[Add]新增CoinapiDataService

examples/CoinapiDataService/config.json

@@ -0,0 +1,11 @@
+{
+	"MONGO_HOST": "localhost",
+	"MONGO_PORT": 27017,
+
+	"APIKEY": "",
+
+	"SYMBOLS": [
+		"BINANCE_SPOT_BTC_USDT",
+		"BINANCE_SPOT_ETH_USDT"
+	]
+}

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)
+
+
+    

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')

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)