106 lines
3.0 KiB
Python
106 lines
3.0 KiB
Python
# encoding: UTF-8
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import sys
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import json
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from datetime import datetime
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from time import sleep
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from pymongo import MongoClient, ASCENDING
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from vnpy.data.tq.vntq import TqApi
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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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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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api = TqApi() # 历史行情服务API对象
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api.connect() # 连接
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taskList = [] # 下载任务列表
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#----------------------------------------------------------------------
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def generateVtBar(symbol, d):
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"""生成K线"""
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bar = VtBarData()
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bar.symbol = symbol
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bar.vtSymbol = symbol
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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['volume']
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bar.openInterest = d['open_oi']
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bar.datetime = datetime.fromtimestamp(d['datetime']/1000000000)
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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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return bar
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#----------------------------------------------------------------------
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def onChart(symbol, seconds):
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"""K线更新处理函数"""
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# 避免重复记录已经完成的任务
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if symbol not in taskList:
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return
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serial = api.get_kline_serial(symbol, seconds)
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cl = db[symbol] # 集合
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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l = serial.values()
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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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start = datetime.fromtimestamp(l[0]['datetime']/1000000000)
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end = datetime.fromtimestamp(l[-1]['datetime']/1000000000)
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print u'合约%s下载完成%s - %s' %(symbol, start, end)
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# 移除已经完成的任务
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if symbol in taskList:
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taskList.remove(symbol)
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#----------------------------------------------------------------------
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def downMinuteBarBySymbol(symbol, num):
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"""下载某一合约的分钟线数据"""
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api.subscribe_chart(symbol, 60, num, onChart)
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#----------------------------------------------------------------------
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def downloadAllMinuteBar(num, symbols):
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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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# 添加下载任务
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taskList.extend(symbols)
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for symbol in symbols:
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downMinuteBarBySymbol(str(symbol), num)
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while True:
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sleep(2)
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# 如果任务列表为空，则说明数据已经全部下载完成
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if not taskList:
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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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return
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