259 lines
9.0 KiB
Python
259 lines
9.0 KiB
Python
# encoding: UTF-8
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from __future__ import print_function
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'''一个简单的SINA数据客户端，主要使用requests开发'''
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import requests
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from time import sleep
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import execjs
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from datetime import datetime,timedelta
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from ctaBase import CtaBarData,CtaTickData
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class UtilSinaClient(object):
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# ----------------------------------------------------------------------
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def __init__(self, strategy):
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self.strategy = strategy
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requests.adapters.DEFAULT_RETRIES = 5
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self.session = requests.session()
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self.session.keep_alive = False
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def getTicks(self, symbol, callback):
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# 从sina加载最新的M1数据
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try:
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url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures5MLine?symbol={0}'.format(
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symbol)
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self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, url))
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responses = execjs.eval(self.session.get(url).content.decode('gbk').split('\n')[-1])
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datevalue = datetime.now().strftime('%Y-%m-%d')
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for j, day_item in enumerate(responses[str(symbol).upper()]):
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for i, item in enumerate(day_item):
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tick = CtaTickData()
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tick.vtSymbol = symbol
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tick.symbol = symbol
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if len(item) >= 6:
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datevalue = item[6]
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tick.date = datevalue
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tick.time = item[4] + u':00'
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tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
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tick.lastPrice = float(item[0])
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tick.volume = int(item[2])
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if type(item[3]) == type(None):
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tick.openInterest = 0
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else:
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tick.openInterest = int(item[3])
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callback(tick)
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return True
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except Exception as e:
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self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e))
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return False
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def getTicks2(self, symbol, callback):
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# 从sina加载最新的M1数据
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try:
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url = url = u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20t1nf_T1706=/InnerFuturesNewService.getMinLine?symbol={0}'.format(symbol)
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self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, url))
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response_data= self.session.get(url).content
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response_data = response_data.decode('gbk').split('=')[-1]
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response_data = response_data.replace('(', '')
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response_data = response_data.replace(');', '')
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responses= execjs.eval(response_data)
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datevalue = datetime.now().strftime('%Y-%m-%d')
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for i, item in enumerate(responses):
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tick = CtaTickData()
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tick.vtSymbol = symbol
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tick.symbol = symbol
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if len(item) >= 6:
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datevalue = item[6]
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tick.date = datevalue
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tick.time = item[0] + u':00'
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tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
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tick.lastPrice = float(item[1])
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tick.volume = int(item[3])
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if type(item[4]) == type(None):
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tick.openInterest = 0
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else:
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tick.openInterest = int(item[4])
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callback(tick)
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return True
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except Exception as e:
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self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e))
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return False
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def getMinBars(self, symbol, minute, callback):
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"""# 从sina加载最新的M5,M15,M30,M60数据"""
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if minute not in {5, 15, 30, 60}:
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return False
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sinaBars = []
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try:
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url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures{0}MinKLine?symbol={1}'.format(minute,symbol)
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self.strategy.writeCtaLog(u'从sina下载{0}的{1}分钟数据 {2}'.format(symbol,minute, url))
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responses = execjs.eval(self.session.get(url).content.decode('gbk').split('\n')[-1])
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dayVolume = 0
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for item in responses:
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bar = CtaBarData()
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bar.vtSymbol = symbol
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bar.symbol = symbol
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# bar的close time
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sinaDt = datetime.strptime(item[0], '%Y-%m-%d %H:%M:00')
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if minute in {5, 15} and sinaDt.hour == 10 and sinaDt.minute == 30:
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# 这个是sina的bug，它把10:15 ~10:30也包含进来了
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continue
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if minute == 60 and sinaDt.hour in {11,23,1,2} and sinaDt.minute == 30:
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bar.datetime = sinaDt - timedelta(seconds=(minute /2)* 60)
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else:
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bar.datetime = sinaDt - timedelta(seconds=minute * 60)
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bar.date = bar.datetime.strftime('%Y%m%d')
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bar.tradingDay = bar.date # todo: 需要修改，晚上21点后，修改为next workingday
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bar.time = bar.datetime.strftime('%H:%M:00')
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bar.open = float(item[1])
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bar.high = float(item[2])
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bar.low = float(item[3])
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bar.close = float(item[4])
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bar.volume = int(item[5])
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# 计算dayvolume
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if not sinaBars:
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dayVolume = bar.volume
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else:
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if sinaBars[-1].datetime.hour == 14 and bar.datetime.hour !=14:
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dayVolume = bar.volume
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else:
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dayVolume += bar.volume
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bar.dayVolume = dayVolume
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sinaBars.append(bar)
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if len(sinaBars)>0:
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self.strategy.writeCtaLog(u'从sina读取了{0}条{1}分钟数据'.format(len(sinaBars),minute))
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# 把sina的bar灌入回调函数
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for bar in sinaBars:
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callback(bar)
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# 处理完毕，清空
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sinaBars = []
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return True
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else:
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self.strategy.writeCtaLog(u'从sina读取{0}分钟数据失败'.format(minute))
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return False
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except Exception as e:
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self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败：'+str(e))
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return False
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def getDayBars(self, symbol, callback):
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"""# 从sina加载最新的Day数据"""
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sinaBars = []
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try:
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url = u'http://stock.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFuturesDailyKLine?symbol={0}'.format(symbol)
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self.strategy.writeCtaLog(u'从sina下载{0}的日K数据 {1}'.format(symbol, url))
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responses = execjs.eval(self.session.get(url).content.decode('gbk'))
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dayVolume = 0
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for item in responses:
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bar = CtaBarData()
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bar.vtSymbol = symbol
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bar.symbol = symbol
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# bar的close time
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bar.datetime = datetime.strptime(item['date'], '%Y-%m-%d')
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bar.date = bar.datetime.strftime('%Y%m%d')
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bar.tradingDay = bar.date # todo: 需要修改，晚上21点后，修改为next workingday
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bar.time = bar.datetime.strftime('%H:%M:00')
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bar.open = float(item['open'])
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bar.high = float(item['high'])
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bar.low = float(item['low'])
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bar.close = float(item['close'])
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bar.volume = int(item['volume'])
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bar.dayVolume = bar.volume
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sinaBars.append(bar)
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if len(sinaBars)>0:
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self.strategy.writeCtaLog(u'从sina读取了{0}条日线K数据'.format(len(sinaBars)))
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# 把sina的bar灌入回调函数
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for bar in sinaBars:
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callback(bar)
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# 处理完毕，清空
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sinaBars = []
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return True
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else:
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self.strategy.writeCtaLog(u'从sina读取日线K数据失败')
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return False
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except Exception as e:
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self.strategy.writeCtaLog(u'加载Sina历史日线数据失败：'+str(e))
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return False
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class TestStrategy(object):
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def __init__(self):
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pass
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def addBar(self, bar):
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print(u'{0},o:{1},h:{2},l:{3},c:{4},v:{5}'.format(bar.datetime, bar.open, bar.high, bar.low, bar.close, bar.volume))
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def addTick(self, tick):
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print(u'{0},{1},ap:{2},av:{3},bp:{4},bv:{5}'.format(tick.datetime, tick.lastPrice, tick.askPrice1, tick.askVolume1, tick.bidPrice1, tick.bidVolume1))
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def writeCtaLog(self, content):
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print(content)
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if __name__ == '__main__':
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t = TestStrategy()
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sina = UtilSinaClient(t)
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#rt=sina.getDayBars(symbol='RB1705', callback=t.addBar)
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#rt = sina.getMinBars(symbol='RB1705',minute = 5, callback=t.addBar)
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#rt = sina.getTicks(symbol='RB1705', callback=t.addTick)
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rt = sina.getTicks2(symbol='TF1706', callback=t.addTick) |