From f0f52f035c3c87f76a6fd43ae77dc253b3e14319 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Thu, 1 Nov 2018 11:10:05 +0800 Subject: [PATCH] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9ERQData=E6=95=B0=E6=8D=AE?= =?UTF-8?q?=E6=9C=8D=E5=8A=A1?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/DataService/README.md | 2 + .../DataService/RqdataDataService/config.json | 9 ++ .../RqdataDataService/dataService.py | 93 +++++++++++++++++++ .../RqdataDataService/downloadData.py | 12 +++ .../RqdataDataService/runService.py | 33 +++++++ 5 files changed, 149 insertions(+) create mode 100644 examples/DataService/RqdataDataService/config.json create mode 100644 examples/DataService/RqdataDataService/dataService.py create mode 100644 examples/DataService/RqdataDataService/downloadData.py create mode 100644 examples/DataService/RqdataDataService/runService.py diff --git a/examples/DataService/README.md b/examples/DataService/README.md index ee4f0a7c..c166a4be 100644 --- a/examples/DataService/README.md +++ b/examples/DataService/README.md @@ -1,5 +1,7 @@ # DataService说明 +* RqdataDataService：RQData数据服务（A股、期货、基金） + * ShcifcoDataService：上海中期历史行情服务（期货） * TqDataService：天勤历史行情服务（期货） diff --git a/examples/DataService/RqdataDataService/config.json b/examples/DataService/RqdataDataService/config.json new file mode 100644 index 00000000..6c85451a --- /dev/null +++ b/examples/DataService/RqdataDataService/config.json @@ -0,0 +1,9 @@ +{ + "MONGO_HOST": "localhost", + "MONGO_PORT": 27017, + + "SYMBOLS": ["510050", "510300"], + + "USERNAME": "", + "PASSWORD": "" +} \ No newline at end of file diff --git a/examples/DataService/RqdataDataService/dataService.py b/examples/DataService/RqdataDataService/dataService.py new file mode 100644 index 00000000..ab79add9 --- /dev/null +++ b/examples/DataService/RqdataDataService/dataService.py @@ -0,0 +1,93 @@ +# encoding: UTF-8 + +from __future__ import print_function +import sys +import json +from datetime import datetime +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 + +import rqdatac as rq + +# 加载配置 +config = open('config.json') +setting = json.load(config) + +MONGO_HOST = setting['MONGO_HOST'] +MONGO_PORT = setting['MONGO_PORT'] +SYMBOLS = setting['SYMBOLS'] + +mc = MongoClient(MONGO_HOST, MONGO_PORT) # Mongo连接 +db = mc[MINUTE_DB_NAME] # 数据库 + +USERNAME = setting['USERNAME'] +PASSWORD = setting['PASSWORD'] +rq.init(USERNAME, PASSWORD) + +FIELDS = ['open', 'high', 'low', 'close', 'volume'] + +#print (rq.all_instruments(type='Future')) +#print(rq.get_price('IF99', frequency='1m', fields=FIELDS)) + +#---------------------------------------------------------------------- +def generateVtBar(row, symbol): + """生成K线""" + bar = VtBarData() + + bar.symbol = symbol + bar.vtSymbol = symbol + bar.open = row['open'] + bar.high = row['high'] + bar.low = row['low'] + bar.close = row['close'] + bar.volume = row['volume'] + bar.datetime = row.name + bar.date = bar.datetime.strftime("%Y%m%d") + bar.time = bar.datetime.strftime("%H:%M:%S") + + return bar + +#---------------------------------------------------------------------- +def downMinuteBarBySymbol(symbol): + """下载某一合约的分钟线数据""" + start = time() + + cl = db[symbol] + cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引 + + df = rq.get_price(symbol, frequency='1m', fields=FIELDS) + + for ix, row in df.iterrows(): + bar = generateVtBar(row, symbol) + 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' %(symbol, df.index[0], df.index[-1], cost)) + + +#---------------------------------------------------------------------- +def downloadAllMinuteBar(): + """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) + + # 添加下载任务 + for symbol in SYMBOLS: + downMinuteBarBySymbol(str(symbol)) + + print('-' * 50) + print(u'合约分钟线数据下载完成') + print('-' * 50) + + + + \ No newline at end of file diff --git a/examples/DataService/RqdataDataService/downloadData.py b/examples/DataService/RqdataDataService/downloadData.py new file mode 100644 index 00000000..8a82352e --- /dev/null +++ b/examples/DataService/RqdataDataService/downloadData.py @@ -0,0 +1,12 @@ +# encoding: UTF-8 + +""" +立即下载数据到数据库中，用于手动执行更新操作。 +""" + +from dataService import * + + +if __name__ == '__main__': + downMinuteBarBySymbol('IF1812') + #downloadAllMinuteBar() \ No newline at end of file diff --git a/examples/DataService/RqdataDataService/runService.py b/examples/DataService/RqdataDataService/runService.py new file mode 100644 index 00000000..58c79e30 --- /dev/null +++ b/examples/DataService/RqdataDataService/runService.py @@ -0,0 +1,33 @@ +# 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。 +""" +from __future__ import print_function + +import time +import datetime + +from dataService import downloadAllMinuteBar + + +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 = datetime.time(hour=17, minute=0) + + # 进入主循环 + while True: + t = datetime.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): + downloadAllMinuteBar() + + # 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)) + + time.sleep(60) \ No newline at end of file