def onTick(self, tick):
        """收到行情TICK推送"""
        # 收到Tick后,首先插入到数据库里
        self.insertTick(tick)

        # 计算K线
        tickMinute = tick.datetime.minute

        if tickMinute != self.barMinute:  # 如果分钟变了,则把旧的K线插入数据库,并生成新的K线
            if self.bar:
                self.onBar(self.bar)

            bar = CtaBarData()  # 创建新的K线,目的在于防止之前K线对象在插入Mongo中被再次修改,导致出错
            bar.vtSymbol = tick.vtSymbol
            bar.symbol = tick.symbol
            bar.exchange = tick.exchange

            bar.open = tick.lastPrice
            bar.high = tick.lastPrice
            bar.low = tick.lastPrice
            bar.close = tick.lastPrice

            bar.date = tick.date
            bar.time = tick.time
            bar.datetime = tick.datetime  # K线的时间设为第一个Tick的时间

            bar.volume = tick.volume
            bar.openInterest = tick.openInterest

            self.bar = bar  # 这种写法为了减少一层访问,加快速度
            self.barMinute = tickMinute  # 更新当前的分钟

        else:  # 否则继续累加新的K线
            bar = self.bar  # 写法同样为了加快速度

            bar.high = max(bar.high, tick.lastPrice)
            bar.low = min(bar.low, tick.lastPrice)
            bar.close = tick.lastPrice

            bar.volume = bar.volume + tick.volume  # 成交量是累加的
            bar.openInterest = tick.openInterest  # 持仓量直接更新
示例#2
0
 def onTick(self, tick):
     """收到行情TICK推送"""
     # 收到Tick后,首先插入到数据库里
     self.insertTick(tick)
     
     # 计算K线
     tickMinute = tick.datetime.minute
     
     if tickMinute != self.barMinute:    # 如果分钟变了,则把旧的K线插入数据库,并生成新的K线
         if self.bar:
             self.onBar(self.bar)
         
         bar = CtaBarData()              # 创建新的K线,目的在于防止之前K线对象在插入Mongo中被再次修改,导致出错
         bar.vtSymbol = tick.vtSymbol
         bar.symbol = tick.symbol
         bar.exchange = tick.exchange
         
         bar.open = tick.lastPrice
         bar.high = tick.lastPrice
         bar.low = tick.lastPrice
         bar.close = tick.lastPrice
         
         bar.date = tick.date
         bar.time = tick.time
         bar.datetime = tick.datetime    # K线的时间设为第一个Tick的时间
         
         bar.volume = tick.volume
         bar.openInterest = tick.openInterest
         
         self.bar = bar                  # 这种写法为了减少一层访问,加快速度
         self.barMinute = tickMinute     # 更新当前的分钟
         
     else:                               # 否则继续累加新的K线
         bar = self.bar                  # 写法同样为了加快速度
         
         bar.high = max(bar.high, tick.lastPrice)
         bar.low = min(bar.low, tick.lastPrice)
         bar.close = tick.lastPrice
         
         bar.volume = bar.volume + tick.volume   # 成交量是累加的
         bar.openInterest = tick.openInterest    # 持仓量直接更新
示例#3
0
    def downloadFuturesIntradayBar(self, symbol):
        """下载期货的日内分钟行情"""
        print u'开始下载%s日内分钟行情' % symbol

        # 日内分钟行情只有具体合约
        path = 'api/market/getFutureBarRTIntraDay.json'

        params = {}
        params['instrumentID'] = symbol
        params['unit'] = 1

        data = self.datayesClient.downloadData(path, params)

        if data:
            today = datetime.now().strftime('%Y%m%d')

            # 创建datetime索引
            self.dbClient[MINUTE_DB_NAME][symbol].ensure_index(
                [('datetime', pymongo.ASCENDING)], unique=True)

            for d in data:
                bar = CtaBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.exchange = DATAYES_TO_VT_EXCHANGE.get(
                        d.get('exchangeCD', ''), '')
                    bar.open = d.get('openPrice', 0)
                    bar.high = d.get('highestPrice', 0)
                    bar.low = d.get('lowestPrice', 0)
                    bar.close = d.get('closePrice', 0)
                    bar.date = today
                    bar.time = d.get('barTime', '')
                    bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
                                                     '%Y%m%d %H:%M')
                    bar.volume = d.get('totalVolume', 0)
                    bar.openInterest = 0
                except KeyError:
                    print d

                flt = {'datetime': bar.datetime}
                self.dbClient[MINUTE_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
示例#4
0
    def downloadFuturesIntradayBar(self, symbol):
        """下载期货的日内分钟行情"""
        print u'开始下载%s日内分钟行情' %symbol
                
        # 日内分钟行情只有具体合约
        path = 'api/market/getFutureBarRTIntraDay.json'
        
        params = {}
        params['instrumentID'] = symbol
        params['unit'] = 1
        
        data = self.datayesClient.downloadData(path, params)
        
        if data:
            today = datetime.now().strftime('%Y%m%d')
            
            # 创建datetime索引
            self.dbClient[MINUTE_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                                      unique=True)                

            for d in data:
                bar = CtaBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
                    bar.open = d.get('openPrice', 0)
                    bar.high = d.get('highestPrice', 0)
                    bar.low = d.get('lowestPrice', 0)
                    bar.close = d.get('closePrice', 0)
                    bar.date = today
                    bar.time = d.get('barTime', '')
                    bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M')
                    bar.volume = d.get('totalVolume', 0)
                    bar.openInterest = 0
                except KeyError:
                    print d
                
                flt = {'datetime': bar.datetime}
                self.dbClient[MINUTE_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   
示例#5
0
    def downloadFuturesDailyBar(self, symbol):
        """
        下载期货合约的日行情,symbol是合约代码,
        若最后四位为0000(如IF0000),代表下载连续合约。
        """
        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 = ''
        
        # 主力合约
        if '0000' in symbol:
            path = 'api/market/getMktMFutd.json'
            
            params = {}
            params['contractObject'] = symbol.replace('0000', '')
            params['mainCon'] = 1
            if last:
                params['startDate'] = last['date']
        # 交易合约
        else:
            path = 'api/market/getMktFutd.json'
            
            params = {}
            params['ticker'] = symbol
            if last:
                params['startDate'] = last['date']
        
        # 开始下载数据
        data = self.datayesClient.downloadData(path, params)
        
        if data:
            # 创建datetime索引
            self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                                      unique=True)                

            for d in data:
                bar = CtaBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
                    bar.open = d.get('openPrice', 0)
                    bar.high = d.get('highestPrice', 0)
                    bar.low = d.get('lowestPrice', 0)
                    bar.close = d.get('closePrice', 0)
                    bar.date = d.get('tradeDate', '').replace('-', '')
                    bar.time = ''
                    bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
                    bar.volume = d.get('turnoverVol', 0)
                    bar.openInterest = d.get('openInt', 0)
                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
示例#6
0
    def downloadFuturesDailyBar(self, symbol):
        """
        下载期货合约的日行情,symbol是合约代码,
        若最后四位为0000(如IF0000),代表下载连续合约。
        """
        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 = ''

        # 主力合约
        if '0000' in symbol:
            path = 'api/market/getMktMFutd.json'

            params = {}
            params['contractObject'] = symbol.replace('0000', '')
            params['mainCon'] = 1
            if last:
                params['startDate'] = last['date']
        # 交易合约
        else:
            path = 'api/market/getMktFutd.json'

            params = {}
            params['ticker'] = symbol
            if last:
                params['startDate'] = last['date']

        # 开始下载数据
        data = self.datayesClient.downloadData(path, params)

        if data:
            # 创建datetime索引
            self.dbClient[DAILY_DB_NAME][symbol].ensure_index(
                [('datetime', pymongo.ASCENDING)], unique=True)

            for d in data:
                bar = CtaBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.exchange = DATAYES_TO_VT_EXCHANGE.get(
                        d.get('exchangeCD', ''), '')
                    bar.open = d.get('openPrice', 0)
                    bar.high = d.get('highestPrice', 0)
                    bar.low = d.get('lowestPrice', 0)
                    bar.close = d.get('closePrice', 0)
                    bar.date = d.get('tradeDate', '').replace('-', '')
                    bar.time = ''
                    bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
                    bar.volume = d.get('turnoverVol', 0)
                    bar.openInterest = d.get('openInt', 0)
                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