103 lines
4.1 KiB
Python
103 lines
4.1 KiB
Python
# flake8: noqa
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"""
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下载天勤期货历史tick数据 => vnpy项目目录/bar_data/tq/
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"""
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import os
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import sys
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import json
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import csv
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from collections import OrderedDict
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import pandas as pd
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from contextlib import closing
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from datetime import datetime, timedelta
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import argparse
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from tqsdk import TqApi, TqSim
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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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from vnpy.data.tdx.tdx_future_data import get_future_contracts, Exchange
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from vnpy.trader.utility import get_csv_last_dt, get_underlying_symbol, extract_vt_symbol
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from vnpy.data.tq.downloader import DataDownloader
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if __name__ == "__main__":
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if len(sys.argv) <= 1:
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print('请使用 --help 查看说明')
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# 参数分析
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parser = argparse.ArgumentParser()
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parser.add_argument('-s', '--symbol', type=str, default='', help='下载合约，格式： rb2010 或者 SHFE.rb2010')
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parser.add_argument('-b', '--begin', type=str, default='20160101', help='开始日期，格式：20160101')
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parser.add_argument('-e', '--end', type=str, default=datetime.now().strftime('%Y%m%d'),
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help='结束日期,格式:{}'.format(datetime.now().strftime('%Y%m%d')))
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args = parser.parse_args()
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if len(args.symbol) == 0:
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print('下载合约未设定 参数 -s rb2010')
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os._exit(0)
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# 开始下载(使用快期的免费行情websocket)
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api = TqApi(account=TqSim(), url="wss://u.shinnytech.com/t/md/front/mobile")
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download_tasks = {}
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begin_date = datetime.strptime(args.begin, '%Y%m%d')
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end_date = datetime.strptime(args.end, '%Y%m%d')
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if end_date > datetime.now():
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end_date = datetime.now()
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n_days = (end_date - begin_date).days
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future_contracts = get_future_contracts()
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if '.' not in args.symbol:
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underly_symbol = get_underlying_symbol(args.symbol).upper()
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contract_info = future_contracts.get(underly_symbol)
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symbol = args.symbol
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exchange = Exchange(contract_info.get('exchange'))
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else:
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symbol, exchange = extract_vt_symbol(args.symbol)
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if n_days <= 0:
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n_days = 1
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for n in range(n_days + 1):
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download_date = begin_date + timedelta(days=n)
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if download_date.isoweekday() in [6, 7]:
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continue
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save_folder = os.path.abspath(os.path.join(
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vnpy_root, 'tick_data', 'tq', 'future',
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download_date.strftime('%Y%m')))
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if not os.path.exists(save_folder):
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os.makedirs(save_folder)
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save_file = os.path.abspath(os.path.join(save_folder,
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"{}_{}.csv".format(symbol, download_date.strftime('%Y%m%d'))))
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zip_file = os.path.abspath(os.path.join(save_folder,
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"{}_{}.pkb2".format(symbol, download_date.strftime('%Y%m%d'))))
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if os.path.exists(save_file):
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# 文件size是否大于1024字节
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if os.path.getsize(save_file) > 1024:
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# 获取最后的tick时间
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dt = get_csv_last_dt(file_name=save_file, dt_format='%Y-%m-%d %H:%M:%S.%f')
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# 判断是否为交易日最后
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if dt and dt.hour == 14 and dt.minute == 59:
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continue
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if os.path.exists(zip_file):
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if os.path.getsize(save_file) > 1024:
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continue
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# 下载从 2018-05-01凌晨0点 到 2018-06-01凌晨0点 的 T1809 盘口Tick数据
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download_tasks["{}_{}_tick".format(symbol, download_date.strftime('%Y%m%d'))] = DataDownloader(
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api,
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symbol_list=f"{exchange.value}.{symbol}",
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dur_sec=0,
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start_dt=download_date.date(),
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end_dt=download_date.replace(hour=16), csv_file_name=save_file)
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# 使用with closing机制确保下载完成后释放对应的资源
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with closing(api):
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while not all([v.is_finished() for v in download_tasks.values()]):
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api.wait_update()
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print("progress: ", {k: ("%.2f%%" % v.get_progress()) for k, v in download_tasks.items()})
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