mongo数据库中
        数据样本：
        //时间,开盘价,最高价,最低价,收盘价,成交量,持仓量
        2017/04/05 09:00,3200,3240,3173,3187,312690,2453850
    """
    import csv
    
    start = time()
    print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
    
    # 锁定集合，并创建索引
    host, port, logging = loadMongoSetting()
    
    client = pymongo.MongoClient(host, port)    
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
    
    # 读取数据和插入到数据库
    reader = csv.reader(file(fileName, 'r'))
    for d in reader:
        if len(d[0]) > 10:
            bar = CtaBarData()
            bar.vtSymbol = symbol
            bar.symbol = symbol
            
            bar.datetime = datetime.strptime(d[0], '%Y/%m/%d %H:%M')
            bar.date = bar.datetime.date().strftime('%Y%m%d')
            bar.time = bar.datetime.time().strftime('%H:%M:%S')
            
            bar.open = float(d[1])
            bar.high = float(d[2])
            bar.low = float(d[3])
            bar.close = float(d[4])
            
            bar.volume = float(d[5])
            bar.openInterest = float(d[6])

            flt = {'datetime': bar.datetime}
            collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
            print '%s \t %s' % (bar.date, bar.time)
    
    print u'插入完毕，耗时：%s' % (time()-start)
    
    
if __name__ == '__main__':
    ## 简单的测试脚本可以写在这里
    #from time import sleep
    #e = HistoryDataEngine()
    #sleep(1)
    #e.downloadEquityDailyBar('000001')
    #e.downloadEquityDailyBarts('000001')
    
    # 这里将项目中包含的股指日内分钟线csv导入MongoDB，作者电脑耗时大约3分钟
    loadMcCsv('IF0000_1min.csv', MINUTE_DB_NAME, 'IF0000')
    #导入通达信历史分钟数据
    #loadTdxCsv('CL8.csv', MINUTE_DB_NAME, 'c0000')