[Add] download bar data from gateway in CtaBacktester

vnpy/api/rest/rest_client.py

@@ -258,7 +258,7 @@ class RestClient(object):
             request.response = response
 
             status_code = response.status_code
-            if status_code / 100 == 2:  # 2xx都算成功，尽管交易所都用200
+            if status_code // 100 == 2:  # 2xx都算成功，尽管交易所都用200
                 jsonBody = response.json()
                 request.callback(jsonBody, request)
                 request.status = RequestStatus.success

vnpy/app/cta_backtester/engine.py

@@ -9,6 +9,7 @@ from vnpy.event import Event, EventEngine
 from vnpy.trader.engine import BaseEngine, MainEngine
 from vnpy.trader.constant import Interval
 from vnpy.trader.utility import extract_vt_symbol
+from vnpy.trader.object import HistoryRequest
 from vnpy.trader.rqdata import rqdata_client
 from vnpy.trader.database import database_manager
 from vnpy.app.cta_strategy import (
@@ -337,7 +338,22 @@ class BacktesterEngine(BaseEngine):
         """
         self.write_log(f"{vt_symbol}-{interval}开始下载历史数据")
 
+        contract = self.main_engine.get_contract(vt_symbol)
+
+        # If history data provided in gateway, then query
+        if contract and contract.history_data:
+            req = HistoryRequest(
+                symbol=contract.symbol,
+                exchange=contract.exchange,
+                interval=Interval(interval),
+                start=start,
+                end=end
+            )
+            data = self.main_engine.query_history(req, contract.gateway_name)
+        # Otherwise use RQData to query data
+        else:
             symbol, exchange = extract_vt_symbol(vt_symbol)
+
             data = rqdata_client.query_bar(
                 symbol, exchange, Interval(interval), start, end
             )

vnpy/app/cta_backtester/ui/widget.py

@@ -56,14 +56,14 @@ class BacktesterManager(QtWidgets.QWidget):
         self.class_combo = QtWidgets.QComboBox()
         self.class_combo.addItems(self.class_names)
 
-        self.symbol_line = QtWidgets.QLineEdit("IF88.CFFEX")
+        self.symbol_line = QtWidgets.QLineEdit("XBTUSD.BITMEX")
 
         self.interval_combo = QtWidgets.QComboBox()
         for inteval in Interval:
             self.interval_combo.addItem(inteval.value)
 
         end_dt = datetime.now()
-        start_dt = end_dt - timedelta(days=3 * 365)
+        start_dt = end_dt - timedelta(days=30)# * 365)
 
         self.start_date_edit = QtWidgets.QDateEdit(
             QtCore.QDate(

vnpy/gateway/bitmex/bitmex_gateway.py

@@ -7,7 +7,7 @@ import hmac
 import sys
 import time
 from copy import copy
-from datetime import datetime
+from datetime import datetime, timedelta
 from threading import Lock
 from urllib.parse import urlencode
 
@@ -21,7 +21,8 @@ from vnpy.trader.constant import (
     OrderType,
     Product,
     Status,
-    Offset
+    Offset,
+    Interval
 )
 from vnpy.trader.gateway import BaseGateway
 from vnpy.trader.object import (
@@ -31,6 +32,7 @@ from vnpy.trader.object import (
     PositionData,
     AccountData,
     ContractData,
+    BarData,
     OrderRequest,
     CancelRequest,
     SubscribeRequest,
@@ -61,6 +63,18 @@ ORDERTYPE_VT2BITMEX = {
 }
 ORDERTYPE_BITMEX2VT = {v: k for k, v in ORDERTYPE_VT2BITMEX.items()}
 
+INTERVAL_VT2BITMEX = {
+    Interval.MINUTE: "1m",
+    Interval.HOUR: "1h",
+    Interval.DAILY: "1d",
+}
+
+TIMEDELTA_MAP = {
+    Interval.MINUTE: timedelta(minutes=1),
+    Interval.HOUR: timedelta(hours=1),
+    Interval.DAILY: timedelta(days=1),
+}
+
 
 class BitmexGateway(BaseGateway):
     """
@@ -160,7 +174,7 @@ class BitmexRestApi(RestClient):
         Generate BitMEX signature.
         """
         # Sign
-        expires = int(time.time() + 5)
+        expires = int(time.time() + 30)
 
         if request.params:
             query = urlencode(request.params)
@@ -286,7 +300,72 @@ class BitmexRestApi(RestClient):
 
     def query_history(self, req: HistoryRequest):
         """"""
-        pass
+        history = []
+        count = 750
+        start_time = req.start.isoformat()
+
+        while True:
+            # Create query params
+            params = {
+                "binSize": INTERVAL_VT2BITMEX[req.interval],
+                "symbol": req.symbol,
+                "count": count,
+                "startTime": start_time
+            }
+
+            # Add end time if specified
+            if req.end:
+                params["endTime"] = req.end.isoformat()
+
+            # Get response from server
+            resp = self.request(
+                "GET",
+                "/trade/bucketed",
+                params=params
+            )
+
+            # Break if request failed with other status code
+            if resp.status_code // 100 != 2:
+                msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
+                self.gateway.write_log(msg)
+                break
+            else:
+                data = resp.json()
+
+                for d in data:
+                    dt = datetime.strptime(d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
+                    bar = BarData(
+                        symbol=req.symbol,
+                        exchange=req.exchange,
+                        datetime=dt,
+                        interval=req.interval,
+                        volume=d["volume"],
+                        open_price=d["open"],
+                        high_price=d["high"],
+                        low_price=d["low"],
+                        close_price=d["close"],
+                        gateway_name=self.gateway_name
+                    )
+                    history.append(bar)
+
+                begin = data[0]["timestamp"]
+                end = data[-1]["timestamp"]
+                msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}"
+                self.gateway.write_log(msg)
+
+                # Break if total data count less than 750 (latest date collected)
+                if len(data) < 750:
+                    break
+
+                # Update start time
+                start_time = bar.datetime + TIMEDELTA_MAP[req.interval]
+
+        return history
+
+
+
+
+            
 
     def on_send_order_failed(self, status_code: str, request: Request):
         """
@@ -624,7 +703,7 @@ class BitmexWebsocketApi(WebsocketClient):
             size=d["lotSize"],
             stop_supported=True,
             net_position=True,
-            bar_history=True,
+            history_data=True,
             gateway_name=self.gateway_name,
         )
 

vnpy/trader/object.py

@@ -236,8 +236,7 @@ class ContractData(BaseData):
     min_volume: float = 1           # minimum trading volume of the contract
     stop_supported: bool = False    # whether server supports stop order
     net_position: bool = False      # whether gateway uses net position volume
-    bar_history: bool = False       # whether gateway provides bar history data
+    history_data: bool = False      # whether gateway provides bar history data
-    tick_history: bool = False      # whether gateway provides tick history data
 
     option_strike: float = 0
     option_underlying: str = ""     # vt_symbol of underlying contract