def history(host, db, symbols, api, trade_days, freqs, max=1000):
assert isinstance(api, DataApi)
storage = MongodbBarAppender.config(
host,
db, [
env.get_table_name(name, freq)
for name, freq in product(symbols, freqs)
], ["datetime"],
size=2**25,
max=max)
for symbol, freq in product(symbols, freqs):
table = env.get_table_name(symbol, freq)
last = storage.last(table)
if last:
dt = datetime.strptime(last["datetime"], "%Y%m%d %H:%M:%S")
dates = find(trade_days, date2int(datetime.now()), date2int(dt))
data = create(api, symbol, dates, freq, max)
else:
dates = find(trade_days, date2int(datetime.now()))
data = create(api, symbol, dates, freq, max)
for doc in data.to_dict("record"):
doc["datetime"] = doc["datetime"].strftime("%Y%m%d %H:%M:%S")
for key in ["volume", "init_volume", "last_volume", "flag"]:
doc[key] = int(doc[key])
storage.put(table, doc)
logging.warning("reload | %s | %s", symbol, freq)
def handle(self, req):
logging.warning("received bar req | %s", req)
with self as api:
try:
data = get_bar(api, **req)
except Exception as e:
logging.error("require bar error | %s", e)
else:
self.send(env.get_table_name(req["symbol"], req["freq"]), data)
def handle_new(self, symbol, gran, data, time):
name = env.get_table_name(symbol, gran)
self.storage.finish(name)
if env.is_trade_time(symbol, time):
doc = transform(data)
doc["flag"] = 0
self.storage.put(name, doc)
logging.warning("write | new bar | %s | %s | %s", symbol, gran,
data)
end = data["datetime"]
start = end - self.gran_diff[gran]
self.send_bar_req(symbol,
start.hour * 10000 + start.minute * 100,
end.hour * 10000 + end.minute * 100,
freq=gran)
def run():
from itertools import product
qp = TickPublisher(env.tick_subscribe, env.mapper)
appender = MongodbBarAppender.config(
env.mongodb_uri,
env.mongodb_db, [
env.get_table_name(symbol, gran)
for symbol, gran in product(env.listen_symbol, env.listen_freq)
], ["datetime"],
size=2**25,
max=1000)
bars = BarsInstance(
{freq: GRANULARITIES[freq]
for freq in env.listen_freq})
handler = BarsStorage(appender, env.tick_publish, bars)
core = CoreEngine()
core.register_publisher("qp", qp)
core.register_handler(TICK, handler)
core.start()
def handle_upd(self, symbol, gran, data, time):
name = env.get_table_name(symbol, gran)
if env.is_trade_time(symbol, time):
doc = transform(data)
self.storage.put(name, doc)