# flake8: noqa """ 下载通达信股票合约1分钟bar => vnpy项目目录/bar_data/ 上海股票 => SSE子目录 深圳股票 => SZSE子目录 """ import os import sys import csv import json from collections import OrderedDict import pandas as pd 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" from vnpy.data.tdx.tdx_stock_data import * from vnpy.trader.utility import load_json from vnpy.trader.utility import get_csv_last_dt # 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 = '20160101' # 创建API对象 api_01 = TdxStockData() # 更新本地合约缓存信息 stock_list = load_json('stock_list.json') symbol_dict = api_01.symbol_dict # 逐一指数合约下载并更新 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 else: exchange_name = '上交所' exchange = Exchange.SSE symbol_info = symbol_dict.get(f'{stock_code}_{market_id}') 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}_1m.csv')) # 如果文件存在, if os.path.exists(bar_file_path): # 取最后一条时间 last_dt = get_csv_last_dt(bar_file_path) else: last_dt = None if last_dt: start_dt = last_dt - timedelta(days=1) print(f'文件{bar_file_path}存在,最后时间:{start_date}') else: start_dt = datetime.strptime(start_date, '%Y%m%d') print(f'文件{bar_file_path}不存在,或读取最后记录错误,开始时间:{start_date}') result, bars = api_01.get_bars(symbol=stock_code, period='1min', callback=None, start_dt=start_dt, return_bar=False) # [dict] => dataframe if not result or len(bars) == 0: continue if last_dt is None: data_df = pd.DataFrame(bars) data_df.set_index('datetime', inplace=True) data_df = data_df.sort_index() # print(data_df.head()) print(data_df.tail()) data_df.to_csv(bar_file_path, index=True) print(f'首次更新{stock_code} {stock_name}数据 => 文件{bar_file_path}') continue # 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 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') for bar in bars: if bar['datetime'] <= last_dt: continue bar_count += 1 writer.writerow(bar) print(f'更新{stock_code} {stock_name} 数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}') print('更新完毕') os._exit(0)