增加开始时间的过滤
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msincenselee
parent
f1850175cc
commit
5868c55908
@ -10,7 +10,7 @@ from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData
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class UtilSinaClient(object):
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"""
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SINA数据客户端，主要使用requests开发
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v1.1 增加start_dt参数，在这个时间点之前的bar全部忽略
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"""
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# ----------------------------------------------------------------------
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def __init__(self, strategy):
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@ -25,11 +25,12 @@ class UtilSinaClient(object):
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self.session = requests.session()
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self.session.keep_alive = False
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def getTicks(self, symbol, callback):
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def getTicks(self, symbol, callback,start_dt=None):
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"""
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从sina加载最新的分时数据（Min1)数据
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:param symbol: 合约代码（全路径得合约名称,先使用ctaTemplate.getFullSymbol()
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:param callback: 回调函数
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:param start_dt: 开始时间，缺省为None
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:return:
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"""
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try:
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@ -54,6 +55,11 @@ class UtilSinaClient(object):
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tick.time = item[4] + u':00'
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tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
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if start_dt is not None:
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# 丢弃约定开始时间之前的
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if tick.datetime < start_dt:
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continue
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tick.lastPrice = float(item[0])
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tick.volume = int(item[2])
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@ -70,11 +76,12 @@ class UtilSinaClient(object):
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self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e))
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return False
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def getTicks2(self, symbol, callback):
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def getTicks2(self, symbol, callback,start_dt=None):
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"""
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# 从sina加载最新的M1数据(针对中金所）
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:param symbol: 合约代码（全路径得合约名称,先使用ctaTemplate.getFullSymbol()
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:param callback: 回调函数
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:param start_dt: 开始时间，缺省为None
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:return: 成功/失败
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"""
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try:
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@ -101,6 +108,10 @@ class UtilSinaClient(object):
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tick.time = item[0] + u':00'
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tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
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if start_dt is not None:
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if tick.datetime < start_dt:
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continue
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tick.lastPrice = float(item[1])
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tick.volume = int(item[3])
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@ -131,12 +142,13 @@ class UtilSinaClient(object):
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return 30
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def getMinBars(self, symbol, minute, callback):
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def getMinBars(self, symbol, minute, callback,start_dt=None):
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"""
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从sina加载最新的M5,M15,M30,M60数据
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:param symbol: （全路径得合约名称,先使用ctaTemplate.getFullSymbol()
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:param minute: 5，15，30，60
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:param callback: 回调函数
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:param start_dt: 开始时间，缺省为None
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:return: 成功/失败
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"""
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if minute not in [5, 15, 30, 60]:
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@ -166,6 +178,9 @@ class UtilSinaClient(object):
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else:
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bar.datetime = sinaDt - timedelta(seconds=minute * 60)
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if start_dt is not None:
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if bar.datetime < start_dt:
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continue
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bar.date = bar.datetime.strftime('%Y%m%d')
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bar.tradingDay = bar.date # todo: 需要修改，晚上21点后，修改为next workingday
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bar.time = bar.datetime.strftime('%H:%M:00')
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@ -208,12 +223,13 @@ class UtilSinaClient(object):
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self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败：'+str(e))
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return False
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def getMinBars2(self, symbol, minute, callback):
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def getMinBars2(self, symbol, minute, callback,start_dt=None):
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"""
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从sina加载最新的M5,M15,M30,M60数据(针对中金所）
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:param symbol: （全路径得合约名称,先使用ctaTemplate.getFullSymbol()
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:param minute: 5，15，30，60
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:param callback: 回调函数
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:param start_dt: 开始时间，缺省为None
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:return: 成功/失败
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"""
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if minute not in {5, 15, 30, 60}:
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@ -249,7 +265,9 @@ class UtilSinaClient(object):
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bar.datetime = sinaDt - timedelta(seconds=(minute /2)* 60)
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else:
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bar.datetime = sinaDt - timedelta(seconds=minute * 60)
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if start_dt is not None:
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if bar.datetime < start_dt:
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continue
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bar.date = bar.datetime.strftime('%Y%m%d')
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bar.tradingDay = bar.date # todo: 需要修改，晚上21点后，修改为next workingday
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bar.time = bar.datetime.strftime('%H:%M:00')
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@ -292,11 +310,12 @@ class UtilSinaClient(object):
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self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败：'+str(e))
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return False
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def getDayBars(self, symbol, callback):
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def getDayBars(self, symbol, callback,start_dt=None):
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"""
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从sina加载最新的Day数据
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:param symbol: （全路径得合约名称,先使用ctaTemplate.getFullSymbol()
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:param callback: 回调函数
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:param start_dt: 开始时间，缺省为None
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:return: 成功/失败
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"""
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sinaBars = []
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@ -314,6 +333,10 @@ class UtilSinaClient(object):
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bar.symbol = symbol
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# bar的close time
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bar.datetime = datetime.strptime(item['date'], '%Y-%m-%d')
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if start_dt is not None:
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if bar.datetime < start_dt:
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continue
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bar.date = bar.datetime.strftime('%Y%m%d')
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bar.tradingDay = bar.date # todo: 需要修改，晚上21点后，修改为next workingday
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bar.time = bar.datetime.strftime('%H:%M:00')
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@ -346,6 +369,7 @@ class UtilSinaClient(object):
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self.strategy.writeCtaLog(u'加载Sina历史日线数据失败：'+str(e))
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return False
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class TestStrategy(object):
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def __init__(self):
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@ -365,9 +389,9 @@ if __name__ == '__main__':
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sina = UtilSinaClient(t)
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rt=sina.getDayBars(symbol='RB1710', callback=t.addBar)
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rt=sina.getDayBars(symbol='RB1810', callback=t.addBar)
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rt = sina.getMinBars(symbol='RB1710',minute = 60, callback=t.addBar)
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rt = sina.getMinBars(symbol='RB1810',minute = 60, callback=t.addBar)
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#rt = sina.getTicks(symbol='RB1705', callback=t.addTick)
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