[Add]新增QuantosDataService

examples/QuantosDataService/README.md

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+# quantOS历史行情服务
+
+请在[www.quantos.org](www.quantos.org)注册后，将用户名和TOKEN输入到配置文件config.json中，即可使用该服务。

examples/QuantosDataService/config.json

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+{
+	"MONGO_HOST": "localhost",
+	"MONGO_PORT": 27017,
+
+	"DATA_SERVER": "tcp://data.tushare.org:8910",
+	"USERNAME": "",
+	"TOKEN": "",
+
+	"SYMBOLS": ["510050.SSE", "510300.SSE"]
+}

examples/QuantosDataService/dataService.py

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+# encoding: UTF-8
+
+import sys
+import json
+from datetime import datetime, timedelta
+from time import time, sleep
+
+from pymongo import MongoClient, ASCENDING
+
+from vnpy.trader.vtObject import VtBarData
+from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME
+from vnpy.trader.gateway.tkproGateway.DataApi import DataApi
+
+
+# 交易所类型映射
+exchangeMap = {}
+exchangeMap['CFFEX'] = 'CFE'
+exchangeMap['SHFE'] = 'SHF'
+exchangeMap['CZCE'] = 'CZC'
+exchangeMap['DCE'] = 'DCE'
+exchangeMap['SSE'] = 'SH'
+exchangeMap['SZSE'] = 'SZ'
+exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
+
+# 加载配置
+config = open('config.json')
+setting = json.load(config)
+config.close()
+
+MONGO_HOST = setting['MONGO_HOST']
+MONGO_PORT = setting['MONGO_PORT']
+SYMBOLS = setting['SYMBOLS']
+USERNAME = setting['USERNAME']
+TOKEN = setting['TOKEN']
+DATA_SERVER = setting['DATA_SERVER']
+
+# 创建API对象
+mc = MongoClient(MONGO_HOST, MONGO_PORT)        # Mongo连接
+db = mc[MINUTE_DB_NAME]                         # 数据库
+
+
+#----------------------------------------------------------------------
+def generateVtBar(row):
+    """生成K线"""
+    bar = VtBarData()
+    
+    symbol, exchange = row['symbol'].split('.')
+    
+    bar.symbol = symbol
+    bar.exchange = exchangeMapReverse[exchange]
+    bar.vtSymbol = '.'.join([bar.symbol, bar.exchange])
+    bar.open = row['open']
+    bar.high = row['high']
+    bar.low = row['low']
+    bar.close = row['close']
+    bar.volume = row['volume']
+    
+    bar.date = str(row['trade_date'])
+    bar.time = str(row['time'])
+    bar.datetime = datetime.strptime(' '.join([bar.date, bar.time]), '%Y%m%d %H%M%S')
+    
+    return bar
+
+#----------------------------------------------------------------------
+def downMinuteBarBySymbol(api, vtSymbol, startDate):
+    """下载某一合约的分钟线数据"""
+    start = time()
+
+    cl = db[vtSymbol]
+    cl.ensure_index([('datetime', ASCENDING)], unique=True)         # 添加索引
+    
+    dt = datetime.strptime(startDate, '%Y%m%d')
+    today = datetime.now()
+    delta = timedelta(1)
+    
+    code, exchange = vtSymbol.split('.')
+    symbol = '.'.join([code, exchangeMap[exchange]]) 
+    
+    while dt <= today:
+        d = int(dt.strftime('%Y%m%d'))
+        df, msg = api.bar(symbol, freq='1M', trade_date=d)
+        dt += delta
+        
+        if df is None:
+            continue
+        
+        for ix, row in df.iterrows():
+            bar = generateVtBar(row)
+            d = bar.__dict__
+            flt = {'datetime': bar.datetime}
+            cl.replace_one(flt, d, True)    
+        
+
+    end = time()
+    cost = (end - start) * 1000
+
+    print u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(vtSymbol, startDate, today.strftime('%Y%m%d'), cost)
+
+    
+#----------------------------------------------------------------------
+def downloadAllMinuteBar(api):
+    """下载所有配置中的合约的分钟线数据"""
+    print '-' * 50
+    print u'开始下载合约分钟线数据'
+    print '-' * 50
+    
+    startDt = datetime.today() - 10 * timedelta(1)
+    startDate = startDt.strftime('%Y%m%d')
+    
+    # 添加下载任务
+    for symbol in SYMBOLS:
+        downMinuteBarBySymbol(api, str(symbol), startDate)
+    
+    print '-' * 50
+    print u'合约分钟线数据下载完成'
+    print '-' * 50
+    
+
+if __name__ == '__main__':
+    downloadAllMinuteBar()
+    

examples/QuantosDataService/downloadData.py

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+# encoding: UTF-8
+
+"""
+立即下载数据到数据库中，用于手动执行更新操作。
+"""
+
+import json
+
+from vnpy.trader.gateway.tkproGateway.DataApi import DataApi
+from dataService import *
+
+
+if __name__ == '__main__':
+    # 创建API对象
+    api = DataApi(DATA_SERVER)
+    info, msg = api.login(USERNAME, TOKEN)
+    
+    if not info:
+        print u'数据服务器登录失败，原因：%s' %msg    
+
+    # 下载数据
+    downloadAllMinuteBar(api)

examples/QuantosDataService/runService.py

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+# encoding: UTF-8
+
+"""
+定时服务，可无人值守运行，实现每日自动下载更新历史行情数据到数据库中。
+"""
+
+import datetime as ddt
+
+from dataService import *
+
+
+if __name__ == '__main__':
+    taskCompletedDate = None
+    
+    # 生成一个随机的任务下载时间，用于避免所有用户在同一时间访问数据服务器
+    taskTime = ddt.time(hour=17, minute=0)
+    
+    # 进入主循环
+    while True:
+        t = ddt.datetime.now()
+        
+        # 每天到达任务下载时间后，执行数据下载的操作
+        if t.time() > taskTime and (taskCompletedDate is None or t.date() != taskCompletedDate):
+            # 创建API对象
+            api = DataApi(DATA_SERVER)
+            info, msg = api.login(USERNAME, TOKEN)
+            
+            if not info:
+                print u'数据服务器登录失败，原因：%s' %msg    
+        
+            # 下载数据
+            downloadAllMinuteBar(api)            
+            
+            # 更新任务完成的日期
+            taskCompletedDate = t.date()
+        else:
+            print u'当前时间%s，任务定时%s' %(t, taskTime)
+    
+        sleep(60)

examples/README.md

@@ -4,6 +4,8 @@
 
 * VnTrader：最常用的vn.py图形交易界面
 
+* OptionMaster: 期权量化交易系统
+
 * DataRecording：全自动行情记录工具（无需用户每日定时重启）
 
 * CtaTrading：无图形界面模式的CTA策略交易
@@ -18,4 +20,6 @@
 
 * TushareDataService：TuShare历史行情服务（A股）
 
-* FutuDataService：富途证券历史行情服务（美股、港股）
+* FutuDataService：富途证券历史行情服务（美股、港股）
+
+* QuantosDataService: quantOS历史行情服务（A股、期货）