def query_history(self, req: HistoryRequest):
""""""
# Convert symbol
contract_type = symbol_type_map.get(req.symbol, "")
buf = [i for i in req.symbol if not i.isdigit()]
symbol = "".join(buf)
ws_contract_type = CONTRACT_TYPE_MAP[contract_type]
ws_symbol = f"{symbol}_{ws_contract_type}"
# Create query params
params = {
"symbol": ws_symbol,
"period": INTERVAL_VT2HBDM[req.interval],
"size": 2000
}
# Get response from server
resp = self.request("GET", "/market/history/kline", params=params)
# Break if request failed with other status code
history = []
if resp.status_code // 100 != 2:
msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
self.gateway.write_log(msg)
else:
data = resp.json()
if not data:
msg = f"获取历史数据为空"
self.gateway.write_log(msg)
else:
for d in data["data"]:
dt = datetime.fromtimestamp(d["id"])
bar = BarData(symbol=req.symbol,
exchange=req.exchange,
datetime=dt,
interval=req.interval,
volume=d["vol"],
open_price=d["open"],
high_price=d["high"],
low_price=d["low"],
close_price=d["close"],
gateway_name=self.gateway_name)
history.append(bar)
begin = history[0].datetime
end = history[-1].datetime
msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}"
self.gateway.write_log(msg)
return history
def load_by_handle(
self,
f: TextIO,
symbol: str,
exchange: Exchange,
interval: Interval,
datetime_head: str,
open_head: str,
high_head: str,
low_head: str,
close_head: str,
volume_head: str,
datetime_format: str,
):
"""
load by text mode file handle
"""
reader = csv.DictReader(f)
bars = []
start = None
count = 0
for item in reader:
if datetime_format:
dt = datetime.strptime(item[datetime_head], datetime_format)
else:
dt = datetime.fromisoformat(item[datetime_head])
bar = BarData(
symbol=symbol,
exchange=exchange,
datetime=dt,
interval=interval,
volume=item[volume_head],
open_price=item[open_head],
high_price=item[high_head],
low_price=item[low_head],
close_price=item[close_head],
gateway_name="DB",
)
bars.append(bar)
# do some statistics
count += 1
if not start:
start = bar.datetime
end = bar.datetime
# insert into database
database_manager.save_bar_data(bars)
return start, end, count
def generate_bar_from_row(row, symbol, exchange):
""""""
bar = BarData(symbol=symbol,
exchange=Exchange(exchange),
interval=Interval.MINUTE,
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],
close_price=row["close"],
volume=row["volume"],
datetime=row.name.to_pydatetime(),
gateway_name="DB")
return bar
def to_bar(self):
"""
Generate BarData object from DbBarData.
"""
bar = BarData(
symbol=self.symbol,
exchange=Exchange(self.exchange),
datetime=self.datetime,
interval=Interval(self.interval),
volume=self.volume,
open_price=self.open_price,
high_price=self.high_price,
low_price=self.low_price,
close_price=self.close_price,
gateway_name="DB",
)
return bar
"port": int(os.environ["fcs_trade_TEST_MONGODB_PORT"]),
"user": "",
"password": "",
"authentication_source": "",
},
})
def now():
return datetime.utcnow()
bar = BarData(
gateway_name="DB",
symbol="test_symbol",
exchange=Exchange.BITMEX,
datetime=now(),
interval=Interval.MINUTE,
)
tick = TickData(
gateway_name="DB",
symbol="test_symbol",
exchange=Exchange.BITMEX,
datetime=now(),
name="DB_test_symbol",
)
class TestDatabase(unittest.TestCase):
def connect(self, settings: dict):
def query_history(self, req: HistoryRequest):
""""""
history = []
count = 750
start_time = req.start.isoformat()
while True:
# Create query params
params = {
"binSize": INTERVAL_VT2BITMEX[req.interval],
"symbol": req.symbol,
"count": count,
"startTime": start_time
}
# Add end time if specified
if req.end:
params["endTime"] = req.end.isoformat()
# Get response from server
resp = self.request("GET", "/trade/bucketed", params=params)
# Break if request failed with other status code
if resp.status_code // 100 != 2:
msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
self.gateway.write_log(msg)
break
else:
data = resp.json()
if not data:
msg = f"获取历史数据为空，开始时间：{start_time}，数量：{count}"
break
for d in data:
dt = datetime.strptime(d["timestamp"],
"%Y-%m-%dT%H:%M:%S.%fZ")
bar = BarData(symbol=req.symbol,
exchange=req.exchange,
datetime=dt,
interval=req.interval,
volume=d["volume"],
open_price=d["open"],
high_price=d["high"],
low_price=d["low"],
close_price=d["close"],
gateway_name=self.gateway_name)
history.append(bar)
begin = data[0]["timestamp"]
end = data[-1]["timestamp"]
msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}"
self.gateway.write_log(msg)
# Break if total data count less than 750 (latest date collected)
if len(data) < 750:
break
# Update start time
start_time = bar.datetime + TIMEDELTA_MAP[req.interval]
return history