def generateVtTick(row):
'生成tick'
tick = VtTickData()
tick.symbol = row['code']
tick.exchange = generateExchange(tick.symbol)
tick.vtSymbol = '.'.ljust([tick.symbol, tick.exchange])
tick.lastPrice = row['close']
tick.datetime = row.name
tick.highPrice = row['high']
tick.lowPrice = row['low']
def processLine(self, line):
historyData = line.split(',')
#historyDataLen = len(historyData)
symbol = historyData[2]
#print 'processLine, symbol:' + symbol
#从list转化为tick对象
historytick = VtTickData()
historytick._id = historyData[0]
historytick.gatewayName = 'CTP'
historytick.symbol = symbol
historytick.TradingDay = historyData[1]
historytick.exchange = historyData[3]
historytick.vtSymbol = historytick.symbol # '.'.join([tick.symbol, tick.exchange])
historytick.lastPrice = self.convertFloatZero(historyData[5])
#lastVolume
historytick.volume = historyData[12]
historytick.openInterest = historyData[14]
UpdateMillisec = int(historyData[20])
historytick.time = '.'.join([historyData[19], str(UpdateMillisec/ 100)])
historytick.date = historyData[42]
historytick.datetime = datetime.strptime(' '.join([historytick.date, historytick.time]), '%Y%m%d %H:%M:%S.%f')
historytick.openPrice = self.convertFloatZero(historyData[9])
historytick.highPrice = self.convertFloatZero(historyData[10])
historytick.lowPrice = self.convertFloatZero(historyData[11])
historytick.preClosePrice = self.convertFloatZero(historyData[12])
historytick.ClosePrice = self.convertFloatZero(historyData[15])
historytick.SettlementPrice = self.convertFloatZero(historyData[16])
historytick.upperLimit = self.convertFloatZero(historyData[17])
historytick.lowerLimit = self.convertFloatZero(historyData[18])
# CTP只有一档行情
historytick.bidPrice1 = self.convertFloatZero(historyData[21])
historytick.bidVolume1 = historyData[22]
historytick.askPrice1 = self.convertFloatZero(historyData[23])
historytick.askVolume1 = historyData[24]
historytick.AveragePrice = self.convertFloatZero(historyData[41])
return historytick
def loadqlCsv(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
count = 0
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(file(fileName, 'r'))
for d in reader:
tick = VtTickData()
tick.vtSymbol = symbol
tick.symbol = symbol
tick.lastPrice = float(d[5])
tick.volume = int(d[6])
tick.openPrice = float(d[9])
tick.highPrice = float(d[7])
tick.lowPrice = float(d[8])
tick.preClosePrice = float(d[20])
tick.askPrice1 = float(d[12])
tick.bidPrice1 = float(d[14])
tick.askVolume1 = float(d[13])
tick.bidVolume1 = float(d[15])
count += 1
tick.date = datetime.strptime(d[2], '%Y%m%d').strftime('%Y%m%d')
if d[4] == '500':
tick.time = d[3] + "." + "500000"
else:
tick.time = d[3] + "." + "000000"
tick.datetime = datetime.strptime(tick.date + ' ' + tick.time,
'%Y%m%d %H:%M:%S.%f')
flt = {'datetime': tick.datetime}
collection.update_one(flt, {'$set': tick.__dict__}, upsert=True)
print u'插入完毕，耗时：%s插入数量' % (time() - start), count
def generateVtTick(row, symbol):
"""生成K线"""
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = symbol
tick.lastPrice = row['last']
tick.volume = row['volume']
tick.openInterest = row['open_interest']
tick.datetime = row.name
tick.openPrice = row['open']
tick.highPrice = row['high']
tick.lowPrice = row['low']
tick.preClosePrice = row['prev_close']
tick.upperLimit = row['limit_up']
tick.lowerLimit = row['limit_down']
tick.bidPrice1 = row['b1']
tick.bidPrice2 = row['b2']
tick.bidPrice3 = row['b3']
tick.bidPrice4 = row['b4']
tick.bidPrice5 = row['b5']
tick.bidVolume1 = row['b1_v']
tick.bidVolume2 = row['b2_v']
tick.bidVolume3 = row['b3_v']
tick.bidVolume4 = row['b4_v']
tick.bidVolume5 = row['b5_v']
tick.askPrice1 = row['a1']
tick.askPrice2 = row['a2']
tick.askPrice3 = row['a3']
tick.askPrice4 = row['a4']
tick.askPrice5 = row['a5']
tick.askVolume1 = row['a1_v']
tick.askVolume2 = row['a2_v']
tick.askVolume3 = row['a3_v']
tick.askVolume4 = row['a4_v']
tick.askVolume5 = row['a5_v']
return tick
def generateVtTick(row, symbol):
"""生成K线"""
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = symbol
tick.lastPrice = row['last']
tick.volume = row['volume']
tick.openInterest = row['open_interest']
tick.datetime = row.name
tick.openPrice = row['open']
tick.highPrice = row['high']
tick.lowPrice = row['low']
tick.preClosePrice = row['prev_close']
tick.upperLimit = row['limit_up']
tick.lowerLimit = row['limit_down']
tick.bidPrice1 = row['b1']
tick.bidPrice2 = row['b2']
tick.bidPrice3 = row['b3']
tick.bidPrice4 = row['b4']
tick.bidPrice5 = row['b5']
tick.bidVolume1 = row['b1_v']
tick.bidVolume2 = row['b2_v']
tick.bidVolume3 = row['b3_v']
tick.bidVolume4 = row['b4_v']
tick.bidVolume5 = row['b5_v']
tick.askPrice1 = row['a1']
tick.askPrice2 = row['a2']
tick.askPrice3 = row['a3']
tick.askPrice4 = row['a4']
tick.askPrice5 = row['a5']
tick.askVolume1 = row['a1_v']
tick.askVolume2 = row['a2_v']
tick.askVolume3 = row['a3_v']
tick.askVolume4 = row['a4_v']
tick.askVolume5 = row['a5_v']
return tick