# encoding: UTF-8 from __future__ import print_function '''一个简单的SINA数据客户端，主要使用requests开发''' import requests from time import sleep import execjs from datetime import datetime,timedelta from ctaBase import CtaBarData,CtaTickData class UtilSinaClient(object): # ---------------------------------------------------------------------- def __init__(self, strategy): self.strategy = strategy requests.adapters.DEFAULT_RETRIES = 5 self.session = requests.session() self.session.keep_alive = False def getTicks(self, symbol, callback): # 从sina加载最新的M1数据 try: url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures5MLine?symbol={0}'.format( symbol) self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, url)) responses = execjs.eval(self.session.get(url).content.decode('gbk').split('\n')[-1]) datevalue = datetime.now().strftime('%Y-%m-%d') for j, day_item in enumerate(responses[str(symbol).upper()]): for i, item in enumerate(day_item): tick = CtaTickData() tick.vtSymbol = symbol tick.symbol = symbol if len(item) >= 6: datevalue = item[6] tick.date = datevalue tick.time = item[4] + u':00' tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S') tick.lastPrice = float(item[0]) tick.volume = int(item[2]) if type(item[3]) == type(None): tick.openInterest = 0 else: tick.openInterest = int(item[3]) callback(tick) return True except Exception as e: self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e)) return False def getTicks2(self, symbol, callback): # 从sina加载最新的M1数据 try: url = url = u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20t1nf_T1706=/InnerFuturesNewService.getMinLine?symbol={0}'.format(symbol) self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, 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) datevalue = datetime.now().strftime('%Y-%m-%d') for i, item in enumerate(responses): tick = CtaTickData() tick.vtSymbol = symbol tick.symbol = symbol if len(item) >= 6: datevalue = item[6] tick.date = datevalue tick.time = item[0] + u':00' tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S') tick.lastPrice = float(item[1]) tick.volume = int(item[3]) if type(item[4]) == type(None): tick.openInterest = 0 else: tick.openInterest = int(item[4]) callback(tick) return True except Exception as e: self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e)) return False def getMinBars(self, symbol, minute, callback): """# 从sina加载最新的M5,M15,M30,M60数据""" if minute not in {5, 15, 30, 60}: return False sinaBars = [] try: 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)) responses = execjs.eval(self.session.get(url).content.decode('gbk').split('\n')[-1]) dayVolume = 0 for item in responses: bar = CtaBarData() bar.vtSymbol = symbol bar.symbol = symbol # bar的close time sinaDt = datetime.strptime(item[0], '%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[1]) bar.high = float(item[2]) bar.low = float(item[3]) bar.close = float(item[4]) bar.volume = int(item[5]) # 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""" sinaBars = [] try: url = u'http://stock.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFuturesDailyKLine?symbol={0}'.format(symbol) self.strategy.writeCtaLog(u'从sina下载{0}的日K数据 {1}'.format(symbol, url)) responses = execjs.eval(self.session.get(url).content.decode('gbk')) dayVolume = 0 for item in responses: bar = CtaBarData() bar.vtSymbol = symbol bar.symbol = symbol # bar的close time bar.datetime = datetime.strptime(item['date'], '%Y-%m-%d') 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['open']) bar.high = float(item['high']) bar.low = float(item['low']) bar.close = float(item['close']) bar.volume = int(item['volume']) bar.dayVolume = bar.volume sinaBars.append(bar) if len(sinaBars)>0: self.strategy.writeCtaLog(u'从sina读取了{0}条日线K数据'.format(len(sinaBars))) # 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读取日线K数据失败') return False except Exception as e: self.strategy.writeCtaLog(u'加载Sina历史日线数据失败：'+str(e)) return False class TestStrategy(object): def __init__(self): pass def addBar(self, bar): print(u'{0},o:{1},h:{2},l:{3},c:{4},v:{5}'.format(bar.datetime, bar.open, bar.high, bar.low, bar.close, bar.volume)) def addTick(self, tick): print(u'{0},{1},ap:{2},av:{3},bp:{4},bv:{5}'.format(tick.datetime, tick.lastPrice, tick.askPrice1, tick.askVolume1, tick.bidPrice1, tick.bidVolume1)) def writeCtaLog(self, content): print(content) if __name__ == '__main__': t = TestStrategy() sina = UtilSinaClient(t) #rt=sina.getDayBars(symbol='RB1705', callback=t.addBar) #rt = sina.getMinBars(symbol='RB1705',minute = 5, callback=t.addBar) #rt = sina.getTicks(symbol='RB1705', callback=t.addTick) rt = sina.getTicks2(symbol='TF1706', callback=t.addTick)