# flake8: noqa """ 下载通达信指数合约1分钟bar => vnpy项目目录/bar_data/ """ import os import sys import json from collections import OrderedDict import pandas as pd vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..')) if vnpy_root not in sys.path: sys.path.append(vnpy_root) os.environ["VNPY_TESTING"] = "1" from vnpy.data.tdx.tdx_future_data import * # 保存的1分钟指数 bar目录 bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data')) # 开始日期(每年大概需要几分钟) start_date = '20160101' # 创建API对象 api_01 = TdxFutureData() # 更新本地合约缓存信息 api_01.update_mi_contracts() # 逐一指数合约下载并更新 for underlying_symbol in api_01.future_contracts.keys(): index_symbol = underlying_symbol + '99' print(f'开始更新:{index_symbol}') # csv数据文件名 bar_file_path = os.path.abspath(os.path.join(bar_data_folder, f'{underlying_symbol}99_{start_date}_1m.csv')) # 如果文件存在, if os.path.exists(bar_file_path): df_old = pd.read_csv(bar_file_path, index_col=0) df_old = df_old.rename(lambda x: pd.to_datetime(x, format="%Y-%m-%d %H:%M:%S")) # 取最后一条时间 last_dt = df_old.index[-1] start_dt = last_dt - timedelta(days=1) print(f'文件{bar_file_path}存在,最后时间:{start_date}') else: df_old = None start_dt = datetime.strptime(start_date, '%Y%m%d') print(f'文件{bar_file_path}不存在,开始时间:{start_date}') result, bars = api_01.get_bars(symbol=index_symbol, period='1min', callback=None, start_dt=start_dt, return_bar=False) # [dict] => dataframe if not result or len(bars) == 0: continue df_extern = pd.DataFrame(bars) df_extern.set_index('datetime', inplace=True) if df_old is not None: # 扩展数据 print('扩展数据') data_df = pd.concat([df_old, df_extern], axis=0) else: data_df = df_extern # 数据按时间戳去重 print('按时间戳去重') data_df = data_df[~data_df.index.duplicated(keep='first')] # 排序 data_df = data_df.sort_index() # print(data_df.head()) print(data_df.tail()) data_df.to_csv(bar_file_path, index=True) print(f'更新{index_symbol}数据 => 文件{bar_file_path}') print('更新完毕') os._exit(0)