国内商品期货历史数据源

vnpy/trader/data_source.py

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+# 国内商品期货数据源
+# 华富资产 李来佳
+
+import pandas as pd
+import json
+import requests
+from datetime import datetime
+
+import os,sys
+ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
+if ROOT_PATH not in sys.path:
+    sys.path.append(ROOT_PATH)
+
+from vnpy.trader.vtGlobal import globalSetting
+
+class DataSource:
+    def __init__(self):
+        self.bar_url = None
+
+        if globalSetting['dataSource']:
+            self.bar_url = globalSetting['dataSource']
+        self.headers = {}
+
+        requests.adapters.DEFAULT_RETRIES = 5
+        session = requests.session()
+        session.keep_alive = False
+
+    def get_price(self, order_book_id, start_date, end_date, frequency, fields=[],
+                     skip_suspended=True, include_now=True,
+                     adjust_type='pre', adjust_orig=None):
+
+        if frequency not in ('1m', '5m', '15m', '30m', '60m', '1d'):
+            raise NotImplementedError
+        if self.bar_url is None:
+            raise NotImplementedError
+
+        fields_str = fields if isinstance(fields, str) else ",".join(fields)
+        values = {"order_book_id": order_book_id, "frequency": frequency, "include_now": include_now,
+                  "start_date": start_date, "end_date": end_date, "fields": fields_str}
+
+        rsp_data = ''
+        try:
+            rsp_data = requests.get(self.bar_url, params=values)
+        except Exception as e:
+            print( str(e),file=sys.stderr)
+
+        json_data = json.loads(rsp_data.content.decode("utf-8"))
+
+        df = pd.read_json(json_data, orient="index", typ="frame")
+        df.index.names = ['datetime']
+        if fields_str.strip() and fields_str.find(",") < 0:
+            df = df[fields_str]
+
+        #print df.columns
+        #print df
+        #print type(df)
+
+        return df
+
+if __name__ == '__main__':
+
+
+    d = DataSource()
+    fields = ['open', 'close', 'high', 'low',  'volume', 'open_interest', 'limit_up', 'limit_down', 'trading_date']
+    df = d.get_price('I1809',start_date='2018-02-01',end_date='2018-04-17',frequency='5m',fields = fields)
+    #df = d.get_price('ZC99', start_date='2017-01-01', end_date=datetime.now().strftime('%Y-%m-%d'), frequency='1m', fields=fields)
+
+    for idx in df.index:
+     row = df.loc[idx]
+     bartime = str(idx)
+     dt_timestamp = df['trading_date'].loc[idx]
+     #dt_bartime = df['datetime'].loc[idx]
+     print('bartime:{},trading_date:{}'.format(bartime,datetime.fromtimestamp(dt_timestamp/1e3).strftime('%Y-%m-%d')))