[Add]新增RQData的Tick下载功能
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vn.py
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372a879fce
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@ -7,9 +7,12 @@ from datetime import datetime
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from time import time, sleep
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from pymongo import MongoClient, ASCENDING
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import pandas as pd
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME, DAILY_DB_NAME
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from vnpy.trader.vtObject import VtBarData, VtTickData
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from vnpy.trader.app.ctaStrategy.ctaBase import (MINUTE_DB_NAME,
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DAILY_DB_NAME,
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TICK_DB_NAME)
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import rqdatac as rq
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@ -17,16 +20,13 @@ import rqdatac as rq
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config = open('config.json')
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setting = json.load(config)
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MONGO_HOST = setting['MONGO_HOST']
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MONGO_PORT = setting['MONGO_PORT']
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SYMBOLS = setting['SYMBOLS']
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mc = MongoClient() # Mongo连接
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dbMinute = mc[MINUTE_DB_NAME] # 数据库
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dbDaily = mc[DAILY_DB_NAME]
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dbTick = mc[TICK_DB_NAME]
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mc = MongoClient(MONGO_HOST, MONGO_PORT) # Mongo连接
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db = mc[MINUTE_DB_NAME] # 数据库
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db2 = mc[DAILY_DB_NAME]
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USERNAME = setting['USERNAME']
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PASSWORD = setting['PASSWORD']
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USERNAME = setting['rqUsername']
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PASSWORD = setting['rqPassword']
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rq.init(USERNAME, PASSWORD)
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FIELDS = ['open', 'high', 'low', 'close', 'volume']
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@ -49,12 +49,56 @@ def generateVtBar(row, symbol):
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return bar
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#----------------------------------------------------------------------
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def generateVtTick(row, symbol):
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"""生成K线"""
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tick = VtTickData()
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tick.symbol = symbol
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tick.vtSymbol = symbol
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tick.lastPrice = row['last']
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tick.volume = row['volume']
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tick.openInterest = row['open_interest']
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tick.datetime = row.name
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tick.openPrice = row['open']
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tick.highPrice = row['high']
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tick.lowPrice = row['low']
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tick.preClosePrice = row['prev_close']
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tick.upperLimit = row['limit_up']
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tick.lowerLimit = row['limit_down']
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tick.bidPrice1 = row['b1']
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tick.bidPrice2 = row['b2']
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tick.bidPrice3 = row['b3']
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tick.bidPrice4 = row['b4']
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tick.bidPrice5 = row['b5']
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tick.bidVolume1 = row['b1_v']
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tick.bidVolume2 = row['b2_v']
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tick.bidVolume3 = row['b3_v']
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tick.bidVolume4 = row['b4_v']
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tick.bidVolume5 = row['b5_v']
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tick.askPrice1 = row['a1']
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tick.askPrice2 = row['a2']
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tick.askPrice3 = row['a3']
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tick.askPrice4 = row['a4']
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tick.askPrice5 = row['a5']
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tick.askVolume1 = row['a1_v']
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tick.askVolume2 = row['a2_v']
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tick.askVolume3 = row['a3_v']
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tick.askVolume4 = row['a4_v']
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tick.askVolume5 = row['a5_v']
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return tick
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#----------------------------------------------------------------------
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def downloadMinuteBarBySymbol(symbol):
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"""下载某一合约的分钟线数据"""
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start = time()
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cl = db[symbol]
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cl = dbMinute[symbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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df = rq.get_price(symbol, frequency='1m', fields=FIELDS)
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@ -68,14 +112,14 @@ def downloadMinuteBarBySymbol(symbol):
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end = time()
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cost = (end - start) * 1000
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print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(symbol, df.index[0], df.index[-1], cost))
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print(u'合约%s的分钟K线数据下载完成%s - %s，耗时%s毫秒' %(symbol, df.index[0], df.index[-1], cost))
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#----------------------------------------------------------------------
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def downloadDailyBarBySymbol(symbol):
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"""下载某一合约日线数据"""
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start = time()
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cl = db2[symbol]
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cl = dbDaily[symbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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df = rq.get_price(symbol, frequency='1d', fields=FIELDS, end_date=datetime.now().strftime('%Y%m%d'))
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@ -89,36 +133,28 @@ def downloadDailyBarBySymbol(symbol):
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end = time()
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cost = (end - start) * 1000
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print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(symbol, df.index[0], df.index[-1], cost))
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print(u'合约%s的日K线数据下载完成%s - %s，耗时%s毫秒' %(symbol, df.index[0], df.index[-1], cost))
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#----------------------------------------------------------------------
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def downloadAllMinuteBar():
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"""下载所有配置中的合约的分钟线数据"""
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print('-' * 50)
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print(u'开始下载合约分钟线数据')
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print('-' * 50)
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def downloadTickBySymbol(symbol, date):
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"""下载某一合约日线数据"""
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start = time()
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# 添加下载任务
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for symbol in SYMBOLS:
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downloadMinuteBarBySymbol(str(symbol))
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cl = dbTick[symbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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print('-' * 50)
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print(u'合约分钟线数据下载完成')
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print('-' * 50)
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df = rq.get_price(symbol,
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frequency='tick',
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start_date=date,
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end_date=date)
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#----------------------------------------------------------------------
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def downloadAllDailyBar():
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"""下载所有配置中的合约的日数据"""
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print('-' * 50)
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print(u'开始下载合约日线数据')
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print('-' * 50)
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for ix, row in df.iterrows():
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tick = generateVtTick(row, symbol)
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d = tick.__dict__
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flt = {'datetime': tick.datetime}
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cl.replace_one(flt, d, True)
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# 添加下载任务
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for symbol in SYMBOLS:
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downloadDailyBarBySymbol(str(symbol))
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print('-' * 50)
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print(u'合约日线数据下载完成')
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print('-' * 50)
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end = time()
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cost = (end - start) * 1000
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print(u'合约%sTick数据下载完成%s - %s，耗时%s毫秒' %(symbol, df.index[0], df.index[-1], cost))
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@ -8,7 +8,8 @@ from dataService import *
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if __name__ == '__main__':
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downloadMinuteBarBySymbol('CU99')
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downloadDailyBarBySymbol('IF99')
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downloadDailyBarBySymbol('TA99')
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downloadDailyBarBySymbol('I99')
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#downloadMinuteBarBySymbol('CU99')
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#downloadDailyBarBySymbol('IF99')
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#downloadDailyBarBySymbol('TA99')
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#downloadDailyBarBySymbol('I99')
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downloadTickBySymbol('IF1901', '2018-12-21')
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@ -1,33 +0,0 @@
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# encoding: UTF-8
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"""
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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。
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"""
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from __future__ import print_function
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import time
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import datetime
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from dataService import downloadAllMinuteBar
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if __name__ == '__main__':
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taskCompletedDate = None
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# 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
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taskTime = datetime.time(hour=17, minute=0)
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# 进入主循环
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while True:
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t = datetime.datetime.now()
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# 每天到达任务下载时间后，执行数据下载的操作
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if t.time() > taskTime and (taskCompletedDate is None or t.date() != taskCompletedDate):
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downloadAllMinuteBar()
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# 更新任务完成的日期
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taskCompletedDate = t.date()
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else:
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print(u'当前时间%s，任务定时%s' %(t, taskTime))
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time.sleep(60)
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