Merge pull request #1830 from nanoric/database_open_interest

[Add] database: open_interest

vnpy/trader/database/database_mongo.py

@@ -1,6 +1,6 @@
 from datetime import datetime
 from enum import Enum
-from typing import Sequence, Optional
+from typing import Optional, Sequence
 
 from mongoengine import DateTimeField, Document, FloatField, StringField, connect
 
@@ -47,6 +47,7 @@ class DbBarData(Document):
     interval: str = StringField()
 
     volume: float = FloatField()
+    open_interest: float = FloatField()
     open_price: float = FloatField()
     high_price: float = FloatField()
     low_price: float = FloatField()
@@ -73,6 +74,7 @@ class DbBarData(Document):
         db_bar.datetime = bar.datetime
         db_bar.interval = bar.interval.value
         db_bar.volume = bar.volume
+        db_bar.open_interest = bar.open_interest
         db_bar.open_price = bar.open_price
         db_bar.high_price = bar.high_price
         db_bar.low_price = bar.low_price
@@ -90,6 +92,7 @@ class DbBarData(Document):
             datetime=self.datetime,
             interval=Interval(self.interval),
             volume=self.volume,
+            open_interest=self.open_interest,
             open_price=self.open_price,
             high_price=self.high_price,
             low_price=self.low_price,
@@ -112,6 +115,7 @@ class DbTickData(Document):
 
     name: str = StringField()
     volume: float = FloatField()
+    open_interest: float = FloatField()
     last_price: float = FloatField()
     last_volume: float = FloatField()
     limit_up: float = FloatField()
@@ -168,6 +172,7 @@ class DbTickData(Document):
         db_tick.datetime = tick.datetime
         db_tick.name = tick.name
         db_tick.volume = tick.volume
+        db_tick.open_interest = tick.open_interest
         db_tick.last_price = tick.last_price
         db_tick.last_volume = tick.last_volume
         db_tick.limit_up = tick.limit_up
@@ -215,6 +220,7 @@ class DbTickData(Document):
             datetime=self.datetime,
             name=self.name,
             volume=self.volume,
+            open_interest=self.open_interest,
             last_price=self.last_price,
             last_volume=self.last_volume,
             limit_up=self.limit_up,
@@ -255,6 +261,7 @@ class DbTickData(Document):
 
 
 class MongoManager(BaseDatabaseManager):
+
     def load_bar_data(
         self,
         symbol: str,

vnpy/trader/database/database_sql.py

@@ -56,6 +56,7 @@ def init_postgresql(settings: dict):
 
 
 class ModelBase(Model):
+
     def to_dict(self):
         return self.__data__
 
@@ -75,6 +76,7 @@ def init_models(db: Database, driver: Driver):
         interval: str = CharField()
 
         volume: float = FloatField()
+        open_interest: float = FloatField()
         open_price: float = FloatField()
         high_price: float = FloatField()
         low_price: float = FloatField()
@@ -96,6 +98,7 @@ def init_models(db: Database, driver: Driver):
             db_bar.datetime = bar.datetime
             db_bar.interval = bar.interval.value
             db_bar.volume = bar.volume
+            db_bar.open_interest = bar.open_interest
             db_bar.open_price = bar.open_price
             db_bar.high_price = bar.high_price
             db_bar.low_price = bar.low_price
@@ -133,10 +136,10 @@ def init_models(db: Database, driver: Driver):
                         DbBarData.insert(bar).on_conflict(
                             update=bar,
                             conflict_target=(
-                                DbBarData.datetime,
-                                DbBarData.interval,
                                 DbBarData.symbol,
                                 DbBarData.exchange,
+                                DbBarData.interval,
+                                DbBarData.datetime,
                             ),
                         ).execute()
                 else:
@@ -159,6 +162,7 @@ def init_models(db: Database, driver: Driver):
 
         name: str = CharField()
         volume: float = FloatField()
+        open_interest: float = FloatField()
         last_price: float = FloatField()
         last_volume: float = FloatField()
         limit_up: float = FloatField()
@@ -209,6 +213,7 @@ def init_models(db: Database, driver: Driver):
             db_tick.datetime = tick.datetime
             db_tick.name = tick.name
             db_tick.volume = tick.volume
+            db_tick.open_interest = tick.open_interest
             db_tick.last_price = tick.last_price
             db_tick.last_volume = tick.last_volume
             db_tick.limit_up = tick.limit_up
@@ -256,6 +261,7 @@ def init_models(db: Database, driver: Driver):
                 datetime=self.datetime,
                 name=self.name,
                 volume=self.volume,
+                open_interest=self.open_interest,
                 last_price=self.last_price,
                 last_volume=self.last_volume,
                 limit_up=self.limit_up,
@@ -303,9 +309,9 @@ def init_models(db: Database, driver: Driver):
                         DbTickData.insert(tick).on_conflict(
                             update=tick,
                             conflict_target=(
-                                DbTickData.datetime,
                                 DbTickData.symbol,
                                 DbTickData.exchange,
+                                DbTickData.datetime,
                             ),
                         ).execute()
                 else:
@@ -318,6 +324,7 @@ def init_models(db: Database, driver: Driver):
 
 
 class SqlManager(BaseDatabaseManager):
+
     def __init__(self, class_bar: Type[Model], class_tick: Type[Model]):
         self.class_bar = class_bar
         self.class_tick = class_tick