[Add] vnpy/trader/database.py for database connection
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vn.py
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vnpy/trader/database.py
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239
vnpy/trader/database.py
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""""""
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from peewee import (
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SqliteDatabase,
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Model,
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CharField,
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DateTimeField,
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FloatField,
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IntegerField
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)
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from .utility import get_temp_path
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from .object import BarData, TickData
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from .constant import Exchange, Interval
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DB_NAME = "database.vt"
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DB = SqliteDatabase(str(get_temp_path(DB_NAME)))
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class DbBarData(Model):
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"""
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Candlestick bar data for database storage.
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Index is defined unique with vt_symbol, interval and datetime.
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"""
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symbol = CharField()
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exchange = CharField()
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datetime = DateTimeField()
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interval = CharField()
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volume = FloatField()
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open_price = FloatField()
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high_price = FloatField()
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low_price = FloatField()
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close_price = FloatField()
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vt_symbol = CharField()
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gateway_name = CharField()
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class Meta:
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database = DB
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indexes = ((('vt_symbol', 'interval', 'datetime'), True),)
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@staticmethod
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def from_bar(bar: BarData):
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"""
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Generate DbBarData object from BarData.
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"""
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db_bar = DbBarData()
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db_bar.symbol = bar.symbol
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db_bar.exchange = bar.exchange.value
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db_bar.datetime = bar.datetime
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db_bar.interval = bar.interval
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db_bar.volume = bar.volume
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db_bar.open_price = bar.open_price
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db_bar.high_price = bar.high_price
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db_bar.low_price = bar.low_price
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db_bar.close_price = bar.close_price
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db_bar.vt_symbol = bar.vt_symbol
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db_bar.gateway_name = "DB"
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return db_bar
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def to_bar(self):
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"""
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Generate BarData object from DbBarData.
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"""
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bar = BarData(
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symbol=self.symbol,
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exchange=Exchange(self.exchange),
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datetime=self.datetime,
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interval=Interval(self.interval),
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volume=self.volume,
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open_price=open_price,
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high_price=high_price,
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low_price=low_price,
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close_price=close_price,
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gateway_name=self.gateway_name
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)
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return bar
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class DbTickData(Model):
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"""
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Tick data for database storage.
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Index is defined unique with vt_symbol, interval and datetime.
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"""
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symbol = CharField()
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exchange = CharField()
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datetime = DateTimeField()
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name = CharField()
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volume = FloatField()
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last_price = FloatField()
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last_volume = FloatField()
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limit_up = FloatField()
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limit_down = FloatField()
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open_price = FloatField()
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high_price = FloatField()
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low_price = FloatField()
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close_price = FloatField()
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bid_price_1 = FloatField()
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bid_price_2 = FloatField()
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bid_price_3 = FloatField()
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bid_price_4 = FloatField()
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bid_price_5 = FloatField()
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ask_price_1 = FloatField()
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ask_price_2 = FloatField()
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ask_price_3 = FloatField()
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ask_price_4 = FloatField()
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ask_price_5 = FloatField()
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bid_volume_1 = FloatField()
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bid_volume_2 = FloatField()
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bid_volume_3 = FloatField()
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bid_volume_4 = FloatField()
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bid_volume_5 = FloatField()
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ask_volume_1 = FloatField()
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ask_volume_2 = FloatField()
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ask_volume_3 = FloatField()
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ask_volume_4 = FloatField()
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ask_volume_5 = FloatField()
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vt_symbol = CharField()
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gateway_name = CharField()
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class Meta:
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database = DB
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indexes = ((('vt_symbol', 'datetime'), True),)
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@staticmethod
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def from_tick(tick: TickData):
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"""
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Generate DbTickData object from TickData.
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"""
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db_tick = DbTickData()
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db_tick.symbol = tick.symbol
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db_tick.exchange = tick.exchange.value
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db_tick.datetime = tick.datetime
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db_tick.name = tick.name
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db_tick.volume = tick.volume
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db_tick.last_price = tick.last_price
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db_tick.last_volume = tick.last_volume
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db_tick.limit_up = tick.limit_up
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db_tick.limit_down = tick.limit_down
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db_tick.open_price = tick.open_price
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db_tick.high_price = tick.high_price
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db_tick.low_price = tick.low_price
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db_tick.pre_close = tick.pre_close
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db_tick.bid_price_1 = tick.bid_price_1
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db_tick.ask_price_1 = tick.ask_price_1
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db_tick.bid_volume_1 = tick.bid_volume_1
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db_tick.ask_volume_1 = tick.ask_volume_1
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if tick.bid_price_2:
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db_tick.bid_price_2 = tick.bid_price_2
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db_tick.bid_price_3 = tick.bid_price_3
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db_tick.bid_price_4 = tick.bid_price_4
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db_tick.bid_price_5 = tick.bid_price_5
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db_tick.ask_price_2 = tick.ask_price_2
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db_tick.ask_price_3 = tick.ask_price_3
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db_tick.ask_price_4 = tick.ask_price_4
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db_tick.ask_price_5 = tick.ask_price_5
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db_tick.bid_volume_2 = tick.bid_volume_2
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db_tick.bid_volume_3 = tick.bid_volume_3
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db_tick.bid_volume_4 = tick.bid_volume_4
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db_tick.bid_volume_5 = tick.bid_volume_5
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db_tick.ask_volume_2 = tick.ask_volume_2
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db_tick.ask_volume_3 = tick.ask_volume_3
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db_tick.ask_volume_4 = tick.ask_volume_4
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db_tick.ask_volume_5 = tick.ask_volume_5
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db_tick.vt_symbol = tick.vt_symbol
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db_tick.gateway_name = "DB"
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return tick
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def to_tick(self):
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"""
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Generate TickData object from DbTickData.
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"""
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tick = TickData(
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symbol=self.symbol,
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exchange=Exchange(self.exchange),
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datetime=self.datetime,
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name=self.name,
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volume=self.volume,
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last_price=self.last_price,
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last_volume=self.last_volume,
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limit_up=self.limit_up,
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limit_down=self.limit_down,
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open_price=self.open_price,
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high_price=self.high_price,
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low_price=self.low_price,
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pre_close=self.pre_close,
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bid_price_1=self.bid_price_1,
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ask_price_1=self.ask_price_1,
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bid_volume_1=self.bid_volume_1,
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ask_volume_1=self.ask_volume_1,
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gateway_name=self.gateway_name
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)
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if self.bid_price_2:
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tick.bid_price_2 = self.bid_price_2
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tick.bid_price_3 = self.bid_price_3
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tick.bid_price_4 = self.bid_price_4
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tick.bid_price_5 = self.bid_price_5
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tick.ask_price_2 = self.ask_price_2
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tick.ask_price_3 = self.ask_price_3
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tick.ask_price_4 = self.ask_price_4
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tick.ask_price_5 = self.ask_price_5
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tick.bid_volume_2 = self.bid_volume_2
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tick.bid_volume_3 = self.bid_volume_3
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tick.bid_volume_4 = self.bid_volume_4
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tick.bid_volume_5 = self.bid_volume_5
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tick.ask_volume_2 = self.ask_volume_2
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tick.ask_volume_3 = self.ask_volume_3
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tick.ask_volume_4 = self.ask_volume_4
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tick.ask_volume_5 = self.ask_volume_5
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return tick
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DB.connect()
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DB.create_tables([DbBarData, DbTickData])
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