# 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 # 加载配置 config = open('config.json') setting = json.load(config) MONGO_HOST = setting['MONGO_HOST'] MONGO_PORT = setting['MONGO_PORT'] APIKEY = setting['APIKEY'] SYMBOLS = setting['SYMBOLS'] mc = MongoClient(MONGO_HOST, MONGO_PORT) # Mongo连接 db = mc[MINUTE_DB_NAME] # 数据库 headers = {'X-CoinAPI-Key': APIKEY} #---------------------------------------------------------------------- def generateVtBar(symbol, d): """生成K线""" bar = VtBarData() bar.symbol = symbol bar.vtSymbol = symbol bar.datetime = datetime.datetime.strptime(d['time_open'], '%Y-%m-%dT%H:%M:%S.%f0Z') bar.date = bar.datetime.strftime('%Y%m%d') bar.time = bar.datetime.strftime('%H:%M:%S') bar.open = d['price_open'] bar.high = d['price_high'] bar.low = d['price_low'] bar.close = d['price_close'] bar.volume = d['volume_traded'] return bar #---------------------------------------------------------------------- def downMinuteBarBySymbol(symbol, period, start, end): """下载某一合约的分钟线数据""" startTime = time.time() cl = db[symbol] cl.ensure_index([('datetime', ASCENDING)], unique=True) startDt = datetime.datetime.strptime(start, '%Y%m%d') endDt = datetime.datetime.strptime(end, '%Y%m%d') url = 'https://rest.coinapi.io/v1/ohlcv/%s/history' %symbol params = { 'period_id': period, 'time_start': startDt.strftime('%Y-%m-%dT%H:%M:%S.%f0Z'), 'time_end': endDt.strftime('%Y-%m-%dT%H:%M:%S.%f0Z'), 'limit': 10000 } resp = requests.get(url, headers=headers, params=params) if resp.status_code != 200: print(u'%s数据下载失败' %symbol) return l = resp.json() for d in l: bar = generateVtBar(symbol, 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' %(symbol, l[0]['time_period_start'], l[-1]['time_period_end'], cost)) #---------------------------------------------------------------------- def downloadAllMinuteBar(start, 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: downMinuteBarBySymbol(symbol, '1MIN', start, end) time.sleep(1) print('-' * 50) print(u'合约分钟线数据下载完成') print('-' * 50)