Ejemplo n.º 1
0
def loadTbPlusCsv(fileName, dbName, symbol):
    """将TB极速版导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    import csv    

    start = time()
    print('开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)) 

    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)      

    # 读取数据和插入到数据库
    reader = csv.reader(file(fileName, 'r'))
    for d in reader:
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d[2])
        bar.high = float(d[3])
        bar.low = float(d[4])
        bar.close = float(d[5])
        bar.date = str(d[0])
        
        tempstr=str(round(float(d[1])*10000)).split(".")[0].zfill(4)
        bar.time = tempstr[:2]+":"+tempstr[2:4]+":00"
        
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
        bar.volume = d[6]
        bar.openInterest = d[7]
        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)  
        print(bar.date, bar.time)    

    print('插入完毕,耗时:%s' % (time()-start))
Ejemplo n.º 2
0
def loadMcCsv(fileName, dbName, symbol):
    """将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
    import csv
    
    start = time()
    print('开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol))
    
    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)   



    # 读取数据和插入到数据库
    reader = csv.DictReader(open(fileName, 'r'))
    for d in reader:
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d['Open'])
        bar.high = float(d['High'])
        bar.low = float(d['Low'])
        bar.close = float(d['Close'])
        bar.date = datetime.strptime(d['Date'], '%Y-%m-%d').strftime('%Y%m%d')
        bar.time = d['Time']
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
        bar.volume = d['TotalVolume']

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)  
        print(bar.date, bar.time)
    
    print('插入完毕,耗时:%s' % (time()-start))
Ejemplo n.º 3
0
def loadOKEXCsv(fileName, dbName, symbol):
    """将OKEX导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    start = time()
    print('开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol))

    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

    # 读取数据和插入到数据库
    reader = csv.reader(open(fileName,"r"))
    for d in reader:
        if len(d[1]) > 10:
            bar = VtBarData()
            bar.vtSymbol = symbol
            bar.symbol = symbol

            bar.datetime = datetime.strptime(d[1], '%Y-%m-%d %H:%M:%S')
            bar.date = bar.datetime.date().strftime('%Y%m%d')
            bar.time = bar.datetime.time().strftime('%H:%M:%S')

            bar.open = float(d[2])
            bar.high = float(d[3])
            bar.low = float(d[4])
            bar.close = float(d[5])

            bar.volume = float(d[6])
            bar.tobtcvolume = float(d[7])
Ejemplo n.º 4
0
def loadDayTxt(fileName, dbName, symbol):
    """将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
    import csv
    import pandas as pd
    import pymongo

    from cyvn.trader.vtObject import VtBarData

    getcvs()

    start = time()
    print (u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol))

    # 锁定集合,并创建索引


    client = pymongo.MongoClient('149.28.56.155',
                                            27017,
                                            username = '******',
                                            password = '******',
                                            connectTimeoutMS=500)
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

    # 读取数据和插入到数据库

    reader = csv.DictReader(open(fileName, 'r',))
    rows = [row for row in reader]
    for d in rows[-200:-1]:
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.exchange = 'SHFE'
        bar.gatewayName = 'CTP'
        bar.open = float(d['open'])/10000
        bar.high = float(d['high'])/10000
        bar.low = float(d['low'])/10000
        bar.close = float(d['close'])/10000
        bar.date = datetime.strptime(d['date'], '%Y%m%d').strftime('%Y%m%d')
        bar.time = "15:00"
        bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
        bar.volume = d['volume']
        bar.openInterest = d['open_interest']

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
        print(bar.date)


    print (u'插入完毕,耗时:%s' % (time()-start))
Ejemplo n.º 5
0
def downloadEquityDailyBarts(self, symbol):
    """
    下载股票的日行情,symbol是股票代码
    """
    print('开始下载%s日行情' %symbol)
    
    # 查询数据库中已有数据的最后日期
    cl = self.dbClient[DAILY_DB_NAME][symbol]
    cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
    if cx.count():
        last = cx[0]
    else:
        last = ''
    # 开始下载数据
    import tushare as ts
    
    if last:
        start = last['date'][:4]+'-'+last['date'][4:6]+'-'+last['date'][6:]
        
    data = ts.get_k_data(symbol,start)
    
    if not data.empty:
        # 创建datetime索引
        self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                            unique=True)                
        
        for index, d in data.iterrows():
            bar = VtBarData()
            bar.vtSymbol = symbol
            bar.symbol = symbol
            try:
                bar.open = d.get('open')
                bar.high = d.get('high')
                bar.low = d.get('low')
                bar.close = d.get('close')
                bar.date = d.get('date').replace('-', '')
                bar.time = ''
                bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
                bar.volume = d.get('volume')
            except KeyError:
                print(d)
            
            flt = {'datetime': bar.datetime}
            self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)            
        
        print('%s下载完成' %symbol)
    else:
        print('找不到合约%s' %symbol)
Ejemplo n.º 6
0
def loadTdxLc1(fileName, dbName, symbol):
    """将通达信导出的lc1格式的历史分钟数据插入到Mongo数据库中"""


    start = time()

    print('开始读取通达信Lc1文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol))
    
    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)  

    #读取二进制文件
    ofile=open(fileName,'rb')
    buf=ofile.read()
    ofile.close()
    
    num=len(buf)
    no=num/32
    b=0
    e=32  
    dl = []
    for i in range(no):
        a=unpack('hhfffffii',buf[b:e])
        b=b+32
        e=e+32
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = a[2]
        bar.high = a[3]
        bar.low = a[4]
        bar.close = a[5]
        bar.date = str(int(a[0]/2048)+2004)+str(int(a[0]%2048/100)).zfill(2)+str(a[0]%2048%100).zfill(2)
        bar.time = str(int(a[1]/60)).zfill(2)+':'+str(a[1]%60).zfill(2)+':00'
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
        bar.volume = a[7]

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
    
    print('插入完毕,耗时:%s' % (time()-start))
Ejemplo n.º 7
0
def loadCsv(filename):
    """"""
    symbol = filename.split('.')[0]

    mc = MongoClient()
    db = mc[DAILY_DB_NAME]
    collection = db[symbol]

    with open(filename) as f:
        r = DictReader(f)
        for d in r:
            bar = VtBarData()
            bar.datetime = datetime.strptime(d['date'], '%Y/%m/%d')
            bar.vtSymbol = symbol
            bar.open = float(d['open'])
            bar.high = float(d['high'])
            bar.low = float(d['low'])
            bar.close = float(d['close'])
            bar.volume = int(d['volume'])

            collection.insert(bar.__dict__)
Ejemplo n.º 8
0
def loadRqCsv(fileName, dbName, symbol):
    """将RQ导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    start = time()
    print('开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol))

    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'],
                                            globalSetting['mongoPort'],
                                            username = globalSetting['mongoUser'],
                                            password = globalSetting['mongoPwd'],
                                            connectTimeoutMS=500)
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

    # 读取数据和插入到数据库
    reader = csv.DictReader(open(fileName, 'r', ))
    rows = [row for row in reader]
    for d in rows:
            bar = VtBarData()
            bar.vtSymbol = symbol
            bar.symbol = symbol

            bar.datetime = datetime.strptime(d['datetime'], '%Y-%m-%d %H:%M:%S')
            bar.date = bar.datetime.date().strftime('%Y%m%d')
            bar.time = bar.datetime.time().strftime('%H:%M:%S')
            bar.exchange = 'SHFE'
            bar.gatewayName = 'CTP'
            bar.open = float(d['open'])
            bar.high = float(d['high'])
            bar.low = float(d['low'])
            bar.close = float(d['close'])

            bar.volume = float(d['volume'])
            bar.openInterest  = float(d['open_interest'])

            flt = {'datetime': bar.datetime}
            collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
            print(('%s \t %s' % (bar.date, bar.time)))

    print('插入完毕,耗时:%s' % (time()-start))
Ejemplo n.º 9
0
def loadTdxCsv(fileName, dbName, symbol):
    """将通达信导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    import csv
    
    start = time()
    date_correct = ""
    print('开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol))
    
    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)   
    
    # 读取数据和插入到数据库
    reader = csv.reader(file(fileName, 'r'))
    for d in reader:
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d[1])
        bar.high = float(d[2])
        bar.low = float(d[3])
        bar.close = float(d[4])
        #通达信的夜盘时间按照新的一天计算,此处将其按照当天日期统计,方便后续查阅
        date_temp,time_temp = d[0].strip(' ').replace('\xef\xbb\xbf','').split('-',1)
        if time_temp == '15:00':
            date_correct = date_temp
        if time_temp[:2] == "21" or time_temp[:2] == "22" or time_temp[:2] == "23":
            date_temp = date_correct
            
        bar.date = datetime.strptime(date_temp, '%Y/%m/%d').strftime('%Y%m%d')
        bar.time = time_temp[:2]+':'+time_temp[3:5]+':00'
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
        bar.volume = d[5]

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)  
    
    print('插入完毕,耗时:%s' % (time()-start))
Ejemplo n.º 10
0
    def handleRecorderDay(self, event):
        """从数据库中读取Bar数据,startDate是datetime对象"""

        oi = {}
        for contact_ in self.barSymbolSet:

            time_now = datetime.now()
            if datetime.today().weekday() == 0:
                #周一接上周五的夜盘
                time_yes = time_now + timedelta(-3)
            else:
                time_yes = time_now  + timedelta(-1)
            startDate = datetime(time_yes.year, time_yes.month,time_yes.day,21) #前一天 9点

            d = {'datetime':{'$gte':startDate}}

            barData = self.mainEngine.dbQuery(MINUTE_15_DB_NAME, contact_, d, 'datetime')

            day_bar =None
            for bar in barData:
                # 尚未创建对象
                if not day_bar:
                    day_bar = VtBarData()

                    day_bar.vtSymbol = bar['vtSymbol']
                    day_bar.symbol = bar['symbol']
                    day_bar.exchange = bar['exchange']

                    day_bar.open = bar['open']
                    day_bar.high = bar['high']
                    day_bar.low = bar['low']
                # 累加老K线
                else:
                    day_bar.high = max(day_bar.high, bar['high'])
                    day_bar.low = min(day_bar.low, bar['low'])

                # 通用部分
                day_bar.close = bar['close']
                day_bar.datetime = bar['datetime']
                day_bar.openInterest = bar['openInterest']

                day_bar.volume += int(bar['volume'])

            if day_bar:
                day_bar.datetime = datetime(time_now.year, time_now.month,time_now.day)
                day_bar.date = day_bar.datetime.strftime('%Y%m%d')
                day_bar.time = day_bar.datetime.strftime('%H:%M:%S')


                self.mainEngine.dbInsert(DAILY_DB_NAME, contact_, day_bar.__dict__)

                if contact_ in self.activeSymbolDict:
                    activeSymbol = self.activeSymbolDict[contact_]
                    self.mainEngine.dbInsert(DAILY_DB_NAME, activeSymbol, day_bar.__dict__)

                # 写入持仓量数据
                oi[day_bar.symbol] = day_bar.openInterest

                    # 保存持仓量数据
        filename = 'openInterest.json'
        json_data = {'oi': oi}
        d1 = json.dumps(json_data, sort_keys=True, indent=4)
        f = open(os.path.join(os.getcwd(), filename), 'w')
        f.write(d1)
        f.close()
Ejemplo n.º 11
0
def convertBar(collectionName, tickDb, barDb):
    """处理数据"""
    # 处理夜盘收盘的分钟线问题
    nonum_name = filter(str.isalpha, str(collectionName))
    today = datetime.now()
    yesterday = today - timedelta(1)  # 昨天
    startTime = None
    """夜盘处理(凌晨时间处理)"""
    if today.time() > NIGHT_END and today.time() < time(11, 0):
        if nonum_name in NIGHT_MARKET_DICT['SHF1']:
            # 23:00结束合约
            start = yesterday
            startTime = start.replace(hour=22,
                                      minute=59,
                                      second=0,
                                      microsecond=0)
        elif nonum_name in NIGHT_MARKET_DICT['SHF2']:
            # 01:00结束合约
            start = today  # 今天
            startTime = start.replace(hour=0,
                                      minute=59,
                                      second=0,
                                      microsecond=0)
        elif nonum_name in NIGHT_MARKET_DICT['SHF3']:
            # 02:30结束合约
            start = today  # 今天
            startTime = start.replace(hour=2,
                                      minute=29,
                                      second=0,
                                      microsecond=0)
        elif (nonum_name in NIGHT_MARKET_DICT['DCE']
              or nonum_name in NIGHT_MARKET_DICT['CZC']):
            # 23:30结束合约
            start = yesterday  # 昨天
            startTime = start.replace(hour=23,
                                      minute=29,
                                      second=0,
                                      microsecond=0)
        else:
            # 其他合约夜盘不做处理
            startTime = None
    """白天收盘处理"""
    if today.time() > AFTERNOON_END and today.time() < NIGHT_START:
        if nonum_name in MARKET_BOND:
            start = today  # 今天
            startTime = start.replace(hour=15,
                                      minute=14,
                                      second=0,
                                      microsecond=0)
        else:
            start = today  # 今天
            startTime = start.replace(hour=14,
                                      minute=59,
                                      second=0,
                                      microsecond=0)

    if startTime:
        mc = MongoClient('localhost', 27017)  # 创建MongoClient
        cl = mc[tickDb][collectionName]  # 获取tick数据集合
        d = {'datetime': {'$gte': startTime}}  # 只过滤从start开始的数据
        cx = cl.find(d).sort('datetime')  # 获取数据指针
        lastTime = startTime - timedelta(minutes=1)
        lastTick = None
        # 获取上一个tick
        d = {'datetime': {'$gte': lastTime, '$lt': startTime}}
        lastData = cl.find(d).sort('datetime')  # 获取数据指针
        for i in lastData:
            lastTick = i
        # 遍历数据
        bar = None
        for tick in cx:
            # 转换tick数据为bar数据
            if not bar:
                bar = VtBarData()
                #dt = data['datetime'].time()
                bar.vtSymbol = tick['vtSymbol']
                bar.symbol = tick['symbol']
                bar.exchange = tick['exchange']

                bar.open = tick['lastPrice']
                bar.high = tick['lastPrice']
                bar.low = tick['lastPrice']
            else:
                bar.high = max(bar.high, tick['lastPrice'])
                bar.low = min(bar.low, tick['lastPrice'])
            # 通用更新部分
            bar.close = tick['lastPrice']
            bar.datetime = tick['datetime']
            bar.openInterest = tick['openInterest']

            if lastTick:
                bar.volume += (tick['volume'] - lastTick['volume']
                               )  # 当前K线内的成交量

            # 缓存Tick
            lastTick = tick
        # 转换bar时间戳,考虑可能节假日启动程序,但是没有收盘tick
        if bar:
            bar.datetime = startTime  # 使用目标的时间日期
            bar.date = bar.datetime.strftime('%Y%m%d')
            bar.time = bar.datetime.strftime('%H:%M:%S.%f')
            # 更新到bar数据库
            flt = {'datetime': bar.datetime}
            clBar = mc[barDb][collectionName]
            clBar.update_one(flt, {'$set': bar.__dict__}, upsert=True)
            # 重置bar
            bar = None
            print(u'分钟线处理完成,数据库:%s, 集合:%s' % (barDb, collectionName))