# encoding: UTF-8 from datetime import datetime, timedelta import pymongo from time import time from multiprocessing.pool import ThreadPool from vtConstant import EXCHANGE_CFFEX, EXCHANGE_DCE, EXCHANGE_CZCE, EXCHANGE_SHFE from datayesClient import DatayesClient from ctaObject import CtaBarData # 以下为vn.trader和通联数据规定的交易所代码映射 VT_TO_DATAYES_EXCHANGE = {} VT_TO_DATAYES_EXCHANGE[EXCHANGE_CFFEX] = 'CCFX' # 中金所 VT_TO_DATAYES_EXCHANGE[EXCHANGE_SHFE] = 'XSGE' # 上期所 VT_TO_DATAYES_EXCHANGE[EXCHANGE_CZCE] = 'XZCE' # 郑商所 VT_TO_DATAYES_EXCHANGE[EXCHANGE_DCE] = 'XDCE' # 大商所 DATAYES_TO_VT_EXCHANGE = {v:k for k,v in VT_TO_DATAYES_EXCHANGE.items()} # 数据库名称 DAILY_DB_NAME = 'VtTrader_Daily_Db' MINUTE_DB_NAME = 'VtTrader_1Min_Db' SETTING_DB_NAME = 'VtTrader_Setting_Db' ######################################################################## class HistoryDataEngine(object): """CTA模块用的历史数据引擎""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.dbClient = pymongo.MongoClient() self.datayesClient = DatayesClient() #---------------------------------------------------------------------- def lastTradeDate(self): """获取最近交易日（只考虑工作日，无法检查国内假期）""" today = datetime.now() oneday = timedelta(1) if today.weekday() == 5: today = today - oneday elif today.weekday() == 6: today = today - oneday*2 return today.strftime('%Y%m%d') #---------------------------------------------------------------------- def readFuturesProductSymbol(self): """查询所有期货产品代码""" cx = self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].find() return set([d['productSymbol'] for d in cx]) # 这里返回的是集合（因为会重复） #---------------------------------------------------------------------- def readFuturesSymbol(self): """查询所有期货合约代码""" cx = self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].find() return [d['symbol'] for d in cx] # 这里返回的是列表 #---------------------------------------------------------------------- def downloadFuturesSymbol(self, tradeDate=''): """下载所有期货的代码""" if not tradeDate: tradeDate = self.lastTradeDate() self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].ensure_index([('symbol', pymongo.ASCENDING)], unique=True) path = 'api/market/getMktMFutd.json' params = {} params['tradeDate'] = tradeDate data = self.datayesClient.downloadData(path, params) if data: for d in data: symbolDict = {} symbolDict['symbol'] = d['ticker'] symbolDict['productSymbol'] = d['contractObject'] flt = {'symbol': d['ticker']} self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].update_one(flt, {'$set':symbolDict}, upsert=True) print u'期货合约代码下载完成' else: print u'期货合约代码下载失败' #---------------------------------------------------------------------- def downloadFuturesDailyBar(self, symbol): """ 下载期货合约的日行情，symbol是合约代码， 若最后四位为0000（如IF0000），代表下载连续合约。 """ print u'开始下载%s日行情' %symbol # 查询数据库中已有数据的最后日期 cl = self.dbClient[DAILY_DB_NAME][symbol] cx = cl.find(sort=[('datetime', pymongo.DESCENDING)]) if cx.count(): last = cx[0] else: last = '' # 主力合约 if '0000' in symbol: path = 'api/market/getMktMFutd.json' params = {} params['contractObject'] = symbol.replace('0000', '') params['mainCon'] = 1 if last: params['startDate'] = last['date'] # 交易合约 else: path = 'api/market/getMktFutd.json' params = {} params['ticker'] = symbol if last: params['startDate'] = last['date'] # 开始下载数据 data = self.datayesClient.downloadData(path, params) if data: # 创建datetime索引 self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], unique=True) for d in data: bar = CtaBarData() bar.vtSymbol = symbol bar.symbol = symbol try: bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '') bar.open = d.get('openPrice', 0) bar.high = d.get('highestPrice', 0) bar.low = d.get('lowestPrice', 0) bar.close = d.get('closePrice', 0) bar.date = d.get('tradeDate', '').replace('-', '') bar.time = '' bar.datetime = datetime.strptime(bar.date, '%Y%m%d') bar.volume = d.get('turnoverVol', 0) bar.openInterest = d.get('openInt', 0) except KeyError: print d flt = {'datetime': bar.datetime} self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True) print u'%s下载完成' %symbol else: print u'找不到合约%s' %symbol #---------------------------------------------------------------------- def downloadAllFuturesDailyBar(self): """下载所有期货的主力合约日行情""" start = time() print u'开始下载所有期货的主力合约日行情' productSymbolSet = self.readFuturesProductSymbol() print u'代码列表读取成功，产品代码：%s' %productSymbolSet # 这里也测试了线程池，但可能由于下载函数中涉及较多的数据格 # 式转换，CPU开销较大，多线程效率并无显著改变。 #p = ThreadPool(10) #p.map(self.downloadFuturesDailyBar, productSymbolSet) #p.close() #p.join() for productSymbol in productSymbolSet: self.downloadFuturesDailyBar(productSymbol+'0000') print u'所有期货的主力合约日行情已经全部下载完成, 耗时%s秒' %(time()-start) #---------------------------------------------------------------------- def downloadFuturesIntradayBar(self, symbol): """下载期货的日内分钟行情""" print u'开始下载%s日内分钟行情' %symbol # 日内分钟行情只有具体合约 path = 'api/market/getFutureBarRTIntraDay.json' params = {} params['instrumentID'] = symbol params['unit'] = 1 data = self.datayesClient.downloadData(path, params) if data: today = datetime.now().strftime('%Y%m%d') # 创建datetime索引 self.dbClient[MINUTE_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], unique=True) for d in data: bar = CtaBarData() bar.vtSymbol = symbol bar.symbol = symbol try: bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '') bar.open = d.get('openPrice', 0) bar.high = d.get('highestPrice', 0) bar.low = d.get('lowestPrice', 0) bar.close = d.get('closePrice', 0) bar.date = today bar.time = d.get('barTime', '') bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M') bar.volume = d.get('totalVolume', 0) bar.openInterest = 0 except KeyError: print d flt = {'datetime': bar.datetime} self.dbClient[MINUTE_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True) print u'%s下载完成' %symbol else: print u'找不到合约%s' %symbol #---------------------------------------------------------------------- def downloadEquitySymbol(self, tradeDate=''): """下载所有股票的代码""" if not tradeDate: tradeDate = self.lastTradeDate() self.dbClient[SETTING_DB_NAME]['EquitySymbol'].ensure_index([('symbol', pymongo.ASCENDING)], unique=True) path = 'api/market/getMktEqud.json' params = {} params['tradeDate'] = tradeDate data = self.datayesClient.downloadData(path, params) if data: for d in data: symbolDict = {} symbolDict['symbol'] = d['ticker'] flt = {'symbol': d['ticker']} self.dbClient[SETTING_DB_NAME]['EquitySymbol'].update_one(flt, {'$set':symbolDict}, upsert=True) print u'股票代码下载完成' else: print u'股票代码下载失败' #---------------------------------------------------------------------- def downloadEquityDailyBar(self, symbol): """ 下载股票的日行情，symbol是股票代码 """ print u'开始下载%s日行情' %symbol # 查询数据库中已有数据的最后日期 cl = self.dbClient[DAILY_DB_NAME][symbol] cx = cl.find(sort=[('datetime', pymongo.DESCENDING)]) if cx.count(): last = cx[0] else: last = '' # 开始下载数据 path = 'api/market/getMktEqud.json' params = {} params['ticker'] = symbol if last: params['startDate'] = last['date'] data = self.datayesClient.downloadData(path, params) if data: # 创建datetime索引 self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], unique=True) for d in data: bar = CtaBarData() bar.vtSymbol = symbol bar.symbol = symbol try: bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '') bar.open = d.get('openPrice', 0) bar.high = d.get('highestPrice', 0) bar.low = d.get('lowestPrice', 0) bar.close = d.get('closePrice', 0) bar.date = d.get('tradeDate', '').replace('-', '') bar.time = '' bar.datetime = datetime.strptime(bar.date, '%Y%m%d') bar.volume = d.get('turnoverVol', 0) except KeyError: print d flt = {'datetime': bar.datetime} self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True) print u'%s下载完成' %symbol else: print u'找不到合约%s' %symbol #---------------------------------------------------------------------- def loadMcCsv(fileName, dbName, symbol): """将Multicharts导出的csv格式的历史数据插入到Mongo数据库中""" import csv start = time() print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) # 锁定集合，并创建索引 client = pymongo.MongoClient() collection = client[dbName][symbol] collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True) # 读取数据和插入到数据库 reader = csv.DictReader(file(fileName, 'r')) for d in reader: bar = CtaBarData() bar.vtSymbol = symbol bar.symbol = symbol bar.open = float(d['Open']) bar.high = float(d['High']) bar.low = float(d['Low']) bar.close = float(d['Close']) bar.date = datetime.strptime(d['Date'], '%Y/%m/%d').strftime('%Y%m%d') bar.time = d['Time'] bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S') bar.volume = d['TotalVolume'] flt = {'datetime': bar.datetime} collection.update_one(flt, {'$set':bar.__dict__}, upsert=True) print bar.date, bar.time print u'插入完毕，耗时：%s' % (time()-start) if __name__ == '__main__': ## 简单的测试脚本可以写在这里 #from time import sleep #e = HistoryDataEngine() #sleep(1) #e.downloadEquityDailyBar('000001') # 这里将项目中包含的股指日内分钟线csv导入MongoDB，作者电脑耗时大约3分钟 loadMcCsv('IF0000_1min.csv', MINUTE_DB_NAME, 'IF0000')