95 lines
2.7 KiB
Python
95 lines
2.7 KiB
Python
# encoding: UTF-8
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from __future__ import print_function
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import sys
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import json
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from datetime import datetime, timedelta
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from time import time, sleep
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from pymongo import MongoClient, ASCENDING
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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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import futuquant as ft
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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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SYMBOLS = setting['SYMBOLS']
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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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quote = ft.OpenQuoteContext() # 富途行情接口
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today = datetime.now().date()
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startDate = (today - timedelta(10)).strftime('%Y-%m-%d') # 数据下载起始日期
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#----------------------------------------------------------------------
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def generateVtBar(row):
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"""生成K线"""
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bar = VtBarData()
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bar.symbol = row['code']
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bar.exchange = ''
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bar.vtSymbol = bar.symbol
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bar.open = row['open']
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bar.high = row['high']
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bar.low = row['low']
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bar.close = row['close']
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bar.volume = row['volume']
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bar.datetime = datetime.strptime(row['time_key'], '%Y-%m-%d %H:%M:%S')
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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 downMinuteBarBySymbol(symbol):
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"""下载某一合约的分钟线数据"""
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start = time()
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cl = db[symbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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code, data = quote.get_history_kline(symbol, start=startDate, ktype='K_1M')
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if code:
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print(u'合约%s数据下载失败：%s' %(symbol, data))
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return
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data = data.sort_index()
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for ix, row in data.iterrows():
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bar = generateVtBar(row)
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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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end = time()
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cost = (end - start) * 1000
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print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(symbol, data.iloc[0]['time_key'],
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data.iloc[-1]['time_key'], cost))
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#----------------------------------------------------------------------
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def downloadAllMinuteBar():
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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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for symbol in SYMBOLS:
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downMinuteBarBySymbol(str(symbol))
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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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