升级 v3版本接口(from 陈自培)
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@ -1,71 +1,225 @@
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# encoding: UTF-8
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# 从okex下载数据
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from datetime import datetime, timezone
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from datetime import datetime, timedelta
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import requests
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import execjs
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import traceback
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import time as td
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from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData
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period_list = ['1min','3min','5min','15min','30min','1day','1week','1hour','2hour','4hour','6hour','12hour']
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period_list = {'1min': 60 ,'3min':180,'5min':300,'15min':900,'30min':1800,
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'1hour':3600,'2hour':7200,'4hour':14400,'6hour':21600,'12hour':43200}
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symbol_list = ['btc_usd','eth_usd','etc_usd','bch_usd','xrp_usd','eos_usd','btg_usd']
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period_limited = {"4hour":180, "2hour":94, "1hour":168, "30min":192, "15min":192, "5min":144}
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# 4小时是间隔30天，2小时是间隔7天，1小时是间隔7天，30分钟是间隔4天，15分钟是间隔2天
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# 15分钟以下，间隔1日拿一次
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class OkexFutureData(object):
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# ----------------------------------------------------------------------
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def __init__(self, strategy):
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"""
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构造函数
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:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
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"""
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self.strategy = strategy
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# 设置HTTP请求的尝试次数，建立连接session
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self.session = requests.session()
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self.session.keep_alive = False
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def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
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def get_data(self, symbol, period, start_dt=None):
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"""
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:param symbol:
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:param period:
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:param start_dt:
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:return:
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"""
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ret_bars = []
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symbol_pair = symbol
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url_list = []
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if start_dt is None:
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if symbol_pair.endswith('SWAP'):
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url = u'https://www.okex.com/api/swap/v3/instruments/{}/candles?granularity={}'.format(symbol_pair,period_list[period])
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else:
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url = u'https://www.okex.com/api/futures/v3/instruments/{}/candles?granularity={}'.format(symbol_pair,period_list[period])
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url_list.append(url)
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else:
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if symbol_pair.endswith('SWAP'):
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url = u'https://www.okex.com/api/swap/v3/instruments/{}/candles?'.format(symbol_pair)
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else:
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url = u'https://www.okex.com/api/futures/v3/instruments/{}/candles?'.format(symbol_pair)
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datetime_now = datetime.now()
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datetime_start_dt = datetime.strptime(start_dt, "%Y-%m-%d %H:%M:%S")
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if '4h' in period:
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interval = period_list['4hour'] * period_limited['4hour']
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status = True
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start_time = datetime_start_dt
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while status:
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end_time = start_time + timedelta(seconds=interval)
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if end_time > datetime_now:
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status = False
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z'
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info = 'start={}&granularity={}'.format(start, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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else:
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z'
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end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z'
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info = 'start={}&end={}&granularity={}'.format(start,end,period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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start_time = end_time
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elif '2h' in period:
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interval = period_list['2hour'] * period_limited['2hour']
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status = True
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start_time = datetime_start_dt
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while status:
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end_time = start_time + timedelta(seconds=interval)
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if end_time > datetime_now:
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status = False
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ',
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'T') + '.000Z'
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info = 'start={}&granularity={}'.format(start, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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else:
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ',
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'T') + '.000Z'
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end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z'
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info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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start_time = end_time
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elif '1h' in period:
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interval = period_list['1hour'] * period_limited['1hour']
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status = True
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start_time = datetime_start_dt
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while status:
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end_time = start_time + timedelta(seconds=interval)
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if end_time > datetime_now:
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status = False
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ',
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'T') + '.000Z'
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info = 'start={}&granularity={}'.format(start, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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else:
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ',
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'T') + '.000Z'
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end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z'
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info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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start_time = end_time
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elif '30m' in period:
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interval = period_list['30min'] * period_limited['30min']
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status = True
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start_time = datetime_start_dt
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while status:
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end_time = start_time + timedelta(seconds=interval)
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if end_time > datetime_now:
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status = False
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ',
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'T') + '.000Z'
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info = 'start={}&granularity={}'.format(start, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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else:
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ',
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'T') + '.000Z'
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end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z'
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info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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start_time = end_time
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elif '15m' in period:
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interval = period_list['15min'] * period_limited['15min']
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status = True
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start_time = datetime_start_dt
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while status:
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end_time = start_time + timedelta(seconds=interval)
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if end_time > datetime_now:
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status = False
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z'
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info = 'start={}&granularity={}'.format(start, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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else:
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z'
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end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z'
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info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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start_time = end_time
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elif '5m' in period:
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interval = period_list['5min'] * period_limited['5min']
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status = True
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start_time = datetime_start_dt
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while status:
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end_time = start_time + timedelta(seconds=interval)
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if end_time > datetime_now:
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status = False
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z'
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info = 'start={}&granularity={}'.format(start, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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else:
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start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z'
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end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z'
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info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period])
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tmp_url = url + info
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url_list.append(tmp_url)
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start_time = end_time
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self.strategy.writeCtaLog('{}开始下载:{} {}数据,第一日期{}'.format(datetime.now(), symbol, period, start_dt))
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total_bars = []
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try:
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while True:
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times = 1
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for url in url_list:
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content = self.session.get(url).content.decode('gbk')
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bars = execjs.eval(content)
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if not isinstance(bars, list):
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self.strategy.writeCtaLog('扑街了，bars不是list')
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td.sleep(4)
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break
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if bars == []:
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self.strategy.writeCtaLog('扑街了，bars为空')
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td.sleep(4)
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break
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bars = bars[::-1]
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if times == 1:
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times -= 1
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else:
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bars = bars[1:]
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total_bars.extend(bars)
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return True, total_bars
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except Exception as ex:
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self.strategy.writeCtaError('exception in get:{},{},{}'.format(url, str(ex), traceback.format_exc()))
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return False, total_bars
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def get_bars(self, symbol, period, callback, bar_is_completed=False, bar_freq=1, start_dt=None):
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"""
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返回k线数据
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symbol：合约b tc:next_week:10
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period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
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"""
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ret_bars = []
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if ':' not in symbol:
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self.strategy.writeCtaError(u'{} {}格式需要包含合约类型,如:btc:next_week:10'.format(datetime.now(), symbol))
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return False, ret_bars
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s = symbol.split(':')
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symbol_pair, contract_type = s[0],s[1]
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if not symbol_pair.endswith('_usd'):
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symbol_pair += '_usd'
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if symbol_pair not in symbol_list:
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self.strategy.writeCtaError(u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair))
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return False, ret_bars
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url = u'https://www.okex.com/api/v1/future_kline.do?symbol={}&type={}&contract_type={}'.format(symbol_pair, period,contract_type)
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self.strategy.writeCtaLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period, url))
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bars = []
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content = None
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try:
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content = self.session.get(url).content.decode('gbk')
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bars = execjs.eval(content)
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except Exception as ex:
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self.strategy.writeCtaError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
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return False, ret_bars
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status, bars = self.get_data(symbol, period, start_dt)
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if not status:
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return False, bars
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for i, bar in enumerate(bars):
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if len(bar) < 5:
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self.strategy.writeCtaError('error when import bar:{}'.format(bar))
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return False
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add_bar = CtaBarData()
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try:
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time = bar[0].replace('T', ' ')[:-5]
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add_bar.vtSymbol = symbol
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add_bar.symbol = symbol
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add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
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add_bar.datetime = datetime.strptime(time, '%Y-%m-%d %H:%M:%S') + timedelta(hours=8)
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add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
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add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
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add_bar.tradingDay = add_bar.date
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@ -77,13 +231,9 @@ class OkexFutureData(object):
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except Exception as ex:
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self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
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return False, ret_bars
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if start_dt is not None and bar.datetime < start_dt:
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continue
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ret_bars.append(add_bar)
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if callback is not None:
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callback(add_bar, bar_is_completed, bar_freq)
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return True, ret_bars
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@ -110,8 +260,10 @@ class TestStrategy(object):
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print(content)
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if __name__ == '__main__':
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data = '2018-01-01 00:00:00'
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b = datetime.strptime(data,'%Y-%m-%d %H:%M:%S') + timedelta(hours=8)
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t = TestStrategy()
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of = OkexFutureData(t)
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of.get_bars(symbol='btc:next_week:10', period='1min', callback=t.addBar)
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a = of.get_bars(symbol='BTC-USD-190628', period='5min', start_dt='2019-03-17 00:00:00',callback=t.addBar)
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print(a)
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print('b')
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