diff --git a/examples/DataService/CccDataService/config.json b/examples/DataService/CccDataService/config.json new file mode 100644 index 00000000..787d3e41 --- /dev/null +++ b/examples/DataService/CccDataService/config.json @@ -0,0 +1,10 @@ +{ + "MONGO_HOST": "localhost", + "MONGO_PORT": 27017, + + "SYMBOLS": [ + "BTC/USDT.OKEX", + "BTC/USDT.HUOBIPRO", + "BTC/USDT.BINANCE" + ] +} \ No newline at end of file diff --git a/examples/DataService/CccDataService/dataService.py b/examples/DataService/CccDataService/dataService.py new file mode 100644 index 00000000..e7ffc88a --- /dev/null +++ b/examples/DataService/CccDataService/dataService.py @@ -0,0 +1,106 @@ +# 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'] +SYMBOLS = setting['SYMBOLS'] + +mc = MongoClient(MONGO_HOST, MONGO_PORT) # Mongo连接 +db = mc[MINUTE_DB_NAME] # 数据库 + + +#---------------------------------------------------------------------- +def generateVtBar(vtSymbol, d): + """生成K线""" + bar = VtBarData() + bar.vtSymbol = vtSymbol + bar.symbol, bar.exchange = bar.vtSymbol.split('.') + + bar.datetime = datetime.datetime.fromtimestamp(d['time']) + bar.date = bar.datetime.strftime('%Y%m%d') + bar.time = bar.datetime.strftime('%H:%M:%S') + + bar.open = d['open'] + bar.high = d['high'] + bar.low = d['low'] + bar.close = d['close'] + bar.volume = d['volumeto'] + + return bar + +#---------------------------------------------------------------------- +def downloadMinuteBarBySymbol(vtSymbol, end): + """下载某一合约的分钟线数据""" + end = datetime.datetime.strptime(end, '%Y%m%d') + startTime = time.time() + + cl = db[vtSymbol] + cl.ensure_index([('datetime', ASCENDING)], unique=True) + + symbol, exchange = vtSymbol.split('.') + fsym, tsym = symbol.split('/') + + url = 'https://min-api.cryptocompare.com/data/histominute' + params = { + 'fsym': fsym, + 'tsym': tsym, + 'e': exchange, + 'toTs': int(time.mktime(end.timetuple())) + } + resp = requests.get(url, headers={}, params=params) + + if resp.status_code != 200: + print(u'%s数据下载失败' %vtSymbol) + return + + j = resp.json() + l = j['Data'] + + for d in l: + bar = generateVtBar(vtSymbol, 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' %(vtSymbol, + datetime.datetime.fromtimestamp(l[0]['time']), + datetime.datetime.fromtimestamp(l[-1]['time']), + cost)) + +#---------------------------------------------------------------------- +def downloadAllMinuteBar(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: + downloadMinuteBarBySymbol(symbol, end) + time.sleep(1) + + print('-' * 50) + print(u'合约分钟线数据下载完成') + print('-' * 50) + + + \ No newline at end of file diff --git a/examples/DataService/CccDataService/downloadData.py b/examples/DataService/CccDataService/downloadData.py new file mode 100644 index 00000000..1da0bc31 --- /dev/null +++ b/examples/DataService/CccDataService/downloadData.py @@ -0,0 +1,14 @@ +# 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('BTC/USDT.OKEX', '20181012') + #downMinuteBarBySymbol('BTC/USDT.HUOBIPRO', '20181012') + #downMinuteBarBySymbol('BTC/USDT.BINANCE', '20181012') + downloadAllMinuteBar('20181012') \ No newline at end of file diff --git a/examples/DataService/CccDataService/runService.py b/examples/DataService/CccDataService/runService.py new file mode 100644 index 00000000..4826e810 --- /dev/null +++ b/examples/DataService/CccDataService/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) \ No newline at end of file