Examples中新增上海中期历史行情下载服务

examples/CtaBacktesting/backtesting.ipynb

@@ -79,13 +79,13 @@
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "2017-06-02 16:07:31.265000\t开始载入数据\n",
-      "2017-06-02 16:07:31.423000\t载入完成，数据量：331890\n",
-      "2017-06-02 16:07:31.423000\t开始回测\n",
-      "2017-06-02 16:07:31.441000\t策略初始化完成\n",
-      "2017-06-02 16:07:31.441000\t策略启动完成\n",
-      "2017-06-02 16:07:31.442000\t开始回放数据\n",
-      "2017-06-02 16:07:54.738000\t数据回放结束\n"
+      "2017-07-06 23:15:17.471000\t开始载入数据\n",
+      "2017-07-06 23:15:17.485000\t载入完成，数据量：0\n",
+      "2017-07-06 23:15:17.485000\t开始回测\n",
+      "2017-07-06 23:15:17.485000\t策略初始化完成\n",
+      "2017-07-06 23:15:17.485000\t策略启动完成\n",
+      "2017-07-06 23:15:17.485000\t开始回放数据\n",
+      "2017-07-06 23:15:17.486000\t数据回放结束\n"
      ]
     }
    ],

examples/ShcifcoDataService/config.json

@@ -0,0 +1,11 @@
+{
+	"MONGO_HOST": "localhost",
+	"MONGO_PORT": 27017,
+
+	"SHCIFCO_IP": "180.169.126.123",
+	"SHCIFCO_PORT": "45065",
+	"SHCIFCO_TOKEN": "请联系上海中期申请",
+
+	"SYMBOLS": ["cu1707", "cu1708", "cu1709", "cu1712", 
+				"m1707", "m1708", "m1709", "m1712"]
+}

examples/ShcifcoDataService/dataService.py

@@ -0,0 +1,91 @@
+# encoding: UTF-8
+
+import json
+import time
+import datetime
+import random
+
+from pymongo import MongoClient, ASCENDING
+
+from vnpy.data.shcifco.vnshcifco import ShcifcoApi, PERIOD_1MIN
+from vnpy.trader.vtObject import VtBarData
+from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME
+
+
+# 加载配置
+config = open('config.json')
+setting = json.load(config)
+
+MONGO_HOST = setting['MONGO_HOST']
+MONGO_PORT = setting['MONGO_PORT']
+SHCIFCO_IP = setting['SHCIFCO_IP']
+SHCIFCO_PORT  = setting['SHCIFCO_PORT']
+SHCIFCO_TOKEN = setting['SHCIFCO_TOKEN']
+SYMBOLS = setting['SYMBOLS']
+
+api = ShcifcoApi(SHCIFCO_IP, SHCIFCO_PORT, SHCIFCO_TOKEN)       # 历史行情服务API对象
+mc = MongoClient(MONGO_HOST, MONGO_PORT)                        # Mongo连接
+db = mc[MINUTE_DB_NAME]                                         # 数据库
+
+
+#----------------------------------------------------------------------
+def generateVtBar(d):
+    """生成K线"""
+    bar = VtBarData()
+    
+    bar.symbol = d['symbol']
+    bar.vtSymbol = d['symbol']
+    bar.date = d['date']
+    bar.time = ':'.join([d['time'][:2], d['time'][2:]])
+    bar.open = d['open']
+    bar.high = d['high']
+    bar.low = d['low']
+    bar.close = d['close']
+    bar.volume = d['volume']
+    bar.openInterest = d['openInterest']
+    bar.datetime = datetime.datetime.strptime(' '.join([bar.date, bar.time]), '%Y%m%d %H:%M')    
+    
+    return bar
+
+#----------------------------------------------------------------------
+def downMinuteBarBySymbol(symbol, num):
+    """下载某一合约的分钟线数据"""
+    start = time.time()
+    
+    cl = db[symbol]                                                 # 集合
+    cl.ensure_index([('datetime', ASCENDING)], unique=True)         # 添加索引
+    
+    l = api.getHisBar(symbol, num, period=PERIOD_1MIN)
+    if not l:
+        print u'%s数据下载失败' %symbol
+        return
+    
+    for d in l:
+        bar = generateVtBar(d)
+        d = bar.__dict__
+        flt = {'datetime': bar.datetime}
+        cl.replace_one(flt, d, True)
+
+    end = time.time()
+    cost = (end - start) * 1000
+
+    print u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(symbol, generateVtBar(l[0]).datetime,
+                                                  generateVtBar(l[-1]).datetime, cost)
+
+#----------------------------------------------------------------------
+def downloadAllMinuteBar(num):
+    """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
+    
+    for symbol in SYMBOLS:
+        downMinuteBarBySymbol(symbol, num)
+        time.sleep(1)
+
+    print '-' * 50
+    print u'合约分钟线数据下载完成'
+    print '-' * 50
+
+
+    

examples/ShcifcoDataService/downloadData.py

@@ -0,0 +1,11 @@
+# encoding: UTF-8
+
+"""
+立即下载数据到数据库中，用于手动执行更新操作。
+"""
+
+from dataService import *
+
+
+if __name__ == '__main__':
+    downloadAllMinuteBar(1000)

examples/ShcifcoDataService/runService.py

@@ -0,0 +1,30 @@
+# encoding: UTF-8
+
+"""
+定时服务，可无人值守运行，实现每日自动下载更新历史行情数据到数据库中。
+"""
+
+from dataService import *
+
+
+if __name__ == '__main__':
+    taskCompletedDate = None
+    
+    # 生成一个随机的任务下载时间，用于避免所有用户在同一时间访问数据服务器
+    taskTime = datetime.time(hour=17, minute=random.randint(1,59))
+    
+    # 进入主循环
+    while True:
+        t = datetime.datetime.now()
+        
+        # 每天到达任务下载时间后，执行数据下载的操作
+        if t.time() > taskTime and (taskCompletedDate is None or t.date() != taskCompletedDate):
+            # 下载1000根分钟线数据，足以覆盖过去两天的行情
+            downloadAllMinuteBar(1000)
+            
+            # 更新任务完成的日期
+            taskCompletedDate = t.date()
+        else:
+            print u'当前时间%s，任务定时%s' %(t, taskTime)
+    
+        time.sleep(60)

vnpy/data/shcifco/test.py

@@ -4,9 +4,9 @@ from vnshcifco import ShcifcoApi, PERIOD_1MIN
 
 
 if __name__ == "__main__":
-    ip = '101.231.179.199'
-    port  = '10102'
-    token = 'testd2cda34b2d317779e812eb84ee4224a6_qpweqf1'
+    ip = '180.169.126.123'
+    port  = '45065'
+    token = '请联系上海中期申请'
     symbol = 'cu1709'
     
     # 创建API对象
@@ -22,6 +22,6 @@ if __name__ == "__main__":
     print api.getLastBar(symbol)
     
     # 获取历史分钟线
-    print api.getHisBar(symbol, 502, period=PERIOD_1MIN)
+    print api.getHisBar(symbol, 500, period=PERIOD_1MIN)