def query_bar(self, symbol: str, exchange: Exchange, interval: Interval,
start: datetime, end: datetime):
"""
Query bar data from RQData.
"""
rq_symbol = self.to_rq_symbol(symbol, exchange)
if rq_symbol not in self.symbols:
return None
end += timedelta(1) # For querying night trading period data
df = rqdata_get_price(
rq_symbol,
frequency=interval.value,
fields=["open", "high", "low", "close", "volume"],
start_date=start,
end_date=end)
data: List[BarData] = []
for ix, row in df.iterrows():
bar = BarData(symbol=symbol,
exchange=exchange,
interval=interval,
datetime=row.name.to_pydatetime(),
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],
close_price=row["close"],
volume=row["volume"],
gateway_name="RQ")
data.append(bar)
return data
def init(self, username: str = "", password: str = "") -> bool:
""""""
if self.inited:
return True
if username and password:
self.username = username
self.password = password
if not self.username or not self.password:
return False
try:
rqdata_init(self.username,
self.password, ('rqdatad-pro.ricequant.com', 16011),
use_pool=True,
max_pool_size=3)
df = rqdata_all_instruments()
for ix, row in df.iterrows():
self.symbols.add(row['order_book_id'])
temp = rqdata_get_price('000001.XSHE',
start_date='2015-04-01',
end_date='2015-04-01',
frequency='15m')
print('get_price', temp)
except (RuntimeError, AuthenticationFailed):
print('rqdata error')
return False
self.inited = True
return True
def query_history(self, req: HistoryRequest) -> Optional[List[BarData]]:
"""
Query history bar data from RQData.
"""
symbol = req.symbol
exchange = req.exchange
interval = req.interval
start = req.start
end = req.end
rq_symbol = self.to_rq_symbol(symbol, exchange)
if rq_symbol not in self.symbols:
return None
rq_interval = INTERVAL_VT2RQ.get(interval)
if not rq_interval:
return None
# For adjust timestamp from bar close point (RQData) to open point (VN Trader)
adjustment = INTERVAL_ADJUSTMENT_MAP[interval]
# For querying night trading period data
end += timedelta(1)
# Only query open interest for futures contract
fields = ["open", "high", "low", "close", "volume"]
if not symbol.isdigit():
fields.append("open_interest")
df = rqdata_get_price(
rq_symbol,
frequency=rq_interval,
fields=fields,
start_date=start,
end_date=end,
adjust_type="none"
)
data: List[BarData] = []
if df is not None:
for ix, row in df.iterrows():
bar = BarData(
symbol=symbol,
exchange=exchange,
interval=interval,
datetime=row.name.to_pydatetime() - adjustment,
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],
close_price=row["close"],
volume=row["volume"],
open_interest=row.get("open_interest", 0),
gateway_name="RQ"
)
data.append(bar)
return data
def download_stock(order_book_id, engine, tbname):
print('download ' + order_book_id)
interval = '30m'
df = rqdata_get_price(
order_book_id,
start_date='2010-04-15',
end_date='2020-04-15',
frequency=interval,
fields=['open', 'close', 'high', 'low', 'volume', 'total_turnover'])
df['interval'] = df.apply(lambda x: interval, axis=1)
df['order_book_id'] = df.apply(lambda x: order_book_id, axis=1)
df.to_sql(tbname, engine, if_exists='append')
print('download ' + order_book_id + ' success')
def query_tick_history(self,
req: HistoryRequest) -> Optional[List[TickData]]:
"""
Query history bar data from RQData.
"""
if self.symbols is None:
return None
symbol = req.symbol
exchange = req.exchange
start = req.start
end = req.end
rq_symbol = self.to_rq_symbol(symbol, exchange)
if rq_symbol not in self.symbols:
return None
# For querying night trading period data
end += timedelta(1)
# Only query open interest for futures contract
fields = [
"open",
"high",
"low",
"last",
"prev_close",
"volume",
"limit_up",
"limit_down",
"b1",
"b2",
"b3",
"b4",
"b5",
"a1",
"a2",
"a3",
"a4",
"a5",
"b1_v",
"b2_v",
"b3_v",
"b4_v",
"b5_v",
"a1_v",
"a2_v",
"a3_v",
"a4_v",
"a5_v",
]
if not symbol.isdigit():
fields.append("open_interest")
df = rqdata_get_price(rq_symbol,
frequency="tick",
fields=fields,
start_date=start,
end_date=end,
adjust_type="none")
data: List[TickData] = []
if df is not None:
for ix, row in df.iterrows():
dt = row.name.to_pydatetime()
dt = CHINA_TZ.localize(dt)
tick = TickData(symbol=symbol,
exchange=exchange,
datetime=dt,
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],
pre_close=row["prev_close"],
last_price=row["last"],
volume=row["volume"],
open_interest=row.get("open_interest", 0),
limit_up=row["limit_up"],
limit_down=row["limit_down"],
bid_price_1=row["b1"],
bid_price_2=row["b2"],
bid_price_3=row["b3"],
bid_price_4=row["b4"],
bid_price_5=row["b5"],
ask_price_1=row["a1"],
ask_price_2=row["a2"],
ask_price_3=row["a3"],
ask_price_4=row["a4"],
ask_price_5=row["a5"],
bid_volume_1=row["b1_v"],
bid_volume_2=row["b2_v"],
bid_volume_3=row["b3_v"],
bid_volume_4=row["b4_v"],
bid_volume_5=row["b5_v"],
ask_volume_1=row["a1_v"],
ask_volume_2=row["a2_v"],
ask_volume_3=row["a3_v"],
ask_volume_4=row["a4_v"],
ask_volume_5=row["a5_v"],
gateway_name="RQ")
data.append(tick)
return data
