diff --git a/vnpy/trader/app/ctaStrategy/ctaHistoryData.py b/vnpy/trader/app/ctaStrategy/ctaHistoryData.py index 7c9be4e3..070a2cd6 100644 --- a/vnpy/trader/app/ctaStrategy/ctaHistoryData.py +++ b/vnpy/trader/app/ctaStrategy/ctaHistoryData.py @@ -177,11 +177,22 @@ def loadTbPlusCsv(fileName, dbName, symbol): print u'插入完毕,耗时:%s' % (time()-start) #---------------------------------------------------------------------- +""" +使用中银国际证券通达信导出的1分钟K线数据为模版 +格式:csv +样例: + +时间 开盘价 最高价 最低价 收盘价 成交量 +2017/09/28-10:52 3457 3459 3456 3458 466 + +注意事项:导出csv后手工删除表头和表尾 +""" def loadTdxCsv(fileName, dbName, symbol): """将通达信导出的csv格式的历史分钟数据插入到Mongo数据库中""" import csv start = time() + date_correct = "" print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) # 锁定集合,并创建索引 @@ -195,19 +206,75 @@ def loadTdxCsv(fileName, dbName, symbol): bar = VtBarData() bar.vtSymbol = symbol bar.symbol = symbol - bar.open = float(d[2]) - bar.high = float(d[3]) - bar.low = float(d[4]) - bar.close = float(d[5]) - bar.date = datetime.strptime(d[0], '%Y/%m/%d').strftime('%Y%m%d') - bar.time = d[1][:2]+':'+d[1][2:4]+':00' + bar.open = float(d[1]) + bar.high = float(d[2]) + bar.low = float(d[3]) + bar.close = float(d[4]) + #通达信的夜盘时间按照新的一天计算,此处将其按照当天日期统计,方便后续查阅 + date_temp,time_temp = d[0].strip(' ').replace('\xef\xbb\xbf','').split('-',1) + if time_temp == '15:00': + date_correct = date_temp + if time_temp[:2] == "21" or time_temp[:2] == "22" or time_temp[:2] == "23": + date_temp = date_correct + + bar.date = datetime.strptime(date_temp, '%Y/%m/%d').strftime('%Y%m%d') + bar.time = time_temp[:2]+':'+time_temp[3:5]+':00' bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S') - bar.volume = d[6] - bar.openInterest = d[7] + bar.volume = d[5] flt = {'datetime': bar.datetime} collection.update_one(flt, {'$set':bar.__dict__}, upsert=True) - print bar.date, bar.time + + print u'插入完毕,耗时:%s' % (time()-start) + +#---------------------------------------------------------------------- +""" +使用中银国际证券通达信导出的1分钟K线数据为模版 +格式:lc1 + +注意事项: +""" +def loadTdxLc1(fileName, dbName, symbol): + """将通达信导出的lc1格式的历史分钟数据插入到Mongo数据库中""" + from struct import * + + start = time() + + print u'开始读取通达信Lc1文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) + + # 锁定集合,并创建索引 + client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort']) + collection = client[dbName][symbol] + collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True) + + #读取二进制文件 + ofile=open(fileName,'rb') + buf=ofile.read() + ofile.close() + + num=len(buf) + no=num/32 + b=0 + e=32 + dl = [] + for i in xrange(no): + a=unpack('hhfffffii',buf[b:e]) + b=b+32 + e=e+32 + bar = VtBarData() + bar.vtSymbol = symbol + bar.symbol = symbol + bar.open = a[2] + bar.high = a[3] + bar.low = a[4] + bar.close = a[5] + bar.date = str(int(a[0]/2048)+2004)+str(int(a[0]%2048/100)).zfill(2)+str(a[0]%2048%100).zfill(2) + bar.time = str(int(a[1]/60)).zfill(2)+':'+str(a[1]%60).zfill(2)+':00' + bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S') + bar.volume = a[7] + + flt = {'datetime': bar.datetime} + collection.update_one(flt, {'$set':bar.__dict__}, upsert=True) print u'插入完毕,耗时:%s' % (time()-start)