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 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
def add_gap_ticks(self):
"""
补充缺失的分时数据
:return:
"""
ds = DataSource()
for vtSymbol in self.renkoDict.keys():
renkobar_list = self.renkoDict.get(vtSymbol, [])
cache_bars = None
cache_start_date = None
cache_end_date = None
for renko_bar in renkobar_list:
# 通过mongo获取最新一个Renko bar的数据日期close时间
last_renko_dt = self.get_last_datetime(renko_bar.name)
# 根据日期+vtSymbol，像datasource获取分钟数据，以close价格，转化为tick，推送到renko_bar中
if last_renko_dt is not None:
start_date = last_renko_dt.strftime('%Y-%m-%d')
else:
start_date = (datetime.now() -
timedelta(days=90)).strftime('%Y-%m-%d')
end_date = (datetime.now() +
timedelta(days=5)).strftime('%Y-%m-%d')
self.writeDrLog(u'从datasource获取{}数据,开始日期:{}'.format(
vtSymbol, start_date))
if cache_bars is None or cache_start_date != start_date or cache_end_date != end_date:
fields = [
'open', 'close', 'high', 'low', 'volume',
'open_interest', 'limit_up', 'limit_down',
'trading_date'
]
cache_bars = ds.get_price(order_book_id=vtSymbol,
start_date=start_date,
end_date=end_date,
frequency='1m',
fields=fields)
cache_start_date = start_date
cache_end_date = end_date
if cache_bars is not None:
total = len(cache_bars)
self.writeDrLog(u'一共获取{}条{} 1分钟数据'.format(
total, vtSymbol))
if cache_bars is not None:
self.writeDrLog(u'推送分时数据tick:{}到:{}'.format(
vtSymbol, renko_bar.name))
for idx in cache_bars.index:
row = cache_bars.loc[idx]
tick = VtTickData()
tick.vtSymbol = vtSymbol
tick.symbol = vtSymbol
last_bar_dt = datetime.strptime(
str(idx), '%Y-%m-%d %H:%M:00')
tick.datetime = last_bar_dt - timedelta(minutes=1)
tick.date = tick.datetime.strftime('%Y-%m-%d')
tick.time = tick.datetime.strftime('%H:%M:00')
if tick.datetime.hour >= 21:
if tick.datetime.isoweekday() == 5:
# 星期五=》星期一
tick.tradingDay = (
tick.datetime +
timedelta(days=3)).strftime('%Y-%m-%d')
else:
# 第二天
tick.tradingDay = (
tick.datetime +
timedelta(days=1)).strftime('%Y-%m-%d')
elif tick.datetime.hour < 8 and tick.datetime.isoweekday(
) == 6:
# 星期六=>星期一
tick.tradingDay = (
tick.datetime +
timedelta(days=2)).strftime('%Y-%m-%d')
else:
tick.tradingDay = tick.date
tick.upperLimit = float(row['limit_up'])
tick.lowerLimit = float(row['limit_down'])
tick.lastPrice = float(row['close'])
tick.askPrice1 = float(row['close'])
tick.bidPrice1 = float(row['close'])
tick.volume = int(row['volume'])
tick.askVolume1 = tick.volume
tick.bidVolume1 = tick.volume
if last_renko_dt is not None and tick.datetime <= last_renko_dt:
continue
renko_bar.onTick(tick)