104 lines
3.0 KiB
Python
104 lines
3.0 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
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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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APIKEY = setting['APIKEY']
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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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headers = {'X-CoinAPI-Key': APIKEY}
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#----------------------------------------------------------------------
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def generateVtBar(symbol, d):
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"""生成K线"""
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l = symbol.split('_')
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bar = VtBarData()
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bar.symbol = l[-2] + l[-1]
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bar.exchange = l[0]
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bar.vtSymbol = '/'.join([bar.symbol, bar.exchange])
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bar.datetime = datetime.datetime.strptime(d['time_open'], '%Y-%m-%dT%H:%M:%S.%f0Z')
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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['price_open']
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bar.high = d['price_high']
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bar.low = d['price_low']
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bar.close = d['price_close']
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bar.volume = d['volume_traded']
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return bar
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#----------------------------------------------------------------------
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def downMinuteBarBySymbol(symbol, period, start, end):
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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 = db[symbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True)
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startDt = datetime.datetime.strptime(start, '%Y%m%d')
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endDt = datetime.datetime.strptime(end, '%Y%m%d')
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url = 'https://rest.coinapi.io/v1/ohlcv/%s/history' %symbol
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params = {
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'period_id': period,
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'time_start': startDt.strftime('%Y-%m-%dT%H:%M:%S.%f0Z'),
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'time_end': endDt.strftime('%Y-%m-%dT%H:%M:%S.%f0Z'),
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'limit': 10000
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}
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resp = requests.get(url, headers=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' %symbol)
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return
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l = resp.json()
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for d in l:
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bar = generateVtBar(symbol, 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' %(symbol, l[0]['time_period_start'],
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l[-1]['time_period_end'], cost))
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#----------------------------------------------------------------------
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def downloadAllMinuteBar(start, 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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downMinuteBarBySymbol(symbol, '1MIN', start, 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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