130 lines
4.5 KiB
Python
130 lines
4.5 KiB
Python
# flake8: noqa
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import os
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import sys
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import csv
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import pandas as pd
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# 将repostory的目录i，作为根目录，添加到系统环境中。
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ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
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if ROOT_PATH not in sys.path:
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sys.path.append(ROOT_PATH)
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print(f'append {ROOT_PATH} into sys.path')
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from datetime import datetime, timedelta
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from vnpy.data.binance.binance_future_data import BinanceFutureData, HistoryRequest, Exchange, Interval
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from vnpy.trader.utility import get_csv_last_dt, append_data
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# 获取币安合约交易的所有期货合约
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future_data = BinanceFutureData()
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contracts = BinanceFutureData.load_contracts()
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if len(contracts) == 0:
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future_data.save_contracts()
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contracts = BinanceFutureData.load_contracts()
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# 开始下载日期
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start_date = '20190101'
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if __name__ == "__main__":
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if len(sys.argv) >= 2:
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interval = str(sys.argv[1]).lower()
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if interval.isdecimal():
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interval_num = int(sys.argv[1])
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interval_type = Interval.MINUTE
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else:
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if 'm' in interval:
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interval_type = Interval.MINUTE
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interval_num = int(interval.replace('m', ''))
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elif 'h' in interval:
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interval_type = Interval.HOUR
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interval_num = int(interval.replace('h', ''))
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elif 'd' in interval:
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interval_type = Interval.DAILY
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interval_num = int(interval.replace('d', ''))
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else:
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interval = '1m'
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interval_num = 1
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interval_type = Interval.MINUTE
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def download_symbol(symbol, start_dt, bar_file_path, interval_type, interval_num):
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req = HistoryRequest(
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symbol=symbol,
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exchange=Exchange(contract_info.get('exchange')),
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interval=interval_type,
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interval_num=interval_num,
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start=start_dt
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)
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bars = future_data.get_bars(req=req, return_dict=True)
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future_data.export_to(bars, file_name=bar_file_path)
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# 逐一合约进行下载
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for vt_symbol, contract_info in contracts.items():
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symbol = contract_info.get('symbol')
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bar_file_path = os.path.abspath(os.path.join(
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ROOT_PATH,
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'bar_data',
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'binance',
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f'{symbol}_{start_date}_{interval}.csv'))
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# 不存在文件，直接下载，并保存
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if not os.path.exists(bar_file_path):
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print(f'文件{bar_file_path}不存在，开始时间:{start_date}')
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start_dt = datetime.strptime(start_date, '%Y%m%d')
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download_symbol(symbol, start_dt, bar_file_path, interval_type, interval_num)
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continue
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# 如果存在文件，获取最后的bar时间
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last_dt = get_csv_last_dt(bar_file_path)
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# 获取不到时间，重新下载
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if last_dt is None:
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print(f'获取文件{bar_file_path}的最后时间失败，开始时间:{start_date}')
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start_dt = datetime.strptime(start_date, '%Y%m%d')
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download_symbol(symbol, start_dt, bar_file_path, interval_type, interval_num)
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continue
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# 获取到时间，变成那天的开始时间，下载数据
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start_dt = last_dt.replace(hour=0, minute=0, second=0, microsecond=0)
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print(f'文件{bar_file_path}存在，最后时间:{last_dt}, 调整数据获取开始时间:{start_dt}')
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req = HistoryRequest(
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symbol=symbol,
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exchange=Exchange(contract_info.get('exchange')),
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interval=interval_type,
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interval_num=interval_num,
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start=start_dt
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)
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bars = future_data.get_bars(req=req, return_dict=True)
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if len(bars) <= 0:
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print(f'下载{symbol} {interval_num} {interval_type.value} 数据为空白')
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continue
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bar_count = 0
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# 获取标题
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headers = []
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with open(bar_file_path, "r", encoding='utf8') as f:
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reader = csv.reader(f)
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for header in reader:
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headers = header
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break
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# 写入所有大于最后bar时间的数据
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with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
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writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
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extrasaction='ignore')
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for bar in bars:
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if bar['datetime'] <= last_dt:
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continue
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bar_count += 1
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writer.writerow(bar)
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print(f'更新{symbol}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
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