[Add] database: open_interest
This commit is contained in:
nanoric
parent
0e540386c7
commit
e4bd0b1ee1
@ -1,6 +1,6 @@
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from datetime import datetime
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from enum import Enum
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from typing import Sequence, Optional
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from typing import Optional, Sequence
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from mongoengine import DateTimeField, Document, FloatField, StringField, connect
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@ -47,6 +47,7 @@ class DbBarData(Document):
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interval: str = StringField()
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volume: float = FloatField()
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open_interest: float = FloatField()
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open_price: float = FloatField()
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high_price: float = FloatField()
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low_price: float = FloatField()
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@ -73,6 +74,7 @@ class DbBarData(Document):
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db_bar.datetime = bar.datetime
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db_bar.interval = bar.interval.value
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db_bar.volume = bar.volume
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db_bar.open_interest = bar.open_interest
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db_bar.open_price = bar.open_price
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db_bar.high_price = bar.high_price
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db_bar.low_price = bar.low_price
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@ -90,6 +92,7 @@ class DbBarData(Document):
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datetime=self.datetime,
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interval=Interval(self.interval),
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volume=self.volume,
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open_interest=self.open_interest,
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open_price=self.open_price,
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high_price=self.high_price,
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low_price=self.low_price,
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@ -112,6 +115,7 @@ class DbTickData(Document):
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name: str = StringField()
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volume: float = FloatField()
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open_interest: float = FloatField()
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last_price: float = FloatField()
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last_volume: float = FloatField()
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limit_up: float = FloatField()
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@ -168,6 +172,7 @@ class DbTickData(Document):
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db_tick.datetime = tick.datetime
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db_tick.name = tick.name
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db_tick.volume = tick.volume
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db_tick.open_interest = tick.open_interest
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db_tick.last_price = tick.last_price
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db_tick.last_volume = tick.last_volume
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db_tick.limit_up = tick.limit_up
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@ -215,6 +220,7 @@ class DbTickData(Document):
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datetime=self.datetime,
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name=self.name,
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volume=self.volume,
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open_interest=self.open_interest,
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last_price=self.last_price,
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last_volume=self.last_volume,
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limit_up=self.limit_up,
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@ -255,6 +261,7 @@ class DbTickData(Document):
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class MongoManager(BaseDatabaseManager):
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def load_bar_data(
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self,
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symbol: str,
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@ -319,8 +326,8 @@ class MongoManager(BaseDatabaseManager):
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) -> Optional["BarData"]:
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s = (
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DbBarData.objects(symbol=symbol, exchange=exchange.value)
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.order_by("-datetime")
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.first()
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.order_by("-datetime")
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.first()
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)
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if s:
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return s.to_bar()
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@ -331,8 +338,8 @@ class MongoManager(BaseDatabaseManager):
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) -> Optional["TickData"]:
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s = (
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DbTickData.objects(symbol=symbol, exchange=exchange.value)
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.order_by("-datetime")
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.first()
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.order_by("-datetime")
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.first()
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)
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if s:
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return s.to_tick()
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@ -56,6 +56,7 @@ def init_postgresql(settings: dict):
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class ModelBase(Model):
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def to_dict(self):
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return self.__data__
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@ -75,6 +76,7 @@ def init_models(db: Database, driver: Driver):
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interval: str = CharField()
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volume: float = FloatField()
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open_interest: float = FloatField()
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open_price: float = FloatField()
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high_price: float = FloatField()
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low_price: float = FloatField()
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@ -96,6 +98,7 @@ def init_models(db: Database, driver: Driver):
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db_bar.datetime = bar.datetime
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db_bar.interval = bar.interval.value
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db_bar.volume = bar.volume
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db_bar.open_interest = bar.open_interest
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db_bar.open_price = bar.open_price
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db_bar.high_price = bar.high_price
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db_bar.low_price = bar.low_price
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@ -133,10 +136,10 @@ def init_models(db: Database, driver: Driver):
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DbBarData.insert(bar).on_conflict(
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update=bar,
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conflict_target=(
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DbBarData.datetime,
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DbBarData.interval,
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DbBarData.symbol,
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DbBarData.exchange,
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DbBarData.interval,
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DbBarData.datetime,
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),
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).execute()
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else:
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@ -159,6 +162,7 @@ def init_models(db: Database, driver: Driver):
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name: str = CharField()
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volume: float = FloatField()
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open_interest: float = FloatField()
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last_price: float = FloatField()
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last_volume: float = FloatField()
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limit_up: float = FloatField()
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@ -209,6 +213,7 @@ def init_models(db: Database, driver: Driver):
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db_tick.datetime = tick.datetime
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db_tick.name = tick.name
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db_tick.volume = tick.volume
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db_tick.open_interest = tick.open_interest
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db_tick.last_price = tick.last_price
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db_tick.last_volume = tick.last_volume
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db_tick.limit_up = tick.limit_up
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@ -256,6 +261,7 @@ def init_models(db: Database, driver: Driver):
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datetime=self.datetime,
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name=self.name,
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volume=self.volume,
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open_interest=self.open_interest,
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last_price=self.last_price,
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last_volume=self.last_volume,
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limit_up=self.limit_up,
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@ -303,9 +309,9 @@ def init_models(db: Database, driver: Driver):
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DbTickData.insert(tick).on_conflict(
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update=tick,
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conflict_target=(
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DbTickData.datetime,
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DbTickData.symbol,
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DbTickData.exchange,
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DbTickData.datetime,
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),
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).execute()
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else:
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@ -318,6 +324,7 @@ def init_models(db: Database, driver: Driver):
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class SqlManager(BaseDatabaseManager):
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def __init__(self, class_bar: Type[Model], class_tick: Type[Model]):
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self.class_bar = class_bar
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self.class_tick = class_tick
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@ -332,14 +339,14 @@ class SqlManager(BaseDatabaseManager):
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) -> Sequence[BarData]:
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s = (
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self.class_bar.select()
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.where(
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(self.class_bar.symbol == symbol)
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& (self.class_bar.exchange == exchange.value)
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& (self.class_bar.interval == interval.value)
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& (self.class_bar.datetime >= start)
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.where(
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(self.class_bar.symbol == symbol)
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& (self.class_bar.exchange == exchange.value)
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& (self.class_bar.interval == interval.value)
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& (self.class_bar.datetime >= start)
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& (self.class_bar.datetime <= end)
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)
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.order_by(self.class_bar.datetime)
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.order_by(self.class_bar.datetime)
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)
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data = [db_bar.to_bar() for db_bar in s]
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return data
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@ -349,13 +356,13 @@ class SqlManager(BaseDatabaseManager):
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) -> Sequence[TickData]:
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s = (
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self.class_tick.select()
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.where(
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(self.class_tick.symbol == symbol)
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& (self.class_tick.exchange == exchange.value)
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& (self.class_tick.datetime >= start)
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.where(
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(self.class_tick.symbol == symbol)
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& (self.class_tick.exchange == exchange.value)
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& (self.class_tick.datetime >= start)
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& (self.class_tick.datetime <= end)
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)
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.order_by(self.class_tick.datetime)
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.order_by(self.class_tick.datetime)
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)
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data = [db_tick.to_tick() for db_tick in s]
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@ -374,13 +381,13 @@ class SqlManager(BaseDatabaseManager):
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) -> Optional["BarData"]:
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s = (
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self.class_bar.select()
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.where(
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(self.class_bar.symbol == symbol)
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& (self.class_bar.exchange == exchange.value)
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.where(
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(self.class_bar.symbol == symbol)
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& (self.class_bar.exchange == exchange.value)
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& (self.class_bar.interval == interval.value)
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)
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.order_by(self.class_bar.datetime.desc())
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.first()
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.order_by(self.class_bar.datetime.desc())
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.first()
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)
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if s:
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return s.to_bar()
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@ -391,12 +398,12 @@ class SqlManager(BaseDatabaseManager):
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) -> Optional["TickData"]:
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s = (
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self.class_tick.select()
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.where(
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(self.class_tick.symbol == symbol)
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.where(
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(self.class_tick.symbol == symbol)
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& (self.class_tick.exchange == exchange.value)
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)
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.order_by(self.class_tick.datetime.desc())
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.first()
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.order_by(self.class_tick.datetime.desc())
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.first()
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)
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if s:
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return s.to_tick()
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