161 lines
4.8 KiB
Python
161 lines
4.8 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
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from time import time, sleep
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from pymongo import MongoClient, ASCENDING
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import pandas as pd
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from vnpy.trader.vtObject import VtBarData, VtTickData
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from vnpy.trader.app.ctaStrategy.ctaBase import (MINUTE_DB_NAME,
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DAILY_DB_NAME,
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TICK_DB_NAME)
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import rqdatac as rq
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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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mc = MongoClient() # Mongo连接
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dbMinute = mc[MINUTE_DB_NAME] # 数据库
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dbDaily = mc[DAILY_DB_NAME]
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dbTick = mc[TICK_DB_NAME]
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USERNAME = setting['rqUsername']
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PASSWORD = setting['rqPassword']
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rq.init(USERNAME, PASSWORD)
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FIELDS = ['open', 'high', 'low', 'close', 'volume']
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#----------------------------------------------------------------------
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def generateVtBar(row, symbol):
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"""生成K线"""
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bar = VtBarData()
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bar.symbol = symbol
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bar.vtSymbol = 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 = row.name
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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 generateVtTick(row, symbol):
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"""生成K线"""
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tick = VtTickData()
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tick.symbol = symbol
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tick.vtSymbol = symbol
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tick.lastPrice = row['last']
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tick.volume = row['volume']
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tick.openInterest = row['open_interest']
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tick.datetime = row.name
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tick.openPrice = row['open']
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tick.highPrice = row['high']
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tick.lowPrice = row['low']
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tick.preClosePrice = row['prev_close']
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tick.upperLimit = row['limit_up']
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tick.lowerLimit = row['limit_down']
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tick.bidPrice1 = row['b1']
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tick.bidPrice2 = row['b2']
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tick.bidPrice3 = row['b3']
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tick.bidPrice4 = row['b4']
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tick.bidPrice5 = row['b5']
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tick.bidVolume1 = row['b1_v']
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tick.bidVolume2 = row['b2_v']
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tick.bidVolume3 = row['b3_v']
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tick.bidVolume4 = row['b4_v']
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tick.bidVolume5 = row['b5_v']
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tick.askPrice1 = row['a1']
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tick.askPrice2 = row['a2']
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tick.askPrice3 = row['a3']
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tick.askPrice4 = row['a4']
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tick.askPrice5 = row['a5']
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tick.askVolume1 = row['a1_v']
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tick.askVolume2 = row['a2_v']
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tick.askVolume3 = row['a3_v']
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tick.askVolume4 = row['a4_v']
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tick.askVolume5 = row['a5_v']
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return tick
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#----------------------------------------------------------------------
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def downloadMinuteBarBySymbol(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 = dbMinute[symbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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df = rq.get_price(symbol, frequency='1m', fields=FIELDS)
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for ix, row in df.iterrows():
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bar = generateVtBar(row, symbol)
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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的分钟K线数据下载完成%s - %s，耗时%s毫秒' %(symbol, df.index[0], df.index[-1], cost))
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#----------------------------------------------------------------------
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def downloadDailyBarBySymbol(symbol):
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"""下载某一合约日线数据"""
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start = time()
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cl = dbDaily[symbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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df = rq.get_price(symbol, frequency='1d', fields=FIELDS, end_date=datetime.now().strftime('%Y%m%d'))
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for ix, row in df.iterrows():
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bar = generateVtBar(row, symbol)
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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的日K线数据下载完成%s - %s，耗时%s毫秒' %(symbol, df.index[0], df.index[-1], cost))
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#----------------------------------------------------------------------
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def downloadTickBySymbol(symbol, date):
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"""下载某一合约日线数据"""
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start = time()
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cl = dbTick[symbol]
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cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
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df = rq.get_price(symbol,
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frequency='tick',
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start_date=date,
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end_date=date)
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for ix, row in df.iterrows():
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tick = generateVtTick(row, symbol)
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d = tick.__dict__
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flt = {'datetime': tick.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%sTick数据下载完成%s - %s，耗时%s毫秒' %(symbol, df.index[0], df.index[-1], cost))
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