94 lines
2.6 KiB
Python
94 lines
2.6 KiB
Python
|
# encoding: UTF-8
|
||
|
|
|
||
|
|
import sys
|
||
|
|
import json
|
||
|
|
from datetime import datetime, timedelta
|
||
|
|
from time import time, sleep
|
||
|
|
|
||
|
|
from pymongo import MongoClient, ASCENDING
|
||
|
|
|
||
|
|
from vnpy.trader.vtObject import VtBarData
|
||
|
|
from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME
|
||
|
|
|
||
|
|
import futuquant as ft
|
||
|
|
|
||
|
|
# 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
|
||
|
|
quote = ft.OpenQuoteContext() # 富途行情接口
|
||
|
|
today = datetime.now().date()
|
||
|
|
startDate = (today - timedelta(10)).strftime('%Y-%m-%d') # 数据下载起始日期
|
||
|
|
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def generateVtBar(row):
|
||
|
|
"""生成K线"""
|
||
|
|
bar = VtBarData()
|
||
|
|
|
||
|
|
bar.symbol = row['code']
|
||
|
|
bar.exchange = ''
|
||
|
|
bar.vtSymbol = bar.symbol
|
||
|
|
bar.open = row['open']
|
||
|
|
bar.high = row['high']
|
||
|
|
bar.low = row['low']
|
||
|
|
bar.close = row['close']
|
||
|
|
bar.volume = row['volume']
|
||
|
|
bar.datetime = datetime.strptime(row['time_key'], '%Y-%m-%d %H:%M:%S')
|
||
|
|
bar.date = bar.datetime.strftime("%Y%m%d")
|
||
|
|
bar.time = bar.datetime.strftime("%H:%M:%S")
|
||
|
|
|
||
|
|
return bar
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def downMinuteBarBySymbol(symbol):
|
||
|
|
"""下载某一合约的分钟线数据"""
|
||
|
|
start = time()
|
||
|
|
|
||
|
|
cl = db[symbol]
|
||
|
|
cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
|
||
|
|
|
||
|
|
code, data = quote.get_history_kline(symbol, start=startDate, ktype='K_1M')
|
||
|
|
if code:
|
||
|
|
print u'合约%s数据下载失败：%s' %(symbol, data)
|
||
|
|
return
|
||
|
|
|
||
|
|
data = data.sort_index()
|
||
|
|
|
||
|
|
for ix, row in data.iterrows():
|
||
|
|
bar = generateVtBar(row)
|
||
|
|
d = bar.__dict__
|
||
|
|
flt = {'datetime': bar.datetime}
|
||
|
|
cl.replace_one(flt, d, True)
|
||
|
|
|
||
|
|
end = time()
|
||
|
|
cost = (end - start) * 1000
|
||
|
|
|
||
|
|
print u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(symbol, data.iloc[0]['time_key'],
|
||
|
|
data.iloc[-1]['time_key'], cost)
|
||
|
|
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def downloadAllMinuteBar():
|
||
|
|
"""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
|
||
|
|
|
||
|
|
# 添加下载任务
|
||
|
|
for symbol in SYMBOLS:
|
||
|
|
downMinuteBarBySymbol(str(symbol))
|
||
|
|
|
||
|
|
print '-' * 50
|
||
|
|
print u'合约分钟线数据下载完成'
|
||
|
|
print '-' * 50
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
|