[增强功能] 每日作业：增量下载股票5分钟数据，增量更新股票RenkoBar
This commit is contained in:
msincenselee
parent
cec5b2f0c0
commit
8e45b0f4b3
137
prod/jobs/refill_bao_stock_bars.py
Normal file
137
prod/jobs/refill_bao_stock_bars.py
Normal file
@ -0,0 +1,137 @@
|
|||||||
|
# flake8: noqa
|
||||||
|
"""
|
||||||
|
下载证券宝5分钟bar => vnpy项目目录/bar_data/
|
||||||
|
"""
|
||||||
|
import os
|
||||||
|
import sys
|
||||||
|
import csv
|
||||||
|
import json
|
||||||
|
from collections import OrderedDict
|
||||||
|
import pandas as pd
|
||||||
|
from datetime import datetime, timedelta
|
||||||
|
|
||||||
|
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"
|
||||||
|
import baostock as bs
|
||||||
|
|
||||||
|
from vnpy.trader.constant import Exchange
|
||||||
|
from vnpy.data.tdx.tdx_common import get_tdx_market_code
|
||||||
|
from vnpy.trader.utility import load_json, get_csv_last_dt
|
||||||
|
from vnpy.data.stock.stock_base import get_stock_base
|
||||||
|
# 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 = '20060101'
|
||||||
|
|
||||||
|
# 证券宝连接
|
||||||
|
login_msg = bs.login()
|
||||||
|
if login_msg.error_code != '0':
|
||||||
|
print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
|
||||||
|
|
||||||
|
# 更新本地合约缓存信息
|
||||||
|
stock_list = load_json('stock_list.json')
|
||||||
|
|
||||||
|
symbol_dict = get_stock_base()
|
||||||
|
|
||||||
|
day_fields = "date,code,open,high,low,close,preclose,volume,amount,adjustflag,turn,tradestatus,pctChg,isST"
|
||||||
|
min_fields = "date,time,code,open,high,low,close,volume,amount,adjustflag"
|
||||||
|
|
||||||
|
# 逐一股票下载并更新
|
||||||
|
for stock_code in stock_list:
|
||||||
|
market_id = get_tdx_market_code(stock_code)
|
||||||
|
if market_id == 0:
|
||||||
|
exchange_name = '深交所'
|
||||||
|
exchange = Exchange.SZSE
|
||||||
|
exchange_code = 'sz'
|
||||||
|
else:
|
||||||
|
exchange_name = '上交所'
|
||||||
|
exchange = Exchange.SSE
|
||||||
|
exchange_code = 'sh'
|
||||||
|
|
||||||
|
symbol_info = symbol_dict.get(f'{stock_code}.{exchange.value}')
|
||||||
|
stock_name = symbol_info.get('name')
|
||||||
|
print(f'开始更新:{exchange_name}/{stock_name}, 代码:{stock_code}')
|
||||||
|
bar_file_folder = os.path.abspath(os.path.join(bar_data_folder, f'{exchange.value}'))
|
||||||
|
if not os.path.exists(bar_file_folder):
|
||||||
|
os.makedirs(bar_file_folder)
|
||||||
|
# csv数据文件名
|
||||||
|
bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{stock_code}_{start_date}_5m.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]
|
||||||
|
last_dt = get_csv_last_dt(bar_file_path)
|
||||||
|
start_dt = last_dt - timedelta(days=1)
|
||||||
|
print(f'文件{bar_file_path}存在，最后时间:{start_date}')
|
||||||
|
else:
|
||||||
|
last_dt = 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}')
|
||||||
|
|
||||||
|
rs = bs.query_history_k_data_plus(
|
||||||
|
code=f'{exchange_code}.{stock_code}',
|
||||||
|
fields=min_fields,
|
||||||
|
start_date=start_dt.strftime('%Y-%m-%d'), end_date=datetime.now().strftime('%Y-%m-%d'),
|
||||||
|
frequency="5",
|
||||||
|
adjustflag="3"
|
||||||
|
)
|
||||||
|
if rs.error_code != '0':
|
||||||
|
print(f'证券宝获取沪深A股历史K线数据错误代码:{rs.error_code}, 错误信息:{rs.error_msg}')
|
||||||
|
continue
|
||||||
|
|
||||||
|
# [dict] => dataframe
|
||||||
|
bars = []
|
||||||
|
while (rs.error_code == '0') and rs.next():
|
||||||
|
row = rs.get_row_data()
|
||||||
|
dt = datetime.strptime(row[1], '%Y%m%d%H%M%S%f')
|
||||||
|
if last_dt and last_dt > dt:
|
||||||
|
continue
|
||||||
|
bar = {
|
||||||
|
'datetime': dt,
|
||||||
|
'open': float(row[3]),
|
||||||
|
'close': float(row[6]),
|
||||||
|
'high': float(row[4]),
|
||||||
|
'low': float(row[5]),
|
||||||
|
'volume': float(row[7]),
|
||||||
|
'amount': float(row[8]),
|
||||||
|
'symbol': stock_code,
|
||||||
|
'trading_date': row[0],
|
||||||
|
'date': row[0],
|
||||||
|
'time': dt.strftime('%H:%M:%S')
|
||||||
|
}
|
||||||
|
bars.append(bar)
|
||||||
|
|
||||||
|
# 获取标题
|
||||||
|
if len(bars) == 0:
|
||||||
|
continue
|
||||||
|
|
||||||
|
headers = list(bars[0].keys())
|
||||||
|
if headers[0] != 'datetime':
|
||||||
|
headers.remove('datetime')
|
||||||
|
headers.insert(0, 'datetime')
|
||||||
|
|
||||||
|
bar_count = 0
|
||||||
|
# 写入所有大于最后bar时间的数据
|
||||||
|
with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
|
||||||
|
|
||||||
|
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
|
||||||
|
extrasaction='ignore')
|
||||||
|
if last_dt is None:
|
||||||
|
writer.writeheader()
|
||||||
|
for bar in bars:
|
||||||
|
bar_count += 1
|
||||||
|
writer.writerow(bar)
|
||||||
|
|
||||||
|
print(f'更新{stock_code}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
|
||||||
|
|
||||||
|
|
||||||
|
print('更新完毕')
|
||||||
|
bs.logout()
|
||||||
|
os._exit(0)
|
||||||
38
prod/jobs/refill_stock_renko.py
Normal file
38
prod/jobs/refill_stock_renko.py
Normal file
@ -0,0 +1,38 @@
|
|||||||
|
# flake8: noqa
|
||||||
|
# 自动补全股票renko bar => Mongodb
|
||||||
|
# 下载的tick数据缓存 => tick_data/tdx/future
|
||||||
|
import sys, os, copy, csv, signal
|
||||||
|
|
||||||
|
vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
|
||||||
|
if vnpy_root not in sys.path:
|
||||||
|
print(f'append {vnpy_root} into sys.path')
|
||||||
|
sys.path.append(vnpy_root)
|
||||||
|
|
||||||
|
os.environ["VNPY_TESTING"] = "1"
|
||||||
|
|
||||||
|
from vnpy.data.renko.rebuild_stock import *
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == "__main__":
|
||||||
|
|
||||||
|
if len(sys.argv) < 4:
|
||||||
|
print(u'请输入三个参数 host symbol pricetick')
|
||||||
|
exit()
|
||||||
|
print(sys.argv)
|
||||||
|
host = sys.argv[1]
|
||||||
|
|
||||||
|
setting = {
|
||||||
|
"host": host,
|
||||||
|
"db_name": STOCK_RENKO_DB_NAME,
|
||||||
|
"cache_folder": os.path.join(vnpy_root, 'tick_data', 'tdx', 'stock')
|
||||||
|
}
|
||||||
|
builder = StockRenkoRebuilder(setting)
|
||||||
|
|
||||||
|
symbol = sys.argv[2]
|
||||||
|
price_tick = float(sys.argv[3])
|
||||||
|
|
||||||
|
print(f'启动期货renko补全,数据库:{host}/{STOCK_RENKO_DB_NAME} 合约:{symbol}')
|
||||||
|
builder.start(symbol=symbol, price_tick=price_tick, height=['K3', 'K5', 'K10'], refill=True)
|
||||||
|
|
||||||
|
print(f'exit refill {symbol} renkos')
|
||||||
|
|
||||||
Loading…
Reference in New Issue
Block a user