增加取中金所分钟的方法bar

vn.trader/utilSinaClient.py

@@ -224,6 +224,85 @@ class UtilSinaClient(object):
             self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败：'+str(e))
             return False
 
+    def getMinBars2(self, symbol, minute, callback):
+        """# 从sina加载最新的M5,M15,M30,M60数据(针对中金所）"""
+
+        if minute not in {5, 15, 30, 60}:
+            return False
+
+        sinaBars = []
+        try:
+            timestamp = (datetime.utcnow() - datetime(1970, 1, 1)).total_seconds()
+            url=u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20_{1}_{0}_{2}=/InnerFuturesNewService.getFewMinLine?symbol={1}&type={0}'.format(minute,symbol,timestamp)
+            #url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures{0}MinKLine?symbol={1}'.format(minute,symbol)
+            self.strategy.writeCtaLog(u'从sina下载{0}的{1}分钟数据 {2}'.format(symbol,minute, url))
+            response_data = self.session.get(url).content
+            response_data = response_data.decode('gbk').split('=')[-1]
+            response_data = response_data.replace('(', '')
+            response_data = response_data.replace(');', '')
+            responses = execjs.eval(response_data)
+
+            dayVolume = 0
+
+            for item in responses:
+                bar = CtaBarData()
+
+                bar.vtSymbol = symbol
+                bar.symbol = symbol
+                # bar的close time
+                sinaDt = datetime.strptime(item['d'], '%Y-%m-%d %H:%M:00')
+
+                if minute in {5, 15} and sinaDt.hour == 10 and sinaDt.minute == 30:
+                    # 这个是sina的bug，它把10:15 ~10:30也包含进来了
+                    continue
+
+                if minute == 60 and sinaDt.hour in {11,23,1,2} and sinaDt.minute == 30:
+                    bar.datetime = sinaDt - timedelta(seconds=(minute /2)* 60)
+                else:
+                    bar.datetime = sinaDt - timedelta(seconds=minute * 60)
+
+                bar.date = bar.datetime.strftime('%Y%m%d')
+                bar.tradingDay = bar.date       # todo: 需要修改，晚上21点后，修改为next workingday
+                bar.time = bar.datetime.strftime('%H:%M:00')
+
+                bar.open = float(item['o'])
+                bar.high = float(item['h'])
+                bar.low = float(item['l'])
+                bar.close = float(item['c'])
+                bar.volume = int(item['v'])
+
+                # 计算dayvolume
+                if not sinaBars:
+                    dayVolume = bar.volume
+                else:
+                    if sinaBars[-1].datetime.hour == 14 and bar.datetime.hour !=14:
+                        dayVolume = bar.volume
+                    else:
+                        dayVolume += bar.volume
+
+                bar.dayVolume = dayVolume
+
+                sinaBars.append(bar)
+
+            if len(sinaBars)>0:
+                self.strategy.writeCtaLog(u'从sina读取了{0}条{1}分钟数据'.format(len(sinaBars),minute))
+
+                # 把sina的bar灌入回调函数
+                for bar in sinaBars:
+                    callback(bar)
+
+                # 处理完毕，清空
+                sinaBars = []
+
+                return True
+            else:
+                self.strategy.writeCtaLog(u'从sina读取{0}分钟数据失败'.format(minute))
+                return False
+
+        except Exception as e:
+            self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败：'+str(e))
+            return False
+
     def getDayBars(self, symbol, callback):
         """# 从sina加载最新的Day数据"""
 
@@ -301,4 +380,6 @@ if __name__ == '__main__':
     #rt = sina.getTicks(symbol='RB1705', callback=t.addTick)
 
     #rt = sina.getTicks2(symbol='TF1706', callback=t.addTick)
-    rt = sina.getTicks3(symbol='TF1709', callback=t.addTick)
+    #rt = sina.getTicks3(symbol='TF1709', callback=t.addTick)
+
+    rt = sina.getMinBars2(symbol='TF1709',minute=60, callback=t.addBar)