def importBars(self, instrument, fromDateTime, toDateTime, extra=[]):
"""从万得获取股票数据存入数据库，extra为字符串列表，包含了除指定字段之外的额外字段"""
w.start()
for i in range(0, len(instrument)):
data = w.wsd(instrument[i],
"open,close,low,high,volume,adjfactor,trade_status",
fromDateTime, toDateTime, "")
data2 = w.wsd(instrument[i], extra, fromDateTime, toDateTime, "")
starttime = datetime.now()
for k in range(0, len(data.Times)):
if not True:
bar_ = bar.BasicBar(dateTime=data.Times[k],
open_=data.Data[0][k],
high=data.Data[3][k],
low=data.Data[2][k],
close=data.Data[1][k],
volume=data.Data[4][k],
adjClose=data.Data[5][k] *
data.Data[1][k],
frequency=bar.Frequency.DAY)
else:
extrabar = {}
if data.Data[6][k] == u'交易':
extrabar['trade_status'] = 1
else:
extrabar['trade_status'] = 0
for x in range(0, len(extra)):
extrabar[extra[x]] = data2.Data[x][k]
try:
bar_ = bar.BasicBar(dateTime=data.Times[k],
open_=data.Data[0][k],
high=data.Data[3][k],
low=data.Data[2][k],
close=data.Data[1][k],
volume=data.Data[4][k],
adjClose=data.Data[5][k] *
data.Data[1][k],
frequency=bar.Frequency.DAY,
extra=extrabar)
except Exception:
continue
self.addBar(instrument[i], bar_, bar_.getFrequency())
endtime = datetime.now()
print('Using pgfeed.importBars() to insert bar of ' +
instrument[i])
# print endtime - starttime
w.stop()
def getBars(self,
instrument,
frequency,
timezone=None,
fromDateTime=None,
toDateTime=None):
instrument = normalize_instrument(instrument)
sql = "select bar.timestamp, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.adj_close, bar.frequency" \
" from bar join instrument on (bar.instrument_id = instrument.instrument_id)" \
" where instrument.name = ? and bar.frequency = ?"
args = [instrument, frequency]
if fromDateTime is not None:
sql += " and bar.timestamp >= ?"
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += " and bar.timestamp <= ?"
args.append(dt.datetime_to_timestamp(toDateTime))
sql += " order by bar.timestamp asc"
cursor = self.__connection.cursor()
cursor.execute(sql, args)
ret = []
for row in cursor:
dateTime = dt.timestamp_to_datetime(row[0])
if timezone:
dateTime = dt.localize(dateTime, timezone)
ret.append(
bar.BasicBar(dateTime, row[1], row[2], row[3], row[4], row[5],
row[6], row[7]))
cursor.close()
return ret
def parseBar(self, csvRowDict):
dateTime = self.__parseDateTime(csvRowDict["Date Time"])
close = float(csvRowDict["Close"])
open_ = float(csvRowDict["Open"])
high = float(csvRowDict["High"])
low = float(csvRowDict["Low"])
volume = float(csvRowDict["Volume"])
return bar.BasicBar(dateTime, open_, high, low, close, volume, None, self.__frequency)
def getGrouped(self):
"""Return the grouped value."""
ret = bar.BasicBar(
self.getDateTime(),
self.__open, self.__high, self.__low, self.__close, self.__volume, self.__adjClose,
self.__frequency
)
ret.setUseAdjustedValue(self.__useAdjValue)
return ret
def importBars(self, instrument, fromDateTime, toDateTime, extra=[]):
"""从万得获取股票数据存入数据库，extra为字符串列表，包含了除指定字段之外的额外字段"""
w.start()
for i in range(0, len(instrument)):
data = w.wsd(instrument[i], "open,close,low,high,volume,adjfactor",
fromDateTime, toDateTime, "")
data2 = w.wsd(instrument[i], extra, fromDateTime, toDateTime, "")
# data = w.wsd(codes[i], "open,close,high,low", dt_start, dt_end, "Fill=Previous")
for k in range(0, len(data.Times)):
if not True:
bar_ = bar.BasicBar(dateTime=data.Times[k],
open_=data.Data[0][k],
high=data.Data[3][k],
low=data.Data[2][k],
close=data.Data[1][k],
volume=data.Data[4][k],
adjClose=data.Data[5][k] *
data.Data[1][k],
frequency=bar.Frequency.DAY)
else:
extrabar = {}
for x in range(0, len(extra)):
extrabar[extra[x]] = data2.Data[x][k]
bar_ = bar.BasicBar(dateTime=data.Times[k],
open_=data.Data[0][k],
high=data.Data[3][k],
low=data.Data[2][k],
close=data.Data[1][k],
volume=data.Data[4][k],
adjClose=data.Data[5][k] *
data.Data[1][k],
frequency=bar.Frequency.DAY,
extra=extrabar)
self.addBar(instrument[i], bar_, bar_.getFrequency())
print
'INSERT BAR OF ' + instrument[i]
w.stop()
def parseBar(self, csvRowDict):
dateTime = self.__parseDate(csvRowDict["Date"])
close = float(csvRowDict["Close"])
open_ = float(csvRowDict["Open"])
high = float(csvRowDict["High"])
low = float(csvRowDict["Low"])
volume = float(csvRowDict["Volume"])
adjClose = None
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(
open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume,
adjClose, self.__frequency)
def getBars(self,
instrument,
frequency,
timezone=None,
fromDateTime=None,
toDateTime=None,
extra=None):
instrument = normalize_instrument(instrument)
sql = "select bar.timestamp, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.adj_close, bar.frequency{extra}" \
" from bar join instrument on (bar.instrument_id = instrument.instrument_id)" \
" where instrument.name = %s and bar.frequency = %s"
extraFieldsString = ''
if extra is None:
extra = []
for i in range(0, len(extra)):
extraFieldsString = extraFieldsString + ", " + "bar." + extra[i]
args = [instrument, frequency]
if fromDateTime is not None:
sql += " and bar.timestamp >= %s"
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += " and bar.timestamp <= %s"
args.append(dt.datetime_to_timestamp(toDateTime))
sql += " order by bar.timestamp asc"
cursor = self.__connection.cursor()
cursor.execute(sql.format(extra=extraFieldsString), args)
self.__connection.commit()
ret = []
for row in cursor:
dateTime = dt.timestamp_to_datetime(row[0])
if timezone:
dateTime = dt.localize(dateTime, timezone)
extraRow = {}
for i in range(0, len(extra)):
extraRow[extra[i]] = row[8 + i]
ret.append(
bar.BasicBar(dateTime,
row[1],
row[2],
row[3],
row[4],
row[5],
row[6],
row[7],
extra=extraRow))
cursor.close()
return ret
def getNextBars(self):
preCurrentDT = self.__currentDatetime
# while self.__currentDatetime is None or preCurrentDT is None or preCurrentDT >= self.__currentDatetime:
data = w.wsq(self.__instruments, "rt_last,rt_last_vol")
time.sleep(1)
# preCurrentDT = self.__currentDatetime
self.__currentDatetime = data.Times[0]
barList = [
bar.BasicBar(dateTime=self.__currentDatetime,
open_=data.Data[0][i],
close=data.Data[0][i],
high=data.Data[0][i],
low=data.Data[0][i],
adjClose=data.Data[0][i],
volume=data.Data[1][i],
frequency=self.__frequence)
for i in range(len(self.__instruments))
]
bars = {key: value for key, value in zip(self.__instruments, barList)}
self.__currentBars = bars
return bar.Bars(bars)
def importBarsFromCSV(self, filename, instrument):
data = pd.read_csv(filename, encoding='gbk')
for k in range(0, len(data)):
extrabar = {}
if data.iloc[k]['TRADE_STATUS'] == u'交易':
extrabar['trade_status'] = 1
else:
extrabar['trade_status'] = 0
# try:datetime.strptime(data.iloc[k]['DATE'], "%Y-%m-%d %H:%M:%S")
bar_ = bar.BasicBar(
dateTime=datetime.strptime(data.iloc[k]['DATE'][0:19],
"%Y-%m-%d %H:%M:%S"),
open_=data.iloc[k]['OPEN'],
high=data.iloc[k]['HIGH'],
low=data.iloc[k]['LOW'],
close=data.iloc[k]['CLOSE'],
volume=data.iloc[k]['VOLUME'],
adjClose=data.iloc[k]['ADJFACTOR'] * data.iloc[k]['CLOSE'],
frequency=bar.Frequency.DAY,
extra=extrabar)
# except Exception:
# continue
self.addBar(instrument, bar_, bar_.getFrequency())
