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支持开始时间的下载数据

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This commit is contained in:
msincenselee 2018-10-10 18:39:06 +08:00
parent 766fe6f266
commit 1fce2735d2
1 changed files with 66 additions and 5 deletions
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71
vnpy/data/binance/binance_data.py
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@ -33,7 +33,7 @@ SYMBOL_LIST = ['ltc_btc', 'eth_btc', 'etc_btc', 'bch_btc', 'btc_usdt', 'eth_usdt
'etc_eth','bt1_btc','bt2_btc','btg_btc','qtum_btc','hsr_btc','neo_btc','gas_btc',
'qtum_usdt','hsr_usdt','neo_usdt','gas_usdt','bnb_usdt','eos_usdt']
from vnpy.api.binance.vnbinance import symbolFromOtherExchangesToBinance
class BinanceData(object):
# ----------------------------------------------------------------------
@ -74,6 +74,9 @@ class BinanceData(object):
return False,ret_bars
binance_symbol = symbol.upper().replace('_' , '')
# 转换一下
binance_symbol = symbolFromOtherExchangesToBinance(binance_symbol)
binance_period = PERIOD_MAPPING.get(period)
self.writeLog('{}开始下载binance:{} {}数据.'.format(datetime.now(), binance_symbol, binance_period))
@ -139,12 +142,51 @@ class BinanceData(object):
return ret_bars
binance_symbol = symbol.upper().replace('_', '')
# 转换一下
binance_symbol = symbolFromOtherExchangesToBinance(binance_symbol)
binance_period = PERIOD_MAPPING.get(period)
self.writeLog('{}开始下载binance:{} {}数据.'.format(datetime.now(), binance_symbol, binance_period))
if isinstance(start_dt,datetime):
start_timestamp = int(start_dt.timestamp()*1e3)
else:
start_timestamp = None
try:
bars = self.client.get_klines(symbol=binance_symbol, interval=binance_period)
bars = []
if start_timestamp is not None:
end_timestamp = int(datetime.now().timestamp()*1e3)
while start_timestamp <= end_timestamp:
try:
self.writeLog(u'从{} ~{} 下载 {}数据'
.format(datetime.fromtimestamp(start_timestamp/1e3),
datetime.fromtimestamp(end_timestamp/1e3), binance_symbol))
bars_per_loop = self.client.get_klines(symbol=binance_symbol, interval=binance_period,
startTime=start_timestamp,endTime=end_timestamp,limit=1000)
if len(bars_per_loop)==0:
self.writeLog(u'数据长度为0，结束')
break
# 更新开始时间，为这次取得最后一个值
start_timestamp = bars_per_loop[-1][0]
if len(bars)> 0:
while bars[-1][0] >= bars_per_loop[0][0]:
if len(bars_per_loop)==1:
bars_per_loop = []
start_timestamp = end_timestamp + 1
break
bars_per_loop = bars_per_loop[1:]
# 追加bars
bars.extend(bars_per_loop)
except Exception as ex:
self.writeError(u'下载数据{} {} 异常:{},{}'.format(binance_symbol,binance_period,str(ex),traceback.format_exc()))
break
else:
bars = self.client.get_klines(symbol=binance_symbol, interval=binance_period)
for i, bar in enumerate(bars):
add_bar = {}
try:
@ -175,8 +217,27 @@ class BinanceData(object):
if __name__ == '__main__':
binance_data = BinanceData()
bars = binance_data.download_bars(symbol='bnb_usdt', period='1day')
for bar in bars:
print(bar['datetime'])
# 下载最近500条日线数据
#bars = binance_data.download_bars(symbol='btc_usdt', period='1day')
#for bar in bars:
# print(bar['datetime'])
# 导出到csv文件
#import pandas as pd
#df = pd.DataFrame(bars)
#df.set_index('datetime')
#df.to_csv('btc_usdt_1day.csv',index=True)
start_date = datetime(year=2017,month=1,day=1)
bars = binance_data.download_bars(symbol='btc_usdt',start_dt=start_date, period='1min')
#for bar in bars:
# print('first bar time:{}'.format(bar['datetime']))
# break
# 导出到csv文件
import pandas as pd
df = pd.DataFrame(bars)
df.set_index('datetime')
df.to_csv('binance_btc_usdt_{}_{}_1min.csv'.format(start_date.strftime('%Y%m%d'),datetime.now().strftime('%Y%m%d')),index=True)