class TushareBarFeedThread(TuSharePollingThread):
# Events
ON_BARS = 1
def __init__(self, queue, identifiers, frequency):
super(TushareBarFeedThread, self).__init__(identifiers)
self.__queue = queue
self.__frequency = frequency
self.__updateNextBarClose()
def __updateNextBarClose(self):
self.__nextBarClose = resamplebase.build_range(
utcnow(), self.__frequency).getEnding()
def getNextCallDateTime(self):
return self.__nextBarClose
def doCall(self):
endDateTime = self.__nextBarClose
self.__updateNextBarClose()
bar_dict = {}
for identifier in self._identifiers:
try:
if not self._tickDSDict[identifier].empty():
bar_dict[identifier] = build_bar(
to_market_datetime(endDateTime),
self._tickDSDict[identifier])
except Exception, e:
logger.error(e)
if len(bar_dict):
bars = bar.Bars(bar_dict)
self.__queue.put((TushareBarFeedThread.ON_BARS, bars))
class GetBarThread(PollingThread):
# Events
ON_BARS = 1
def __init__(self, queue, identifiers, frequency):
super(GetBarThread, self).__init__()
self.__queue = queue
self.__identifiers = identifiers
self.__frequency = frequency
self.__nextBarStart = None
self.__nextBarClose = None
self._ticksDf = {}
self.__lock = Lock()
for identifier in self.__identifiers:
self._ticksDf[identifier] = DataFrame(
columns=['time', 'price', 'volume', 'amount'])
self._ctpMdApi = CTPMdApi(self.__identifiers, self._ticksDf,
self.__lock, logger)
#self._ctpMdApi.login("tcp://222.66.97.241:41213", '9017811', '123456', '7070')
self._ctpMdApi.login("tcp://180.168.212.228:41213", "simnow申请",
"simnow申请", "9999")
#self._ctpMdApi.login("tcp://211.144.195.163:34505", "", "", "")
self.__updateNextBarClose()
def __updateNextBarClose(self):
self.__nextBarStart = resamplebase.build_range(
utcnow(), self.__frequency).getBeginning()
self.__nextBarClose = resamplebase.build_range(
utcnow(), self.__frequency).getEnding()
def getNextCallDateTime(self):
return self.__nextBarClose
def doCall(self):
startDateTime = to_market_datetime(self.__nextBarStart)
endDateTime = to_market_datetime(self.__nextBarClose)
self.__updateNextBarClose()
barDict = dict()
for identifier in self.__identifiers:
try:
period_bar = self._build_bar(identifier, startDateTime,
endDateTime)
if period_bar:
barDict[identifier] = period_bar
except Exception, e:
logger.error(e)
if len(barDict):
bars = bar.Bars(barDict)
self.__queue.put((GetBarThread.ON_BARS, bars))
def __fill_bars(self, bars_dict):
for index, value in enumerate(bars_dict[self.__identifiers[0]]):
bar_dict = dict()
for identifier in self.__identifiers:
if bars_dict[identifier][index] is not None:
bar_dict[identifier] = bars_dict[identifier][index]
if len(bar_dict):
bars = bar.Bars(bar_dict)
self.__queue.put((TushareBarFeedThread.ON_BARS, bars))
def __fill_bars(self, bars_dict):
for index, value in enumerate(bars_dict[self.__identifiers[0]]):
bar_dict = dict()
#print index, value, "111"
for identifier in self.__identifiers:
if bars_dict[identifier][index] is not None:
#print "a", identifier
bar_dict[identifier] = bars_dict[identifier][index]
kline_time = bar_dict[identifier].getDateTime()
if self.__last_kline_time[identifier] is None or \
self.__last_kline_time[identifier] < kline_time:
self.__last_kline_time[identifier] = kline_time
if len(bar_dict):
bars = bar.Bars(bar_dict)
self.__queue.put((FutuLiveFeed.ON_BARS, bars))
def on_recv_rsp(self, rsp_str):
#ret_code, content = super().on_recv_rsp(rsp_str)
ret_code, content = super(CurKlineTest, self).on_recv_rsp(rsp_str)
print(ret_code)
if ret_code != futu_open.RET_OK:
print("CurKlineTest: error, msg: %s" % content)
return futu_open.RET_ERROR, content
print("CurKline : ", content)
for index, row in content.iterrows():
open_ = row.open
high = row.high
low = row.low
close = row.close
volume = row.volume
amount = row.turnover
slice_start_time = datetime.datetime.strptime(
row.time_key, '%Y-%m-%d %H:%M:%S')
slice_start_time = to_market_datetime(slice_start_time)
identifier = row.code
k_type = row.k_type
if k_type != 'K_1M':
continue
if identifier not in self.__identifiers:
continue
if self.__last_kline_time[
identifier] is None or self.__last_kline_time[
identifier] < slice_start_time:
self.__last_kline_time[identifier] = slice_start_time
else:
#print "slice_start_time %s last_kline_time %s", (slice_start_time, slice_start_time)
continue
frequency = bar.Frequency.MINUTE
one_bar = bar.BasicBar(slice_start_time, open_, high, low, close,
volume, 0, frequency, amount)
bar_dict = {}
bar_dict[identifier] = one_bar
bars = bar.Bars(bar_dict)
self.__queue.put((FutuLiveFeed.ON_BARS, bars))