From a08f31c59bdaabd5290798003eace88770ab7284 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Mon, 6 Aug 2018 16:41:19 +0800 Subject: [PATCH] =?UTF-8?q?=E5=A2=9E=E5=8A=A0=E7=81=AB=E5=B8=81=E7=9A=84?= =?UTF-8?q?=E6=95=B0=E6=8D=AE=E6=9C=8D=E5=8A=A1?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/data/huobi/__init__.py | 0 vnpy/data/huobi/huobi_data.py | 212 ++++++++++++++++++++++++++++++++++ 2 files changed, 212 insertions(+) create mode 100644 vnpy/data/huobi/__init__.py create mode 100644 vnpy/data/huobi/huobi_data.py diff --git a/vnpy/data/huobi/__init__.py b/vnpy/data/huobi/__init__.py new file mode 100644 index 00000000..e69de29b diff --git a/vnpy/data/huobi/huobi_data.py b/vnpy/data/huobi/huobi_data.py new file mode 100644 index 00000000..ac20fa1a --- /dev/null +++ b/vnpy/data/huobi/huobi_data.py @@ -0,0 +1,212 @@ +# encoding: UTF-8 + +# 从huobi载数据 +from datetime import datetime, timezone +import sys +import requests +import execjs +import traceback +from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData +from vnpy.trader.vtFunction import systemSymbolToVnSymbol + +period_list = ['1min','3min','5min','15min','30min','1day','1week','60min'] +symbol_list = ['ltc_btc','eth_btc','etc_btc','bch_btc','btc_usdt','eth_usdt','ltc_usdt','etc_usdt','bch_usdt', + 'etc_eth','bt1_btc','bt2_btc','btg_btc','qtum_btc','hsr_btc','neo_btc','gas_btc', + 'qtum_usdt','hsr_usdt','neo_usdt','gas_usdt','eos_usdt','ada_usdt','xmr_usdt','zrx_usdt','ht_usdt'] + + +class HuobiData(object): + + # ---------------------------------------------------------------------- + def __init__(self, strategy=None): + """ + 构造函数 + :param strategy: 上层策略，主要用与使用strategy.writeCtaLog（） + """ + self.strategy = strategy + + # 设置HTTP请求的尝试次数，建立连接session + requests.adapters.DEFAULT_RETRIES = 5 + self.session = requests.session() + self.session.keep_alive = False + + def writeLog(self,content): + if self.strategy: + self.strategy.writeCtaLog(content) + else: + print(content) + + def writeError(self,content): + if self.strategy: + self.strategy.writeCtaError(content) + else: + print(content,file=sys.stderr) + + def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None): + """ + 返回k线数据 + symbol：合约 + period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour + """ + ret_bars = [] + symbol_pair = systemSymbolToVnSymbol(symbol) + + if symbol_pair not in symbol_list: + msg = u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair) + if self.strategy: + self.strategy.writeCtaError(msg) + else: + print(msg) + return False,ret_bars + symbol = symbol_pair.replace('_', '') + if period == '1hour': + period = '60min' + + if period not in period_list: + self.writeError(u'{}不在下载时间周期范围:{} 内'.format(period, period_list)) + return False,ret_bars + + url = u'https://api.huobipro.com/market/history/kline?symbol={}&period={}& size=2000&AccessKeyId=fff-xxx-ssss-kkk'.format( + symbol, period) + + self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol_pair, period, url)) + + content = None + try: + content = self.session.get(url).content.decode('gbk') + except Exception as ex: + self.writeError('exception in get:{},{},{}'.format(url, str(ex), traceback.format_exc())) + return False,ret_bars + + ret_dict = execjs.eval(content) + bars = ret_dict.get('data', None) + + if not isinstance(bars, list): + self.writeError('返回数据不是list:{}'.format(content)) + return False,ret_bars + bars.reverse() + + for i, bar in enumerate(bars): + add_bar = CtaBarData() + try: + add_bar.vtSymbol = symbol + add_bar.symbol = symbol + add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000) + add_bar.date = add_bar.datetime.strftime('%Y-%m-%d') + add_bar.time = add_bar.datetime.strftime('%H:%M:%S') + add_bar.tradingDay = add_bar.date + add_bar.open = float(bar[1]) + add_bar.high = float(bar[2]) + add_bar.low = float(bar[3]) + add_bar.close = float(bar[4]) + add_bar.volume = float(bar[5]) + except Exception as ex: + self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc())) + return False,ret_bars + + if start_dt is not None and bar.datetime < start_dt: + continue + + if callback is not None: + callback(add_bar, bar_is_completed, bar_freq) + + return True,ret_bars + + + def download_bars(self, symbol, period, size_=None, start_dt=None): + """ + 返回k线数据 + symbol：合约 + period: 周期: 1min, 5min, 15min, 30min, 60min, 1day, 1mon, 1week, 1year + """ + ret_bars = [] + symbol_pair = systemSymbolToVnSymbol(symbol) + + if symbol_pair not in symbol_list: + msg = u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair) + if self.strategy: + self.strategy.writeCtaError(msg) + else: + print(msg) + return ret_bars + symbol = symbol_pair.replace('_','') + if period =='1hour': + period = '60min' + + if period not in period_list: + self.writeError(u'{}不在下载时间周期范围:{} 内'.format(period,period_list)) + return ret_bars + + url = u'https://api.huobipro.com/market/history/kline?symbol={}&period={}&AccessKeyId=fff-xxx-ssss-kkk'.format(symbol, period) + if not isinstance(size_,int): + size_=2000 + + url = url + u'&size={}'.format(size_) + + self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol_pair, period,url)) + + content = None + try: + content = self.session.get(url).content.decode('gbk') + except Exception as ex: + self.writeError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc())) + return ret_bars + + ret_dict = execjs.eval(content) + bars = ret_dict.get('data',None) + + if not isinstance(bars,list): + self.writeError('返回数据不是list:{}'.format(content)) + return ret_bars + bars.reverse() + + for i, bar in enumerate(bars): + add_bar = {} + try: + bar_datetime= datetime.fromtimestamp(bar.get('id')) + add_bar['datetime'] = bar_datetime.strftime('%Y-%m-%d %H:%M:%S') + add_bar['date'] = bar_datetime.strftime('%Y-%m-%d') + add_bar['time'] = bar_datetime.strftime('%H:%M:%S') + add_bar['open'] = float(bar.get('open',0.0)) + add_bar['high'] = float(bar.get('high',0.0)) + add_bar['low'] = float(bar.get('low',0.0)) + add_bar['close'] = float(bar.get('close',0.0)) + add_bar['volume'] = float(bar.get('vol',0.0)) + except Exception as ex: + self.writeError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc())) + + ret_bars.append(add_bar) + + return ret_bars + + +class TestStrategy(object): + + def __init__(self): + + self.minDiff = 1 + self.shortSymbol = 'btc' + self.vtSymbol = 'btc' + + self.TMinuteInterval = 1 + def addBar(self,bar,bar_is_completed, bar_freq): + 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)) + def onBar(self, bar): + 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)) + + def writeCtaLog(self, content): + print(content) + + def writeCtaError(self, content): + print(content) + +if __name__ == '__main__': + t = TestStrategy() + + hb_data = HuobiData(t) + + bars = hb_data.download_bars(symbol='htusdt', period='1day') + + for bar in bars: + print(bar['datetime']) \ No newline at end of file