91 lines
2.7 KiB
Python
91 lines
2.7 KiB
Python
# encoding: UTF-8
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import json
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import time
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import datetime
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import random
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from pymongo import MongoClient, ASCENDING
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from vnpy.data.shcifco.vnshcifco import ShcifcoApi, PERIOD_1MIN
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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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# 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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SHCIFCO_IP = setting['SHCIFCO_IP']
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SHCIFCO_PORT = setting['SHCIFCO_PORT']
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SHCIFCO_TOKEN = setting['SHCIFCO_TOKEN']
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SYMBOLS = setting['SYMBOLS']
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api = ShcifcoApi(SHCIFCO_IP, SHCIFCO_PORT, SHCIFCO_TOKEN) # 历史行情服务API对象
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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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#----------------------------------------------------------------------
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def generateVtBar(d):
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"""生成K线"""
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bar = VtBarData()
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bar.symbol = d['symbol']
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bar.vtSymbol = d['symbol']
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bar.date = d['date']
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bar.time = ':'.join([d['time'][:2], d['time'][2:]])
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bar.open = d['open']
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bar.high = d['high']
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bar.low = d['low']
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bar.close = d['close']
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bar.volume = d['volume']
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bar.openInterest = d['openInterest']
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bar.datetime = datetime.datetime.strptime(' '.join([bar.date, bar.time]), '%Y%m%d %H:%M')
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return bar
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#----------------------------------------------------------------------
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def downMinuteBarBySymbol(symbol, num):
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"""下载某一合约的分钟线数据"""
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start = time.time()
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cl = db[symbol] # 集合
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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l = api.getHisBar(symbol, num, period=PERIOD_1MIN)
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if not l:
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print u'%s数据下载失败' %symbol
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return
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for d in l:
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bar = generateVtBar(d)
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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.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, generateVtBar(l[0]).datetime,
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generateVtBar(l[-1]).datetime, cost)
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#----------------------------------------------------------------------
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def downloadAllMinuteBar(num):
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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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for symbol in SYMBOLS:
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downMinuteBarBySymbol(symbol, num)
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time.sleep(1)
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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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