# flake8: noqa import os import sys import csv import pandas as pd # 将repostory的目录i,作为根目录,添加到系统环境中。 ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..')) if ROOT_PATH not in sys.path: sys.path.append(ROOT_PATH) print(f'append {ROOT_PATH} into sys.path') from datetime import datetime, timedelta from vnpy.data.binance.binance_future_data import BinanceFutureData, HistoryRequest, Exchange, Interval from vnpy.trader.utility import get_csv_last_dt, append_data # 获取币安合约交易的所有期货合约 future_data = BinanceFutureData() contracts = BinanceFutureData.load_contracts() if len(contracts) == 0: future_data.save_contracts() contracts = BinanceFutureData.load_contracts() # 开始下载日期 start_date = '20190101' def download_symbol(symbol, start_dt, bar_file_path): req = HistoryRequest( symbol=symbol, exchange=Exchange(contract_info.get('exchange')), interval=Interval.MINUTE, start=start_dt ) bars = future_data.get_bars(req=req, return_dict=True) future_data.export_to(bars, file_name=bar_file_path) # 逐一合约进行下载 for vt_symbol, contract_info in contracts.items(): symbol = contract_info.get('symbol') bar_file_path = os.path.abspath(os.path.join( ROOT_PATH, 'bar_data', 'binance', f'{symbol}_{start_date}_1m.csv')) # 不存在文件,直接下载,并保存 if not os.path.exists(bar_file_path): print(f'文件{bar_file_path}不存在,开始时间:{start_date}') start_dt = datetime.strptime(start_date, '%Y%m%d') download_symbol(symbol, start_dt, bar_file_path) continue # 如果存在文件,获取最后的bar时间 last_dt = get_csv_last_dt(bar_file_path) # 获取不到时间,重新下载 if last_dt is None: print(f'获取文件{bar_file_path}的最后时间失败,开始时间:{start_date}') start_dt = datetime.strptime(start_date, '%Y%m%d') download_symbol(symbol, start_dt, bar_file_path) continue # 获取到时间,变成那天的开始时间,下载数据 start_dt = last_dt.replace(hour=0, minute=0, second=0, microsecond=0) print(f'文件{bar_file_path}存在,最后时间:{last_dt}, 调整数据获取开始时间:{start_dt}') req = HistoryRequest( symbol=symbol, exchange=Exchange(contract_info.get('exchange')), interval=Interval.MINUTE, start=start_dt ) bars = future_data.get_bars(req=req, return_dict=True) if len(bars) <= 0: print(f'下载{symbol} 1分钟数据为空白') continue bar_count = 0 # 获取标题 headers = [] with open(bar_file_path, "r", encoding='utf8') as f: reader = csv.reader(f) for header in reader: headers = header break # 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') for bar in bars: if bar['datetime'] <= last_dt: continue bar_count += 1 writer.writerow(bar) print(f'更新{symbol}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')