def run_downloading(self, vt_symbol: str, interval: str, start: datetime,
end: datetime):
"""
Query bar data from RQData.
"""
self.write_log(
f"{vt_symbol}-{interval} start downloading historical data ")
symbol, exchange = extract_vt_symbol(vt_symbol)
req = HistoryRequest(symbol=symbol,
exchange=exchange,
interval=Interval(interval),
start=start,
end=end)
contract = self.main_engine.get_contract(vt_symbol)
try:
# If history data provided in gateway, then query
if contract and contract.history_data:
data = self.main_engine.query_history(req,
contract.gateway_name)
# Otherwise use RQData to query data
else:
data = rqdata_client.query_history(req)
if data:
database_manager.save_bar_data(data)
self.write_log(
f"{vt_symbol}-{interval} historical data download is complete "
)
else:
self.write_log(
f" data download failed ， unable to get {vt_symbol} historical data "
)
except Exception:
msg = f" data download failed ， trigger abnormal ：\n{traceback.format_exc()}"
self.write_log(msg)
# Clear thread object handler.
self.thread = None
def run_downloading(self, vt_symbol: str, interval: str, start: datetime,
end: datetime):
"""
Query bar data from RQData.
"""
self.write_log(f"{vt_symbol}-{interval}开始下载历史数据")
try:
symbol, exchange = extract_vt_symbol(vt_symbol)
except ValueError:
self.write_log(f"{vt_symbol}解析失败，请检查交易所后缀")
self.thread = None
return
req = HistoryRequest(symbol=symbol,
exchange=exchange,
interval=Interval(interval),
start=start,
end=end)
contract = self.main_engine.get_contract(vt_symbol)
try:
# If history data provided in gateway, then query
if contract and contract.history_data:
data = self.main_engine.query_history(req,
contract.gateway_name)
# Otherwise use RQData to query data
else:
data = rqdata_client.query_history(req)
if data:
database_manager.save_bar_data(data)
self.write_log(f"{vt_symbol}-{interval}历史数据下载完成")
else:
self.write_log(f"数据下载失败，无法获取{vt_symbol}的历史数据")
except Exception:
msg = f"数据下载失败，触发异常：\n{traceback.format_exc()}"
self.write_log(msg)
# Clear thread object handler.
self.thread = None
def query_bar_from_rq(
symbol: str,
exchange: Exchange,
interval: Interval,
start: datetime,
end: datetime
):
"""
Query bar data from RQData.
"""
if not rqdata_client.inited:
rqdata_client.init()
req = HistoryRequest(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end
)
data = rqdata_client.query_history(req)
return data
def download_bar_data(
self,
symbol: str,
exchange: Exchange,
interval: str,
start: datetime
) -> int:
"""
Query bar data from RQData.
"""
req = HistoryRequest(
symbol=symbol,
exchange=exchange,
interval=Interval(interval),
start=start,
end=datetime.now()
)
vt_symbol = f"{symbol}.{exchange.value}"
contract = self.main_engine.get_contract(vt_symbol)
# If history data provided in gateway, then query
if contract and contract.history_data:
data = self.main_engine.query_history(
req, contract.gateway_name
)
# Otherwise use RQData to query data
else:
if not rqdata_client.inited:
rqdata_client.init()
data = rqdata_client.query_history(req)
if data:
database_manager.save_bar_data(data)
return(len(data))
return 0
def _query_history(self, vt_symbol: str, interval: Interval,
start: datetime, end: datetime) -> None:
""""""
contract: ContractData = self.main_engine.get_contract(vt_symbol)
req = HistoryRequest(symbol=contract.symbol,
exchange=contract.exchange,
interval=interval,
start=start,
end=end)
if contract.history_data:
data = self.main_engine.query_history(req, contract.gateway_name)
else:
data = rqdata_client.query_history(req)
if not data:
data = database_manager.load_bar_data(symbol=contract.symbol,
exchange=contract.exchange,
interval=interval,
start=start,
end=end)
event = Event(EVENT_CHART_HISTORY, data)
self.event_engine.put(event)
def load_data(req):
data = rqdata_client.query_history(req)
database_manager.save_bar_data(data)
print(f"{req.symbol}历史数据下载完成")
start_t = start_date
else:
start_t = datetime.datetime(year=year, month=1, day=1)
if i == count:
end_t = end_date
else:
end_t = datetime.datetime(year=year + 1, month=1,
day=1) - datetime.timedelta(seconds=1)
schedule = calendar.schedule(start_t, end_t)
pair.append((schedule.market_open[0], schedule.market_close[-1]))
return pair
data = rqdata_client.query_history(req)
ds = [from_bar(i) for i in data]
df = pd.DataFrame(ds)
df.set_index(['index'], inplace=True)
start = df.index[0]
end = df.index[-1]
pair = get_date_range(start, end)
# row_data = list(map(lambda x: {'index':x.datetime.astimezone(pytz.utc), 'open':x.open_price, 'high':x.high_price,'low':x.low_price,'close':x.close_price,'volume':x.volume},data))
# # index = list(map(lambda x: x.datetime.astimezone(pytz.utc),data))
# df = pd.DataFrame(row_data)
# df.set_index(['index'], inplace=True)
for p in pair:
year = p[0].year
trun_data = df.truncate(p[0], p[1])
def load_bar_data(
self,
symbol: str,
exchange: Exchange,
interval: Interval,
start: datetime,
end: datetime,
) -> Sequence[BarData]:
req = HistoryRequest(symbol,
start=start,
end=end,
interval=interval,
exchange=exchange)
data = rqdata_client.query_history(req)
_start = int(time.mktime(start.timetuple()))
_end = int(time.mktime(end.timetuple()))
rq_interval = INTERVAL_VT2RQ.get(interval)
if not rq_interval:
return []
# For adjust timestamp from bar close point (RQData) to open point (VN
# Trader)
adjustment = INTERVAL_ADJUSTMENT_MAP[interval]
# For querying night trading period data
if rq_interval == "1d":
if symbol[:2] == "15" or symbol[:2] == "51":
ls = [
x for x in self.db_client["quantaxis"]["index_day"].find(
{
"code": symbol,
"date_stamp": {
"$gte": _start,
"$lte": _end
}
},
sort=[('date_stamp', 1)])
]
df = pd.DataFrame(ls)
else:
ls = [
x for x in self.db_client["quantaxis"]["stock_day"].find(
{
"code": symbol,
"date_stamp": {
"$gte": _start,
"$lte": _end
}
},
sort=[('date_stamp', 1)])
]
df = pd.DataFrame(ls)
else:
if symbol[:2] == "15" or symbol[:2] == "51":
ls = [
x for x in self.db_client["quantaxis"]["index_min"].find(
{
"code": symbol,
"type": rq_interval,
"time_stamp": {
"$gte": _start,
"$lte": _end
}
},
sort=[('time_stamp', 1)])
]
df = pd.DataFrame(ls)
else:
ls = [
x for x in self.db_client["quantaxis"]["stock_min"].find(
{
"code": symbol,
"type": rq_interval,
"time_stamp": {
"$gte": _start,
"$lte": _end
}
},
sort=[('time_stamp', 1)])
]
df = pd.DataFrame(ls)
data: List[BarData] = []
if df is not None:
for ix, row in df.iterrows():
if rq_interval == "1d":
d = datetime.fromtimestamp(row["date_stamp"])
else:
d = datetime.fromtimestamp(row["time_stamp"])
bar = BarData(symbol=symbol,
exchange=exchange,
interval=interval,
datetime=d - adjustment,
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],
close_price=row["close"],
volume=row["vol"],
gateway_name="MongoDB")
data.append(bar)
return data
