def load_bar(self, vt_symbol: str, days: int, interval: Interval) -> List[BarData]:
""""""
symbol, exchange = extract_vt_symbol(vt_symbol)
end = datetime.now(get_localzone())
start = end - timedelta(days)
contract: ContractData = self.main_engine.get_contract(vt_symbol)
data = []
# Query bars from gateway if available
if contract and contract.history_data:
req = HistoryRequest(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end
)
data = self.main_engine.query_history(req, contract.gateway_name)
if not data:
data = database_manager.load_bar_data(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end,
)
return data
def load_bar(self, vt_symbol: str, days: int, interval: Interval,
callback: Callable[[BarData], None], use_database: bool):
""""""
symbol, exchange = extract_vt_symbol(vt_symbol)
end = datetime.now(get_localzone())
start = end - timedelta(days)
bars = []
# Pass gateway and database if use_database set to True
if not use_database:
# Query bars from gateway if available
contract = self.main_engine.get_contract(vt_symbol)
if contract and contract.history_data:
req = HistoryRequest(symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end)
bars = self.main_engine.query_history(req,
contract.gateway_name)
# try to load the data from database if we query no data from api.
if not bars:
bars = database_manager.load_bar_data(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end,
)
for bar in bars:
callback(bar)
def load_bar_data(vt_symbol: str, interval: Interval, start: datetime,
end: datetime):
""""""
symbol, exchange = extract_vt_symbol(vt_symbol)
return database_manager.load_bar_data(symbol, exchange, interval, start,
end)
def load_bar_data(self, symbol: str, exchange: Exchange,
interval: Interval, start: datetime,
end: datetime) -> List[BarData]:
""""""
bars = database_manager.load_bar_data(symbol, exchange, interval,
start, end)
return bars
def load_bar_data(spread: SpreadData,
interval: Interval,
start: datetime,
end: datetime,
pricetick: float = 0):
""""""
# Load bar data of each spread leg
leg_bars: Dict[str, Dict] = {}
for vt_symbol in spread.legs.keys():
symbol, exchange = extract_vt_symbol(vt_symbol)
bar_data: List[BarData] = database_manager.load_bar_data(
symbol, exchange, interval, start, end)
bars: Dict[datetime, BarData] = {bar.datetime: bar for bar in bar_data}
leg_bars[vt_symbol] = bars
# Calculate spread bar data
spread_bars: List[BarData] = []
for dt in bars.keys():
spread_price = 0
spread_value = 0
spread_available = True
for leg in spread.legs.values():
leg_bar = leg_bars[leg.vt_symbol].get(dt, None)
if leg_bar:
price_multiplier = spread.price_multipliers[leg.vt_symbol]
spread_price += price_multiplier * leg_bar.close_price
spread_value += abs(price_multiplier) * leg_bar.close_price
else:
spread_available = False
if spread_available:
if pricetick:
spread_price = round_to(spread_price, pricetick)
spread_bar = BarData(
symbol=spread.name,
exchange=exchange.LOCAL,
datetime=dt,
interval=interval,
open_price=spread_price,
high_price=spread_price,
low_price=spread_price,
close_price=spread_price,
gateway_name="SPREAD",
)
spread_bar.value = spread_value
spread_bars.append(spread_bar)
return spread_bars
def load_bar_data(symbol: str, exchange: Exchange, interval: Interval,
start: datetime, end: datetime):
""""""
return database_manager.load_bar_data(symbol, exchange, interval, start,
end)
def load_history(
self,
symbol: str,
exchange: Exchange,
interval: Interval,
start: datetime,
end: datetime,
rate: float = 0.0,
index_1to1: list = None,
index_2to2: list = None,
index_3to1: list = None,
index_2to1: list = None,
index_4to1: list = None,
window_index: int = 20,
window_volatility: int = 20,
):
""""""
output("开始加载历史数据")
self.window_volatility = window_volatility
self.window_index = window_index
self.rate = rate
self.index_1to1 = index_1to1
self.index_2to2 = index_2to2
self.index_3to1 = index_3to1
self.index_2to1 = index_2to1
self.index_4to1 = index_4to1
# Load history data from database
bars = database_manager.load_bar_data(
symbol=symbol,
exchange=exchange,
interval=interval,
start=start,
end=end,
)
output(f"历史数据加载完成，数据量：{len(bars)}")
# Generate history data in DataFrame
t = []
o = []
h = []
l = [] # noqa
c = []
v = []
for bar in bars:
time = bar.datetime
open_price = bar.open_price
high_price = bar.high_price
low_price = bar.low_price
close_price = bar.close_price
volume = bar.volume
t.append(time)
o.append(open_price)
h.append(high_price)
l.append(low_price)
c.append(close_price)
v.append(volume)
self.orignal["open"] = o
self.orignal["high"] = h
self.orignal["low"] = l
self.orignal["close"] = c
self.orignal["volume"] = v
self.orignal.index = t