106 lines
3.0 KiB
Python
106 lines
3.0 KiB
Python
# encoding: UTF-8
|
|
|
|
from __future__ import print_function
|
|
|
|
import json
|
|
import time
|
|
import datetime
|
|
|
|
import requests
|
|
from pymongo import MongoClient, ASCENDING
|
|
|
|
from vnpy.trader.vtObject import VtBarData
|
|
from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME
|
|
|
|
|
|
# 加载配置
|
|
config = open('config.json')
|
|
setting = json.load(config)
|
|
|
|
MONGO_HOST = setting['MONGO_HOST']
|
|
MONGO_PORT = setting['MONGO_PORT']
|
|
SYMBOLS = setting['SYMBOLS']
|
|
|
|
mc = MongoClient(MONGO_HOST, MONGO_PORT) # Mongo连接
|
|
db = mc[MINUTE_DB_NAME] # 数据库
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
def generateVtBar(vtSymbol, d):
|
|
"""生成K线"""
|
|
bar = VtBarData()
|
|
bar.vtSymbol = vtSymbol
|
|
bar.symbol, bar.exchange = bar.vtSymbol.split('.')
|
|
|
|
bar.datetime = datetime.datetime.fromtimestamp(d['time'])
|
|
bar.date = bar.datetime.strftime('%Y%m%d')
|
|
bar.time = bar.datetime.strftime('%H:%M:%S')
|
|
|
|
bar.open = d['open']
|
|
bar.high = d['high']
|
|
bar.low = d['low']
|
|
bar.close = d['close']
|
|
bar.volume = d['volumeto']
|
|
|
|
return bar
|
|
|
|
#----------------------------------------------------------------------
|
|
def downloadMinuteBarBySymbol(vtSymbol, end):
|
|
"""下载某一合约的分钟线数据"""
|
|
end = datetime.datetime.strptime(end, '%Y%m%d')
|
|
startTime = time.time()
|
|
|
|
cl = db[vtSymbol]
|
|
cl.ensure_index([('datetime', ASCENDING)], unique=True)
|
|
|
|
symbol, exchange = vtSymbol.split('.')
|
|
fsym, tsym = symbol.split('/')
|
|
|
|
url = 'https://min-api.cryptocompare.com/data/histominute'
|
|
params = {
|
|
'fsym': fsym,
|
|
'tsym': tsym,
|
|
'e': exchange,
|
|
'toTs': int(time.mktime(end.timetuple()))
|
|
}
|
|
resp = requests.get(url, headers={}, params=params)
|
|
|
|
if resp.status_code != 200:
|
|
print(u'%s数据下载失败' %vtSymbol)
|
|
return
|
|
|
|
j = resp.json()
|
|
l = j['Data']
|
|
|
|
for d in l:
|
|
bar = generateVtBar(vtSymbol, d)
|
|
d = bar.__dict__
|
|
flt = {'datetime': bar.datetime}
|
|
cl.replace_one(flt, d, True)
|
|
|
|
endTime = time.time()
|
|
cost = (endTime - startTime) * 1000
|
|
|
|
|
|
print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(vtSymbol,
|
|
datetime.datetime.fromtimestamp(l[0]['time']),
|
|
datetime.datetime.fromtimestamp(l[-1]['time']),
|
|
cost))
|
|
|
|
#----------------------------------------------------------------------
|
|
def downloadAllMinuteBar(end):
|
|
"""下载所有配置中的合约的分钟线数据"""
|
|
print('-' * 50)
|
|
print(u'开始下载合约分钟线数据')
|
|
print('-' * 50)
|
|
|
|
for symbol in SYMBOLS:
|
|
downloadMinuteBarBySymbol(symbol, end)
|
|
time.sleep(1)
|
|
|
|
print('-' * 50)
|
|
print(u'合约分钟线数据下载完成')
|
|
print('-' * 50)
|
|
|
|
|
|
|