# flake8: noqa """ 下载证券宝5分钟bar => vnpy项目目录/bar_data/ """ import os import sys import csv import json from collections import OrderedDict import pandas as pd from datetime import datetime, timedelta 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" import baostock as bs from vnpy.trader.constant import Exchange from vnpy.data.tdx.tdx_common import get_tdx_market_code from vnpy.trader.utility import load_json, get_csv_last_dt from vnpy.data.stock.stock_base import get_stock_base # 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 = '20060101' # 证券宝连接 login_msg = bs.login() if login_msg.error_code != '0': print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}') # 更新本地合约缓存信息 stock_list = load_json('stock_list.json') symbol_dict = get_stock_base() day_fields = "date,code,open,high,low,close,preclose,volume,amount,adjustflag,turn,tradestatus,pctChg,isST" min_fields = "date,time,code,open,high,low,close,volume,amount,adjustflag" # 逐一股票下载并更新 for stock_code in stock_list: market_id = get_tdx_market_code(stock_code) if market_id == 0: exchange_name = '深交所' exchange = Exchange.SZSE exchange_code = 'sz' else: exchange_name = '上交所' exchange = Exchange.SSE exchange_code = 'sh' symbol_info = symbol_dict.get(f'{stock_code}.{exchange.value}') stock_name = symbol_info.get('name') print(f'开始更新:{exchange_name}/{stock_name}, 代码:{stock_code}') bar_file_folder = os.path.abspath(os.path.join(bar_data_folder, f'{exchange.value}')) if not os.path.exists(bar_file_folder): os.makedirs(bar_file_folder) # csv数据文件名 bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{stock_code}_{start_date}_5m.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] last_dt = get_csv_last_dt(bar_file_path) start_dt = last_dt - timedelta(days=1) print(f'文件{bar_file_path}存在,最后时间:{start_date}') else: last_dt = 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}') rs = bs.query_history_k_data_plus( code=f'{exchange_code}.{stock_code}', fields=min_fields, start_date=start_dt.strftime('%Y-%m-%d'), end_date=datetime.now().strftime('%Y-%m-%d'), frequency="5", adjustflag="3" ) if rs.error_code != '0': print(f'证券宝获取沪深A股历史K线数据错误代码:{rs.error_code}, 错误信息:{rs.error_msg}') continue # [dict] => dataframe bars = [] while (rs.error_code == '0') and rs.next(): row = rs.get_row_data() dt = datetime.strptime(row[1], '%Y%m%d%H%M%S%f') if last_dt and last_dt > dt: continue bar = { 'datetime': dt, 'open': float(row[3]), 'close': float(row[6]), 'high': float(row[4]), 'low': float(row[5]), 'volume': float(row[7]), 'amount': float(row[8]), 'symbol': stock_code, 'trading_date': row[0], 'date': row[0], 'time': dt.strftime('%H:%M:%S') } bars.append(bar) # 获取标题 if len(bars) == 0: continue headers = list(bars[0].keys()) if headers[0] != 'datetime': headers.remove('datetime') headers.insert(0, 'datetime') bar_count = 0 # 写入所有大于最后bar时间的数据 with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile: writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel', extrasaction='ignore') if last_dt is None: writer.writeheader() for bar in bars: bar_count += 1 writer.writerow(bar) print(f'更新{stock_code}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}') print('更新完毕') bs.logout() os._exit(0)