From b779f065e4009243ce6e5306d79b1e840f675536 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Thu, 20 Dec 2018 10:00:17 +0800 Subject: [PATCH] =?UTF-8?q?[Del]=E7=A7=BB=E9=99=A4vnpy/data=E7=9B=AE?= =?UTF-8?q?=E5=BD=95=E4=B8=8B=E9=80=9A=E8=81=94=E5=92=8C=E5=A4=A9=E5=8B=A4?= =?UTF-8?q?=E6=95=B0=E6=8D=AE=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/data/README.md | 4 +- vnpy/data/datayes/__init__.py | 2 - vnpy/data/datayes/vndatayes.py | 53 ------- vnpy/data/tq/__init__.py | 0 vnpy/data/tq/test.py | 49 ------ vnpy/data/tq/vntq.py | 282 --------------------------------- 6 files changed, 1 insertion(+), 389 deletions(-) delete mode 100644 vnpy/data/datayes/__init__.py delete mode 100644 vnpy/data/datayes/vndatayes.py delete mode 100644 vnpy/data/tq/__init__.py delete mode 100644 vnpy/data/tq/test.py delete mode 100644 vnpy/data/tq/vntq.py diff --git a/vnpy/data/README.md b/vnpy/data/README.md index fd16a850..d09606bf 100644 --- a/vnpy/data/README.md +++ b/vnpy/data/README.md @@ -1,6 +1,4 @@ # vn.data - 数据相关工具 ### 历史数据 -* datayes：通联数据接口 -* shcifco：上海中期接口 -* tq：天勤数据接口 \ No newline at end of file +* shcifco：上海中期接口 \ No newline at end of file diff --git a/vnpy/data/datayes/__init__.py b/vnpy/data/datayes/__init__.py deleted file mode 100644 index 05395b56..00000000 --- a/vnpy/data/datayes/__init__.py +++ /dev/null @@ -1,2 +0,0 @@ -from __future__ import absolute_import -from .vndatayes import DatayesApi \ No newline at end of file diff --git a/vnpy/data/datayes/vndatayes.py b/vnpy/data/datayes/vndatayes.py deleted file mode 100644 index ed6e44bd..00000000 --- a/vnpy/data/datayes/vndatayes.py +++ /dev/null @@ -1,53 +0,0 @@ -# encoding: UTF-8 - -'''一个简单的通联数据客户端，主要使用requests开发，比通联官网的python例子更为简洁。''' -from __future__ import print_function - -import os -import requests -import json - - -HTTP_OK = 200 - - -######################################################################## -class DatayesApi(object): - """通联数据API""" - - #---------------------------------------------------------------------- - def __init__(self, token, - domain="http://api.wmcloud.com/data", - version="v1"): - """Constructor""" - self.domain = domain # 主域名 - self.version = version # API版本 - self.token = token # 授权码 - - self.header = {} # http请求头部 - self.header['Connection'] = 'keep_alive' - self.header['Authorization'] = 'Bearer ' + self.token - - #---------------------------------------------------------------------- - def downloadData(self, path, params): - """下载数据""" - url = '/'.join([self.domain, self.version, path]) - r = requests.get(url=url, headers=self.header, params=params) - - if r.status_code != HTTP_OK: - print(u'http请求失败，状态代码%s' %r.status_code) - return None - else: - result = r.json() - if 'retMsg' in result and result['retMsg'] == 'Success': - return result['data'] - else: - if 'retMsg' in result: - print(u'查询失败，返回信息%s' %result['retMsg']) - elif 'message' in result: - print(u'查询失败，返回信息%s' %result['message']) - return None - - - - \ No newline at end of file diff --git a/vnpy/data/tq/__init__.py b/vnpy/data/tq/__init__.py deleted file mode 100644 index e69de29b..00000000 diff --git a/vnpy/data/tq/test.py b/vnpy/data/tq/test.py deleted file mode 100644 index f91cb0a9..00000000 --- a/vnpy/data/tq/test.py +++ /dev/null @@ -1,49 +0,0 @@ -# encoding: UTF-8 - -from __future__ import print_function -from __future__ import absolute_import -from six import input - -from .vntq import TqApi - -# 接口对象 -api = None - - -#---------------------------------------------------------------------- -def onQuote(symbol): - """Tick更新""" - print('-' * 30) - print('onQuote') - quote = api.get_quote(symbol) - print(quote) - - -#---------------------------------------------------------------------- -def onChart(symbol, seconds): - """K线更新""" - print('-' * 30) - print('onChart') - - if seconds == 0: - serial = api.get_tick_serial(symbol) - else: - serial = api.get_kline_serial(symbol, seconds) - - print(serial) - - -if __name__ == "__main__": - symbol = 'CFFEX.IF1710' - api = TqApi() - api.connect() - - # 订阅Tick推送 - #api.subscribe_quote([symbol], onQuote) - - # 订阅Tick图表 - #api.subscribe_chart(symbol, 0, 100, onChart) - - # 订阅K线图表 - api.subscribe_chart(symbol, 60, 1000, onChart) - input() diff --git a/vnpy/data/tq/vntq.py b/vnpy/data/tq/vntq.py deleted file mode 100644 index e4ca49ea..00000000 --- a/vnpy/data/tq/vntq.py +++ /dev/null @@ -1,282 +0,0 @@ -# encoding: UTF-8 - -""" -对接天勤行情的网关接口，可以提供国内期货的报价/K线/Tick序列等数据的实时推送和历史仿真 -使用时需要在本机先启动一个天勤终端进程 -天勤行情终端: http://www.tq18.cn -天勤接口文档: http://doc.tq18.cn/tq/latest/extension/wsapi/index.html -""" -from __future__ import print_function - - -import json -import threading -import tornado -from tornado import websocket -from sortedcontainers import SortedDict - -######################################################################## -class TqApi(object): - """天勤行情接口""" - - #---------------------------------------------------------------------- - def __init__(self): - """Constructor""" - self.data = {} # 数据存储 - - self.client = None # websocket客户端 - self.requests = [] # 请求缓存 - - self.quote_callback_func = None # tick回调函数 - self.quote_ins_list = [] - self.chart_subscribes = {} # k线回调函数 - - #---------------------------------------------------------------------- - def connect(self): - """ - 建立行情连接。 - """ - self.start() - - # 启动tornado的IO线程 - loop_thread = threading.Thread(target=lambda: tornado.ioloop.IOLoop.current().start()) - loop_thread.setDaemon(True) - loop_thread.start() - - #---------------------------------------------------------------------- - def subscribe_quote(self, ins_list, callback_func=None): - """ - 订阅实时行情. - 指定一个合约列表，订阅其实时报价信息 - 每次调用此函数时，都会覆盖前一次的订阅设定，不在订阅列表里的合约，会停止行情推送 - :param ins_list: ins_list 是一个列表，列出全部需要实时行情的合约代码。注意：天勤接口从0.8版本开始，合约代码格式变更为 交易所代码.合约代码的格式. 交易所代码如下： - CFFEX: 中金所 - SHFE: 上期所 - DCE: 大商所 - CZCE: 郑商所 - INE: 能源交易所(原油) - :param callback_func (可选): callback_func 是一个回调函数，每当有报价数据变更时会触发。此函数应该接受一个参数 ins_id - :example: - 订阅 SHFE.cu1803,CZCE.SR709,CFFEX.IF1709 这三个合约的报价: subscribe_quote(["SHFE.cu1803", ”CZCE.SR709", "CFFEX.IF1709"]) - """ - if callback_func: - self.quote_callback_func = callback_func - self.quote_ins_list = ins_list - - req = { - "aid": "subscribe_quote", - "ins_list": ",".join(ins_list), - } - self.send_json(req) - - #---------------------------------------------------------------------- - def subscribe_chart(self, ins_id, duration_seconds, data_length=200, callback_func=None): - """ - 订阅历史行情序列. - 订阅指定合约及周期的历史行情序列（K线数据序列或Tick数据序列），这些序列数据会持续推送 - :param ins_id: 合约代码，需注意大小写 - :param duration_seconds: 历史数据周期，以秒为单位。目前支持的周期包括： - 3秒，5秒，10秒，15秒，20秒，30秒，1分钟，2分钟，3分钟，5分钟，10分钟，15分钟，20分钟，30分钟，1小时，2小时，4小时，1日 - 特别的，此值指定为0表示订阅tick序列。 - :param data_length: 需要获取的序列长度。每个序列最大支持请求 8964 个数据 - :param callback_func (可选): callback_func 是一个回调函数，每当序列数据变更时会触发。此函数应该接受2个参数 ins_id, duration_seconds - :example: - 订阅 SHFE.cu1803 的1分钟线： subscribe_chart("SHFE.cu1803", 60) - 订阅 CFFEX.IF1709 的tick线： subscribe_chart("CFFEX.IF1709", 0) - """ - chart_id = self._generate_chart_id(ins_id, duration_seconds) - - # 限制最大数据长度 - if data_length > 8964: - data_length = 8964 - - req = { - "aid": "set_chart", - "chart_id": chart_id, - "ins_list": ins_id, - "duration": duration_seconds * 1000000000, - "view_width": data_length, - } - self.send_json(req) - self.chart_subscribes[chart_id] = req - self.chart_subscribes[chart_id]["callback"] = callback_func - - #---------------------------------------------------------------------- - def get_quote(self, ins_id): - """ - 获取报价数据 - :param ins_id: 指定合约代码 - :return: 若指定的数据不存在，返回None，否则返回如下所示的一个dict - { - u'datetime': u'2017-07-26 23:04:21.000001',# tick从交易所发出的时间(按北京时区) - u'instrument_id': u'CZCE.SR801', # 合约代码 - u'last_price': 6122.0, # 最新价 - u'bid_price1': 6121.0, # 买一价 - u'ask_price1': 6122.0, # 卖一价 - u'bid_volume1': 54, # 买一量 - u'ask_volume1': 66, # 卖一量 - u'upper_limit': 6388.0, # 涨停价 - u'lower_limit': 5896.0, # 跌停价 - u'volume': 89252, # 成交量 - u'amount': 5461329880.0, # 成交额 - u'open_interest': 616424, # 持仓量 - u'highest': 6129.0, # 当日最高价 - u'lowest': 6101.0, # 当日最低价 - u'average': 6119.0, # 当日均价 - u'open': 6102.0, # 开盘价 - u'close': u'-', # 收盘价 - u'settlement': u'-', # 结算价 - u'pre_close': 6106.0, # 昨收盘价 - u'pre_settlement': 6142.0 # 昨结算价 - u'pre_open_interest': 616620, # 昨持仓量 - } - """ - return self.data.setdefault("quotes", {}).get(ins_id, None) - - #---------------------------------------------------------------------- - def get_tick_serial(self, ins_id): - """ - 获取tick序列数据 - :param ins_id: 指定合约代码 - :return: 若指定的序列数据不存在，返回None，否则返回如下所示的一个dict - { - u'485107':{ # 每个Tick都有一个唯一编号，在一个序列中，编号总是连续递增的 - u'datetime': 1501074872000000000L, # tick从交易所发出的时间(按北京时区)，以nano epoch 方式表示(等于从1970-01-01时刻开始的纳秒数) - u'trading_day': 1501084800000000000L, #交易日, 格式同上 - u'last_price': 3887, # 最新价 - u'bid_price1': 3881, # 买一价 - u'ask_price1': 3886, # 卖一价 - u'bid_volume1': 5, # 买一量 - u'ask_volume1': 1, #卖一量 - u'highest': 3887, # 当日最高价 - u'lowest': 3886, # 当日最低价 - u'volume': 6, # 成交量 - u'open_interest': 1796 # 持仓量 - }, - u'485108': { - ... - } - } - """ - return self.data.setdefault("ticks", {}).setdefault(ins_id, {}).get("data", None) - - #---------------------------------------------------------------------- - def get_kline_serial(self, ins_id, duration_seconds): - """ - 获取k线序列数据 - :param ins_id: 指定合约代码 - :param duration_seconds: 指定K线周期 - :return: 若指定的序列数据不存在，返回None，否则返回如下所示的一个dict - { - u'494835': { # 每根K线都有一个唯一编号，在一个序列中，编号总是连续递增的 - u'datetime': 1501080715000000000L, # K线起点时间(按北京时区)，以nano epoch 方式表示(等于从1970-01-01时刻开始的纳秒数) - u'open': 51450, # K线起始时刻的最新价 - u'high': 51450, # K线时间范围内的最高价 - u'low': 51450, # K线时间范围内的最低价 - u'close': 51450, # K线结束时刻的最新价 - u'volume': 0, # K线时间范围内的成交量 - u'open_oi': 27354, # K线起始时刻的持仓量 - u'close_oi': 27354 # K线结束时刻的持仓量 - }, - u'494836': { - ... - } - } - """ - dur_id = "%d" % (duration_seconds * 1000000000) - return self.data.setdefault("klines", {}).setdefault(ins_id, {}).setdefault(dur_id, {}).get("data", None) - - #---------------------------------------------------------------------- - @tornado.gen.coroutine - def start(self): - """启动websocket客户端""" - self.client = yield tornado.websocket.websocket_connect(url="ws://127.0.0.1:7777/") - - # 发出所有缓存的请求 - for req in self.requests: - self.client.write_message(req) - self.requests = [] - - # 协程式读取数据 - while True: - msg = yield self.client.read_message() - self.on_receive_msg(msg) - - #---------------------------------------------------------------------- - def send_json(self, obj): - """发送JSON内容""" - s = json.dumps(obj) - - # 如果已经创建了客户端则直接发出请求 - if self.client: - self.client.write_message(s) - # 否则缓存在请求缓存中 - else: - self.requests.append(s) - - #---------------------------------------------------------------------- - def on_receive_msg(self, msg): - """收到数据推送""" - pack = json.loads(msg) - - if 'data' in pack: - l = pack["data"] - else: - print(u'on_receive_msg收到的数据中没有data字段，数据内容%s' %str(pack)) - return - - for data in l: - # 合并更新数据字典 - self._merge_obj(self.data, data) - # 遍历更新内容并调用回调函数 - for selector, section in data.items(): - if selector == "quotes": - if self.quote_callback_func: - for ins_id in section.keys(): - if ins_id in self.quote_ins_list: - self.quote_callback_func(ins_id) - - elif selector == "ticks": - for ins_id in section.keys(): - chart_id = self._generate_chart_id(ins_id, 0) - sub_info = self.chart_subscribes.get(chart_id, None) - tick_serial = self.get_tick_serial(ins_id) - if tick_serial and sub_info: - while len(tick_serial) > sub_info["view_width"]: - tick_serial.popitem(last=False) - callback_func = sub_info["callback"] - if callback_func: - callback_func(ins_id, 0) - - elif selector == "klines": - for ins_id, sub_section in section.items(): - for dur_nanoseconds in sub_section.keys(): - dur_seconds = int(dur_nanoseconds) / 1000000000 - chart_id = self._generate_chart_id(ins_id, dur_seconds) - sub_info = self.chart_subscribes.get(chart_id, None) - kline_serial = self.get_kline_serial(ins_id, dur_seconds) - if kline_serial and sub_info: - while len(kline_serial) > sub_info["view_width"]: - kline_serial.popitem(last=False) - callback_func = sub_info["callback"] - if callback_func: - callback_func(ins_id, dur_seconds) - - #---------------------------------------------------------------------- - def _merge_obj(self, result, obj): - """合并对象""" - for key, value in obj.items(): - if value is None: - result.pop(key, None) - elif isinstance(value, dict): - target = result.setdefault(key, SortedDict()) - self._merge_obj(target, value) - else: - result[key] = value - - #---------------------------------------------------------------------- - def _generate_chart_id(self, ins_id, duration_seconds): - """生成图表编号""" - chart_id = "VN_%s_%d" % (ins_id, duration_seconds) - chart_id = chart_id.replace(".", "_") - return chart_id \ No newline at end of file