[增强功能] 支持账号级别股指对锁。更新系列jobs脚本
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msincenselee
parent
17da760de4
commit
b71d0ad919
106
prod/jobs/check_dominat_symbol.py
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106
prod/jobs/check_dominat_symbol.py
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@ -0,0 +1,106 @@
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# flake8: noqa
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"""
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更新主力合约
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"""
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import os
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import sys
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import json
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from collections import OrderedDict
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import pandas as pd
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
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if vnpy_root not in sys.path:
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sys.path.append(vnpy_root)
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os.environ["VNPY_TESTING"] = "1"
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from vnpy.data.tdx.tdx_future_data import *
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from vnpy.trader.util_wechat import send_wx_msg
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from vnpy.trader.utility import load_json, save_json
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if __name__ == "__main__":
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if len(sys.argv) < 2:
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print(f'请输入{vnpy_root}下检查目录，例如 prod/account01', file=sys.stderr)
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exit()
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print(sys.argv)
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for account_folder in sys.argv[1:]:
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cta_path = os.path.abspath(os.path.join(vnpy_root, account_folder))
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if not os.path.exists(cta_path):
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print(f'{cta_path}不存在', file=sys.stderr)
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exit()
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print(f'开始检查{cta_path}下的策略运行配置文件')
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account_name = account_folder.split('/')[-1]
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# 创建API对象
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api_01 = TdxFutureData()
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# 更新本地合约缓存信息
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api_01.update_mi_contracts()
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setting_file_path = os.path.abspath(os.path.join(cta_path, 'cta_strategy_pro_setting.json'))
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settings = load_json(setting_file_path, auto_save=False)
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if len(settings) == 0:
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print('无策略配置')
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os._exit(0)
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changed = False
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for strategy_name, setting in settings.items():
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vt_symbol = setting.get('vt_symbol')
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if not vt_symbol:
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print(f'{strategy_name}配置中无vt_symbol', file=sys.stderr)
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continue
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if '.' in vt_symbol:
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symbol, exchange = vt_symbol.split('.')
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else:
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symbol = vt_symbol
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exchange = None
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if exchange == Exchange.SPD:
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print(f"暂不处理自定义套利合约{vt_symbol}")
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continue
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full_symbol = get_full_symbol(symbol).upper()
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underlying_symbol = get_underlying_symbol(symbol).upper()
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contract_info = api_01.future_contracts.get(underlying_symbol)
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if not contract_info:
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print(f'{account_name}主力合约配置中，找不到{underlying_symbol}', file=sys.stderr)
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continue
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if 'mi_symbol' not in contract_info or 'exchange' not in contract_info or 'full_symbol' not in contract_info:
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print(f'{account_name}主力合约配置中，找不到mi_symbol/exchange/full_symbol. {contract_info}', file=sys.stderr)
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continue
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new_mi_symbol = contract_info.get('mi_symbol')
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new_exchange = contract_info.get('exchange')
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new_vt_symbol = '.'.join([new_mi_symbol, new_exchange])
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new_full_symbol = contract_info.get('full_symbol', '').upper()
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if full_symbol >= new_full_symbol:
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print(f'{account_name}策略配置：长合约{full_symbol}， 主力长合约{new_full_symbol}，不更新')
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continue
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if exchange:
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if len(vt_symbol) != len(new_vt_symbol):
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print(f'{account_name}配置中，合约{vt_symbol} 与{new_vt_symbol} 长度不匹配，不更新', file=sys.stderr)
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continue
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else:
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if len(symbol) != len(new_mi_symbol):
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print(f'{account_name}配置中，合约{vt_symbol} 与{new_mi_symbol} 长度不匹配，不更新', file=sys.stderr)
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continue
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setting.update({'vt_symbol': new_vt_symbol})
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send_wx_msg(f'{account_name}{strategy_name} 主力合约更换:{vt_symbol} => {new_vt_symbol} ')
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changed = True
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if changed:
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save_json(setting_file_path, settings)
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print(f'保存{account_name}新配置')
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print('更新完毕')
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os._exit(0)
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64
prod/jobs/export_future_renko_bars.py
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64
prod/jobs/export_future_renko_bars.py
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# flake8: noqa
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# 自动导出mongodb补全期货指数合约renko bar => csv文件
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# 供renko bar 批量测试使用
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import sys, os, copy, csv, signal
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
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if vnpy_root not in sys.path:
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print(f'append {vnpy_root} into sys.path')
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sys.path.append(vnpy_root)
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os.environ["VNPY_TESTING"] = "1"
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from vnpy.data.renko.rebuild_future import *
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if __name__ == "__main__":
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if len(sys.argv) < 2:
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print(f'请输入参数 host <db_name> <idx_symbol> <start_date> <end_date> \n '
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f'例如: python export_future_renko_bars.py 127.0.0.1 {FUTURE_RENKO_DB_NAME} RB99')
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exit()
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print(sys.argv)
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# Mongo host
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host = sys.argv[1]
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# 数据库
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if len(sys.argv) >= 3:
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db_name = sys.argv[2]
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else:
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db_name = FUTURE_RENKO_DB_NAME
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# 导出指数合约
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if len(sys.argv) >= 4:
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idx_symbol = sys.argv[3]
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else:
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idx_symbol = 'all'
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if len(sys.argv) >= 5:
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start_date = sys.argv[4]
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else:
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start_date = '2016-01-01'
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if len(sys.argv) >= 6:
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end_date = sys.argv[6]
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else:
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end_date = '2099-01-01'
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setting = {
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"host": host,
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"db_name": FUTURE_RENKO_DB_NAME,
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"cache_folder": os.path.join(vnpy_root, 'tick_data', 'tdx', 'future')
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}
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builder = FutureRenkoRebuilder(setting)
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if idx_symbol.upper() == 'ALL':
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print(u'导出所有合约')
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csv_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data', 'future_renko'))
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builder.export_all(start_date, end_date, csv_folder)
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else:
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for height in [3, 5, 10, 'K3', 'K5', 'K10']:
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csv_file = os.path.abspath(os.path.join(vnpy_root, 'bar_data', 'future_renko_{}_{}_{}_{}.csv'
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.format(idx_symbol, height, start_date.replace('-', ''),
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end_date.replace('-', ''))))
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builder.export(symbol=idx_symbol, height=height, start_date=start_date, end_date=end_date,
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csv_file=csv_file)
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14
prod/jobs/export_future_renko_bars.sh
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14
prod/jobs/export_future_renko_bars.sh
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#!/bin/bash
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CONDA_HOME=~/anaconda3
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BASE_PATH=$(cd `dirname $0`; pwd)
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echo $BASE_PATH
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cd `dirname $0`
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PROGRAM_NAME=./export_future_renko_bars.py
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# 定时 mongodb => future_renko bars
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$CONDA_HOME/envs/py37/bin/python $PROGRAM_NAME 127.0.0.1 FutureRenko
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@ -19,7 +19,7 @@ import baostock as bs
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from vnpy.trader.constant import Exchange
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from vnpy.data.tdx.tdx_common import get_tdx_market_code
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from vnpy.trader.utility import load_json, get_csv_last_dt
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from vnpy.trader.utility import load_json, get_csv_last_dt, extract_vt_symbol
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from vnpy.data.stock.stock_base import get_stock_base
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# 保存的1分钟指数 bar目录
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bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data'))
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@ -27,111 +27,135 @@ bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data'))
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# 开始日期（每年大概需要几分钟）
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start_date = '20060101'
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# 证券宝连接
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login_msg = bs.login()
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if login_msg.error_code != '0':
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print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
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if __name__ == "__main__":
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# 更新本地合约缓存信息
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stock_list = load_json('stock_list.json')
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# 证券宝连接
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login_msg = bs.login()
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if login_msg.error_code != '0':
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print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
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symbol_dict = get_stock_base()
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day_fields = "date,code,open,high,low,close,preclose,volume,amount,adjustflag,turn,tradestatus,pctChg,isST"
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min_fields = "date,time,code,open,high,low,close,volume,amount,adjustflag"
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# 逐一股票下载并更新
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for stock_code in stock_list:
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market_id = get_tdx_market_code(stock_code)
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if market_id == 0:
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exchange_name = '深交所'
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exchange = Exchange.SZSE
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exchange_code = 'sz'
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symbol_dict = get_stock_base()
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if len(sys.argv) >= 2 and sys.argv[1].lower() == 'all':
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stock_list = list(symbol_dict.keys())
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print('使用全量股票，共{}个'.format(len(stock_list)))
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else:
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exchange_name = '上交所'
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exchange = Exchange.SSE
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exchange_code = 'sh'
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# 更新本地合约缓存信息
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stock_list = load_json('stock_list.json')
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print('读取本地stock_list.json文件，共{}个'.format(len(stock_list)))
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symbol_info = symbol_dict.get(f'{stock_code}.{exchange.value}')
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stock_name = symbol_info.get('name')
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print(f'开始更新:{exchange_name}/{stock_name}, 代码:{stock_code}')
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bar_file_folder = os.path.abspath(os.path.join(bar_data_folder, f'{exchange.value}'))
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if not os.path.exists(bar_file_folder):
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os.makedirs(bar_file_folder)
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# csv数据文件名
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bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{stock_code}_{start_date}_5m.csv'))
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# 如果文件存在，
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if os.path.exists(bar_file_path):
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# df_old = pd.read_csv(bar_file_path, index_col=0)
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# df_old = df_old.rename(lambda x: pd.to_datetime(x, format="%Y-%m-%d %H:%M:%S"))
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# 取最后一条时间
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# last_dt = df_old.index[-1]
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last_dt = get_csv_last_dt(bar_file_path)
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start_dt = last_dt - timedelta(days=1)
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print(f'文件{bar_file_path}存在，最后时间:{start_date}')
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else:
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last_dt = None
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start_dt = datetime.strptime(start_date, '%Y%m%d')
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print(f'文件{bar_file_path}不存在，开始时间:{start_date}')
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day_fields = "date,code,open,high,low,close,preclose,volume,amount,adjustflag,turn,tradestatus,pctChg,isST"
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min_fields = "date,time,code,open,high,low,close,volume,amount,adjustflag"
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rs = bs.query_history_k_data_plus(
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code=f'{exchange_code}.{stock_code}',
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fields=min_fields,
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start_date=start_dt.strftime('%Y-%m-%d'), end_date=datetime.now().strftime('%Y-%m-%d'),
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frequency="5",
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adjustflag="3"
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)
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if rs.error_code != '0':
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print(f'证券宝获取沪深A股历史K线数据错误代码:{rs.error_code}, 错误信息:{rs.error_msg}')
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continue
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count = 0
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# 逐一股票下载并更新
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for stock_code in stock_list:
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count += 1
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print('下载进度:{}%'.format(round(count* 100/len(stock_list), 4)))
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if '.' not in stock_code:
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market_id = get_tdx_market_code(stock_code)
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if market_id == 0:
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exchange_name = '深交所'
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exchange = Exchange.SZSE
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exchange_code = 'sz'
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else:
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exchange_name = '上交所'
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exchange = Exchange.SSE
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exchange_code = 'sh'
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symbol = stock_code
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vt_symbol = f'{stock_code}.{exchange.value}'
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else:
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vt_symbol = stock_code
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symbol, exchange = extract_vt_symbol(vt_symbol)
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if exchange == Exchange.SSE:
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exchange_name = '上交所'
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exchange_code = 'sh'
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else:
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exchange_name = '深交所'
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exchange_code = 'sz'
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# [dict] => dataframe
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bars = []
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while (rs.error_code == '0') and rs.next():
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row = rs.get_row_data()
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dt = datetime.strptime(row[1], '%Y%m%d%H%M%S%f')
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if last_dt and last_dt > dt:
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symbol_info = symbol_dict.get(vt_symbol)
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if symbol_info['类型'] == '指数':
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continue
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bar = {
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'datetime': dt,
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'open': float(row[3]),
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'close': float(row[6]),
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'high': float(row[4]),
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'low': float(row[5]),
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'volume': float(row[7]),
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'amount': float(row[8]),
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'symbol': stock_code,
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'trading_date': row[0],
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'date': row[0],
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'time': dt.strftime('%H:%M:%S')
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}
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bars.append(bar)
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stock_name = symbol_info.get('name')
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print(f'开始更新:{exchange_name}/{stock_name}, 代码:{symbol}')
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bar_file_folder = os.path.abspath(os.path.join(bar_data_folder, f'{exchange.value}'))
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if not os.path.exists(bar_file_folder):
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os.makedirs(bar_file_folder)
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# csv数据文件名
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bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{symbol}_5m.csv'))
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# 获取标题
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if len(bars) == 0:
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continue
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# 如果文件存在，
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if os.path.exists(bar_file_path):
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# df_old = pd.read_csv(bar_file_path, index_col=0)
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# df_old = df_old.rename(lambda x: pd.to_datetime(x, format="%Y-%m-%d %H:%M:%S"))
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# 取最后一条时间
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# last_dt = df_old.index[-1]
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last_dt = get_csv_last_dt(bar_file_path)
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start_dt = last_dt - timedelta(days=1)
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print(f'文件{bar_file_path}存在，最后时间:{start_dt}')
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else:
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last_dt = None
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start_dt = datetime.strptime(start_date, '%Y%m%d')
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print(f'文件{bar_file_path}不存在，开始时间:{start_dt}')
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headers = list(bars[0].keys())
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if headers[0] != 'datetime':
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headers.remove('datetime')
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headers.insert(0, 'datetime')
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rs = bs.query_history_k_data_plus(
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code=f'{exchange_code}.{symbol}',
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fields=min_fields,
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start_date=start_dt.strftime('%Y-%m-%d'), end_date=datetime.now().strftime('%Y-%m-%d'),
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frequency="5",
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adjustflag="3"
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)
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if rs.error_code != '0':
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print(f'证券宝获取沪深A股历史K线数据错误代码:{rs.error_code}, 错误信息:{rs.error_msg}')
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continue
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bar_count = 0
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# 写入所有大于最后bar时间的数据
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with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
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# [dict] => dataframe
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bars = []
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while (rs.error_code == '0') and rs.next():
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row = rs.get_row_data()
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dt = datetime.strptime(row[1], '%Y%m%d%H%M%S%f')
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if last_dt and last_dt > dt:
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continue
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bar = {
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'datetime': dt,
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'open': float(row[3]),
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'close': float(row[6]),
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'high': float(row[4]),
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'low': float(row[5]),
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'volume': float(row[7]),
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'amount': float(row[8]),
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'symbol': symbol,
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'trading_date': row[0],
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'date': row[0],
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'time': dt.strftime('%H:%M:%S')
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}
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bars.append(bar)
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writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
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extrasaction='ignore')
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if last_dt is None:
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writer.writeheader()
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for bar in bars:
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bar_count += 1
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writer.writerow(bar)
|
||||
# 获取标题
|
||||
if len(bars) == 0:
|
||||
continue
|
||||
|
||||
print(f'更新{stock_code}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
|
||||
headers = list(bars[0].keys())
|
||||
if headers[0] != 'datetime':
|
||||
headers.remove('datetime')
|
||||
headers.insert(0, 'datetime')
|
||||
|
||||
bar_count = 0
|
||||
# 写入所有大于最后bar时间的数据
|
||||
with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
|
||||
|
||||
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
|
||||
extrasaction='ignore')
|
||||
if last_dt is None:
|
||||
writer.writeheader()
|
||||
for bar in bars:
|
||||
bar_count += 1
|
||||
writer.writerow(bar)
|
||||
|
||||
print(f'更新{vt_symbol}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
|
||||
|
||||
|
||||
print('更新完毕')
|
||||
bs.logout()
|
||||
os._exit(0)
|
||||
print('更新完毕')
|
||||
bs.logout()
|
||||
os._exit(0)
|
||||
|
||||
@ -26,80 +26,104 @@ if len(contracts) == 0:
|
||||
# 开始下载日期
|
||||
start_date = '20190101'
|
||||
|
||||
def download_symbol(symbol, start_dt, bar_file_path):
|
||||
req = HistoryRequest(
|
||||
symbol=symbol,
|
||||
exchange=Exchange(contract_info.get('exchange')),
|
||||
interval=Interval.MINUTE,
|
||||
start=start_dt
|
||||
)
|
||||
if __name__ == "__main__":
|
||||
|
||||
bars = future_data.get_bars(req=req, return_dict=True)
|
||||
future_data.export_to(bars, file_name=bar_file_path)
|
||||
if len(sys.argv) >= 2:
|
||||
interval = str(sys.argv[1]).lower()
|
||||
if interval.isdecimal():
|
||||
interval_num = int(sys.argv[1])
|
||||
interval_type = Interval.MINUTE
|
||||
else:
|
||||
if 'm' in interval:
|
||||
interval_type = Interval.MINUTE
|
||||
interval_num = int(interval.replace('m', ''))
|
||||
elif 'h' in interval:
|
||||
interval_type = Interval.HOUR
|
||||
interval_num = int(interval.replace('h', ''))
|
||||
elif 'd' in interval:
|
||||
interval_type = Interval.DAILY
|
||||
interval_num = int(interval.replace('d', ''))
|
||||
else:
|
||||
interval = '1m'
|
||||
interval_num = 1
|
||||
interval_type = Interval.MINUTE
|
||||
|
||||
# 逐一合约进行下载
|
||||
for vt_symbol, contract_info in contracts.items():
|
||||
symbol = contract_info.get('symbol')
|
||||
def download_symbol(symbol, start_dt, bar_file_path, interval_type, interval_num):
|
||||
req = HistoryRequest(
|
||||
symbol=symbol,
|
||||
exchange=Exchange(contract_info.get('exchange')),
|
||||
interval=interval_type,
|
||||
interval_num=interval_num,
|
||||
start=start_dt
|
||||
)
|
||||
|
||||
bar_file_path = os.path.abspath(os.path.join(
|
||||
ROOT_PATH,
|
||||
'bar_data',
|
||||
'binance',
|
||||
f'{symbol}_{start_date}_1m.csv'))
|
||||
bars = future_data.get_bars(req=req, return_dict=True)
|
||||
future_data.export_to(bars, file_name=bar_file_path)
|
||||
|
||||
# 不存在文件，直接下载，并保存
|
||||
if not os.path.exists(bar_file_path):
|
||||
print(f'文件{bar_file_path}不存在，开始时间:{start_date}')
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
download_symbol(symbol, start_dt, bar_file_path)
|
||||
continue
|
||||
# 逐一合约进行下载
|
||||
for vt_symbol, contract_info in contracts.items():
|
||||
symbol = contract_info.get('symbol')
|
||||
|
||||
# 如果存在文件，获取最后的bar时间
|
||||
last_dt = get_csv_last_dt(bar_file_path)
|
||||
bar_file_path = os.path.abspath(os.path.join(
|
||||
ROOT_PATH,
|
||||
'bar_data',
|
||||
'binance',
|
||||
f'{symbol}_{start_date}_{interval}.csv'))
|
||||
|
||||
# 获取不到时间，重新下载
|
||||
if last_dt is None:
|
||||
print(f'获取文件{bar_file_path}的最后时间失败，开始时间:{start_date}')
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
download_symbol(symbol, start_dt, bar_file_path)
|
||||
continue
|
||||
# 不存在文件，直接下载，并保存
|
||||
if not os.path.exists(bar_file_path):
|
||||
print(f'文件{bar_file_path}不存在，开始时间:{start_date}')
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
download_symbol(symbol, start_dt, bar_file_path, interval_type, interval_num)
|
||||
continue
|
||||
|
||||
# 获取到时间，变成那天的开始时间，下载数据
|
||||
start_dt = last_dt.replace(hour=0, minute=0, second=0, microsecond=0)
|
||||
print(f'文件{bar_file_path}存在，最后时间:{last_dt}, 调整数据获取开始时间:{start_dt}')
|
||||
req = HistoryRequest(
|
||||
symbol=symbol,
|
||||
exchange=Exchange(contract_info.get('exchange')),
|
||||
interval=Interval.MINUTE,
|
||||
start=start_dt
|
||||
)
|
||||
# 如果存在文件，获取最后的bar时间
|
||||
last_dt = get_csv_last_dt(bar_file_path)
|
||||
|
||||
bars = future_data.get_bars(req=req, return_dict=True)
|
||||
if len(bars) <= 0:
|
||||
print(f'下载{symbol} 1分钟数据为空白')
|
||||
continue
|
||||
# 获取不到时间，重新下载
|
||||
if last_dt is None:
|
||||
print(f'获取文件{bar_file_path}的最后时间失败，开始时间:{start_date}')
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
download_symbol(symbol, start_dt, bar_file_path, interval_type, interval_num)
|
||||
continue
|
||||
|
||||
bar_count = 0
|
||||
# 获取到时间，变成那天的开始时间，下载数据
|
||||
start_dt = last_dt.replace(hour=0, minute=0, second=0, microsecond=0)
|
||||
print(f'文件{bar_file_path}存在，最后时间:{last_dt}, 调整数据获取开始时间:{start_dt}')
|
||||
req = HistoryRequest(
|
||||
symbol=symbol,
|
||||
exchange=Exchange(contract_info.get('exchange')),
|
||||
interval=interval_type,
|
||||
interval_num=interval_num,
|
||||
start=start_dt
|
||||
)
|
||||
|
||||
# 获取标题
|
||||
headers = []
|
||||
with open(bar_file_path, "r", encoding='utf8') as f:
|
||||
reader = csv.reader(f)
|
||||
for header in reader:
|
||||
headers = header
|
||||
break
|
||||
bars = future_data.get_bars(req=req, return_dict=True)
|
||||
if len(bars) <= 0:
|
||||
print(f'下载{symbol} {interval_num} {interval_type.value} 数据为空白')
|
||||
continue
|
||||
|
||||
# 写入所有大于最后bar时间的数据
|
||||
with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
|
||||
bar_count = 0
|
||||
|
||||
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
|
||||
extrasaction='ignore')
|
||||
for bar in bars:
|
||||
if bar['datetime'] <= last_dt:
|
||||
continue
|
||||
bar_count += 1
|
||||
writer.writerow(bar)
|
||||
# 获取标题
|
||||
headers = []
|
||||
with open(bar_file_path, "r", encoding='utf8') as f:
|
||||
reader = csv.reader(f)
|
||||
for header in reader:
|
||||
headers = header
|
||||
break
|
||||
|
||||
print(f'更新{symbol}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
|
||||
# 写入所有大于最后bar时间的数据
|
||||
with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
|
||||
|
||||
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
|
||||
extrasaction='ignore')
|
||||
for bar in bars:
|
||||
if bar['datetime'] <= last_dt:
|
||||
continue
|
||||
bar_count += 1
|
||||
writer.writerow(bar)
|
||||
|
||||
print(f'更新{symbol}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
|
||||
|
||||
|
||||
|
||||
131
prod/jobs/refill_binance_spot_bars.py
Normal file
131
prod/jobs/refill_binance_spot_bars.py
Normal file
@ -0,0 +1,131 @@
|
||||
# flake8: noqa
|
||||
|
||||
|
||||
import os
|
||||
import sys
|
||||
import csv
|
||||
import pandas as pd
|
||||
|
||||
# 将repostory的目录i，作为根目录，添加到系统环境中。
|
||||
ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
|
||||
if ROOT_PATH not in sys.path:
|
||||
sys.path.append(ROOT_PATH)
|
||||
print(f'append {ROOT_PATH} into sys.path')
|
||||
|
||||
from datetime import datetime, timedelta
|
||||
from vnpy.data.binance.binance_spot_data import BinanceSpotData, HistoryRequest, Exchange, Interval
|
||||
from vnpy.trader.utility import get_csv_last_dt, append_data
|
||||
|
||||
# 获取币安现货交易的所有合约
|
||||
spot_data = BinanceSpotData()
|
||||
contracts = BinanceSpotData.load_contracts()
|
||||
if len(contracts) == 0:
|
||||
spot_data.save_contracts()
|
||||
contracts = BinanceSpotData.load_contracts()
|
||||
|
||||
# 开始下载日期
|
||||
start_date = '20170101'
|
||||
|
||||
if __name__ == "__main__":
|
||||
|
||||
if len(sys.argv) >= 2:
|
||||
interval = str(sys.argv[1]).lower()
|
||||
if interval.isdecimal():
|
||||
interval_num = int(sys.argv[1])
|
||||
interval_type = Interval.MINUTE
|
||||
else:
|
||||
if 'm' in interval:
|
||||
interval_type = Interval.MINUTE
|
||||
interval_num = int(interval.replace('m', ''))
|
||||
elif 'h' in interval:
|
||||
interval_type = Interval.HOUR
|
||||
interval_num = int(interval.replace('h', ''))
|
||||
elif 'd' in interval:
|
||||
interval_type = Interval.DAILY
|
||||
interval_num = int(interval.replace('d', ''))
|
||||
else:
|
||||
interval = '1m'
|
||||
interval_num = 1
|
||||
interval_type = Interval.MINUTE
|
||||
|
||||
def download_symbol(symbol, start_dt, bar_file_path, interval_type, interval_num):
|
||||
req = HistoryRequest(
|
||||
symbol=symbol,
|
||||
exchange=Exchange(contract_info.get('exchange')),
|
||||
interval=interval_type,
|
||||
interval_num=interval_num,
|
||||
start=start_dt
|
||||
)
|
||||
|
||||
bars = spot_data.get_bars(req=req, return_dict=True)
|
||||
spot_data.export_to(bars, file_name=bar_file_path)
|
||||
|
||||
# 逐一合约进行下载
|
||||
for vt_symbol, contract_info in contracts.items():
|
||||
symbol = contract_info.get('symbol')
|
||||
if symbol not in ['BTCUSDT', 'ETHUSDT']:
|
||||
continue
|
||||
|
||||
bar_file_path = os.path.abspath(os.path.join(
|
||||
ROOT_PATH,
|
||||
'bar_data',
|
||||
'binance_spot',
|
||||
f'{symbol}_{start_date}_{interval}.csv'))
|
||||
|
||||
# 不存在文件，直接下载，并保存
|
||||
if not os.path.exists(bar_file_path):
|
||||
print(f'文件{bar_file_path}不存在，开始时间:{start_date}')
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
download_symbol(symbol, start_dt, bar_file_path, interval_type, interval_num)
|
||||
continue
|
||||
|
||||
# 如果存在文件，获取最后的bar时间
|
||||
last_dt = get_csv_last_dt(bar_file_path)
|
||||
|
||||
# 获取不到时间，重新下载
|
||||
if last_dt is None:
|
||||
print(f'获取文件{bar_file_path}的最后时间失败，开始时间:{start_date}')
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
download_symbol(symbol, start_dt, bar_file_path, interval_type, interval_num)
|
||||
continue
|
||||
|
||||
# 获取到时间，变成那天的开始时间，下载数据
|
||||
start_dt = last_dt.replace(hour=0, minute=0, second=0, microsecond=0)
|
||||
print(f'文件{bar_file_path}存在，最后时间:{last_dt}, 调整数据获取开始时间:{start_dt}')
|
||||
req = HistoryRequest(
|
||||
symbol=symbol,
|
||||
exchange=Exchange(contract_info.get('exchange')),
|
||||
interval=interval_type,
|
||||
interval_num=interval_num,
|
||||
start=start_dt
|
||||
)
|
||||
|
||||
bars = spot_data.get_bars(req=req, return_dict=True)
|
||||
if len(bars) <= 0:
|
||||
print(f'下载{symbol} {interval_num} {interval_type.value} 数据为空白')
|
||||
continue
|
||||
|
||||
bar_count = 0
|
||||
|
||||
# 获取标题
|
||||
headers = []
|
||||
with open(bar_file_path, "r", encoding='utf8') as f:
|
||||
reader = csv.reader(f)
|
||||
for header in reader:
|
||||
headers = header
|
||||
break
|
||||
|
||||
# 写入所有大于最后bar时间的数据
|
||||
with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
|
||||
|
||||
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
|
||||
extrasaction='ignore')
|
||||
for bar in bars:
|
||||
if bar['datetime'] <= last_dt:
|
||||
continue
|
||||
bar_count += 1
|
||||
writer.writerow(bar)
|
||||
|
||||
print(f'更新{symbol}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
|
||||
|
||||
|
||||
81
prod/jobs/refill_future_renko_all.sh
Normal file
81
prod/jobs/refill_future_renko_all.sh
Normal file
@ -0,0 +1,81 @@
|
||||
#!/bin/bash
|
||||
|
||||
CONDA_HOME=~/anaconda3
|
||||
|
||||
############ Added by Huang Jianwei at 2018-04-03
|
||||
# To solve the problem about Javascript runtime
|
||||
export PATH=$PATH:/usr/local/bin
|
||||
############ Ended
|
||||
|
||||
BASE_PATH=$(cd `dirname $0`; pwd)
|
||||
echo $BASE_PATH
|
||||
cd `dirname $0`
|
||||
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 A99 1 1>logs/refill_history_A99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 AG99 1 1>logs/refill_history_AG99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 AL99 5 1>logs/refill_history_AL99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 AP99 1 1>logs/refill_history_AP99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 AU99 0.05 1>logs/refill_history_AU99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 B99 1 1>logs/refill_history_B99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 BB99 0.05 1>logs/refill_history_BB99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 BU99 2 1>logs/refill_history_BU99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 C99 1 1>logs/refill_history_C99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 CF99 5 1>logs/refill_history_CF99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 CJ99 5 1>logs/refill_history_CJ99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 CS99 1 1>logs/refill_history_CS99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 CU99 10 1>logs/refill_history_CU99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 CY99 5 1>logs/refill_history_CY99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 EG99 1 1>logs/refill_history_EG99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 FB99 0.05 1>logs/refill_history_FB99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 FG99 1 1>logs/refill_history_FG99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 FU99 1 1>logs/refill_history_FU99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 HC99 1 1>logs/refill_history_HC99.log 2>>logs/refill_error.log
|
||||
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 I99 0.5 1>logs/refill_history_I99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 IC99 0.2 1>logs/refill_history_IC99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 IF99 0.2 1>logs/refill_history_IF99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 IH99 0.2 1>logs/refill_history_IH99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 J99 0.5 1>logs/refill_history_J99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 JD99 1 1>logs/refill_history_JD99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 JM99 0.5 1>logs/refill_history_JM99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 JR99 1 1>logs/refill_history_JR99.log 2>>logs/refill_error.log
|
||||
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 L99 5 1>logs/refill_history_L99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 LR99 1 1>logs/refill_history_LR99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 M99 1 1>logs/refill_history_M99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 MA99 1 1>logs/refill_history_MA99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 NI99 10.0 1>logs/refill_history_NI99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 NR99 5 1>logs/refill_history_NR99.log 2>>logs/refill_error.log
|
||||
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 OI99 1 1>logs/refill_history_OI99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 P99 2 1>logs/refill_history_P99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 PB99 5 1>logs/refill_history_PB99.log 2>>logs/refill_error.log
|
||||
#$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 PM99 1 1>logs/refill_history_PM99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 PP99 1 1>logs/refill_history_PP99.log 2>>logs/refill_error.log
|
||||
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 RB99 1 1>logs/refill_history_RB99.log 2>>logs/refill_error.log
|
||||
#$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 RI99 1 1>logs/refill_history_RI99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 RM99 1 1>logs/refill_history_RM99.log 2>>logs/refill_error.log
|
||||
#$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 RR99 1 1>logs/refill_history_RR99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 RS99 1 1>logs/refill_history_RS99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 RU99 5 1>logs/refill_history_RU99.log 2>>logs/refill_error.log
|
||||
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 SC99 0.1 1>logs/refill_history_SC99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 SF99 2 1>logs/refill_history_SF99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 SM99 2 1>logs/refill_history_SM99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 SN99 10.0 1>logs/refill_history_SN99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 SP99 2 1>logs/refill_history_SP99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 SS99 5 1>logs/refill_history_SS99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 SR99 1 1>logs/refill_history_SR99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 T99 0.005 1>logs/refill_history_T99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 TA99 2 1>logs/refill_history_TA99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 TF99 0.005 1>logs/refill_history_TF99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 TS99 0.005 1>logs/refill_history_TS99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 UR99 1 1>logs/refill_history_UR99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 V99 5 1>logs/refill_history_V99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 WH99 1 1>logs/refill_history_WH99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 WR99 1 1>logs/refill_history_WR99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 Y99 2 1>logs/refill_history_Y99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 ZC99 0.2 1>logs/refill_history_ZC99.log 2>>logs/refill_error.log
|
||||
$CONDA_HOME/envs/py37/bin/python refill_future_renko.py 127.0.0.1 ZN99 5 1>logs/refill_history_ZN99.log 2>>logs/refill_error.log
|
||||
|
||||
98
prod/jobs/refill_rqdata_stock_bars.py
Normal file
98
prod/jobs/refill_rqdata_stock_bars.py
Normal file
@ -0,0 +1,98 @@
|
||||
# flake8: noqa
|
||||
"""
|
||||
下载rqdata股票合约1分钟bar => vnpy项目目录/bar_data/
|
||||
"""
|
||||
import os
|
||||
import sys
|
||||
import json
|
||||
from collections import OrderedDict
|
||||
import pandas as pd
|
||||
|
||||
vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
|
||||
if vnpy_root not in sys.path:
|
||||
sys.path.append(vnpy_root)
|
||||
|
||||
os.environ["VNPY_TESTING"] = "1"
|
||||
|
||||
from vnpy.data.tdx.tdx_stock_data import *
|
||||
from vnpy.trader.utility import load_json
|
||||
from vnpy.trader.rqdata import RqdataClient
|
||||
# 保存的1分钟指数 bar目录
|
||||
bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data'))
|
||||
|
||||
# 开始日期（每年大概需要几分钟）
|
||||
start_date = '20160101'
|
||||
|
||||
# 创建API对象
|
||||
api_01 = TdxStockData()
|
||||
rq = RqdataClient()
|
||||
|
||||
rq.init(username='incenselee@hotmail.com', password='123456')
|
||||
|
||||
# 更新本地合约缓存信息
|
||||
stock_list = load_json('stock_list.json')
|
||||
|
||||
symbol_dict = api_01.symbol_dict
|
||||
|
||||
# 逐一指数合约下载并更新
|
||||
for stock_code in stock_list:
|
||||
market_id = get_tdx_market_code(stock_code)
|
||||
if market_id == 0:
|
||||
exchange_name = '深交所'
|
||||
exchange = Exchange.SZSE
|
||||
else:
|
||||
exchange_name = '上交所'
|
||||
exchange = Exchange.SSE
|
||||
|
||||
symbol_info = symbol_dict.get(f'{stock_code}_{market_id}')
|
||||
stock_name = symbol_info.get('name')
|
||||
print(f'开始更新:{exchange_name}/{stock_name}, 代码:{stock_code}')
|
||||
bar_file_folder = os.path.abspath(os.path.join(bar_data_folder, f'{exchange.value}'))
|
||||
if not os.path.exists(bar_file_folder):
|
||||
os.makedirs(bar_file_folder)
|
||||
# csv数据文件名
|
||||
bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{stock_code}_{start_date}_1m.csv'))
|
||||
|
||||
# 如果文件存在，
|
||||
if os.path.exists(bar_file_path):
|
||||
df_old = pd.read_csv(bar_file_path, index_col=0)
|
||||
df_old = df_old.rename(lambda x: pd.to_datetime(x, format="%Y-%m-%d %H:%M:%S"))
|
||||
# 取最后一条时间
|
||||
last_dt = df_old.index[-1]
|
||||
start_dt = last_dt - timedelta(days=1)
|
||||
print(f'文件{bar_file_path}存在，最后时间:{start_date}')
|
||||
else:
|
||||
df_old = None
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
print(f'文件{bar_file_path}不存在，开始时间:{start_date}')
|
||||
|
||||
result, bars = api_01.get_bars(symbol=stock_code,
|
||||
period='1min',
|
||||
callback=None,
|
||||
start_dt=start_dt,
|
||||
return_bar=False)
|
||||
# [dict] => dataframe
|
||||
if not result or len(bars) == 0:
|
||||
continue
|
||||
df_extern = pd.DataFrame(bars)
|
||||
df_extern.set_index('datetime', inplace=True)
|
||||
|
||||
if df_old is not None:
|
||||
# 扩展数据
|
||||
print('扩展数据')
|
||||
data_df = pd.concat([df_old, df_extern], axis=0)
|
||||
else:
|
||||
data_df = df_extern
|
||||
|
||||
# 数据按时间戳去重
|
||||
print('按时间戳去重')
|
||||
data_df = data_df[~data_df.index.duplicated(keep='first')]
|
||||
# 排序
|
||||
data_df = data_df.sort_index()
|
||||
# print(data_df.head())
|
||||
print(data_df.tail())
|
||||
data_df.to_csv(bar_file_path, index=True)
|
||||
print(f'更新{stock_name} {stock_code}数据 => 文件{bar_file_path}')
|
||||
|
||||
print('更新完毕')
|
||||
os._exit(0)
|
||||
112
prod/jobs/refill_tdx_cb_stock_bars.py
Normal file
112
prod/jobs/refill_tdx_cb_stock_bars.py
Normal file
@ -0,0 +1,112 @@
|
||||
# flake8: noqa
|
||||
"""
|
||||
下载通达信可转债1分钟bar => vnpy项目目录/bar_data/
|
||||
上海股票 => SSE子目录
|
||||
深圳股票 => SZSE子目录
|
||||
"""
|
||||
import os
|
||||
import sys
|
||||
import csv
|
||||
import json
|
||||
from collections import OrderedDict
|
||||
import pandas as pd
|
||||
|
||||
vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
|
||||
if vnpy_root not in sys.path:
|
||||
sys.path.append(vnpy_root)
|
||||
|
||||
os.environ["VNPY_TESTING"] = "1"
|
||||
|
||||
from vnpy.data.tdx.tdx_stock_data import *
|
||||
from vnpy.trader.utility import load_json
|
||||
from vnpy.trader.utility import get_csv_last_dt
|
||||
|
||||
# 保存的1分钟指数 bar目录
|
||||
bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data'))
|
||||
|
||||
# 开始日期（每年大概需要几分钟）
|
||||
start_date = '20160101'
|
||||
|
||||
# 创建API对象
|
||||
api_01 = TdxStockData()
|
||||
|
||||
symbol_dict = api_01.symbol_dict
|
||||
|
||||
# 逐一指数合约下载并更新
|
||||
for k, symbol_info in symbol_dict.items():
|
||||
stock_code, market_id = k.split('_')
|
||||
|
||||
if market_id == '0':
|
||||
exchange_name = '深交所'
|
||||
exchange = Exchange.SZSE
|
||||
else:
|
||||
exchange_name = '上交所'
|
||||
exchange = Exchange.SSE
|
||||
if symbol_info.get('stock_type') != 'cb_cn':
|
||||
continue
|
||||
|
||||
stock_name = symbol_info.get('name')
|
||||
print(f'开始更新:{exchange_name}/{stock_name}, 代码:{stock_code}')
|
||||
bar_file_folder = os.path.abspath(os.path.join(bar_data_folder, f'{exchange.value}'))
|
||||
if not os.path.exists(bar_file_folder):
|
||||
os.makedirs(bar_file_folder)
|
||||
# csv数据文件名
|
||||
bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{stock_code}_{start_date}_1m.csv'))
|
||||
|
||||
# 如果文件存在，
|
||||
if os.path.exists(bar_file_path):
|
||||
# 取最后一条时间
|
||||
last_dt = get_csv_last_dt(bar_file_path)
|
||||
else:
|
||||
last_dt = None
|
||||
|
||||
if last_dt:
|
||||
start_dt = last_dt - timedelta(days=1)
|
||||
print(f'文件{bar_file_path}存在，最后时间:{start_date}')
|
||||
else:
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
print(f'文件{bar_file_path}不存在，或读取最后记录错误,开始时间:{start_date}')
|
||||
|
||||
result, bars = api_01.get_bars(symbol=stock_code,
|
||||
period='1min',
|
||||
callback=None,
|
||||
start_dt=start_dt,
|
||||
return_bar=False)
|
||||
# [dict] => dataframe
|
||||
if not result or len(bars) == 0:
|
||||
continue
|
||||
if last_dt is None:
|
||||
data_df = pd.DataFrame(bars)
|
||||
data_df.set_index('datetime', inplace=True)
|
||||
data_df = data_df.sort_index()
|
||||
# print(data_df.head())
|
||||
print(data_df.tail())
|
||||
data_df.to_csv(bar_file_path, index=True)
|
||||
print(f'首次更新{stock_code} {stock_name}数据 => 文件{bar_file_path}')
|
||||
continue
|
||||
|
||||
# 获取标题
|
||||
headers = []
|
||||
with open(bar_file_path, "r", encoding='utf8') as f:
|
||||
reader = csv.reader(f)
|
||||
for header in reader:
|
||||
headers = header
|
||||
break
|
||||
|
||||
bar_count = 0
|
||||
# 写入所有大于最后bar时间的数据
|
||||
with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
|
||||
|
||||
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
|
||||
extrasaction='ignore')
|
||||
for bar in bars:
|
||||
if bar['datetime'] <= last_dt:
|
||||
continue
|
||||
bar_count += 1
|
||||
writer.writerow(bar)
|
||||
|
||||
print(f'更新{stock_code} {stock_name} 数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
|
||||
|
||||
|
||||
print('更新完毕')
|
||||
os._exit(0)
|
||||
@ -18,81 +18,92 @@ os.environ["VNPY_TESTING"] = "1"
|
||||
from vnpy.data.tdx.tdx_future_data import *
|
||||
from vnpy.trader.utility import get_csv_last_dt
|
||||
|
||||
# 保存的1分钟指数 bar目录
|
||||
bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data'))
|
||||
|
||||
# 开始日期（每年大概需要几分钟）
|
||||
start_date = '20160101'
|
||||
if __name__ == "__main__":
|
||||
|
||||
# 创建API对象
|
||||
api_01 = TdxFutureData()
|
||||
|
||||
# 更新本地合约缓存信息
|
||||
api_01.update_mi_contracts()
|
||||
|
||||
# 逐一指数合约下载并更新
|
||||
for underlying_symbol in api_01.future_contracts.keys():
|
||||
index_symbol = underlying_symbol + '99'
|
||||
print(f'开始更新:{index_symbol}')
|
||||
# csv数据文件名
|
||||
bar_file_path = os.path.abspath(os.path.join(bar_data_folder, 'tdx', f'{underlying_symbol}99_{start_date}_1m.csv'))
|
||||
|
||||
# 如果文件存在，
|
||||
if os.path.exists(bar_file_path):
|
||||
|
||||
#df_old = pd.read_csv(bar_file_path, index_col=0)
|
||||
#df_old = df_old.rename(lambda x: pd.to_datetime(x, format="%Y-%m-%d %H:%M:%S"))
|
||||
# 取最后一条时间
|
||||
last_dt = get_csv_last_dt(bar_file_path)
|
||||
start_dt = last_dt - timedelta(days=1)
|
||||
print(f'文件{bar_file_path}存在，最后时间:{start_date}')
|
||||
if len(sys.argv) > 1:
|
||||
filter_underlying_symbols = [s.upper() for s in sys.argv[1:]]
|
||||
else:
|
||||
last_dt = None
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
print(f'文件{bar_file_path}不存在，开始时间:{start_date}')
|
||||
filter_underlying_symbols = []
|
||||
|
||||
result, bars = api_01.get_bars(symbol=index_symbol,
|
||||
period='1min',
|
||||
callback=None,
|
||||
start_dt=start_dt,
|
||||
return_bar=False)
|
||||
# [dict] => dataframe
|
||||
if not result or len(bars) == 0:
|
||||
continue
|
||||
# 保存的1分钟指数 bar目录
|
||||
bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data'))
|
||||
|
||||
if last_dt is None:
|
||||
data_df = pd.DataFrame(bars)
|
||||
data_df.set_index('datetime', inplace=True)
|
||||
data_df = data_df.sort_index()
|
||||
# print(data_df.head())
|
||||
print(data_df.tail())
|
||||
data_df.to_csv(bar_file_path, index=True)
|
||||
print(f'首次更新{index_symbol} 数据 => 文件{bar_file_path}')
|
||||
continue
|
||||
# 开始日期（每年大概需要几分钟）
|
||||
start_date = '20160101'
|
||||
|
||||
# 创建API对象
|
||||
api_01 = TdxFutureData()
|
||||
|
||||
# 更新本地合约缓存信息
|
||||
api_01.update_mi_contracts()
|
||||
|
||||
# 逐一指数合约下载并更新
|
||||
for underlying_symbol in api_01.future_contracts.keys():
|
||||
if len(filter_underlying_symbols) > 0 and underlying_symbol not in filter_underlying_symbols:
|
||||
continue
|
||||
|
||||
index_symbol = underlying_symbol + '99'
|
||||
print(f'开始更新:{index_symbol}')
|
||||
# csv数据文件名
|
||||
bar_file_path = os.path.abspath(os.path.join(bar_data_folder, 'tdx', f'{underlying_symbol}99_{start_date}_1m.csv'))
|
||||
|
||||
# 如果文件存在，
|
||||
if os.path.exists(bar_file_path):
|
||||
|
||||
#df_old = pd.read_csv(bar_file_path, index_col=0)
|
||||
#df_old = df_old.rename(lambda x: pd.to_datetime(x, format="%Y-%m-%d %H:%M:%S"))
|
||||
# 取最后一条时间
|
||||
last_dt = get_csv_last_dt(bar_file_path)
|
||||
start_dt = last_dt - timedelta(days=1)
|
||||
print(f'文件{bar_file_path}存在，最后时间:{start_date}')
|
||||
else:
|
||||
last_dt = None
|
||||
start_dt = datetime.strptime(start_date, '%Y%m%d')
|
||||
print(f'文件{bar_file_path}不存在，开始时间:{start_date}')
|
||||
|
||||
result, bars = api_01.get_bars(symbol=index_symbol,
|
||||
period='1min',
|
||||
callback=None,
|
||||
start_dt=start_dt,
|
||||
return_bar=False)
|
||||
# [dict] => dataframe
|
||||
if not result or len(bars) == 0:
|
||||
continue
|
||||
|
||||
if last_dt is None:
|
||||
data_df = pd.DataFrame(bars)
|
||||
data_df.set_index('datetime', inplace=True)
|
||||
data_df = data_df.sort_index()
|
||||
# print(data_df.head())
|
||||
print(data_df.tail())
|
||||
data_df.to_csv(bar_file_path, index=True)
|
||||
print(f'首次更新{index_symbol} 数据 => 文件{bar_file_path}')
|
||||
continue
|
||||
|
||||
|
||||
# 获取标题
|
||||
headers = []
|
||||
with open(bar_file_path, "r", encoding='utf8') as f:
|
||||
reader = csv.reader(f)
|
||||
for header in reader:
|
||||
headers = header
|
||||
break
|
||||
# 获取标题
|
||||
headers = []
|
||||
with open(bar_file_path, "r", encoding='utf8') as f:
|
||||
reader = csv.reader(f)
|
||||
for header in reader:
|
||||
headers = header
|
||||
break
|
||||
|
||||
bar_count = 0
|
||||
# 写入所有大于最后bar时间的数据
|
||||
with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
|
||||
bar_count = 0
|
||||
# 写入所有大于最后bar时间的数据
|
||||
with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
|
||||
|
||||
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
|
||||
extrasaction='ignore')
|
||||
for bar in bars:
|
||||
if bar['datetime'] <= last_dt:
|
||||
continue
|
||||
bar_count += 1
|
||||
writer.writerow(bar)
|
||||
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
|
||||
extrasaction='ignore')
|
||||
for bar in bars:
|
||||
if bar['datetime'] <= last_dt:
|
||||
continue
|
||||
bar_count += 1
|
||||
writer.writerow(bar)
|
||||
|
||||
print(f'更新{index_symbol} 数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
|
||||
print(f'更新{index_symbol} 数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
|
||||
|
||||
|
||||
print('更新完毕')
|
||||
os._exit(0)
|
||||
print('更新完毕')
|
||||
os._exit(0)
|
||||
|
||||
@ -1,6 +1,6 @@
|
||||
# flake8: noqa
|
||||
"""
|
||||
下载通达信指数合约1分钟bar => vnpy项目目录/bar_data/
|
||||
下载通达信股票合约1分钟bar => vnpy项目目录/bar_data/
|
||||
上海股票 => SSE子目录
|
||||
深圳股票 => SZSE子目录
|
||||
"""
|
||||
|
||||
@ -42,6 +42,8 @@ if __name__ == "__main__":
|
||||
download_tasks = {}
|
||||
begin_date = datetime.strptime(args.begin, '%Y%m%d')
|
||||
end_date = datetime.strptime(args.end, '%Y%m%d')
|
||||
if end_date > datetime.now():
|
||||
end_date = datetime.now()
|
||||
n_days = (end_date - begin_date).days
|
||||
|
||||
future_contracts = get_future_contracts()
|
||||
@ -56,7 +58,7 @@ if __name__ == "__main__":
|
||||
if n_days <= 0:
|
||||
n_days = 1
|
||||
|
||||
for n in range(n_days):
|
||||
for n in range(n_days+1):
|
||||
download_date = begin_date + timedelta(days=n)
|
||||
if download_date.isoweekday() in [6, 7]:
|
||||
continue
|
||||
@ -71,10 +73,19 @@ if __name__ == "__main__":
|
||||
"{}_{}.csv".format(symbol, download_date.strftime('%Y%m%d'))))
|
||||
zip_file = os.path.abspath(os.path.join(save_folder,
|
||||
"{}_{}.pkb2".format(symbol, download_date.strftime('%Y%m%d'))))
|
||||
|
||||
if os.path.exists(save_file):
|
||||
continue
|
||||
# 文件size是否大于1024字节
|
||||
if os.path.getsize(save_file) > 1024:
|
||||
# 获取最后的tick时间
|
||||
dt = get_csv_last_dt(file_name=save_file, dt_format='%Y-%m-%d %H:%M:%S.%f')
|
||||
# 判断是否为交易日最后
|
||||
if dt and dt.hour == 14 and dt.minute == 59:
|
||||
continue
|
||||
|
||||
if os.path.exists(zip_file):
|
||||
continue
|
||||
if os.path.getsize(save_file) > 1024:
|
||||
continue
|
||||
|
||||
# 下载从 2018-05-01凌晨0点 到 2018-06-01凌晨0点 的 T1809 盘口Tick数据
|
||||
download_tasks["{}_{}_tick".format(symbol, download_date.strftime('%Y%m%d'))] = DataDownloader(
|
||||
|
||||
52
prod/jobs/remove_expired_logs.py
Normal file
52
prod/jobs/remove_expired_logs.py
Normal file
@ -0,0 +1,52 @@
|
||||
# flake8: noqa
|
||||
"""
|
||||
移除过期日志文件
|
||||
"""
|
||||
import os
|
||||
import sys
|
||||
from datetime import datetime, timedelta
|
||||
|
||||
vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
|
||||
if vnpy_root not in sys.path:
|
||||
sys.path.append(vnpy_root)
|
||||
|
||||
os.environ["VNPY_TESTING"] = "1"
|
||||
|
||||
if __name__ == "__main__":
|
||||
|
||||
if len(sys.argv) < 2:
|
||||
print(f'请输入{vnpy_root}下检查目录，例如 prod/account01', file=sys.stderr)
|
||||
exit()
|
||||
print(sys.argv)
|
||||
|
||||
keep_days = 4
|
||||
|
||||
if len(sys.argv) == 3:
|
||||
keep_days = int(sys.argv[2])
|
||||
print(f'保留最近{keep_days}日数据')
|
||||
|
||||
log_path = os.path.abspath(os.path.join(vnpy_root, sys.argv[1], 'log'))
|
||||
if not os.path.exists(log_path):
|
||||
print(f'{log_path}不存在', file=sys.stderr)
|
||||
exit()
|
||||
print(f'开始检查{log_path}下的日志文件')
|
||||
|
||||
dt_now = datetime.now()
|
||||
|
||||
# 匹配日期
|
||||
delete_dates = []
|
||||
for n in range(keep_days, 30, 1):
|
||||
delete_date = dt_now - timedelta(days=n)
|
||||
delete_dates.append(delete_date.strftime('%Y-%m-%d'))
|
||||
delete_dates.append(delete_date.strftime('%Y%m%d'))
|
||||
|
||||
# 移除匹配日期
|
||||
for dirpath, dirnames, filenames in os.walk(str(log_path)):
|
||||
|
||||
for file_name in filenames:
|
||||
|
||||
for k in delete_dates:
|
||||
if k in file_name:
|
||||
file_path = os.path.abspath(os.path.join(dirpath, file_name))
|
||||
print(f'移除{file_path}')
|
||||
os.remove(file_path)
|
||||
24
prod/jobs/remove_expired_logs.sh
Normal file
24
prod/jobs/remove_expired_logs.sh
Normal file
@ -0,0 +1,24 @@
|
||||
#!/bin/bash
|
||||
|
||||
CONDA_HOME=~/anaconda3
|
||||
#$CONDA_HOME/bin/conda deactivate
|
||||
#$CONDA_HOME/bin/conda activate py37
|
||||
|
||||
############ Added by Huang Jianwei at 2018-04-03
|
||||
# To solve the problem about Javascript runtime
|
||||
export PATH=$PATH:/usr/local/bin
|
||||
############ Ended
|
||||
|
||||
BASE_PATH=$(cd `dirname $0`; pwd)
|
||||
echo $BASE_PATH
|
||||
cd `dirname $0`
|
||||
PROGRAM_NAME=./remove_expired_logs.py
|
||||
|
||||
# 移除三天前的所有日志
|
||||
$CONDA_HOME/envs/py37/bin/python $PROGRAM_NAME prod/binance01 3
|
||||
$CONDA_HOME/envs/py37/bin/python $PROGRAM_NAME prod/binance02 3
|
||||
$CONDA_HOME/envs/py37/bin/python $PROGRAM_NAME prod/binance03 3
|
||||
$CONDA_HOME/envs/py37/bin/python $PROGRAM_NAME prod/fund01 3
|
||||
|
||||
|
||||
|
||||
24
prod/jobs/remove_future_renko.py
Normal file
24
prod/jobs/remove_future_renko.py
Normal file
@ -0,0 +1,24 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
import sys, os, copy, csv, signal
|
||||
|
||||
vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
|
||||
|
||||
sys.path.append(vnpy_root)
|
||||
|
||||
from vnpy.data.mongo.mongo_data import MongoData
|
||||
|
||||
mongo_data = MongoData(host='127.0.0.1', port=27017)
|
||||
|
||||
db_name = 'FutureRenko'
|
||||
collections = mongo_data.get_collections(db_name=db_name)
|
||||
|
||||
for collection_name in collections:
|
||||
|
||||
#if collection_name != 'AU99_K10':
|
||||
# continue
|
||||
|
||||
filter = {'date': {'$gt': "2020-04-20"}}
|
||||
print(f'removing {collection_name} with filter: {filter}')
|
||||
mongo_data.db_delete(db_name=db_name, col_name=collection_name, flt= filter)
|
||||
|
||||
@ -1814,6 +1814,8 @@ class CtaEngine(BaseEngine):
|
||||
symbol, exchange = extract_vt_symbol(vt_symbol)
|
||||
self.main_engine.subscribe(req=SubscribeRequest(symbol=symbol, exchange=exchange),
|
||||
gateway_name=gateway_name)
|
||||
self.write_log(f'{vt_symbol}无最新tick，订阅行情')
|
||||
|
||||
if volume > 0 and tick:
|
||||
contract = self.main_engine.get_contract(vt_symbol)
|
||||
req = OrderRequest(
|
||||
|
||||
@ -575,7 +575,7 @@ class CtaProTemplate(CtaTemplate):
|
||||
"""
|
||||
|
||||
idx_symbol = None # 指数合约
|
||||
|
||||
exchange = Exchange.LOCAL
|
||||
price_tick = 1 # 商品的最小价格跳动
|
||||
symbol_size = 10 # 商品得合约乘数
|
||||
margin_rate = 0.1 # 商品的保证金
|
||||
@ -637,10 +637,10 @@ class CtaProTemplate(CtaTemplate):
|
||||
for name in self.parameters:
|
||||
if name in setting:
|
||||
setattr(self, name, setting[name])
|
||||
|
||||
symbol, self.exchange = extract_vt_symbol(self.vt_symbol)
|
||||
if self.idx_symbol is None:
|
||||
symbol, exchange = extract_vt_symbol(self.vt_symbol)
|
||||
self.idx_symbol = get_underlying_symbol(symbol).upper() + '99.' + exchange.value
|
||||
self.idx_symbol = get_underlying_symbol(symbol).upper() + '99.' + self.exchange.value
|
||||
|
||||
self.cta_engine.subscribe_symbol(strategy_name=self.strategy_name, vt_symbol=self.idx_symbol)
|
||||
|
||||
if self.vt_symbol != self.idx_symbol:
|
||||
@ -1816,6 +1816,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
vt_symbol=sell_symbol,
|
||||
order_type=self.order_type,
|
||||
order_time=self.cur_datetime,
|
||||
lock=self.exchange==Exchange.CFFEX,
|
||||
grid=grid)
|
||||
if len(vt_orderids) == 0:
|
||||
self.write_error(u'多单平仓委托失败')
|
||||
@ -1916,6 +1917,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
vt_symbol=cover_symbol,
|
||||
order_type=self.order_type,
|
||||
order_time=self.cur_datetime,
|
||||
lock=self.exchange==Exchange.CFFEX,
|
||||
grid=grid)
|
||||
if len(vt_orderids) == 0:
|
||||
self.write_error(u'空单平仓委托失败')
|
||||
|
||||
@ -229,11 +229,11 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
continue
|
||||
|
||||
act_vt_symbol = grid.snapshot.get('act_vt_symbol', self.act_vt_symbol)
|
||||
act_open_volume = grid.snapshot.get('act_open_volume', grid.volume)
|
||||
act_open_volume = grid.snapshot.get('act_open_volume', grid.volume * self.act_vol_ratio)
|
||||
act_open_price = grid.snapshot.get('act_open_price')
|
||||
|
||||
pas_vt_symbol = grid.snapshot.get('pas_vt_symbol', self.pas_vt_symbol)
|
||||
pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume)
|
||||
pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume * self.pas_vol_ratio)
|
||||
pas_open_price = grid.snapshot.get('pas_open_price')
|
||||
if act_vt_symbol != self.act_vt_symbol:
|
||||
pos_symbols.add(act_vt_symbol)
|
||||
@ -269,11 +269,11 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
if not grid.open_status:
|
||||
continue
|
||||
act_vt_symbol = grid.snapshot.get('act_vt_symbol', self.act_vt_symbol)
|
||||
act_open_volume = grid.snapshot.get('act_open_volume', grid.volume)
|
||||
act_open_volume = grid.snapshot.get('act_open_volume', grid.volume * self.act_vol_ratio)
|
||||
act_open_price = grid.snapshot.get('act_open_price')
|
||||
|
||||
pas_vt_symbol = grid.snapshot.get('pas_vt_symbol', self.pas_vt_symbol)
|
||||
pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume)
|
||||
pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume * self.pas_vol_ratio)
|
||||
pas_open_price = grid.snapshot.get('pas_open_price')
|
||||
|
||||
if act_vt_symbol != self.act_vt_symbol:
|
||||
@ -318,11 +318,11 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
|
||||
for grid in self.gt.get_opened_grids(direction=Direction.LONG):
|
||||
act_vt_symbol = grid.snapshot.get('act_vt_symbol', self.act_vt_symbol)
|
||||
act_open_volume = grid.snapshot.get('act_open_volume', grid.volume)
|
||||
act_open_volume = grid.snapshot.get('act_open_volume', grid.volume * self.act_vol_ratio)
|
||||
act_open_price = grid.snapshot.get('act_open_price')
|
||||
|
||||
pas_vt_symbol = grid.snapshot.get('pas_vt_symbol', self.pas_vt_symbol)
|
||||
pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume)
|
||||
pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume * self.pas_vol_ratio)
|
||||
pas_open_price = grid.snapshot.get('pas_open_price')
|
||||
|
||||
pos_list.append({'vt_symbol': act_vt_symbol,
|
||||
@ -335,14 +335,13 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
'volume': pas_open_volume,
|
||||
'price': pas_open_price})
|
||||
|
||||
|
||||
for grid in self.gt.get_opened_grids(direction=Direction.SHORT):
|
||||
act_vt_symbol = grid.snapshot.get('act_vt_symbol', self.act_vt_symbol)
|
||||
act_open_volume = grid.snapshot.get('act_open_volume', grid.volume)
|
||||
act_open_volume = grid.snapshot.get('act_open_volume', grid.volume * self.act_vol_ratio)
|
||||
act_open_price = grid.snapshot.get('act_open_price')
|
||||
|
||||
pas_vt_symbol = grid.snapshot.get('pas_vt_symbol', self.pas_vt_symbol)
|
||||
pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume)
|
||||
pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume * self.pas_vol_ratio)
|
||||
pas_open_price = grid.snapshot.get('pas_open_price')
|
||||
|
||||
pos_list.append({'vt_symbol': act_vt_symbol,
|
||||
@ -530,8 +529,8 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
if trade.offset == Offset.OPEN:
|
||||
# 更新开仓均价/数量
|
||||
if trade.vt_symbol == self.act_vt_symbol:
|
||||
opened_price = grid.snapshot.get('act_open_price', 0)
|
||||
opened_volume = grid.snapshot.get('act_open_volume', 0)
|
||||
opened_price = grid.snapshot.get('act_open_price', grid.volume * self.act_vol_ratio)
|
||||
opened_volume = grid.snapshot.get('act_open_volume', grid.volume * self.act_vol_ratio)
|
||||
act_open_volume = opened_volume + trade.volume
|
||||
act_open_price = (opened_price * opened_volume + trade.price * trade.volume) / act_open_volume
|
||||
|
||||
@ -543,7 +542,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
|
||||
elif trade.vt_symbol == self.pas_vt_symbol:
|
||||
opened_price = grid.snapshot.get('pas_open_price', 0)
|
||||
opened_volume = grid.snapshot.get('pas_open_volume', 0)
|
||||
opened_volume = grid.snapshot.get('pas_open_volume', grid.volume * self.pas_vol_ratio)
|
||||
pas_open_volume = opened_volume + trade.volume
|
||||
pas_open_price = (opened_price * opened_volume + trade.price * trade.volume) / pas_open_volume
|
||||
|
||||
@ -557,7 +556,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
# 更新平仓均价/数量
|
||||
if trade.vt_symbol == self.act_vt_symbol:
|
||||
closed_price = grid.snapshot.get('act_close_price', 0)
|
||||
closed_volume = grid.snapshot.get('act_close_volume', 0)
|
||||
closed_volume = grid.snapshot.get('act_close_volume', grid.volume * self.act_vol_ratio)
|
||||
act_close_volume = closed_volume + trade.volume
|
||||
act_close_price = (closed_price * closed_volume + trade.price * trade.volume) / act_close_volume
|
||||
|
||||
@ -569,7 +568,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
|
||||
elif trade.vt_symbol == self.pas_vt_symbol:
|
||||
closed_price = grid.snapshot.get('pas_close_price', 0)
|
||||
closed_volume = grid.snapshot.get('pas_close_volume', 0)
|
||||
closed_volume = grid.snapshot.get('pas_close_volume', grid.volume * self.pas_vol_ratio)
|
||||
pas_open_volume = closed_volume + trade.volume
|
||||
pas_open_price = (closed_price * closed_volume + trade.price * trade.volume) / pas_open_volume
|
||||
|
||||
@ -580,6 +579,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
'pas_vt_symbol': self.pas_vt_symbol})
|
||||
|
||||
self.gt.save()
|
||||
|
||||
def on_order_all_traded(self, order: OrderData):
|
||||
"""
|
||||
订单全部成交
|
||||
@ -631,6 +631,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
|
||||
# 在策略得活动订单中，移除
|
||||
self.active_orders.pop(order.vt_orderid, None)
|
||||
self.gt.save()
|
||||
|
||||
def on_order_open_canceled(self, order: OrderData):
|
||||
"""
|
||||
@ -687,6 +688,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
|
||||
if grid:
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
|
||||
# 网格的所有委托单已经执行完毕
|
||||
@ -736,6 +738,11 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
info = self.active_orders.get(vt_orderid, None)
|
||||
info.update({'retry': order_retry})
|
||||
|
||||
if grid:
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
|
||||
self.gt.save()
|
||||
# 删除旧的委托记录
|
||||
self.write_log(u'移除旧的委托记录:{}'.format(order.vt_orderid))
|
||||
@ -774,6 +781,11 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
info = self.active_orders.get(vt_orderid, None)
|
||||
info.update({'retry': order_retry})
|
||||
|
||||
if grid:
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
|
||||
self.gt.save()
|
||||
# 删除旧的委托记录
|
||||
self.write_log(u'移除旧的委托记录:{}'.format(order.vt_orderid))
|
||||
@ -784,6 +796,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
self.write_log(u'委托单状态:{}=>{}'.format(pre_status, old_order.get('status')))
|
||||
if grid:
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
|
||||
if not grid.order_ids:
|
||||
@ -835,6 +848,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
self.send_wechat(msg)
|
||||
if grid:
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
if not grid.order_ids:
|
||||
grid.order_status = False
|
||||
@ -876,7 +890,10 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
for vt_orderid in vt_orderids:
|
||||
info = self.active_orders.get(vt_orderid)
|
||||
info.update({'retry': order_retry})
|
||||
|
||||
if grid:
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
self.gt.save()
|
||||
self.write_log(u'移除活动订单:{}'.format(order.vt_orderid))
|
||||
self.active_orders.pop(order.vt_orderid, None)
|
||||
@ -911,7 +928,10 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
for vt_orderid in vt_orderids:
|
||||
info = self.active_orders.get(vt_orderid)
|
||||
info.update({'retry': order_retry})
|
||||
|
||||
if grid:
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
self.gt.save()
|
||||
|
||||
self.write_log(u'移除活动订单:{}'.format(order.vt_orderid))
|
||||
@ -923,6 +943,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
self.write_log(u'委托单状态:{}=>{}'.format(pre_status, old_order.get('status')))
|
||||
if grid:
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
if len(grid.order_ids) == 0:
|
||||
grid.order_status = False
|
||||
@ -1181,7 +1202,8 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
self.write_error(f'spd_short，{self.pas_vt_symbol}开多仓{grid.volume * self.pas_vol_ratio}手失败，'
|
||||
f'委托价:{self.cur_pas_tick.ask_price_1}')
|
||||
return []
|
||||
|
||||
grid.snapshot.update({"act_vt_symbol": self.act_vt_symbol, "act_open_volume": grid.volume * self.act_vol_ratio,
|
||||
"pas_vt_symbol": self.pas_vt_symbol, "pas_open_volume": grid.volume * self.pas_vol_ratio})
|
||||
grid.order_status = True
|
||||
grid.order_datetime = self.cur_datetime
|
||||
|
||||
@ -1242,7 +1264,8 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
self.write_error(f'spd_short，{self.pas_vt_symbol}开空仓{grid.volume * self.pas_vol_ratio}手失败，'
|
||||
f'委托价:{self.cur_pas_tick.bid_price_1}')
|
||||
return []
|
||||
|
||||
grid.snapshot.update({"act_vt_symbol": self.act_vt_symbol, "act_open_volume": grid.volume * self.act_vol_ratio,
|
||||
"pas_vt_symbol": self.pas_vt_symbol, "pas_open_volume": grid.volume * self.pas_vol_ratio})
|
||||
grid.order_status = True
|
||||
grid.order_datetime = self.cur_datetime
|
||||
vt_orderids = act_vt_orderids.extend(pas_vt_orderids)
|
||||
@ -1270,26 +1293,40 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
self.write_log(u'实际价差{}不满足:{}'.format(self.cur_spd_tick.bid_price_1, grid.close_price))
|
||||
return []
|
||||
|
||||
# 获取账号持仓
|
||||
self.act_pos = self.cta_engine.get_position_holding(vt_symbol=self.act_vt_symbol)
|
||||
self.pas_pos = self.cta_engine.get_position_holding(vt_symbol=self.pas_vt_symbol)
|
||||
|
||||
if not all([self.act_pos, self.pas_pos]):
|
||||
self.write_error('主动腿/被动退得持仓数据不存在')
|
||||
self.write_error('主动腿/被动腿的账号持仓数据不存在')
|
||||
return []
|
||||
|
||||
act_close_volume = grid.snapshot.get('act_open_volume')
|
||||
pas_close_volume = grid.snapshot.get('pas_open_volume')
|
||||
# 获取需要平仓的主动腿、被动腿volume
|
||||
act_close_volume = grid.snapshot.get('act_open_volume', grid.volume * self.act_vol_ratio)
|
||||
pas_close_volume = grid.snapshot.get('pas_open_volume', grid.volume * self.pas_vol_ratio)
|
||||
|
||||
# 检查账号持仓是否满足平仓目标
|
||||
if self.act_pos.long_pos < act_close_volume:
|
||||
self.write_error(f'账号 {self.act_vt_symbol} 多单持仓{self.act_pos.long_pos}'
|
||||
f'今仓{self.act_pos.long_td}/昨{self.act_pos.long_yd}, 不满足{act_close_volume}')
|
||||
return []
|
||||
|
||||
if self.pas_pos.short_pos < pas_close_volume:
|
||||
self.write_error(f'账号 {self.pas_vt_symbol} 多单持仓{self.pas_pos.short_pos}'
|
||||
f'今仓{self.pas_pos.short_td}/昨{self.pas_pos.short_yd}, 不满足{act_close_volume}')
|
||||
return []
|
||||
|
||||
# 被动腿空单平仓
|
||||
pas_vt_orderids = self.cover(vt_symbol=self.pas_vt_symbol,
|
||||
lock=self.pas_exchange == Exchange.CFFEX,
|
||||
price=self.cur_pas_tick.ask_price_1,
|
||||
volume=grid.volume * self.pas_vol_ratio,
|
||||
order_type=self.order_type,
|
||||
order_time=self.cur_datetime,
|
||||
grid=grid)
|
||||
if not pas_vt_orderids:
|
||||
self.write_error(f'spd_sell，{self.pas_vt_symbol}空单平仓{grid.volume * self.pas_vol_ratio}手失败，'
|
||||
f'委托价:{self.cur_pas_tick.ask_price_1}')
|
||||
return []
|
||||
|
||||
# 主动腿多单平仓
|
||||
act_vt_orderids = self.sell(vt_symbol=self.act_vt_symbol,
|
||||
lock=self.act_exchange==Exchange.CFFEX,
|
||||
@ -1303,19 +1340,6 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
f'委托价:{self.cur_act_tick.bid_price_1}')
|
||||
return []
|
||||
|
||||
# 被动腿空单平仓
|
||||
pas_vt_orderids = self.cover(vt_symbol=self.pas_vt_symbol,
|
||||
lock=self.pas_exchange==Exchange.CFFEX,
|
||||
price=self.cur_pas_tick.ask_price_1,
|
||||
volume=grid.volume * self.pas_vol_ratio,
|
||||
order_type=self.order_type,
|
||||
order_time=self.cur_datetime,
|
||||
grid=grid)
|
||||
if not pas_vt_orderids:
|
||||
self.write_error(f'spd_sell，{self.pas_vt_symbol}空单平仓{grid.volume * self.pas_vol_ratio}手失败，'
|
||||
f'委托价:{self.cur_pas_tick.ask_price_1}')
|
||||
return []
|
||||
|
||||
grid.order_status = True
|
||||
grid.order_datetime = self.cur_datetime
|
||||
vt_orderids = act_vt_orderids.extend(pas_vt_orderids)
|
||||
@ -1343,6 +1367,7 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
self.write_log(u'实际价差{}不满足:{}'.format(self.cur_spd_tick.ask_price_1, grid.close_price))
|
||||
return []
|
||||
|
||||
# 获取账号内主动腿和被动腿的持仓
|
||||
self.act_pos = self.cta_engine.get_position_holding(vt_symbol=self.act_vt_symbol)
|
||||
self.pas_pos = self.cta_engine.get_position_holding(vt_symbol=self.pas_vt_symbol)
|
||||
|
||||
@ -1350,19 +1375,31 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
self.write_error('主动腿/被动退得持仓数据不存在')
|
||||
return []
|
||||
|
||||
act_close_volume = grid.snapshot.get('act_open_volume', 0)
|
||||
pas_close_volume = grid.snapshot.get('pas_open_volume', 0)
|
||||
|
||||
# 检查主动腿、被动腿，是否满足
|
||||
act_close_volume = grid.snapshot.get('act_open_volume', grid.volume * self.act_vol_ratio)
|
||||
pas_close_volume = grid.snapshot.get('pas_open_volume', grid.volume * self.pas_vol_ratio)
|
||||
if self.act_pos.short_pos < act_close_volume:
|
||||
self.write_error(f'账号 {self.act_vt_symbol} 空单持仓{self.act_pos.short_pos}'
|
||||
f'今仓{self.act_pos.short_td}/昨{self.act_pos.short_yd}, 不满足{act_close_volume}')
|
||||
return []
|
||||
|
||||
if self.pas_pos.long_pos < pas_close_volume:
|
||||
self.write_error(f'账号 {self.pas_vt_symbol} 多单持仓{self.pas_pos.longt_pos}'
|
||||
f'今仓{self.pas_pos.long_td}/昨{self.pas_pos.long_yd}, 不满足{act_close_volume}')
|
||||
return []
|
||||
|
||||
# 被动腿多单平仓
|
||||
pas_vt_orderids = self.sell(vt_symbol=self.pas_vt_symbol,
|
||||
lock=self.pas_exchange == Exchange.CFFEX,
|
||||
price=self.cur_pas_tick.bid_price_1,
|
||||
volume=grid.volume * self.pas_vol_ratio,
|
||||
order_type=self.order_type,
|
||||
order_time=self.cur_datetime,
|
||||
grid=grid)
|
||||
if not pas_vt_orderids:
|
||||
self.write_error(f'spd_cover，{self.pas_vt_symbol}多单平仓{grid.volume * self.pas_vol_ratio}手失败，'
|
||||
f'委托价:{self.cur_pas_tick.bid_price_1}')
|
||||
return []
|
||||
|
||||
# 主动腿空单平仓
|
||||
act_vt_orderids = self.cover(vt_symbol=self.act_vt_symbol,
|
||||
lock=self.act_exchange==Exchange.CFFEX,
|
||||
@ -1376,19 +1413,6 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
f'委托价:{self.cur_act_tick.ask_price_1}')
|
||||
return []
|
||||
|
||||
# 被动腿多单平仓
|
||||
pas_vt_orderids = self.sell(vt_symbol=self.pas_vt_symbol,
|
||||
lock=self.pas_exchange==Exchange.CFFEX,
|
||||
price=self.cur_pas_tick.bid_price_1,
|
||||
volume=grid.volume * self.pas_vol_ratio,
|
||||
order_type=self.order_type,
|
||||
order_time=self.cur_datetime,
|
||||
grid=grid)
|
||||
if not pas_vt_orderids:
|
||||
self.write_error(f'spd_cover，{self.pas_vt_symbol}多单平仓{grid.volume * self.pas_vol_ratio}手失败，'
|
||||
f'委托价:{self.cur_pas_tick.bid_price_1}')
|
||||
return []
|
||||
|
||||
grid.order_status = True
|
||||
grid.order_datetime = self.cur_datetime
|
||||
vt_orderids = act_vt_orderids.extend(pas_vt_orderids)
|
||||
|
||||
@ -162,7 +162,7 @@ class BinanceGateway(BaseGateway):
|
||||
self.status.update({'con': True})
|
||||
|
||||
self.count += 1
|
||||
if self.count < 2:
|
||||
if self.count < 5:
|
||||
return
|
||||
self.count = 0
|
||||
if len(self.query_functions) > 0:
|
||||
|
||||
@ -474,12 +474,13 @@ class PbMdApi(object):
|
||||
{'ip': "124.160.88.183", 'port': 7709},
|
||||
{'ip': "60.12.136.250", 'port': 7709},
|
||||
{'ip': "218.108.98.244", 'port': 7709},
|
||||
{'ip': "218.108.47.69", 'port': 7709},
|
||||
#{'ip': "218.108.47.69", 'port': 7709},
|
||||
{'ip': "114.80.63.12", 'port': 7709},
|
||||
{'ip': "114.80.63.35", 'port': 7709},
|
||||
{'ip': "180.153.39.51", 'port': 7709},
|
||||
{'ip': '14.215.128.18', 'port': 7709},
|
||||
{'ip': '59.173.18.140', 'port': 7709}]
|
||||
#{'ip': '14.215.128.18', 'port': 7709},
|
||||
#{'ip': '59.173.18.140', 'port': 7709}
|
||||
]
|
||||
|
||||
self.best_ip = {'ip': None, 'port': None}
|
||||
self.api_dict = {} # API 的连接会话对象字典
|
||||
@ -688,7 +689,12 @@ class PbMdApi(object):
|
||||
exchange = info.get('exchange', '')
|
||||
if len(exchange) == 0:
|
||||
continue
|
||||
|
||||
vn_exchange_str = get_stock_exchange(symbol)
|
||||
if exchange != vn_exchange_str:
|
||||
continue
|
||||
exchange = Exchange(exchange)
|
||||
|
||||
if info['stock_type'] == 'stock_cn':
|
||||
product = Product.EQUITY
|
||||
elif info['stock_type'] in ['bond_cn', 'cb_cn']:
|
||||
@ -715,16 +721,18 @@ class PbMdApi(object):
|
||||
min_volume=volume_tick,
|
||||
margin_rate=1
|
||||
)
|
||||
# 缓存 合约 =》 中文名
|
||||
symbol_name_map.update({contract.symbol: contract.name})
|
||||
|
||||
# 缓存代码和交易所的印射关系
|
||||
symbol_exchange_map[contract.symbol] = contract.exchange
|
||||
if product!= Product.INDEX:
|
||||
# 缓存 合约 =》 中文名
|
||||
symbol_name_map.update({contract.symbol: contract.name})
|
||||
|
||||
self.contract_dict.update({contract.symbol: contract})
|
||||
self.contract_dict.update({contract.vt_symbol: contract})
|
||||
# 推送
|
||||
self.gateway.on_contract(contract)
|
||||
# 缓存代码和交易所的印射关系
|
||||
symbol_exchange_map[contract.symbol] = contract.exchange
|
||||
|
||||
self.contract_dict.update({contract.symbol: contract})
|
||||
self.contract_dict.update({contract.vt_symbol: contract})
|
||||
# 推送
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
def get_stock_list(self):
|
||||
"""股票所有的code&name列表"""
|
||||
@ -1605,7 +1613,7 @@ class PbTdApi(object):
|
||||
continue
|
||||
|
||||
def check_send_order_dbf(self):
|
||||
"""检查更新委托文件csv"""
|
||||
"""检查更新委托文件dbf"""
|
||||
|
||||
dbf_file = os.path.abspath(os.path.join(self.order_folder,
|
||||
'{}{}.dbf'.format(PB_FILE_NAMES.get('send_order'), self.trading_date)))
|
||||
@ -1639,7 +1647,7 @@ class PbTdApi(object):
|
||||
err_msg = err_msg.decode('gbk')
|
||||
|
||||
if len(err_msg) == 0 or record.wtsbdm == 0:
|
||||
self.gateway.write_log(f'收到失败标准，又没有失败原因:{print_dict(record.__dict__)}')
|
||||
self.gateway.write_log(f'收到失败，又没有失败原因')
|
||||
continue
|
||||
|
||||
err_id = str(getattr(record, 'wtsbdm', '')).strip()
|
||||
@ -2056,6 +2064,9 @@ class TqMdApi():
|
||||
|
||||
def connect(self, setting = {}):
|
||||
""""""
|
||||
if self.api and self.is_connected:
|
||||
self.gateway.write_log(f'天勤行情已经接入，无需重新连接')
|
||||
return
|
||||
try:
|
||||
from tqsdk import TqApi
|
||||
self.api = TqApi(_stock=True)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user