增加火币的数据服务
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msincenselee
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vnpy/data/huobi/__init__.py
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vnpy/data/huobi/__init__.py
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vnpy/data/huobi/huobi_data.py
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vnpy/data/huobi/huobi_data.py
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# encoding: UTF-8
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# 从huobi载数据
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from datetime import datetime, timezone
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import sys
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import requests
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import execjs
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import traceback
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from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData
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from vnpy.trader.vtFunction import systemSymbolToVnSymbol
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period_list = ['1min','3min','5min','15min','30min','1day','1week','60min']
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symbol_list = ['ltc_btc','eth_btc','etc_btc','bch_btc','btc_usdt','eth_usdt','ltc_usdt','etc_usdt','bch_usdt',
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'etc_eth','bt1_btc','bt2_btc','btg_btc','qtum_btc','hsr_btc','neo_btc','gas_btc',
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'qtum_usdt','hsr_usdt','neo_usdt','gas_usdt','eos_usdt','ada_usdt','xmr_usdt','zrx_usdt','ht_usdt']
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class HuobiData(object):
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# ----------------------------------------------------------------------
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def __init__(self, strategy=None):
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"""
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构造函数
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:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
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"""
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self.strategy = strategy
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# 设置HTTP请求的尝试次数，建立连接session
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requests.adapters.DEFAULT_RETRIES = 5
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self.session = requests.session()
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self.session.keep_alive = False
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def writeLog(self,content):
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if self.strategy:
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self.strategy.writeCtaLog(content)
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else:
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print(content)
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def writeError(self,content):
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if self.strategy:
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self.strategy.writeCtaError(content)
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else:
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print(content,file=sys.stderr)
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def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
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"""
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返回k线数据
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symbol：合约
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period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
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"""
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ret_bars = []
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symbol_pair = systemSymbolToVnSymbol(symbol)
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if symbol_pair not in symbol_list:
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msg = u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair)
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if self.strategy:
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self.strategy.writeCtaError(msg)
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else:
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print(msg)
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return False,ret_bars
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symbol = symbol_pair.replace('_', '')
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if period == '1hour':
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period = '60min'
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if period not in period_list:
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self.writeError(u'{}不在下载时间周期范围:{} 内'.format(period, period_list))
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return False,ret_bars
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url = u'https://api.huobipro.com/market/history/kline?symbol={}&period={}& size=2000&AccessKeyId=fff-xxx-ssss-kkk'.format(
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symbol, period)
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self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol_pair, period, url))
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content = None
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try:
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content = self.session.get(url).content.decode('gbk')
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except Exception as ex:
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self.writeError('exception in get:{},{},{}'.format(url, str(ex), traceback.format_exc()))
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return False,ret_bars
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ret_dict = execjs.eval(content)
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bars = ret_dict.get('data', None)
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if not isinstance(bars, list):
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self.writeError('返回数据不是list:{}'.format(content))
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return False,ret_bars
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bars.reverse()
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for i, bar in enumerate(bars):
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add_bar = CtaBarData()
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try:
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add_bar.vtSymbol = symbol
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add_bar.symbol = symbol
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add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
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add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
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add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
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add_bar.tradingDay = add_bar.date
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add_bar.open = float(bar[1])
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add_bar.high = float(bar[2])
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add_bar.low = float(bar[3])
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add_bar.close = float(bar[4])
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add_bar.volume = float(bar[5])
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except Exception as ex:
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self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
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return False,ret_bars
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if start_dt is not None and bar.datetime < start_dt:
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continue
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if callback is not None:
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callback(add_bar, bar_is_completed, bar_freq)
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return True,ret_bars
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def download_bars(self, symbol, period, size_=None, start_dt=None):
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"""
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返回k线数据
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symbol：合约
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period: 周期: 1min, 5min, 15min, 30min, 60min, 1day, 1mon, 1week, 1year
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"""
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ret_bars = []
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symbol_pair = systemSymbolToVnSymbol(symbol)
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if symbol_pair not in symbol_list:
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msg = u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair)
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if self.strategy:
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self.strategy.writeCtaError(msg)
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else:
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print(msg)
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return ret_bars
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symbol = symbol_pair.replace('_','')
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if period =='1hour':
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period = '60min'
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if period not in period_list:
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self.writeError(u'{}不在下载时间周期范围:{} 内'.format(period,period_list))
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return ret_bars
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url = u'https://api.huobipro.com/market/history/kline?symbol={}&period={}&AccessKeyId=fff-xxx-ssss-kkk'.format(symbol, period)
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if not isinstance(size_,int):
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size_=2000
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url = url + u'&size={}'.format(size_)
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self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol_pair, period,url))
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content = None
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try:
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content = self.session.get(url).content.decode('gbk')
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except Exception as ex:
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self.writeError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
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return ret_bars
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ret_dict = execjs.eval(content)
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bars = ret_dict.get('data',None)
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if not isinstance(bars,list):
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self.writeError('返回数据不是list:{}'.format(content))
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return ret_bars
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bars.reverse()
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for i, bar in enumerate(bars):
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add_bar = {}
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try:
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bar_datetime= datetime.fromtimestamp(bar.get('id'))
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add_bar['datetime'] = bar_datetime.strftime('%Y-%m-%d %H:%M:%S')
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add_bar['date'] = bar_datetime.strftime('%Y-%m-%d')
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add_bar['time'] = bar_datetime.strftime('%H:%M:%S')
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add_bar['open'] = float(bar.get('open',0.0))
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add_bar['high'] = float(bar.get('high',0.0))
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add_bar['low'] = float(bar.get('low',0.0))
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add_bar['close'] = float(bar.get('close',0.0))
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add_bar['volume'] = float(bar.get('vol',0.0))
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except Exception as ex:
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self.writeError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
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ret_bars.append(add_bar)
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return ret_bars
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class TestStrategy(object):
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def __init__(self):
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self.minDiff = 1
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self.shortSymbol = 'btc'
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self.vtSymbol = 'btc'
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self.TMinuteInterval = 1
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def addBar(self,bar,bar_is_completed, bar_freq):
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print(u'tradingDay:{},dt:{},{} o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay, bar.datetime,bar.vtSymbol, bar.open, bar.high,
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bar.low, bar.close, bar.volume))
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def onBar(self, bar):
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print(u'tradingDay:{},dt:{},{} o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay,bar.datetime,bar.vtSymbol, bar.open, bar.high, bar.low, bar.close, bar.volume))
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def writeCtaLog(self, content):
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print(content)
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def writeCtaError(self, content):
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print(content)
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if __name__ == '__main__':
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t = TestStrategy()
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hb_data = HuobiData(t)
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bars = hb_data.download_bars(symbol='htusdt', period='1day')
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for bar in bars:
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print(bar['datetime'])
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