66 lines
1.5 KiB
Python
66 lines
1.5 KiB
Python
from time import time
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import rqdatac as rq
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from vnpy.trader.object import BarData
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from vnpy.trader.constant import Exchange, Interval
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from vnpy.trader.database import database_manager
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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 = BarData(
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symbol=symbol,
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exchange=Exchange(exchange),
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interval=Interval.MINUTE,
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open_price=row["open"],
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high_price=row["high"],
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low_price=row["low"],
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close_price=row["close"],
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volume=row["volume"],
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datetime=row.name.to_pydatetime(),
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gateway_name="DB"
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)
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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(
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symbol,
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frequency="1m",
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fields=FIELDS,
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start_date='20100416',
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end_date='20190416'
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)
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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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database_manager.save_bar_data(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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