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[Add]新增图形化的RQData数据服务下载器

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vn.py 2018-12-06 16:12:58 +08:00
parent 50f1524c12
commit fa2ce167ee
5 changed files with 280 additions and 13 deletions
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10
examples/DataService/RqdataDataService/config.json
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@ -1,9 +1,5 @@
{
"MONGO_HOST": "localhost",
"MONGO_PORT": 27017,
"SYMBOLS": ["510050", "510300"],
"USERNAME": "",
"PASSWORD": ""
"rqUsername": "",
"rqPassword": "",
"product": ["IF"]
}

274
examples/DataService/RqdataDataService/run.py Normal file
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@ -0,0 +1,274 @@
# encoding: UTF-8
from __future__ import print_function
import json
import ctypes
from datetime import datetime, timedelta, time
from time import sleep
from threading import Thread
from collections import OrderedDict
import qdarkstyle
from pymongo import MongoClient, ASCENDING, DESCENDING
from pymongo.errors import ConnectionFailure
from vnpy.trader.uiQt import QtCore, QtWidgets, QtGui
from vnpy.trader.vtObject import VtBarData
from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME, DAILY_DB_NAME
DAY_START = time(9, 0) # 日盘启动和停止时间
DAY_END = time(17, 15)
NIGHT_START = time(21, 0) # 夜盘启动和停止时间
NIGHT_END = time(2, 30)
########################################################################
class RqDataManager(QtWidgets.QWidget):
""""""
signal = QtCore.Signal(str)
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(RqDataManager, self).__init__()
self.client = None
self.rq = None
self.thread = Thread(target=self.run)
self.productList = []
self.symbolExchangeDict = OrderedDict()
self.initUi()
n1 = self.connectMongo()
if not n1:
return
n2 = self.initRqData()
if not n2:
return
self.count = 0
self.active = True
self.thread.start()
#----------------------------------------------------------------------
def connectMongo(self):
"""连接数据库"""
try:
self.client = MongoClient(serverSelectionTimeoutMS=10)
self.client.server_info()
self.writeLog(u'MongoDB连接成功')
return True
except ConnectionFailure:
self.client = None
self.writeLog(u'MongoDB连接失败')
return False
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(u'RQData数据服务')
self.setWindowIcon(QtGui.QIcon('vnpy.ico'))
self.setFixedHeight(500)
self.setFixedWidth(900)
self.logMonitor = QtWidgets.QTextEdit()
self.logMonitor.setReadOnly(True)
vbox = QtWidgets.QVBoxLayout()
vbox.addWidget(self.logMonitor)
self.setLayout(vbox)
self.signal.connect(self.updateLog)
# 托盘配置
self.tray = QtWidgets.QSystemTrayIcon()
self.tray.setIcon(QtGui.QIcon('vnpy.ico'))
self.tray.activated.connect(self.showManager)
restoreAction = QtWidgets.QAction(u'还原', self, triggered=self.show)
quitAction = QtWidgets.QAction(u'退出', self, triggered=self.exit)
menu = QtWidgets.QMenu(QtWidgets.QApplication.desktop())
menu.addAction(restoreAction)
menu.addAction(quitAction)
self.tray.setContextMenu(menu)
self.tray.show()
#----------------------------------------------------------------------
def initRqData(self):
""""""
with open('config.json') as config:
setting = json.load(config)
for product in setting['product']:
self.productList.append(product.upper())
# 检查是否填写了RQData配置
username = setting.get('rqUsername', None)
password = setting.get('rqPassword', None)
if not username or not password:
self.writeLog(u'RQData的用户名和密码配置错误，请在config.json中修改')
return False
# 加载RQData
try:
import rqdatac as rq
except ImportError:
self.writeLog(u'没有安装RQData客户端，请先安装rqdatac')
return False
# 登录RQData
self.rq = rq
self.rq.init(username, password)
# 获取本日可交易合约代码
try:
df = self.rq.all_instruments(type='Future', date=datetime.now())
for ix, row in df.iterrows():
self.symbolExchangeDict[row['order_book_id']] = row['exchange']
except RuntimeError:
self.writeLog(u'RQData的用户名和密码无效，请联系米筐申请试用或者购买')
return False
self.writeLog(u'RQData客户端登录成功')
return True
#----------------------------------------------------------------------
def downloadBar(self, symbol, frequency):
"""下载合约数据"""
if 'frequency' == '1m':
db = self.client[MINUTE_DB_NAME]
else:
db = self.client[DAILY_DB_NAME]
# 上期所和大商所代码改为小写
exchange = self.symbolExchangeDict[symbol]
if exchange in ['SHFE', 'DCE']:
localSymbol = symbol.lower()
else:
localSymbol = symbol
collection = db[localSymbol]
# 获取本地数据库中最后一条记录的时间，并下载新数据
result = collection.find_one(sort=[("datetime", DESCENDING)])
if result:
startDate = result['datetime']
else:
startDate = '20180101'
if startDate:
self.writeLog(u'%s下载更新数据，开始时间：%s' %(localSymbol, startDate))
else:
self.writeLog(u'%s初次下载数据，耗时可能较长，请耐心等待' %(localSymbol))
df = self.rq.get_price(symbol,
frequency=frequency,
fields=['open', 'high', 'low', 'close', 'volume'],
start_date=startDate,
end_date=datetime.now())
# 插入到数据库
for ix, row in df.iterrows():
bar = self.generateBar(row, localSymbol)
d = bar.__dict__
flt = {'datetime': bar.datetime}
collection.replace_one(flt, d, True)
self.writeLog(u'%s数据更新完成：%s - %s' %(localSymbol, df.index[0], df.index[-1]))
#----------------------------------------------------------------------
def generateBar(self, row, symbol):
"""生成K线对象"""
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 writeLog(self, msg):
"""记录日志"""
self.signal.emit(msg)
#----------------------------------------------------------------------
def updateLog(self, msg):
"""更新日志"""
dt = datetime.now()
msg = '%s: %s' %(dt, msg)
self.logMonitor.append(msg)
#----------------------------------------------------------------------
def run(self):
"""运行"""
while self.active:
sleep(1)
self.count += 1
if self.count < 10:
continue
self.count = 0
now = datetime.now().time()
if ((DAY_START <= now <= DAY_END) or
(now >= NIGHT_START) or
(now <= NIGHT_END)):
for symbol in self.symbolExchangeDict.keys():
download = False
for product in self.productList:
if product in symbol:
download = True
if download:
self.downloadBar(symbol, '1m')
else:
self.writeLog(u'非交易时间段，不执行更新')
#----------------------------------------------------------------------
def showManager(self, reason):
""""""
self.show()
#----------------------------------------------------------------------
def closeEvent(self, event):
""""""
self.hide()
event.ignore()
#----------------------------------------------------------------------
def exit(self):
""""""
self.active = False
self.thread.join()
QtWidgets.qApp.quit()
if __name__ == '__main__':
font = QtGui.QFont(u'微软雅黑', 12)
app = QtWidgets.QApplication([])
app.setFont(font)
app.setStyleSheet(qdarkstyle.load_stylesheet_from_environment())
ctypes.windll.shell32.SetCurrentProcessExplicitAppUserModelID('RQDataService')
manager = RqDataManager()
manager.show()
app.exec_()

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7
vnpy/trader/app/ctaStrategy/ctaEngine.py
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@ -683,17 +683,15 @@ class CtaEngine(AppEngine):
def initRqData(self):
"""初始化RQData客户端"""
# 检查是否填写了RQData配置
username = globalSetting.get('rqUsername')
password = globalSetting.get('rqPassword')
username = globalSetting.get('rqUsername', None)
password = globalSetting.get('rqPassword', None)
if not username or not password:
print globalSetting
return
# 加载RQData
try:
import rqdatac as rq
except ImportError:
print 'import fail'
return
# 登录RQData
@ -706,7 +704,6 @@ class CtaEngine(AppEngine):
for ix, row in df.iterrows():
self.rqSymbolSet.add(row['order_book_id'])
except RuntimeError:
print 'download fail'
pass
#----------------------------------------------------------------------

2
vnpy/trader/vtEngine.py
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@ -198,7 +198,7 @@ class MainEngine(object):
# 读取MongoDB的设置
try:
# 设置MongoDB操作的超时时间为0.5秒
self.dbClient = MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'], serverSelectionTimeoutMS=500)
self.dbClient = MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'], serverSelectionTimeoutMS=10)
# 调用server_info查询服务器状态，防止服务器异常并未连接成功
self.dbClient.server_info()