59 lines
1.3 KiB
Python
59 lines
1.3 KiB
Python
from time import time
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import rqdatac as rq
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from vnpy.trader.database import DbBarData
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USERNAME = ""
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PASSWORD = ""
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FIELDS = ["open", "high", "low", "close", "volume"]
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rq.init(USERNAME, PASSWORD, ("rqdatad-pro.ricequant.com", 16011))
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def generate_bar_from_row(row, symbol, exchange):
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""""""
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bar = DbBarData()
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bar.symbol = symbol
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bar.exchange = exchange
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bar.interval = "1m"
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bar.open_price = row["open"]
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bar.high_price = row["high"]
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bar.low_price = row["low"]
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bar.close_price = row["close"]
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bar.volume = row["volume"]
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bar.datetime = row.name.to_pydatetime()
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bar.gateway_name = "DB"
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bar.vt_symbol = f"{symbol}.{exchange}"
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return bar
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def download_minute_bar(vt_symbol):
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"""下载某一合约的分钟线数据"""
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print(f"开始下载合约数据{vt_symbol}")
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symbol, exchange = vt_symbol.split(".")
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start = time()
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df = rq.get_price(symbol, frequency="1m", fields=FIELDS)
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bars = []
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for ix, row in df.iterrows():
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bar = generate_bar_from_row(row, symbol, exchange)
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bars.append(bar)
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DbBarData.save_all(bars)
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end = time()
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cost = (end - start) * 1000
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print(
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"合约%s的分钟K线数据下载完成%s - %s，耗时%s毫秒"
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% (symbol, df.index[0], df.index[-1], cost)
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)
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if __name__ == "__main__":
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download_minute_bar("IF88.CFFEX")
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