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一个简单的SINA数据客户端，供程序初始化时使用

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msincenselee 2017-04-01 12:22:00 +08:00
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vn.trader/ctaAlgo/utilSinaClient.py Normal file
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# encoding: UTF-8
from __future__ import print_function
'''一个简单的SINA数据客户端，主要使用requests开发'''
import requests
from time import sleep
import execjs
from datetime import datetime,timedelta
from ctaBase import CtaBarData,CtaTickData
class UtilSinaClient(object):
# ----------------------------------------------------------------------
def __init__(self, strategy):
self.strategy = strategy
requests.adapters.DEFAULT_RETRIES = 5
self.session = requests.session()
self.session.keep_alive = False
def getTicks(self, symbol, callback):
# 从sina加载最新的M1数据
try:
url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures5MLine?symbol={0}'.format(
symbol)
self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, url))
responses = execjs.eval(self.session.get(url).content.decode('gbk').split('\n')[-1])
datevalue = datetime.now().strftime('%Y-%m-%d')
for j, day_item in enumerate(responses[str(symbol).upper()]):
for i, item in enumerate(day_item):
tick = CtaTickData()
tick.vtSymbol = symbol
tick.symbol = symbol
if len(item) >= 6:
datevalue = item[6]
tick.date = datevalue
tick.time = item[4] + u':00'
tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
tick.lastPrice = float(item[0])
tick.volume = int(item[2])
if type(item[3]) == type(None):
tick.openInterest = 0
else:
tick.openInterest = int(item[3])
callback(tick)
return True
except Exception as e:
self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e))
return False
def getMinBars(self, symbol, minute, callback):
"""# 从sina加载最新的M5,M15,M30,M60数据"""
if minute not in {5, 15, 30, 60}:
return False
sinaBars = []
try:
url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures{0}MinKLine?symbol={1}'.format(minute,symbol)
self.strategy.writeCtaLog(u'从sina下载{0}的{1}分钟数据 {2}'.format(symbol,minute, url))
responses = execjs.eval(self.session.get(url).content.decode('gbk').split('\n')[-1])
dayVolume = 0
for item in responses:
bar = CtaBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
# bar的close time
sinaDt = datetime.strptime(item[0], '%Y-%m-%d %H:%M:00')
if minute in {5, 15} and sinaDt.hour == 10 and sinaDt.minute == 30:
# 这个是sina的bug，它把10:15 ~10:30也包含进来了
continue
if minute == 60 and sinaDt.hour in {11,23,1,2} and sinaDt.minute == 30:
bar.datetime = sinaDt - timedelta(seconds=(minute /2)* 60)
else:
bar.datetime = sinaDt - timedelta(seconds=minute * 60)
bar.date = bar.datetime.strftime('%Y%m%d')
bar.tradingDay = bar.date # todo: 需要修改，晚上21点后，修改为next workingday
bar.time = bar.datetime.strftime('%H:%M:00')
bar.open = float(item[1])
bar.high = float(item[2])
bar.low = float(item[3])
bar.close = float(item[4])
bar.volume = int(item[5])
# 计算dayvolume
if not sinaBars:
dayVolume = bar.volume
else:
if sinaBars[-1].datetime.hour == 14 and bar.datetime.hour !=14:
dayVolume = bar.volume
else:
dayVolume += bar.volume
bar.dayVolume = dayVolume
sinaBars.append(bar)
if len(sinaBars)>0:
self.strategy.writeCtaLog(u'从sina读取了{0}条{1}分钟数据'.format(len(sinaBars),minute))
# 把sina的bar灌入回调函数
for bar in sinaBars:
callback(bar)
# 处理完毕，清空
sinaBars = []
return True
else:
self.strategy.writeCtaLog(u'从sina读取{0}分钟数据失败'.format(minute))
return False
except Exception as e:
self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败：'+str(e))
return False
def getDayBars(self, symbol, callback):
"""# 从sina加载最新的Day数据"""
sinaBars = []
try:
url = u'http://stock.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFuturesDailyKLine?symbol={0}'.format(symbol)
self.strategy.writeCtaLog(u'从sina下载{0}的日K数据 {1}'.format(symbol, url))
responses = execjs.eval(self.session.get(url).content.decode('gbk'))
dayVolume = 0
for item in responses:
bar = CtaBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
# bar的close time
bar.datetime = datetime.strptime(item['date'], '%Y-%m-%d')
bar.date = bar.datetime.strftime('%Y%m%d')
bar.tradingDay = bar.date # todo: 需要修改，晚上21点后，修改为next workingday
bar.time = bar.datetime.strftime('%H:%M:00')
bar.open = float(item['open'])
bar.high = float(item['high'])
bar.low = float(item['low'])
bar.close = float(item['close'])
bar.volume = int(item['volume'])
bar.dayVolume = bar.volume
sinaBars.append(bar)
if len(sinaBars)>0:
self.strategy.writeCtaLog(u'从sina读取了{0}条日线K数据'.format(len(sinaBars)))
# 把sina的bar灌入回调函数
for bar in sinaBars:
callback(bar)
# 处理完毕，清空
sinaBars = []
return True
else:
self.strategy.writeCtaLog(u'从sina读取日线K数据失败')
return False
except Exception as e:
self.strategy.writeCtaLog(u'加载Sina历史日线数据失败：'+str(e))
return False
class TestStrategy(object):
def __init__(self):
pass
def addBar(self, bar):
print(u'{0},o:{1},h:{2},l:{3},c:{4},v:{5}'.format(bar.datetime, bar.open, bar.high, bar.low, bar.close, bar.volume))
def addTick(self, tick):
print(u'{0},{1},ap:{2},av:{3},bp:{4},bv:{5}'.format(tick.datetime, tick.lastPrice, tick.askPrice1, tick.askVolume1, tick.bidPrice1, tick.bidVolume1))
def writeCtaLog(self, content):
print(content)
if __name__ == '__main__':
t = TestStrategy()
sina = UtilSinaClient(t)
#rt=sina.getDayBars(symbol='RB1705', callback=t.addBar)
#rt = sina.getMinBars(symbol='RB1705',minute = 5, callback=t.addBar)
rt = sina.getTicks(symbol='RB1705', callback=t.addTick)