[Add]新增历史数据相关类和函数

vnpy/trader/language/chinese/constant.py

@@ -110,4 +110,14 @@ GATEWAYTYPE_EQUITY = 'equity'                   # 股票、ETF、债券
 GATEWAYTYPE_FUTURES = 'futures'                 # 期货、期权、贵金属
 GATEWAYTYPE_INTERNATIONAL = 'international'     # 外盘
 GATEWAYTYPE_BTC = 'btc'                         # 比特币
-GATEWAYTYPE_DATA = 'data'                       # 数据（非交易）
+GATEWAYTYPE_DATA = 'data'                       # 数据（非交易）
+
+# K线周期类型
+INTERVAL_1M = u'1分钟'
+INTERVAL_5M = u'5分钟'
+INTERVAL_15M = u'15分钟'
+INTERVAL_30M = u'30分钟'
+INTERVAL_1H = u'1小时'
+INTERVAL_4H = u'4小时'
+INTERVAL_DAILY = u'日线'
+INTERVAL_WEEKLY = u'周线'

vnpy/trader/language/english/constant.py

@@ -106,4 +106,15 @@ GATEWAYTYPE_EQUITY = 'equity'                   # 股票、ETF、债券
 GATEWAYTYPE_FUTURES = 'futures'                 # 期货、期权、贵金属
 GATEWAYTYPE_INTERNATIONAL = 'international'     # 外盘
 GATEWAYTYPE_BTC = 'btc'                         # 比特币
-GATEWAYTYPE_DATA = 'data'                       # 数据（非交易）
+GATEWAYTYPE_DATA = 'data'                       # 数据（非交易）
+
+
+# K线周期类型
+INTERVAL_1M = u'1-Minute'
+INTERVAL_5M = u'5-Minute'
+INTERVAL_15M = u'15-Minute'
+INTERVAL_30M = u'30-Minute'
+INTERVAL_1H = u'1-Hour'
+INTERVAL_4H = u'4-Hour'
+INTERVAL_DAILY = u'Daily'
+INTERVAL_WEEKLY = u'Weekly'

vnpy/trader/vtEvent.py

@@ -17,4 +17,5 @@ EVENT_ORDER = 'eOrder.'                 # 报单回报事件
 EVENT_POSITION = 'ePosition.'           # 持仓回报事件
 EVENT_ACCOUNT = 'eAccount.'             # 账户回报事件
 EVENT_CONTRACT = 'eContract.'           # 合约基础信息回报事件
-EVENT_ERROR = 'eError.'                 # 错误回报事件
+EVENT_ERROR = 'eError.'                 # 错误回报事件
+EVENT_HISTORY = 'eHistory.'             # K线数据查询回报事件

vnpy/trader/vtGateway.py

@@ -108,6 +108,13 @@ class VtGateway(object):
         event1.dict_['data'] = contract
         self.eventEngine.put(event1)        
     
+    #----------------------------------------------------------------------
+    def onHistory(self, history):
+        """历史数据推送"""
+        event = Event(EVENT_HISTORY)
+        event.dict_['data'] = history
+        self.eventEngine.put(event)
+    
     #----------------------------------------------------------------------
     def connect(self):
         """连接"""
@@ -138,6 +145,11 @@ class VtGateway(object):
         """查询持仓"""
         pass
     
+    #----------------------------------------------------------------------
+    def qryHistory(self, historyReq):
+        """查询历史"""
+        pass
+    
     #----------------------------------------------------------------------
     def close(self):
         """关闭"""

vnpy/trader/vtObject.py

@@ -265,6 +265,22 @@ class VtContractData(VtBaseData):
         self.expiryDate = EMPTY_STRING          # 到期日
 
 
+########################################################################
+class VtHistoryData(object):
+    """K线时间序列数据"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.vtSymbol = EMPTY_STRING    # vt系统代码
+        self.symbol = EMPTY_STRING      # 代码
+        self.exchange = EMPTY_STRING    # 交易所
+        
+        self.interval = EMPTY_UNICODE   # K线时间周期
+        self.queryID = EMPTY_STRING     # 查询号
+        self.barList = []               # VtBarData列表
+    
+
 ########################################################################
 class VtSubscribeReq(object):
     """订阅行情时传入的对象类"""
@@ -327,6 +343,22 @@ class VtCancelOrderReq(object):
         self.sessionID = EMPTY_STRING           # 会话号
 
 
+########################################################################
+class VtHistoryReq(object):
+    """查询历史数据时传入的对象类"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.symbol = EMPTY_STRING              # 代码
+        self.exchange = EMPTY_STRING            # 交易所
+        self.vtSymbol = EMPTY_STRING            # VT合约代码
+        
+        self.interval = EMPTY_UNICODE           # K线周期
+        self.start = None                       # 起始时间datetime对象
+        self.end = None                         # 结束时间datetime对象
+    
+
 ########################################################################
 class VtSingleton(type):
     """