diff --git a/prod/jobs/refill_tdx_future_bars.py b/prod/jobs/refill_tdx_future_bars.py new file mode 100644 index 00000000..8d0db308 --- /dev/null +++ b/prod/jobs/refill_tdx_future_bars.py @@ -0,0 +1,81 @@ +# flake8: noqa +""" +下载通达信指数合约1分钟bar => vnpy项目目录/bar_data/ +""" +import os +import sys +import json +from collections import OrderedDict +import pandas as pd + +vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..')) +if vnpy_root not in sys.path: + sys.path.append(vnpy_root) + +os.environ["VNPY_TESTING"] = "1" + +from vnpy.data.tdx.tdx_future_data import * + +# 保存的1分钟指数 bar目录 +bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data')) + +# 开始日期(每年大概需要几分钟) +start_date = '20160101' + +# 创建API对象 +api_01 = TdxFutureData() + +# 更新本地合约缓存信息 +api_01.update_mi_contracts() + +# 逐一指数合约下载并更新 +for underlying_symbol in api_01.future_contracts.keys(): + index_symbol = underlying_symbol + '99' + print(f'开始更新:{index_symbol}') + # csv数据文件名 + bar_file_path = os.path.abspath(os.path.join(bar_data_folder, f'{underlying_symbol}99_{start_date}_1m.csv')) + + # 如果文件存在, + if os.path.exists(bar_file_path): + + df_old = pd.read_csv(bar_file_path, index_col=0) + df_old = df_old.rename(lambda x: pd.to_datetime(x, format="%Y-%m-%d %H:%M:%S")) + # 取最后一条时间 + last_dt = df_old.index[-1] + start_dt = last_dt - timedelta(days=1) + print(f'文件{bar_file_path}存在,最后时间:{start_date}') + else: + df_old = None + start_dt = datetime.strptime(start_date, '%Y%m%d') + print(f'文件{bar_file_path}不存在,开始时间:{start_date}') + + result, bars = api_01.get_bars(symbol=index_symbol, + period='1min', + callback=None, + start_dt=start_dt, + return_bar=False) + # [dict] => dataframe + if not result or len(bars) == 0: + continue + df_extern = pd.DataFrame(bars) + df_extern.set_index('datetime', inplace=True) + + if df_old is not None: + # 扩展数据 + print('扩展数据') + data_df = pd.concat([df_old, df_extern], axis=0) + else: + data_df = df_extern + + # 数据按时间戳去重 + print('按时间戳去重') + data_df = data_df[~data_df.index.duplicated(keep='first')] + # 排序 + data_df = data_df.sort_index() + # print(data_df.head()) + print(data_df.tail()) + data_df.to_csv(bar_file_path, index=True) + print(f'更新{index_symbol}数据 => 文件{bar_file_path}') + +print('更新完毕') +os._exit(0)