增加火币的数据服务

vnpy/data/huobi/huobi_data.py

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+# 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'])