93 lines
2.4 KiB
Python
93 lines
2.4 KiB
Python
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# encoding: UTF-8
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from __future__ import print_function
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import sys
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import json
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from datetime import datetime
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from time import time, sleep
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from pymongo import MongoClient, ASCENDING
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME
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import rqdatac as rq
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# 加载配置
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config = open('config.json')
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setting = json.load(config)
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MONGO_HOST = setting['MONGO_HOST']
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MONGO_PORT = setting['MONGO_PORT']
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SYMBOLS = setting['SYMBOLS']
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mc = MongoClient(MONGO_HOST, MONGO_PORT) # Mongo连接
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db = mc[MINUTE_DB_NAME] # 数据库
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USERNAME = setting['USERNAME']
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PASSWORD = setting['PASSWORD']
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rq.init(USERNAME, PASSWORD)
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FIELDS = ['open', 'high', 'low', 'close', 'volume']
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#print (rq.all_instruments(type='Future'))
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#print(rq.get_price('IF99', frequency='1m', fields=FIELDS))
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#----------------------------------------------------------------------
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def generateVtBar(row, symbol):
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"""生成K线"""
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bar = VtBarData()
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bar.symbol = symbol
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bar.vtSymbol = symbol
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bar.open = row['open']
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bar.high = row['high']
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bar.low = row['low']
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bar.close = row['close']
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bar.volume = row['volume']
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bar.datetime = row.name
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bar.date = bar.datetime.strftime("%Y%m%d")
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bar.time = bar.datetime.strftime("%H:%M:%S")
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return bar
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#----------------------------------------------------------------------
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def downMinuteBarBySymbol(symbol):
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"""下载某一合约的分钟线数据"""
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start = time()
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cl = db[symbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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df = rq.get_price(symbol, frequency='1m', fields=FIELDS)
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for ix, row in df.iterrows():
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bar = generateVtBar(row, symbol)
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d = bar.__dict__
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flt = {'datetime': bar.datetime}
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cl.replace_one(flt, d, True)
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end = time()
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cost = (end - start) * 1000
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print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(symbol, df.index[0], df.index[-1], cost))
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#----------------------------------------------------------------------
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def downloadAllMinuteBar():
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"""下载所有配置中的合约的分钟线数据"""
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print('-' * 50)
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print(u'开始下载合约分钟线数据')
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print('-' * 50)
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# 添加下载任务
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for symbol in SYMBOLS:
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downMinuteBarBySymbol(str(symbol))
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print('-' * 50)
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print(u'合约分钟线数据下载完成')
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print('-' * 50)
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