138 lines
4.5 KiB
Python
138 lines
4.5 KiB
Python
# flake8: noqa
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"""
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下载证券宝5分钟bar => vnpy项目目录/bar_data/
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"""
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import os
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import sys
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import csv
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import json
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from collections import OrderedDict
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import pandas as pd
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from datetime import datetime, timedelta
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
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if vnpy_root not in sys.path:
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sys.path.append(vnpy_root)
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os.environ["VNPY_TESTING"] = "1"
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import baostock as bs
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from vnpy.trader.constant import Exchange
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from vnpy.data.tdx.tdx_common import get_tdx_market_code
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from vnpy.trader.utility import load_json, get_csv_last_dt
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from vnpy.data.stock.stock_base import get_stock_base
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# 保存的1分钟指数 bar目录
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bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data'))
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# 开始日期（每年大概需要几分钟）
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start_date = '20060101'
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# 证券宝连接
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login_msg = bs.login()
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if login_msg.error_code != '0':
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print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
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# 更新本地合约缓存信息
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stock_list = load_json('stock_list.json')
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symbol_dict = get_stock_base()
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day_fields = "date,code,open,high,low,close,preclose,volume,amount,adjustflag,turn,tradestatus,pctChg,isST"
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min_fields = "date,time,code,open,high,low,close,volume,amount,adjustflag"
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# 逐一股票下载并更新
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for stock_code in stock_list:
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market_id = get_tdx_market_code(stock_code)
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if market_id == 0:
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exchange_name = '深交所'
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exchange = Exchange.SZSE
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exchange_code = 'sz'
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else:
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exchange_name = '上交所'
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exchange = Exchange.SSE
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exchange_code = 'sh'
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symbol_info = symbol_dict.get(f'{stock_code}.{exchange.value}')
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stock_name = symbol_info.get('name')
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print(f'开始更新:{exchange_name}/{stock_name}, 代码:{stock_code}')
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bar_file_folder = os.path.abspath(os.path.join(bar_data_folder, f'{exchange.value}'))
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if not os.path.exists(bar_file_folder):
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os.makedirs(bar_file_folder)
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# csv数据文件名
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bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{stock_code}_{start_date}_5m.csv'))
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# 如果文件存在，
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if os.path.exists(bar_file_path):
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# df_old = pd.read_csv(bar_file_path, index_col=0)
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# df_old = df_old.rename(lambda x: pd.to_datetime(x, format="%Y-%m-%d %H:%M:%S"))
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# 取最后一条时间
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# last_dt = df_old.index[-1]
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last_dt = get_csv_last_dt(bar_file_path)
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start_dt = last_dt - timedelta(days=1)
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print(f'文件{bar_file_path}存在，最后时间:{start_date}')
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else:
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last_dt = None
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start_dt = datetime.strptime(start_date, '%Y%m%d')
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print(f'文件{bar_file_path}不存在，开始时间:{start_date}')
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rs = bs.query_history_k_data_plus(
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code=f'{exchange_code}.{stock_code}',
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fields=min_fields,
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start_date=start_dt.strftime('%Y-%m-%d'), end_date=datetime.now().strftime('%Y-%m-%d'),
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frequency="5",
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adjustflag="3"
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)
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if rs.error_code != '0':
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print(f'证券宝获取沪深A股历史K线数据错误代码:{rs.error_code}, 错误信息:{rs.error_msg}')
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continue
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# [dict] => dataframe
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bars = []
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while (rs.error_code == '0') and rs.next():
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row = rs.get_row_data()
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dt = datetime.strptime(row[1], '%Y%m%d%H%M%S%f')
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if last_dt and last_dt > dt:
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continue
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bar = {
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'datetime': dt,
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'open': float(row[3]),
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'close': float(row[6]),
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'high': float(row[4]),
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'low': float(row[5]),
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'volume': float(row[7]),
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'amount': float(row[8]),
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'symbol': stock_code,
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'trading_date': row[0],
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'date': row[0],
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'time': dt.strftime('%H:%M:%S')
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}
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bars.append(bar)
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# 获取标题
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if len(bars) == 0:
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continue
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headers = list(bars[0].keys())
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if headers[0] != 'datetime':
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headers.remove('datetime')
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headers.insert(0, 'datetime')
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bar_count = 0
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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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if last_dt is None:
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writer.writeheader()
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for bar in bars:
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bar_count += 1
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writer.writerow(bar)
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print(f'更新{stock_code}数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
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print('更新完毕')
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bs.logout()
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os._exit(0)
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