def updateTick(self, tick):
"""TICK更新"""
newMinute = False # 默认不是新的一分钟
# 尚未创建对象
if not self.bar:
self.bar = VtBarData()
newMinute = True
# 新的一分钟
elif self.bar.datetime.minute != tick.datetime.minute:
# 生成上一分钟K线的时间戳
self.bar.datetime = self.bar.datetime.replace(
second=0, microsecond=0) # 将秒和微秒设为0
self.bar.date = self.bar.datetime.strftime('%Y%m%d')
self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')
# 推送已经结束的上一分钟K线
self.onBar(self.bar)
# 创建新的K线对象
self.bar = VtBarData()
newMinute = True
# 初始化新一分钟的K线数据
if newMinute:
self.bar.vtSymbol = tick.vtSymbol
self.bar.symbol = tick.symbol
self.bar.exchange = tick.exchange
self.bar.open = tick.lastPrice
self.bar.high = tick.lastPrice
self.bar.low = tick.lastPrice
# 累加更新老一分钟的K线数据
else:
self.bar.high = max(self.bar.high, tick.lastPrice)
self.bar.low = min(self.bar.low, tick.lastPrice)
# 通用更新部分
self.bar.close = tick.lastPrice
self.bar.datetime = tick.datetime
self.bar.openInterest = tick.openInterest
if self.lastTick:
volumeChange = tick.volume - self.lastTick.volume # 当前K线内的成交量
self.bar.volume += max(
volumeChange, 0) # 避免夜盘开盘lastTick.volume为昨日收盘数据，导致成交量变化为负的情况
# 缓存Tick
self.lastTick = tick
def updateBar(self, bar):
"""1分钟K线更新"""
# 尚未创建对象
if not self.xminBar:
self.xminBar = VtBarData()
self.xminBar.vtSymbol = bar.vtSymbol
self.xminBar.symbol = bar.symbol
self.xminBar.exchange = bar.exchange
self.xminBar.open = bar.open
self.xminBar.high = bar.high
self.xminBar.low = bar.low
self.xminBar.datetime = bar.datetime # 以第一根分钟K线的开始时间戳作为X分钟线的时间戳
# 累加老K线
else:
self.xminBar.high = max(self.xminBar.high, bar.high)
self.xminBar.low = min(self.xminBar.low, bar.low)
# 通用部分
self.xminBar.close = bar.close
self.xminBar.openInterest = bar.openInterest
self.xminBar.volume += int(bar.volume)
# X分钟已经走完
if not (bar.datetime.minute + 1) % self.xmin: # 可以用X整除
# 生成上一X分钟K线的时间戳
self.xminBar.datetime = self.xminBar.datetime.replace(
second=0, microsecond=0) # 将秒和微秒设为0
self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
# 推送
self.onXminBar(self.xminBar)
# 清空老K线缓存对象
self.xminBar = None
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(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(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, {'$set': bar.__dict__}, upsert=True)
print(bar.date, bar.time)
print(u'插入完毕，耗时：%s' % (time() - start))
def loadOKEXCsv(fileName, dbName, symbol):
"""将OKEX导出的csv格式的历史分钟数据插入到Mongo数据库中"""
start = time()
print(u'开始读取CSV文件%s中的数据插入到%s的%s中' % (fileName, dbName, symbol))
# 锁定集合，并创建索引
client = pymongo.MongoClient(globalSetting['mongoHost'],
globalSetting['mongoPort'])
collection = client[dbName][symbol]
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
# 读取数据和插入到数据库
reader = csv.reader(open(fileName, "r"))
for d in reader:
if len(d[1]) > 10:
bar = VtBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
bar.datetime = datetime.strptime(d[1], '%Y-%m-%d %H:%M:%S')
bar.date = bar.datetime.date().strftime('%Y%m%d')
bar.time = bar.datetime.time().strftime('%H:%M:%S')
bar.open = float(d[2])
bar.high = float(d[3])
bar.low = float(d[4])
bar.close = float(d[5])
bar.volume = float(d[6])
bar.tobtcvolume = float(d[7])
flt = {'datetime': bar.datetime}
collection.update_one(flt, {'$set': bar.__dict__}, upsert=True)
print('%s \t %s' % (bar.date, bar.time))
print(u'插入完毕，耗时：%s' % (time() - start))
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"""
from struct import *
start = time()
print(u'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, {'$set': bar.__dict__}, upsert=True)
print(u'插入完毕，耗时：%s' % (time() - start))
def downloadEquityDailyBarts(self, symbol):
"""
下载股票的日行情，symbol是股票代码
"""
print(u'开始下载%s日行情' % symbol)
# 查询数据库中已有数据的最后日期
cl = self.dbClient[DAILY_DB_NAME][symbol]
cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
if cx.count():
last = cx[0]
else:
last = ''
# 开始下载数据
import tushare as ts
if last:
start = last['date'][:4] + '-' + last['date'][4:6] + '-' + last[
'date'][6:]
data = ts.get_k_data(symbol, start)
if not data.empty:
# 创建datetime索引
self.dbClient[DAILY_DB_NAME][symbol].ensure_index(
[('datetime', pymongo.ASCENDING)], unique=True)
for index, d in data.iterrows():
bar = VtBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
try:
bar.open = d.get('open')
bar.high = d.get('high')
bar.low = d.get('low')
bar.close = d.get('close')
bar.date = d.get('date').replace('-', '')
bar.time = ''
bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
bar.volume = d.get('volume')
except KeyError:
print(d)
flt = {'datetime': bar.datetime}
self.dbClient[DAILY_DB_NAME][symbol].update_one(
flt, {'$set': bar.__dict__}, upsert=True)
print(u'%s下载完成' % symbol)
else:
print(u'找不到合约%s' % symbol)
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(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(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:
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, {'$set': bar.__dict__}, upsert=True)
print(u'插入完毕，耗时：%s' % (time() - start))
def loadTbPlusCsv(fileName, dbName, symbol):
"""将TB极速版导出的csv格式的历史分钟数据插入到Mongo数据库中"""
import csv
start = time()
print(u'开始读取CSV文件%s中的数据插入到%s的%s中' % (fileName, dbName, symbol))
# 锁定集合，并创建索引
client = pymongo.MongoClient(globalSetting['mongoHost'],
globalSetting['mongoPort'])
collection = client[dbName][symbol]
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
# 读取数据和插入到数据库
reader = csv.reader(open(fileName, 'r'))
for d in reader:
bar = VtBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
bar.open = float(d[2])
bar.high = float(d[3])
bar.low = float(d[4])
bar.close = float(d[5])
bar.date = str(d[0])
tempstr = str(round(float(d[1]) * 10000)).split(".")[0].zfill(4)
bar.time = tempstr[:2] + ":" + tempstr[2:4] + ":00"
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = d[6]
bar.openInterest = d[7]
flt = {'datetime': bar.datetime}
collection.update_one(flt, {'$set': bar.__dict__}, upsert=True)
print(bar.date, bar.time)
print(u'插入完毕，耗时：%s' % (time() - start))