diff --git a/vnpy/data/bitmex/__init__.py b/vnpy/data/bitmex/__init__.py
new file mode 100644
index 00000000..e69de29b
diff --git a/vnpy/data/bitmex/bitmex_data.py b/vnpy/data/bitmex/bitmex_data.py
new file mode 100644
index 00000000..2e9f15ba
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+++ b/vnpy/data/bitmex/bitmex_data.py
@@ -0,0 +1,254 @@
+# encoding: UTF-8
+
+# 从bitmex下载数据
+from datetime import datetime, timezone,timedelta
+from time import time
+import sys
+import requests
+import execjs
+import traceback
+import hashlib
+import hmac
+from urllib.parse import urlencode
+from collections import  OrderedDict
+from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData
+
+period_list = ['1min','5min','1day','1hour']
+
+class BitmexData(object):
+    # ----------------------------------------------------------------------
+    def __init__(self, strategy=None,apiKey=None,apiSecret=None):
+        """
+        构造函数
+        :param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
+        """
+        self.strategy = strategy
+        self.apiKey = apiKey
+        self.apiSecret = apiSecret
+
+        # 设置HTTP请求的尝试次数，建立连接session
+        self.session = requests.session()
+        self.session.keep_alive = False
+
+    # ----------------------------------------------------------------------
+    def generateSignature(self, method, path, expires, params=None, body=None):
+        """生成签名"""
+        # 对params在HTTP报文路径中，以请求字段方式序列化
+        if params:
+            query = urlencode(sorted(params.items()))
+            path = path + '?' + query
+
+        if body is None:
+            body = ''
+
+        msg = method + '/api/v1' + path + str(expires) + body
+        signature = hmac.new(self.apiSecret.encode('utf-8'), msg.encode('utf-8'),
+                             digestmod=hashlib.sha256).hexdigest()
+
+        return signature
+
+    def writeLog(self,content):
+        if self.strategy and hasattr(self.strategy,'writeCtaLog'):
+            self.strategy.writeCtaLog(content)
+        else:
+            print(content)
+
+    def writeError(self,content):
+        if self.strategy:
+            self.strategy.writeCtaError(content)
+        else:
+            print(content,file=sys.stderr)
+
+    def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
+        """
+        返回k线数据
+        symbol：合约
+        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
+        """
+        ret_bars = []
+        if period not in period_list:
+            self.strategy.writeCtaError('{} not in {}'.format(period,period_list))
+            return False,ret_bars
+
+        period = period.replace('min','m').replace('hour','h').replace('day','d')
+        count = 750
+        if start_dt is None:
+            if period=='1d':
+                start_dt = datetime.utcnow() - timedelta(days=count-1)
+            elif period=='1h':
+                print(u'utc now():{}'.format(datetime.utcnow()))
+                start_dt = datetime.utcnow() - timedelta(hours=count-1)
+                print(u'start_dt():{}'.format(start_dt))
+            elif period == '5m':
+                start_dt = datetime.utcnow() - timedelta(minutes=(count-1) * 5)
+            else:
+                start_dt = datetime.utcnow() - timedelta(minutes=count-1)
+
+        path = '/trade/bucketed'
+        url = u'https://www.bitmex.com/api/v1'+path
+        params = {'binSize':period,'partial':True,'symbol':symbol,'startTime':start_dt.strftime('%Y-%m-%d %H:%M'),'count':count}
+
+        params = OrderedDict(sorted(params.items()))
+
+        expires = int(time() + 5)
+        rq = requests.Request(url=url)
+        p = rq.prepare()
+
+        header = {
+            'Content-Type': 'application/x-www-form-urlencoded',
+            'Accept': 'application/json',
+            'api-expires': str(expires),
+            'api-key':self.apiKey,
+            'api-signature': self.generateSignature('GET', path, expires, params, body=p.body)
+        }
+        print(header)
+
+        session = requests.Session()
+        resp = session.request('GET', url, headers=header, params=params,data=None)
+
+        self.writeLog('{}开始下载:{} {}数据.开始时间:{} URL:{}'.format(datetime.now(), symbol, period,start_dt,url))
+
+        bars = None
+        code = resp.status_code
+        bars = resp.json()
+        if code != 200:
+            self.strategy.writeCtaError('get_bars {},{}'.format(code, bars))
+            return False, ret_bars
+
+        bar_len = len(bars)
+        self.writeLog(u'共下载:{}条'.format(bar_len))
+        for i, bar in enumerate(bars):
+            add_bar = CtaBarData()
+            try:
+                add_bar.vtSymbol = symbol
+                add_bar.symbol = symbol
+
+                utc_str_time = bar.get('timestamp').replace('T',' ').replace('Z','')
+                utc_datetime = datetime.strptime(utc_str_time,'%Y-%m-%d %H:%M:%S.%f')
+
+                add_bar.datetime = utc_datetime + timedelta(hours=8)
+                # 时区得调整 +8
+                if period == '1h':
+                    add_bar.datetime = add_bar.datetime - timedelta(hours=1)
+                elif period == '5m':
+                    add_bar.datetime = add_bar.datetime - timedelta(minutes=5)
+                elif period == '1m':
+                    add_bar.datetime = add_bar.datetime - timedelta(minutes=1)
+
+                # bitmex是以bar得结束时间，作为bar得datetime，vnpy是以bar得开始时间作为datetime
+
+                add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
+                add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
+                add_bar.tradingDay = add_bar.date
+                add_bar.open = float(bar.get('open', 0.0))
+                add_bar.high = float(bar.get('high', 0.0))
+                add_bar.low = float(bar.get('low', 0.0))
+                add_bar.close = float(bar.get('close', 0.0))
+                add_bar.volume = float(bar.get('volume', 0.0))
+                ret_bars.append(add_bar)
+            except Exception as ex:
+                self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
+                return False,ret_bars
+
+            if start_dt is not None and add_bar.datetime < start_dt:
+                continue
+
+            if callback is not None:
+                # 最后一个bar，可能是不完整的，强制修改
+                if i == bar_len -1 and bar_is_completed:
+                    # 根据秒数算的话，要+1，例如13:31,freq=31，第31根bar
+                    freq = int((datetime.now() - add_bar.datetime).total_seconds()/60)+1
+                    callback(add_bar,False,freq)
+                else:
+                    callback(add_bar, bar_is_completed, bar_freq)
+
+        return True,ret_bars
+
+    def download_bars(self, symbol, period, size_=None, start_dt=None):
+        """
+        返回k线数据
+        symbol：合约
+        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
+        """
+        ret_bars = []
+
+        url = u'https://www.okex.com/api/v1/kline.do?symbol={}&type={}'.format(symbol, period)
+        if isinstance(size_,int):
+            url = url + u'&size={}'.format(size_)
+        if start_dt is not None and isinstance(start_dt,datetime):
+            url = url + u'&since={}'.format(int(start_dt.timestamp()*1000))
+        self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period,url))
+
+        content = None
+        try:
+            content = self.session.get(url).content.decode('gbk')
+        except Exception as ex:
+            self.writeError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
+            return ret_bars
+
+        bars = execjs.eval(content)
+
+        if not isinstance(bars,list):
+            self.writeError('返回数据不是list:{}'.format(content))
+            return ret_bars
+
+        for i, bar in enumerate(bars):
+            if len(bar) < 5:
+                self.writeError('error when get bar:{}'.format(bar))
+                return ret_bars
+            if i == 0:
+                continue
+            add_bar = {}
+            try:
+
+                bar_datetime= datetime.fromtimestamp(bar[0] / 1000)
+                add_bar['datetime'] = bar_datetime.strftime('%Y-%m-%d %H:%M:%S')
+                add_bar['date'] = bar_datetime.strftime('%Y-%m-%d')
+                add_bar['time'] = bar_datetime.strftime('%H:%M:%S')
+                add_bar['open'] = float(bar[1])
+                add_bar['high'] = float(bar[2])
+                add_bar['low'] = float(bar[3])
+                add_bar['close'] = float(bar[4])
+                add_bar['volume'] = float(bar[5])
+            except Exception as ex:
+                self.writeError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
+
+            ret_bars.append(add_bar)
+
+        return ret_bars
+
+
+class TestStrategy(object):
+
+    def __init__(self):
+
+        self.minDiff = 1
+        self.shortSymbol = 'btc'
+        self.vtSymbol = 'btc'
+
+        self.TMinuteInterval = 1
+    def addBar(self,bar,bar_is_completed, bar_freq):
+        print(u'tradingDay:{},dt:{},{} o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay, bar.datetime,bar.vtSymbol, bar.open, bar.high,
+                                                                     bar.low, bar.close, bar.volume))
+    def onBar(self, bar):
+        print(u'tradingDay:{},dt:{},{} o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay,bar.datetime,bar.vtSymbol, bar.open, bar.high, bar.low, bar.close, bar.volume))
+
+    def writeCtaLog(self, content):
+        print(content)
+
+    def writeCtaError(self, content):
+        print(content)
+
+if __name__ == '__main__':
+    t = TestStrategy()
+    # 这里要用生产系统的API，不要用testnet的API, 生产和testnet的行情不一样的。
+    API_KEY = 'xx'
+    API_SECRET = 'xxx-xxx-xx'
+
+    bitmex_data = BitmexData(t,API_KEY,API_SECRET)
+
+    #bitmex_data.get_bars(symbol='XBTUSD',period='1hour',callback=t.addBar,bar_is_completed=True,bar_freq=60)
+    bitmex_data.get_bars(symbol='XBTUSD',period='5min',callback=t.addBar,bar_is_completed=True,bar_freq=60)
+
+
+