# encoding: UTF-8 from __future__ import print_function import json import time import datetime import requests from pymongo import MongoClient, ASCENDING from vnpy.trader.vtObject import VtBarData from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME, DAILY_DB_NAME # 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 dbDaily = mc[DAILY_DB_NAME] #---------------------------------------------------------------------- def generateVtBar(vtSymbol, d): """生成K线""" bar = VtBarData() bar.vtSymbol = vtSymbol bar.symbol, bar.exchange = bar.vtSymbol.split('.') bar.datetime = datetime.datetime.fromtimestamp(d['time']) bar.date = bar.datetime.strftime('%Y%m%d') bar.time = bar.datetime.strftime('%H:%M:%S') bar.open = d['open'] bar.high = d['high'] bar.low = d['low'] bar.close = d['close'] bar.volume = d['volumeto'] return bar #---------------------------------------------------------------------- def downloadMinuteBarBySymbol(vtSymbol, end): """下载某一合约的分钟线数据""" end = datetime.datetime.strptime(end, '%Y%m%d') startTime = time.time() cl = db[vtSymbol] cl.ensure_index([('datetime', ASCENDING)], unique=True) symbol, exchange = vtSymbol.split('.') fsym, tsym = symbol.split('/') url = 'https://min-api.cryptocompare.com/data/histominute' params = { 'fsym': fsym, 'tsym': tsym, 'e': exchange, 'toTs': int(time.mktime(end.timetuple())) } resp = requests.get(url, headers={}, params=params) if resp.status_code != 200: print(u'%s数据下载失败' %vtSymbol) return j = resp.json() l = j['Data'] for d in l: bar = generateVtBar(vtSymbol, d) d = bar.__dict__ flt = {'datetime': bar.datetime} cl.replace_one(flt, d, True) endTime = time.time() cost = (endTime - startTime) * 1000 print(u'合约%s数据下载完成%s - %s,耗时%s毫秒' %(vtSymbol, datetime.datetime.fromtimestamp(l[0]['time']), datetime.datetime.fromtimestamp(l[-1]['time']), cost)) #---------------------------------------------------------------------- def downloadDailyBarBySymbol(vtSymbol): """下载某一合约的分钟线数据""" startTime = time.time() cl = dbDaily[vtSymbol] cl.ensure_index([('datetime', ASCENDING)], unique=True) symbol, exchange = vtSymbol.split('.') fsym, tsym = symbol.split('/') url = 'https://min-api.cryptocompare.com/data/histoday' params = { 'fsym': fsym, 'tsym': tsym, 'e': exchange, 'limit': 2000 } resp = requests.get(url, headers={}, params=params) if resp.status_code != 200: print(u'%s数据下载失败' %vtSymbol) return j = resp.json() l = j['Data'] for d in l: bar = generateVtBar(vtSymbol, d) d = bar.__dict__ flt = {'datetime': bar.datetime} cl.replace_one(flt, d, True) endTime = time.time() cost = (endTime - startTime) * 1000 print(u'合约%s数据下载完成%s - %s,耗时%s毫秒' %(vtSymbol, datetime.datetime.fromtimestamp(l[0]['time']), datetime.datetime.fromtimestamp(l[-1]['time']), cost)) #---------------------------------------------------------------------- def downloadAllMinuteBar(end): """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) for symbol in SYMBOLS: downloadMinuteBarBySymbol(symbol, end) time.sleep(1) print('-' * 50) print(u'合约分钟线数据下载完成') print('-' * 50)