149 lines
4.4 KiB
Python
149 lines
4.4 KiB
Python
# encoding: UTF-8
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from __future__ import print_function
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import json
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import time
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import datetime
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import requests
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from pymongo import MongoClient, ASCENDING
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME, DAILY_DB_NAME
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# 加载配置
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config = open('config.json')
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setting = json.load(config)
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MONGO_HOST = setting['MONGO_HOST']
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MONGO_PORT = setting['MONGO_PORT']
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SYMBOLS = setting['SYMBOLS']
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mc = MongoClient(MONGO_HOST, MONGO_PORT) # Mongo连接
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db = mc[MINUTE_DB_NAME] # 数据库
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dbDaily = mc[DAILY_DB_NAME]
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#----------------------------------------------------------------------
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def generateVtBar(vtSymbol, d):
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"""生成K线"""
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bar = VtBarData()
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bar.vtSymbol = vtSymbol
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bar.symbol, bar.exchange = bar.vtSymbol.split('.')
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bar.datetime = datetime.datetime.fromtimestamp(d['time'])
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bar.date = bar.datetime.strftime('%Y%m%d')
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bar.time = bar.datetime.strftime('%H:%M:%S')
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bar.open = d['open']
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bar.high = d['high']
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bar.low = d['low']
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bar.close = d['close']
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bar.volume = d['volumeto']
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return bar
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#----------------------------------------------------------------------
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def downloadMinuteBarBySymbol(vtSymbol, end):
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"""下载某一合约的分钟线数据"""
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end = datetime.datetime.strptime(end, '%Y%m%d')
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startTime = time.time()
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cl = db[vtSymbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True)
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symbol, exchange = vtSymbol.split('.')
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fsym, tsym = symbol.split('/')
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url = 'https://min-api.cryptocompare.com/data/histominute'
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params = {
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'fsym': fsym,
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'tsym': tsym,
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'e': exchange,
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'toTs': int(time.mktime(end.timetuple()))
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}
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resp = requests.get(url, headers={}, params=params)
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if resp.status_code != 200:
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print(u'%s数据下载失败' %vtSymbol)
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return
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j = resp.json()
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l = j['Data']
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for d in l:
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bar = generateVtBar(vtSymbol, d)
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d = bar.__dict__
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flt = {'datetime': bar.datetime}
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cl.replace_one(flt, d, True)
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endTime = time.time()
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cost = (endTime - startTime) * 1000
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print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(vtSymbol,
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datetime.datetime.fromtimestamp(l[0]['time']),
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datetime.datetime.fromtimestamp(l[-1]['time']),
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cost))
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#----------------------------------------------------------------------
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def downloadDailyBarBySymbol(vtSymbol):
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"""下载某一合约的分钟线数据"""
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startTime = time.time()
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cl = dbDaily[vtSymbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True)
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symbol, exchange = vtSymbol.split('.')
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fsym, tsym = symbol.split('/')
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url = 'https://min-api.cryptocompare.com/data/histoday'
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params = {
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'fsym': fsym,
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'tsym': tsym,
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'e': exchange,
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'limit': 2000
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}
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resp = requests.get(url, headers={}, params=params)
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if resp.status_code != 200:
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print(u'%s数据下载失败' %vtSymbol)
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return
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j = resp.json()
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l = j['Data']
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for d in l:
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bar = generateVtBar(vtSymbol, d)
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d = bar.__dict__
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flt = {'datetime': bar.datetime}
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cl.replace_one(flt, d, True)
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endTime = time.time()
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cost = (endTime - startTime) * 1000
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print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(vtSymbol,
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datetime.datetime.fromtimestamp(l[0]['time']),
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datetime.datetime.fromtimestamp(l[-1]['time']),
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cost))
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#----------------------------------------------------------------------
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def downloadAllMinuteBar(end):
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"""下载所有配置中的合约的分钟线数据"""
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print('-' * 50)
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print(u'开始下载合约分钟线数据')
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print('-' * 50)
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for symbol in SYMBOLS:
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downloadMinuteBarBySymbol(symbol, end)
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time.sleep(1)
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print('-' * 50)
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print(u'合约分钟线数据下载完成')
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print('-' * 50)
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