diff --git a/examples/CoinapiDataService/config.json b/examples/CoinapiDataService/config.json new file mode 100644 index 00000000..5cbd2e67 --- /dev/null +++ b/examples/CoinapiDataService/config.json @@ -0,0 +1,11 @@ +{ + "MONGO_HOST": "localhost", + "MONGO_PORT": 27017, + + "APIKEY": "", + + "SYMBOLS": [ + "BINANCE_SPOT_BTC_USDT", + "BINANCE_SPOT_ETH_USDT" + ] +} \ No newline at end of file diff --git a/examples/CoinapiDataService/dataService.py b/examples/CoinapiDataService/dataService.py new file mode 100644 index 00000000..50279b75 --- /dev/null +++ b/examples/CoinapiDataService/dataService.py @@ -0,0 +1,103 @@ +# encoding: UTF-8 + +from __future__ import print_function + +import json +import time +import datetime + +import requests +from pymongo import MongoClient, ASCENDING + +from vnpy.trader.vtObject import VtBarData +from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME + + +# 加载配置 +config = open('config.json') +setting = json.load(config) + +MONGO_HOST = setting['MONGO_HOST'] +MONGO_PORT = setting['MONGO_PORT'] +APIKEY = setting['APIKEY'] +SYMBOLS = setting['SYMBOLS'] + +mc = MongoClient(MONGO_HOST, MONGO_PORT) # Mongo连接 +db = mc[MINUTE_DB_NAME] # 数据库 +headers = {'X-CoinAPI-Key': APIKEY} + + + +#---------------------------------------------------------------------- +def generateVtBar(symbol, d): + """生成K线""" + bar = VtBarData() + + bar.symbol = symbol + bar.vtSymbol = symbol + bar.datetime = datetime.datetime.strptime(d['time_open'], '%Y-%m-%dT%H:%M:%S.%f0Z') + bar.date = bar.datetime.strftime('%Y%m%d') + bar.time = bar.datetime.strftime('%H:%M:%S') + bar.open = d['price_open'] + bar.high = d['price_high'] + bar.low = d['price_low'] + bar.close = d['price_close'] + bar.volume = d['volume_traded'] + + return bar + +#---------------------------------------------------------------------- +def downMinuteBarBySymbol(symbol, period, start, end): + """下载某一合约的分钟线数据""" + startTime = time.time() + + cl = db[symbol] # 集合 + cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引 + + startDt = datetime.datetime.strptime(start, '%Y%m%d') + endDt = datetime.datetime.strptime(end, '%Y%m%d') + + url = 'https://rest.coinapi.io/v1/ohlcv/%s/history' %symbol + params = { + 'period_id': period, + 'time_start': startDt.strftime('%Y-%m-%dT%H:%M:%S.%f0Z'), + 'time_end': endDt.strftime('%Y-%m-%dT%H:%M:%S.%f0Z'), + 'limit': 10000 + } + resp = requests.get(url, headers=headers, params=params) + + if resp.status_code != 200: + print(u'%s数据下载失败' %symbol) + return + + l = resp.json() + + for d in l: + bar = generateVtBar(symbol, d) + d = bar.__dict__ + flt = {'datetime': bar.datetime} + cl.replace_one(flt, d, True) + + endTime = time.time() + cost = (endTime - startTime) * 1000 + + print(u'合约%s数据下载完成%s - %s,耗时%s毫秒' %(symbol, l[0]['time_period_start'], + l[-1]['time_period_end'], cost)) + +#---------------------------------------------------------------------- +def downloadAllMinuteBar(start, end): + """下载所有配置中的合约的分钟线数据""" + print('-' * 50) + print(u'开始下载合约分钟线数据') + print('-' * 50) + + for symbol in SYMBOLS: + downMinuteBarBySymbol(symbol, '1MIN', start, end) + time.sleep(1) + + print('-' * 50) + print(u'合约分钟线数据下载完成') + print('-' * 50) + + + \ No newline at end of file diff --git a/examples/CoinapiDataService/downloadData.py b/examples/CoinapiDataService/downloadData.py new file mode 100644 index 00000000..797d4dbf --- /dev/null +++ b/examples/CoinapiDataService/downloadData.py @@ -0,0 +1,11 @@ +# encoding: UTF-8 + +""" +立即下载数据到数据库中,用于手动执行更新操作。 +""" + +from dataService import * + + +if __name__ == '__main__': + downMinuteBarBySymbol('BINANCE_SPOT_BTC_USDT', '1MIN', '20180725', '20180726') \ No newline at end of file diff --git a/examples/CoinapiDataService/runService.py b/examples/CoinapiDataService/runService.py new file mode 100644 index 00000000..4826e810 --- /dev/null +++ b/examples/CoinapiDataService/runService.py @@ -0,0 +1,33 @@ +# encoding: UTF-8 + +""" +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。 +""" +from __future__ import print_function + +from dataService import * + + +if __name__ == '__main__': + taskCompletedDate = None + + taskTime = datetime.time(hour=22, minute=0) + + # 进入主循环 + while True: + t = datetime.datetime.now() + + # 每天到达任务下载时间后,执行数据下载的操作 + if t.time() > taskTime and (taskCompletedDate is None or t.date() != taskCompletedDate): + end = t.strftime('%Y%m%d') + start = (t - datetime.timedelta(1)).strftime('%Y%m%d') + + # 下载过去24小时的K线数据 + downloadAllMinuteBar(start, end) + + # 更新任务完成的日期 + taskCompletedDate = t.date() + else: + print(u'当前时间%s,任务定时%s' %(t, taskTime)) + + time.sleep(60) \ No newline at end of file