示例#1
0
    def updateTick(self, tick):
        """TICK更新"""
        newMinute = False  # 默认不是新的一分钟

        # 尚未创建对象
        if not self.bar:
            #self.bar = VtBarData()
            self.bar = CtaBarData()

            newMinute = True
        # 新的一分钟
        elif self.bar.datetime.minute != tick.datetime.minute:
            # 生成上一分钟K线的时间戳
            self.bar.datetime = self.bar.datetime.replace(
                second=0, microsecond=0)  # 将秒和微秒设为0
            self.bar.date = self.bar.datetime.strftime('%Y-%m-%d')
            self.bar.time = self.bar.datetime.strftime('%H:%M:%S')
            self.bar.tradingDay = self.bar.date
            # 推送已经结束的上一分钟K线
            self.onBar(self.bar)
            print(u'BarGenerate:Onbar:{},{},o:{},h:{},l:{},c:{}'.format(
                self.bar.vtSymbol, self.bar.datetime, self.bar.open,
                self.bar.high, self.bar.low, self.bar.close))

            # 创建新的K线对象
            #self.bar = VtBarData()
            self.bar = CtaBarData()
            newMinute = True

        # 初始化新一分钟的K线数据
        if newMinute:
            self.bar.vtSymbol = tick.vtSymbol
            self.bar.symbol = tick.symbol
            self.bar.exchange = tick.exchange

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

        # 累加更新老一分钟的K线数据
        else:
            self.bar.high = max(self.bar.high, tick.lastPrice)
            self.bar.low = min(self.bar.low, tick.lastPrice)

        # 通用更新部分
        self.bar.close = tick.lastPrice
        self.bar.datetime = tick.datetime
        self.bar.openInterest = tick.openInterest

        if self.lastTick:
            volumeChange = tick.volume - self.lastTick.volume  # 当前K线内的成交量
            self.bar.volume += max(
                volumeChange, 0)  # 避免夜盘开盘lastTick.volume为昨日收盘数据,导致成交量变化为负的情况

        # 缓存Tick
        self.lastTick = tick
示例#2
0
    def get_bars(self,
                 symbol,
                 period,
                 callback,
                 bar_is_completed=False,
                 bar_freq=1,
                 start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        ret_bars = []
        if symbol not in SYMBOL_LIST:
            self.writeError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
            return False, ret_bars
        if period not in PERIOD_MAPPING:
            self.writeError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
            return False, ret_bars
        if self.client is None:
            return False, ret_bars

        binance_symbol = symbol.upper().replace('_', '')
        #  转换一下
        binance_symbol = symbolFromOtherExchangesToBinance(binance_symbol)

        binance_period = PERIOD_MAPPING.get(period)

        self.writeLog('{}开始下载binance:{} {}数据.'.format(datetime.now(),
                                                      binance_symbol,
                                                      binance_period))

        bars = []
        try:
            bars = self.client.get_klines(symbol=binance_symbol,
                                          interval=binance_period)
            bar_len = len(bars)
            for i, bar in enumerate(bars):
                add_bar = CtaBarData()
                try:
                    add_bar.vtSymbol = symbol
                    add_bar.symbol = symbol
                    add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
                    utcdatetime = datetime.utcfromtimestamp(bar[0] / 1e3)
                    add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                    add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                    # 币安的交易日,是按照utc来计算的
                    add_bar.tradingDay = utcdatetime.strftime('%Y-%m-%d')
                    add_bar.open = float(bar[1])
                    add_bar.high = float(bar[2])
                    add_bar.low = float(bar[3])
                    add_bar.close = float(bar[4])
                    add_bar.volume = float(bar[5])
                    ret_bars.append(add_bar)
                except Exception as ex:
                    self.writeError(
                        'error when convert bar:{},ex:{},t:{}'.format(
                            bar, str(ex), traceback.format_exc()))
                    return False, ret_bars

                if start_dt is not None and bar.datetime < start_dt:
                    continue

                if callback is not None:
                    # 最后一个bar,可能是不完整的,强制修改
                    if i == bar_len - 1 and bar_is_completed:
                        # 根据秒数算的话,要+1,例如13:31,freq=31,第31根bar
                        freq = int((datetime.now() -
                                    add_bar.datetime).total_seconds() / 60) + 1
                        callback(add_bar, False, freq)
                    else:
                        callback(add_bar, bar_is_completed, bar_freq)

            return True, ret_bars
        except Exception as ex:
            self.writeError('exception in get:{},{},{}'.format(
                binance_symbol, str(ex), traceback.format_exc()))
            return False, ret_bars
示例#3
0
    def getMinBars(self, symbol, callback):
        bars = []
        try:
            path = 'hisminbar'
            params = {'id': symbol, 'num': 172, 'period': '15m'}
            data = self.getData(path, params)
            if not data:
                return False
            barList = []
            l = data.split(';')
            for barStr in l:
                # 过滤某些空数据
                if ',' not in barStr:
                    continue

                barData = barStr.split(',')
                d = {
                    'symbol': barData[0],
                    # 'date': barData[1],   # trading day
                    'tradingDay': barData[1],
                    'minute': barData[2],
                    'time': barData[2],
                    'open': float(barData[3]),
                    'high': float(barData[4]),
                    'low': float(barData[5]),
                    'close': float(barData[6]),
                    'volume': int(barData[7]),
                    'openInterest': int(float(barData[8])),
                    'date': barData[9]  # natural day
                }
                barList.append(d)
            barList.reverse()
            for item in barList:
                bar = CtaBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                bar.tradingDay = item['tradingDay']
                bar.datetime = datetime.strptime(
                    u'{0}-{1}-{2} {3}:{4}:00'.format(item['date'][0:4],
                                                     item['date'][4:6],
                                                     item['date'][6:8],
                                                     item['minute'][0:2],
                                                     item['minute'][2:4]),
                    '%Y-%m-%d %H:%M:00')
                bar.time = item['time']
                bar.open = item['open']
                bar.high = item['high']
                bar.low = item['low']
                bar.close = item['close']
                bar.volume = item['volume']
                bar.date = item['date']
                if bar.datetime.hour == 10 and bar.datetime.minute == 30:
                    continue
                # bar.datetime = bar.datetime - timedelta(seconds=5 * 60)
                callback(bar, bar_is_completed=False, bar_freq=15)
                # print(u'{0}, {1}, {2}, {3}, {4}'.format(bar.datetime, bar.open, bar.high, bar.low, bar.close))
            #     bars.append(bar)
            # print('*' * 20 + 'bars---' + '*' * 20)
            # print(bars)
            # if len(bars) > 0:
            #     for bar in bars:
            #         callback(bar)
            #     bars = []
            return True
            # else:
            #     self.strategy.writeCtaLog(u'从shcifo读取分钟数据失败')
            #     return False

        except Exception as e:
            self.strategy.writeCtaLog(u'加载shcifo历史分钟数据失败:' + str(e))
            return False
示例#4
0
    def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        ret_bars = []
        if symbol not in symbol_list:
            self.strategy.writeCtaError(u'{} {}不在下载清单中'.format(datetime.now(), symbol))
            return False, ret_bars
        if period not in PERIOD_MAPPING:
            self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
            return False, ret_bars

        self.strategy.writeCtaLog('{}开始下载:{} {}数据'.format(datetime.now(), symbol, period))

        fcoin_period = PERIOD_MAPPING.get(period)
        fcoin_symbol = symbol.lower().replace('_' , '')

        try:
            status,response = self.fcoin.get_candle(resolution=fcoin_period,symbol=fcoin_symbol,limit=200)
            if not status:
                return False, ret_bars
            bars = response.get('data')
            bars.reverse()
            #{'seq': 7636160700002, 'low': 6747.96, 'open': 6752.49, 'high': 6753.37, 'base_vol': 356.859787045,
            # 'quote_vol': 2409051.1568048545, 'id': 1529566740, 'close': 6750.72, 'count': 3673}
            for i, bar in enumerate(bars):

                add_bar = CtaBarData()
                try:
                    add_bar.vtSymbol = symbol
                    add_bar.symbol = symbol
                    add_bar.datetime = datetime.fromtimestamp(bar.get('id',datetime.now()) )
                    add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                    add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                    add_bar.tradingDay = add_bar.date
                    add_bar.open = float(bar.get('open',0.0))
                    add_bar.high = float(bar.get('high',0.0))
                    add_bar.low = float(bar.get('low',0.0))
                    add_bar.close = float(bar.get('close',0.0))
                    add_bar.volume = float(bar.get('base_vol',0.0))
                except Exception as ex:
                    self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
                    return False, ret_bars

                if start_dt is not None and bar.datetime < start_dt:
                    continue
                ret_bars.append(add_bar)
                if callback is not None:
                    callback(add_bar, bar_is_completed, bar_freq)

            return True, ret_bars

        except Exception as ex:
            self.strategy.writeCtaError('exception in get bar:{},{}'.format(str(ex), traceback.format_exc()))
            return False
示例#5
0
    def get_bars(self,
                 symbol,
                 period,
                 callback,
                 bar_is_completed=False,
                 bar_freq=1,
                 start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        ret_bars = []
        if symbol not in SYMBOL_LIST:
            self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(
                datetime.now(), symbol))
            return False, ret_bars
        if period not in PERIOD_MAPPING:
            self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(
                datetime.now(), period))
            return False, ret_bars
        if self.client is None:
            return False, ret_bars

        binance_symbol = symbol.upper().replace('_', '')
        binance_period = PERIOD_MAPPING.get(period)

        self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(
            datetime.now(), binance_symbol, binance_period))

        try:
            bars = self.client.get_klines(symbol=binance_symbol,
                                          interval=binance_period)
            for i, bar in enumerate(bars):
                add_bar = CtaBarData()
                try:
                    add_bar.vtSymbol = symbol
                    add_bar.symbol = symbol
                    add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
                    add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                    add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                    add_bar.tradingDay = add_bar.date
                    add_bar.open = float(bar[1])
                    add_bar.high = float(bar[2])
                    add_bar.low = float(bar[3])
                    add_bar.close = float(bar[4])
                    add_bar.volume = float(bar[5])
                except Exception as ex:
                    self.strategy.writeCtaError(
                        'error when convert bar:{},ex:{},t:{}'.format(
                            bar, str(ex), traceback.format_exc()))
                    return False

                if start_dt is not None and bar.datetime < start_dt:
                    continue
                ret_bars.append(add_bar)
                if callback is not None:
                    callback(add_bar, bar_is_completed, bar_freq)
            return True, ret_bars
        except Exception as ex:
            self.strategy.writeCtaError('exception in get:{},{},{}'.format(
                binance_symbol, str(ex), traceback.format_exc()))
            return False, ret_bars
示例#6
0
    def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        if symbol not in SYMBOL_LIST:
            self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
            return False
        if period not in PERIOD_MAPPING:
            self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
            return False
        if self.client is None:
            return False

        binance_symbol = symbol.upper().replace('_' , '')
        binance_period = PERIOD_MAPPING.get(period)

        self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(datetime.now(), binance_symbol, binance_period))

        bars = []
        try:
            bars = self.client.get_klines(symbol=binance_symbol, interval=binance_period)
            for i, bar in enumerate(bars):
                add_bar = CtaBarData()
                try:
                    add_bar.vtSymbol = symbol
                    add_bar.symbol = symbol
                    add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
                    add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                    add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                    add_bar.tradingDay = add_bar.date
                    add_bar.open = float(bar[1])
                    add_bar.high = float(bar[2])
                    add_bar.low = float(bar[3])
                    add_bar.close = float(bar[4])
                    add_bar.volume = float(bar[5])
                except Exception as ex:
                    self.strategy.writeCtaError(
                        'error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
                    return False

                if start_dt is not None and bar.datetime < start_dt:
                    continue

                if callback is not None:
                    callback(add_bar, bar_is_completed, bar_freq)

            return True
        except Exception as ex:
            self.strategy.writeCtaError('exception in get:{},{},{}'.format(binance_symbol,str(ex), traceback.format_exc()))
            return False
示例#7
0
    def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
        """
        返回k线数据
        symbol:合约b tc:next_week:10
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        ret_bars = []
        if ':' not in symbol:
            self.strategy.writeCtaError(u'{} {}格式需要包含合约类型,如:btc:next_week:10'.format(datetime.now(), symbol))
            return False, ret_bars
        s = symbol.split(':')
        symbol_pair, contract_type = s[0],s[1]
        if not symbol_pair.endswith('_usd'):
            symbol_pair += '_usd'

        if symbol_pair not in symbol_list:
            self.strategy.writeCtaError(u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair))
            return False, ret_bars

        url = u'https://www.okex.com/api/v1/future_kline.do?symbol={}&type={}&contract_type={}'.format(symbol_pair, period,contract_type)
        self.strategy.writeCtaLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period, url))
        bars = []
        content = None
        try:
            content = self.session.get(url).content.decode('gbk')
            bars = execjs.eval(content)
        except Exception as ex:
            self.strategy.writeCtaError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
            return False, ret_bars

        for i, bar in enumerate(bars):
            if len(bar) < 5:
                self.strategy.writeCtaError('error when import bar:{}'.format(bar))
                return False

            add_bar = CtaBarData()
            try:
                add_bar.vtSymbol = symbol
                add_bar.symbol = symbol
                add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
                add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                add_bar.tradingDay = add_bar.date
                add_bar.open = float(bar[1])
                add_bar.high = float(bar[2])
                add_bar.low = float(bar[3])
                add_bar.close = float(bar[4])
                add_bar.volume = float(bar[6])    # 这里:5 是交易量,6是交易量转化BTC或LTC数量
            except Exception as ex:
                self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
                return False, ret_bars

            if start_dt is not None and bar.datetime < start_dt:
                continue
            ret_bars.append(add_bar)
            if callback is not None:
                callback(add_bar, bar_is_completed, bar_freq)

        return True, ret_bars
示例#8
0
    def get_bars(self,
                 symbol,
                 period,
                 callback,
                 bar_is_completed=False,
                 bar_freq=1,
                 start_dt=None):
        """
        返回k线数据
        symbol:股票 000001.XG
        period: 周期: 1min,5min,15min,30min,1hour,1day,
        """
        if self.api is None:
            self.connect()

        def __select_market_code(code):
            code = str(code)
            if code[0] in ['5', '6', '9'] or code[:3] in [
                    "009", "126", "110", "201", "202", "203", "204"
            ]:
                return 1
            return 0
            # 新版一劳永逸偷懒写法zzz

        if '.' in symbol:
            tdx_code, market_str = symbol.split('.')
            market_code = 1 if market_str.upper() == 'XSHG' else 0
            self.symbol_exchange_dict.update({tdx_code:
                                              symbol})  # tdx合约与vn交易所的字典
            self.symbol_market_dict.update({tdx_code:
                                            market_code})  # tdx合约与tdx市场的字典
        else:
            market_code = __select_market_code(symbol)
            tdx_code = symbol
            self.symbol_exchange_dict.update({symbol:
                                              symbol})  # tdx合约与vn交易所的字典
            self.symbol_market_dict.update({symbol:
                                            market_code})  # tdx合约与tdx市场的字典

        # https://github.com/rainx/pytdx/issues/33
        # 0 - 深圳, 1 - 上海

        ret_bars = []

        if period not in PERIOD_MAPPING.keys():
            self.strategy.writeCtaError(u'{} 周期{}不在下载清单中: {}'.format(
                datetime.now(), period, list(PERIOD_MAPPING.keys())))
            # print(u'{} 周期{}不在下载清单中: {}'.format(datetime.now(), period, list(PERIOD_MAPPING.keys())))
            return False, ret_bars

        if self.api is None:
            return False, ret_bars

        tdx_period = PERIOD_MAPPING.get(period)

        if start_dt is None:
            self.strategy.writeCtaLog(u'没有设置开始时间,缺省为10天前')
            qry_start_date = datetime.now() - timedelta(days=10)
            start_dt = qry_start_date
        else:
            qry_start_date = start_dt
        end_date = datetime.now()
        if qry_start_date > end_date:
            qry_start_date = end_date

        self.strategy.writeCtaLog('{}开始下载tdx股票:{} {}数据, {} to {}.'.format(
            datetime.now(), tdx_code, tdx_period, qry_start_date, end_date))

        try:
            _start_date = end_date
            _bars = []
            _pos = 0
            while _start_date > qry_start_date:
                _res = self.api.get_security_bars(
                    category=PERIOD_MAPPING[period],
                    market=market_code,
                    code=tdx_code,
                    start=_pos,
                    count=QSIZE)
                if _res is not None:
                    _bars = _res + _bars
                _pos += QSIZE
                if _res is not None and len(_res) > 0:
                    _start_date = _res[0]['datetime']
                    _start_date = datetime.strptime(_start_date,
                                                    '%Y-%m-%d %H:%M')
                    self.strategy.writeCtaLog(
                        u'分段取数据开始:{}'.format(_start_date))
                else:
                    break
            if len(_bars) == 0:
                self.strategy.writeCtaError(
                    '{} Handling {}, len1={}..., continue'.format(
                        str(datetime.now()), tdx_code, len(_bars)))
                return False, ret_bars

            current_datetime = datetime.now()
            data = self.api.to_df(_bars)
            data = data.assign(datetime=pd.to_datetime(data['datetime']))
            data = data.assign(ticker=symbol)
            data['symbol'] = symbol
            data = data.drop(
                ['year', 'month', 'day', 'hour', 'minute', 'price', 'ticker'],
                errors='ignore',
                axis=1)
            data = data.rename(index=str, columns={
                'amount': 'volume',
            })
            if len(data) == 0:
                print('{} Handling {}, len2={}..., continue'.format(
                    str(datetime.now()), tdx_code, len(data)))
                return False, ret_bars

            # 通达信是以bar的结束时间标记的,vnpy是以bar开始时间标记的,所以要扣减bar本身的分钟数
            data['datetime'] = data['datetime'].apply(lambda x: x - timedelta(
                minutes=NUM_MINUTE_MAPPING.get(period, 1)))
            data['trading_date'] = data['datetime'].apply(
                lambda x: (x.strftime('%Y-%m-%d')))
            data['date'] = data['datetime'].apply(lambda x:
                                                  (x.strftime('%Y-%m-%d')))
            data['time'] = data['datetime'].apply(lambda x:
                                                  (x.strftime('%H:%M:%S')))
            data = data.set_index('datetime', drop=False)

            for index, row in data.iterrows():
                add_bar = CtaBarData()
                try:
                    add_bar.vtSymbol = symbol
                    add_bar.symbol = symbol
                    add_bar.datetime = index
                    add_bar.date = row['date']
                    add_bar.time = row['time']
                    add_bar.tradingDay = row['trading_date']
                    add_bar.open = float(row['open'])
                    add_bar.high = float(row['high'])
                    add_bar.low = float(row['low'])
                    add_bar.close = float(row['close'])
                    add_bar.volume = float(row['volume'])
                except Exception as ex:
                    self.strategy.writeCtaError(
                        'error when convert bar:{},ex:{},t:{}'.format(
                            row, str(ex), traceback.format_exc()))
                    # print('error when convert bar:{},ex:{},t:{}'.format(row, str(ex), traceback.format_exc()))
                    return False

                if start_dt is not None and index < start_dt:
                    continue
                ret_bars.append(add_bar)

                if callback is not None:
                    freq = bar_freq
                    bar_is_completed = True
                    if period != '1min' and index == data['datetime'][-1]:
                        # 最后一个bar,可能是不完整的,强制修改
                        # - 5min修改后freq基本正确
                        # - 1day在VNPY合成时不关心已经收到多少Bar, 所以影响也不大
                        # - 但其它分钟周期因为不好精确到每个品种, 修改后的freq可能有错
                        if index > current_datetime:
                            bar_is_completed = False
                            # 根据秒数算的话,要+1,例如13:31,freq=31,第31根bar
                            freq = NUM_MINUTE_MAPPING[period] - int(
                                (index - current_datetime).total_seconds() /
                                60)
                    callback(add_bar, bar_is_completed, freq)

            return True, ret_bars
        except Exception as ex:
            self.strategy.writeCtaError('exception in get:{},{},{}'.format(
                tdx_code, str(ex), traceback.format_exc()))
            # print('exception in get:{},{},{}'.format(tdx_symbol,str(ex), traceback.format_exc()))
            self.strategy.writeCtaLog(u'重置连接')
            TdxData.api = None
            self.connect()
            return False, ret_bars
示例#9
0
    def get_bars(self, symbol, period, callback, bar_is_completed=False, bar_freq=1, start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """

        ret_bars = []
        tdx_symbol = symbol.upper().replace('_' , '')
        tdx_symbol = tdx_symbol.replace('99' , 'L9')
        if tdx_symbol not in self.symbol_exchange_dict.keys():
            self.strategy.writeCtaError(u'{} 合约{}/{}不在下载清单中: {}'.format(datetime.now(), symbol, tdx_symbol, self.symbol_exchange_dict.keys()))
            return False,ret_bars
        if period not in PERIOD_MAPPING.keys():
            self.strategy.writeCtaError(u'{} 周期{}不在下载清单中: {}'.format(datetime.now(), period, list(PERIOD_MAPPING.keys())))
            return False,ret_bars
        if self.api is None:
            return False,ret_bars

        tdx_period = PERIOD_MAPPING.get(period)

        if start_dt is None:
            self.strategy.writeCtaLog(u'没有设置开始时间,缺省为10天前')
            qry_start_date = datetime.now() - timedelta(days=10)
        else:
            qry_start_date = start_dt
        end_date = datetime.combine(datetime.now() + timedelta(days=1),time(ALL_MARKET_END_HOUR, 0))
        if qry_start_date > end_date:
            qry_start_date = end_date
        self.strategy.writeCtaLog('{}开始下载tdx:{} {}数据, {} to {}.'.format(datetime.now(), tdx_symbol, period, qry_start_date, end_date))
        # print('{}开始下载tdx:{} {}数据, {} to {}.'.format(datetime.now(), tdx_symbol, tdx_period, last_date, end_date))

        try:
            _start_date = end_date
            _bars = []
            _pos = 0
            while _start_date > qry_start_date:
                _res = self.api.get_instrument_bars(
                    PERIOD_MAPPING[period],
                    self.symbol_market_dict.get(tdx_symbol,0),
                    tdx_symbol,
                    _pos,
                    QSIZE)
                if _res is not None:
                    _bars = _res + _bars
                _pos += QSIZE
                if _res is not None and len(_res) > 0:
                    _start_date = _res[0]['datetime']
                    _start_date = datetime.strptime(_start_date, '%Y-%m-%d %H:%M')
                    self.strategy.writeCtaLog(u'分段取数据开始:{}'.format(_start_date))
                else:
                    break
            if len(_bars) == 0:
                self.strategy.writeCtaError('{} Handling {}, len1={}..., continue'.format(
                    str(datetime.now()), tdx_symbol, len(_bars)))
                return False, ret_bars

            current_datetime = datetime.now()
            data = self.api.to_df(_bars)
            data = data.assign(datetime=pd.to_datetime(data['datetime']))
            data = data.assign(ticker=symbol)
            data['instrument_id'] = data['ticker']
            # if future['market'] == 28 or future['market'] == 47:
            #     # 大写字母: 郑州商品 or 中金所期货
            #     data['instrument_id'] = data['ticker']
            # else:
            #     data['instrument_id'] = data['ticker'].apply(lambda x: x.lower())

            data['symbol'] = symbol
            data = data.drop(
                ['year', 'month', 'day', 'hour', 'minute', 'price', 'amount', 'ticker'],
                errors='ignore',
                axis=1)
            data = data.rename(
                index=str,
                columns={
                    'position': 'open_interest',
                    'trade': 'volume',
                })
            if len(data) == 0:
                print('{} Handling {}, len2={}..., continue'.format(
                    str(datetime.now()), tdx_symbol, len(data)))
                return False, ret_bars

            data['total_turnover'] = data['volume']
            data["limit_down"] = 0
            data["limit_up"] = 999999
            data['trading_date'] = data['datetime']
            data['trading_date'] = data['trading_date'].apply(lambda x: (x.strftime('%Y-%m-%d')))
            monday_ts = data['datetime'].dt.weekday == 0  # 星期一
            night_ts1 = data['datetime'].dt.hour > ALL_MARKET_END_HOUR
            night_ts2 = data['datetime'].dt.hour < ALL_MARKET_BEGIN_HOUR
            data.loc[night_ts1, 'datetime'] -= timedelta(days=1)  # 所有日期的夜盘(21:00~24:00), 减一天
            monday_ts1 = monday_ts & night_ts1  # 星期一的夜盘(21:00~24:00), 再减两天
            data.loc[monday_ts1, 'datetime'] -= timedelta(days=2)
            monday_ts2 = monday_ts & night_ts2  # 星期一的夜盘(00:00~04:00), 再减两天
            data.loc[monday_ts2, 'datetime'] -= timedelta(days=2)
            # data['datetime'] -= timedelta(minutes=1) # 直接给Strategy使用, RiceQuant格式, 不需要减1分钟
            data['dt_datetime'] = data['datetime']
            data['date'] = data['datetime'].apply(lambda x: (x.strftime('%Y-%m-%d')))
            data['time'] = data['datetime'].apply(lambda x: (x.strftime('%H:%M:%S')))
            data['datetime'] = data['datetime'].apply(lambda x: float(x.strftime('%Y%m%d%H%M%S')))
            data = data.set_index('dt_datetime', drop=False)
            # data = data[int(last_date.strftime('%Y%m%d%H%M%S')):int(end_date.strftime('%Y%m%d%H%M%S'))]
            # data = data[str(last_date):str(end_date)]

            for index, row in data.iterrows():
                add_bar = CtaBarData()
                try:
                    add_bar.vtSymbol = row['symbol']
                    add_bar.symbol = row['symbol']
                    add_bar.datetime = index
                    add_bar.date = row['date']
                    add_bar.time = row['time']
                    add_bar.tradingDay = row['trading_date']
                    add_bar.open = float(row['open'])
                    add_bar.high = float(row['high'])
                    add_bar.low = float(row['low'])
                    add_bar.close = float(row['close'])
                    add_bar.volume = float(row['volume'])
                    add_bar.openInterest = float(row['open_interest'])
                except Exception as ex:
                    self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(row, str(ex), traceback.format_exc()))
                    # print('error when convert bar:{},ex:{},t:{}'.format(row, str(ex), traceback.format_exc()))
                    return False

                if start_dt is not None and index < start_dt:
                    continue
                ret_bars.append(add_bar)

                if callback is not None:
                    freq = bar_freq
                    bar_is_completed = True
                    if period != '1min' and index == data['dt_datetime'][-1]:
                        # 最后一个bar,可能是不完整的,强制修改
                        # - 5min修改后freq基本正确
                        # - 1day在VNPY合成时不关心已经收到多少Bar, 所以影响也不大
                        # - 但其它分钟周期因为不好精确到每个品种, 修改后的freq可能有错
                        if index > current_datetime:
                            bar_is_completed = False
                            # 根据秒数算的话,要+1,例如13:31,freq=31,第31根bar
                            freq = NUM_MINUTE_MAPPING[period] - int((index - current_datetime).total_seconds() / 60)
                    callback(add_bar, bar_is_completed, freq)

            return True, ret_bars
        except Exception as ex:
            self.strategy.writeCtaError('exception in get:{},{},{}'.format(tdx_symbol,str(ex), traceback.format_exc()))
            # print('exception in get:{},{},{}'.format(tdx_symbol,str(ex), traceback.format_exc()))
            self.strategy.writeCtaLog(u'重置连接')
            TdxFutureData.api = None
            self.connect()
            return False,ret_bars
示例#10
0
    def get_bars(self,
                 symbol,
                 period,
                 callback,
                 bar_is_completed=False,
                 bar_freq=1,
                 start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        ret_bars = []
        if period not in period_list:
            self.strategy.writeCtaError('{} not in {}'.format(
                period, period_list))
            return False, ret_bars

        period = period.replace('min', 'm').replace('hour',
                                                    'h').replace('day', 'd')
        count = 750
        if start_dt is None:
            if period == '1d':
                start_dt = datetime.utcnow() - timedelta(days=count - 1)
            elif period == '1h':
                print(u'utc now():{}'.format(datetime.utcnow()))
                start_dt = datetime.utcnow() - timedelta(hours=count - 1)
                print(u'start_dt():{}'.format(start_dt))
            elif period == '5m':
                start_dt = datetime.utcnow() - timedelta(minutes=(count - 1) *
                                                         5)
            else:
                start_dt = datetime.utcnow() - timedelta(minutes=count - 1)

        path = '/trade/bucketed'
        url = u'https://www.bitmex.com/api/v1' + path
        params = {
            'binSize': period,
            'partial': True,
            'symbol': symbol,
            'startTime': start_dt.strftime('%Y-%m-%d %H:%M'),
            'count': count
        }

        params = OrderedDict(sorted(params.items()))

        expires = int(time() + 5)
        rq = requests.Request(url=url)
        p = rq.prepare()

        header = {
            'Content-Type':
            'application/x-www-form-urlencoded',
            'Accept':
            'application/json',
            'api-expires':
            str(expires),
            'api-key':
            self.apiKey,
            'api-signature':
            self.generateSignature('GET', path, expires, params, body=p.body)
        }
        print(header)

        session = requests.Session()
        resp = session.request('GET',
                               url,
                               headers=header,
                               params=params,
                               data=None)

        self.writeLog('{}开始下载:{} {}数据.开始时间:{} URL:{}'.format(
            datetime.now(), symbol, period, start_dt, url))

        bars = None
        code = resp.status_code
        bars = resp.json()
        if code != 200:
            self.strategy.writeCtaError('get_bars {},{}'.format(code, bars))
            return False, ret_bars

        bar_len = len(bars)
        self.writeLog(u'共下载:{}条'.format(bar_len))
        for i, bar in enumerate(bars):
            add_bar = CtaBarData()
            try:
                add_bar.vtSymbol = symbol
                add_bar.symbol = symbol

                utc_str_time = bar.get('timestamp').replace('T', ' ').replace(
                    'Z', '')
                utc_datetime = datetime.strptime(utc_str_time,
                                                 '%Y-%m-%d %H:%M:%S.%f')

                add_bar.datetime = utc_datetime + timedelta(hours=8)
                # 时区得调整 +8
                if period == '1h':
                    add_bar.datetime = add_bar.datetime - timedelta(hours=1)
                elif period == '5m':
                    add_bar.datetime = add_bar.datetime - timedelta(minutes=5)
                elif period == '1m':
                    add_bar.datetime = add_bar.datetime - timedelta(minutes=1)

                # bitmex是以bar得结束时间,作为bar得datetime,vnpy是以bar得开始时间作为datetime

                add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                add_bar.tradingDay = add_bar.date
                add_bar.open = float(bar.get('open', 0.0))
                add_bar.high = float(bar.get('high', 0.0))
                add_bar.low = float(bar.get('low', 0.0))
                add_bar.close = float(bar.get('close', 0.0))
                add_bar.volume = float(bar.get('volume', 0.0))
                ret_bars.append(add_bar)
            except Exception as ex:
                self.strategy.writeCtaError(
                    'error when convert bar:{},ex:{},t:{}'.format(
                        bar, str(ex), traceback.format_exc()))
                return False, ret_bars

            if start_dt is not None and add_bar.datetime < start_dt:
                continue

            if callback is not None:
                # 最后一个bar,可能是不完整的,强制修改
                if i == bar_len - 1 and bar_is_completed:
                    # 根据秒数算的话,要+1,例如13:31,freq=31,第31根bar
                    freq = int(
                        (datetime.now() - add_bar.datetime).total_seconds() /
                        60) + 1
                    callback(add_bar, False, freq)
                else:
                    callback(add_bar, bar_is_completed, bar_freq)

        return True, ret_bars
示例#11
0
    def get_bars(self,
                 symbol,
                 period,
                 callback,
                 bar_is_completed=False,
                 bar_freq=1,
                 start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        ret_bars = []
        if symbol not in symbol_list:
            self.strategy.writeCtaError(u'{} {}不在下载清单中'.format(
                datetime.now(), symbol))
            return False, ret_bars

        group_sec, range_hour = self.get_sec_hours(period)

        url = u'https://data.gateio.io/api2/1/candlestick2/{}?group_sec={}&range_hour={}'.format(
            symbol, group_sec, range_hour)
        self.strategy.writeCtaLog('{}开始下载:{} {}数据.URL:{}'.format(
            datetime.now(), symbol, period, url))

        content = None
        try:
            content = self.session.get(url).content.decode('gbk')
        except Exception as ex:
            self.strategy.writeCtaError('exception in get:{},{},{}'.format(
                url, str(ex), traceback.format_exc()))
            return False, ret_bars

        content = execjs.eval(content)
        if not isinstance(content, dict):
            self.strategy.writeCtaError(
                u'content is not dict format:{}'.format(content))
            return False, ret_bars

        bars = content.get('data', [])

        for i, bar in enumerate(bars):
            if len(bar) < 6:
                self.strategy.writeCtaError(
                    'error when import bar:{}'.format(bar))
                return False, ret_bars
            add_bar = CtaBarData()
            try:
                add_bar.vtSymbol = symbol
                add_bar.symbol = symbol
                add_bar.datetime = datetime.fromtimestamp(int(bar[0]) / 1000)
                add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                add_bar.tradingDay = add_bar.date
                add_bar.volume = float(bar[1])
                add_bar.close = float(bar[2])
                add_bar.high = float(bar[3])
                add_bar.low = float(bar[4])
                add_bar.open = float(bar[5])

            except Exception as ex:
                self.strategy.writeCtaError(
                    'error when convert bar:{},ex:{},t:{}'.format(
                        bar, str(ex), traceback.format_exc()))
                return False, ret_bars

            if start_dt is not None and bar.datetime < start_dt:
                continue

            ret_bars.append(add_bar)
            if callback is not None:
                callback(add_bar, bar_is_completed, bar_freq)

        return True, ret_bars
示例#12
0
    def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        if symbol not in symbol_list:
            self.strategy.writeCtaError(u'{} {}不在下载清单中'.format(datetime.now(), symbol))
            return

        url = u'https://www.okex.com/api/v1/kline.do?symbol={}&type={}'.format(symbol, period)
        self.strategy.writeCtaLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period,url))

        content = None
        try:
            content = self.session.get(url).content.decode('gbk')
        except Exception as ex:
            self.strategy.writeCtaError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
            return

        bars = execjs.eval(content)

        for i, bar in enumerate(bars):
            if len(bar) < 5:
                self.strategy.writeCtaError('error when import bar:{}'.format(bar))
                return False
            if i == 0:
                continue
            add_bar = CtaBarData()
            try:
                add_bar.vtSymbol = symbol
                add_bar.symbol = symbol
                add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
                add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                add_bar.tradingDay = add_bar.date
                add_bar.open = float(bar[1])
                add_bar.high = float(bar[2])
                add_bar.low = float(bar[3])
                add_bar.close = float(bar[4])
                add_bar.volume = float(bar[5])
            except Exception as ex:
                self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
                return False

            if start_dt is not None and bar.datetime < start_dt:
                continue

            if callback is not None:
                callback(add_bar, bar_is_completed, bar_freq)

        return True
示例#13
0
    def getMinBars(self, symbol, minute, callback,start_dt=None):
        """
        从sina加载最新的M5,M15,M30,M60数据
        :param symbol: (全路径得合约名称,先使用ctaTemplate.getFullSymbol()
        :param minute: 5,15,30,60
        :param callback: 回调函数
        :param start_dt: 开始时间,缺省为None
        :return: 成功/失败
        """
        if minute not in [5, 15, 30, 60]:
            return False

        sinaBars = []
        try:
            url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures{0}MinKLine?symbol={1}'.format(minute,symbol)
            self.strategy.writeCtaLog(u'从sina下载{0}的{1}分钟数据 {2}'.format(symbol,minute, url))
            responses = execjs.eval(self.session.get(url).content.decode('gbk').split('\n')[-1])
            dayVolume = 0

            for item in responses:
                bar = CtaBarData()

                bar.vtSymbol = symbol
                bar.symbol = symbol
                # bar的close time
                sinaDt = datetime.strptime(item[0], '%Y-%m-%d %H:%M:00')

                if minute in {5, 15} and sinaDt.hour == 10 and sinaDt.minute == 30:
                    # 这个是sina的bug,它把10:15 ~10:30也包含进来了
                    continue

                if minute == 60 and sinaDt.hour in {11,23,1,2} and sinaDt.minute == 30:
                    bar.datetime = sinaDt - timedelta(seconds=(minute /2)* 60)
                else:
                    bar.datetime = sinaDt - timedelta(seconds=minute * 60)

                if start_dt is not None:
                    if bar.datetime < start_dt:
                        continue
                bar.date = bar.datetime.strftime('%Y%m%d')
                bar.tradingDay = bar.date       # todo: 需要修改,晚上21点后,修改为next workingday
                bar.time = bar.datetime.strftime('%H:%M:00')

                bar.open = float(item[1])
                bar.high = float(item[2])
                bar.low = float(item[3])
                bar.close = float(item[4])
                bar.volume = int(item[5])

                # 计算dayvolume
                if not sinaBars:
                    dayVolume = bar.volume
                else:
                    if sinaBars[-1].datetime.hour == 14 and bar.datetime.hour !=14:
                        dayVolume = bar.volume
                    else:
                        dayVolume += bar.volume

                bar.dayVolume = dayVolume

                sinaBars.append(bar)

            if len(sinaBars)>0:
                self.strategy.writeCtaLog(u'从sina读取了{0}条{1}分钟数据'.format(len(sinaBars),minute))

                # 把sina的bar灌入回调函数
                for bar in sinaBars:
                    callback(bar)

                # 处理完毕,清空
                sinaBars = []

                return True
            else:
                self.strategy.writeCtaLog(u'从sina读取{0}分钟数据失败'.format(minute))
                return False

        except Exception as e:
            self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败:'+str(e))
            return False
示例#14
0
    def getMinBars2(self, symbol, minute, callback,start_dt=None):
        """
        从sina加载最新的M5,M15,M30,M60数据(针对中金所)
        :param symbol: (全路径得合约名称,先使用ctaTemplate.getFullSymbol()
        :param minute: 5,15,30,60
        :param callback: 回调函数
        :param start_dt: 开始时间,缺省为None
        :return: 成功/失败
        """
        if minute not in {5, 15, 30, 60}:
            return False

        sinaBars = []
        try:
            timestamp = (datetime.utcnow() - datetime(1970, 1, 1)).total_seconds()
            url=u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20_{1}_{0}_{2}=/InnerFuturesNewService.getFewMinLine?symbol={1}&type={0}'.format(minute,symbol,timestamp)
            #url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures{0}MinKLine?symbol={1}'.format(minute,symbol)
            self.strategy.writeCtaLog(u'从sina下载{0}的{1}分钟数据 {2}'.format(symbol,minute, url))
            response_data = self.session.get(url).content
            response_data = response_data.decode('gbk').split('=')[-1]
            response_data = response_data.replace('(', '')
            response_data = response_data.replace(');', '')
            responses = execjs.eval(response_data)

            dayVolume = 0

            for item in responses:
                bar = CtaBarData()

                bar.vtSymbol = symbol
                bar.symbol = symbol
                # bar的close time
                sinaDt = datetime.strptime(item['d'], '%Y-%m-%d %H:%M:00')

                if minute in {5, 15} and sinaDt.hour == 10 and sinaDt.minute == 30:
                    # 这个是sina的bug,它把10:15 ~10:30也包含进来了
                    continue

                if minute == 60 and sinaDt.hour in {11,23,1,2} and sinaDt.minute == 30:
                    bar.datetime = sinaDt - timedelta(seconds=(minute /2)* 60)
                else:
                    bar.datetime = sinaDt - timedelta(seconds=minute * 60)
                if start_dt is not None:
                    if bar.datetime < start_dt:
                        continue

                #bar.tradingDay = bar.date       # todo: 需要修改,晚上21点后,修改为next workingday
                if bar.datetime.hour >= 21:
                    if bar.datetime.isoweekday() == 5:
                        # 星期五=》星期一
                        bar.tradingDay = (bar.datetime + timedelta(days=3)).strftime('%Y-%m-%d')
                    else:
                        # 第二天
                        bar.tradingDay = (bar.datetime + timedelta(days=1)).strftime('%Y-%m-%d')
                elif bar.datetime.hour < 8 and bar.datetime.isoweekday() == 6:
                    # 星期六=>星期一
                    bar.tradingDay = (bar.datetime + timedelta(days=2)).strftime('%Y-%m-%d')
                else:
                    bar.tradingDay = bar.date

                bar.time = bar.datetime.strftime('%H:%M:00')

                bar.open = float(item['o'])
                bar.high = float(item['h'])
                bar.low = float(item['l'])
                bar.close = float(item['c'])
                bar.volume = int(item['v'])

                # 计算dayvolume
                if not sinaBars:
                    dayVolume = bar.volume
                else:
                    if sinaBars[-1].datetime.hour == 14 and bar.datetime.hour !=14:
                        dayVolume = bar.volume
                    else:
                        dayVolume += bar.volume

                bar.dayVolume = dayVolume

                sinaBars.append(bar)

            if len(sinaBars)>0:
                self.strategy.writeCtaLog(u'从sina读取了{0}条{1}分钟数据'.format(len(sinaBars),minute))

                # 把sina的bar灌入回调函数
                for bar in sinaBars:
                    callback(bar)

                # 处理完毕,清空
                sinaBars = []

                return True
            else:
                self.strategy.writeCtaLog(u'从sina读取{0}分钟数据失败'.format(minute))
                return False

        except Exception as e:
            self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败:'+str(e))
            return False
示例#15
0
    def get_bars(self,
                 symbol,
                 period,
                 callback,
                 bar_is_completed=False,
                 bar_freq=1,
                 start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        ret_bars = []
        symbol = symbol.upper()

        if symbol not in symbol_list:
            msg = u'{} {}不在下载清单中'.format(datetime.now(), symbol)
            if self.strategy:
                self.strategy.writeCtaError(msg)
            else:
                print(msg)
            return False, ret_bars

        if period not in period_list:
            self.writeError(u'{}不在下载时间周期范围:{} 内'.format(period, period_list))
            return False, ret_bars

        candleCount = 200
        url = u'https://www.bitmex.com/api/v1/trade/bucketed?binSize={}&partial=false&symbol={}&count={}&reverse=true'.format(
            period, symbol, candleCount)

        self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol,
                                                     period, url))

        content = None
        try:
            content = self.session.get(url).content.decode('gbk')
        except Exception as ex:
            self.writeError('exception in get:{},{},{}'.format(
                url, str(ex), traceback.format_exc()))
            return False, ret_bars

        bars = execjs.eval(content)

        if not isinstance(bars, list):
            self.writeError('返回数据不是list:{}'.format(content))
            return False, ret_bars
        # example bar:
        # {"timestamp":"2018-08-09T02:37:00.000Z","symbol":"XBTUSD","open":6313.5,"high":6313.5,"low":6313,"close":6313.5,
        # "trades":63,"volume":243870,"vwap":6313.5299,"lastSize":1000,"turnover":3862773286,"homeNotional":38.62773286,
        # "foreignNotional":243870}
        for i, bar in enumerate(bars):
            add_bar = CtaBarData()
            try:
                add_bar.vtSymbol = bar['symbol']
                add_bar.symbol = bar['symbol']
                raw_datetime = bar['timestamp']
                raw_datetime = raw_datetime.split('T')
                add_bar.date = raw_datetime[0]
                add_bar.time = raw_datetime[1][:-5]
                date = add_bar.date.split('-')
                time = add_bar.time.split(':')
                add_bar.datetime = datetime(int(date[0]), int(date[1]),
                                            int(date[2]), int(time[0]),
                                            int(time[1]), int(time[2]))
                add_bar.tradingDay = add_bar.date
                add_bar.open = bar['open']
                add_bar.high = bar['high']
                add_bar.low = bar['low']
                add_bar.close = bar['close']
                add_bar.volume = bar['volume']
            except Exception as ex:
                self.strategy.writeCtaError(
                    'error when convert bar:{},ex:{},t:{}'.format(
                        bar, str(ex), traceback.format_exc()))
                return False, ret_bars

            if start_dt is not None and bar.datetime < start_dt:
                continue

            if callback is not None:
                callback(add_bar, bar_is_completed, bar_freq)

            ret_bars.append(add_bar)

        return True, ret_bars
示例#16
0
    def getDayBars(self, symbol, callback,start_dt=None):
        """
        从sina加载最新的Day数据
        :param symbol: (全路径得合约名称,先使用ctaTemplate.getFullSymbol()
        :param callback: 回调函数
        :param start_dt: 开始时间,缺省为None
        :return: 成功/失败
        """
        sinaBars = []

        try:
            url = u'http://stock.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFuturesDailyKLine?symbol={0}'.format(symbol)
            self.strategy.writeCtaLog(u'从sina下载{0}的日K数据 {1}'.format(symbol, url))
            responses = execjs.eval(self.session.get(url).content.decode('gbk'))
            dayVolume = 0

            for item in responses:
                bar = CtaBarData()

                bar.vtSymbol = symbol
                bar.symbol = symbol
                # bar的close time
                bar.datetime = datetime.strptime(item['date'], '%Y-%m-%d')
                if start_dt is not None:
                    if bar.datetime < start_dt:
                        continue

                bar.date = bar.datetime.strftime('%Y%m%d')
                bar.tradingDay = bar.date

                bar.time = bar.datetime.strftime('%H:%M:00')

                bar.open = float(item['open'])
                bar.high = float(item['high'])
                bar.low = float(item['low'])
                bar.close = float(item['close'])
                bar.volume = int(item['volume'])
                bar.dayVolume = bar.volume

                sinaBars.append(bar)

            if len(sinaBars)>0:
                self.strategy.writeCtaLog(u'从sina读取了{0}条日线K数据'.format(len(sinaBars)))

                # 把sina的bar灌入回调函数
                for bar in sinaBars:
                    callback(bar)

                # 处理完毕,清空
                sinaBars = []

                return True
            else:
                self.strategy.writeCtaLog(u'从sina读取日线K数据失败')
                return False

        except Exception as e:
            self.strategy.writeCtaLog(u'加载Sina历史日线数据失败:'+str(e))
            return False
示例#17
0
文件: util_sina.py 项目: OceanMT/vnpy
    def getMinBars2(self, symbol, minute, callback):
        """# 从sina加载最新的M5,M15,M30,M60数据(针对中金所)"""

        if minute not in {5, 15, 30, 60}:
            return False

        sinaBars = []
        try:
            timestamp = (datetime.utcnow() -
                         datetime(1970, 1, 1)).total_seconds()
            url = u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20_{1}_{0}_{2}=/InnerFuturesNewService.getFewMinLine?symbol={1}&type={0}'.format(
                minute, symbol, timestamp)
            #url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures{0}MinKLine?symbol={1}'.format(minute,symbol)
            self.strategy.writeCtaLog(u'从sina下载{0}的{1}分钟数据 {2}'.format(
                symbol, minute, url))
            response_data = self.session.get(url).content
            response_data = response_data.decode('gbk').split('=')[-1]
            response_data = response_data.replace('(', '')
            response_data = response_data.replace(');', '')
            responses = execjs.eval(response_data)

            dayVolume = 0

            for item in responses:
                bar = CtaBarData()

                bar.vtSymbol = symbol
                bar.symbol = symbol
                # bar的close time
                sinaDt = datetime.strptime(item['d'], '%Y-%m-%d %H:%M:00')

                if minute in {5, 15
                              } and sinaDt.hour == 10 and sinaDt.minute == 30:
                    # 这个是sina的bug,它把10:15 ~10:30也包含进来了
                    continue

                if minute == 60 and sinaDt.hour in {11, 23, 1, 2
                                                    } and sinaDt.minute == 30:
                    bar.datetime = sinaDt - timedelta(seconds=(minute / 2) *
                                                      60)
                else:
                    bar.datetime = sinaDt - timedelta(seconds=minute * 60)

                bar.date = bar.datetime.strftime('%Y%m%d')
                bar.tradingDay = bar.date  # todo: 需要修改,晚上21点后,修改为next workingday
                bar.time = bar.datetime.strftime('%H:%M:00')

                bar.open = float(item['o'])
                bar.high = float(item['h'])
                bar.low = float(item['l'])
                bar.close = float(item['c'])
                bar.volume = int(item['v'])

                # 计算dayvolume
                if not sinaBars:
                    dayVolume = bar.volume
                else:
                    if sinaBars[
                            -1].datetime.hour == 14 and bar.datetime.hour != 14:
                        dayVolume = bar.volume
                    else:
                        dayVolume += bar.volume

                bar.dayVolume = dayVolume

                sinaBars.append(bar)

            if len(sinaBars) > 0:
                self.strategy.writeCtaLog(u'从sina读取了{0}条{1}分钟数据'.format(
                    len(sinaBars), minute))

                # 把sina的bar灌入回调函数
                for bar in sinaBars:
                    callback(bar)

                # 处理完毕,清空
                sinaBars = []

                return True
            else:
                self.strategy.writeCtaLog(u'从sina读取{0}分钟数据失败'.format(minute))
                return False

        except Exception as e:
            self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败:' + str(e))
            return False
示例#18
0
    def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        ret_bars = []
        if symbol not in symbol_list:
            self.strategy.writeCtaError(u'{} {}不在下载清单中'.format(datetime.now(), symbol))
            return  False,ret_bars

        url = u'https://www.okex.com/api/v1/kline.do?symbol={}&type={}'.format(symbol, period)
        self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period,url))

        content = None
        try:
            content = self.session.get(url).content.decode('gbk')
        except Exception as ex:
            self.strategy.writeCtaError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
            return False,ret_bars

        bars = execjs.eval(content)
        bar_len = len(bars)
        for i, bar in enumerate(bars):
            if len(bar) < 5:
                self.strategy.writeCtaError('error when import bar:{}'.format(bar))
                return False,ret_bars
            if i == 0:
                continue
            add_bar = CtaBarData()
            try:
                add_bar.vtSymbol = symbol
                add_bar.symbol = symbol
                add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
                add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                add_bar.tradingDay = add_bar.date
                add_bar.open = float(bar[1])
                add_bar.high = float(bar[2])
                add_bar.low = float(bar[3])
                add_bar.close = float(bar[4])
                add_bar.volume = float(bar[5])
                ret_bars.append(add_bar)
            except Exception as ex:
                self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
                return False,ret_bars

            if start_dt is not None and bar.datetime < start_dt:
                continue

            if callback is not None:
                # 最后一个bar,可能是不完整的,强制修改
                if i == bar_len -1 and bar_is_completed:
                    # 根据秒数算的话,要+1,例如13:31,freq=31,第31根bar
                    freq = int((datetime.now() - add_bar.datetime).total_seconds()/60)+1
                    callback(add_bar,False,freq)
                else:
                    callback(add_bar, bar_is_completed, bar_freq)

        return True,ret_bars
示例#19
0
文件: util_sina.py 项目: OceanMT/vnpy
    def getDayBars(self, symbol, callback):
        """# 从sina加载最新的Day数据"""

        sinaBars = []

        try:

            url = u'http://stock.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFuturesDailyKLine?symbol={0}'.format(
                symbol)
            self.strategy.writeCtaLog(u'从sina下载{0}的日K数据 {1}'.format(
                symbol, url))
            responses = execjs.eval(
                self.session.get(url).content.decode('gbk'))
            dayVolume = 0

            for item in responses:
                bar = CtaBarData()

                bar.vtSymbol = symbol
                bar.symbol = symbol
                # bar的close time
                bar.datetime = datetime.strptime(item['date'], '%Y-%m-%d')
                bar.date = bar.datetime.strftime('%Y%m%d')
                bar.tradingDay = bar.date  # todo: 需要修改,晚上21点后,修改为next workingday
                bar.time = bar.datetime.strftime('%H:%M:00')

                bar.open = float(item['open'])
                bar.high = float(item['high'])
                bar.low = float(item['low'])
                bar.close = float(item['close'])
                bar.volume = int(item['volume'])
                bar.dayVolume = bar.volume

                sinaBars.append(bar)

            if len(sinaBars) > 0:
                self.strategy.writeCtaLog(u'从sina读取了{0}条日线K数据'.format(
                    len(sinaBars)))

                # 把sina的bar灌入回调函数
                for bar in sinaBars:
                    callback(bar)

                # 处理完毕,清空
                sinaBars = []

                return True
            else:
                self.strategy.writeCtaLog(u'从sina读取日线K数据失败')
                return False

        except Exception as e:
            self.strategy.writeCtaLog(u'加载Sina历史日线数据失败:' + str(e))
            return False
示例#20
0
 def get_bars(self, symbol, period, callback, bar_is_completed=False, bar_freq=1, start_dt=None):
     """
     返回k线数据
     symbol:合约b tc:next_week:10
     period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
     """
     ret_bars = []
     status, bars = self.get_data(symbol, period, start_dt)
     if not status:
         return False, bars
     for i, bar in enumerate(bars):
         if len(bar) < 5:
             self.strategy.writeCtaError('error when import bar:{}'.format(bar))
             return False
         add_bar = CtaBarData()
         try:
             time = bar[0].replace('T', ' ')[:-5]
             add_bar.vtSymbol = symbol
             add_bar.symbol = symbol
             add_bar.datetime = datetime.strptime(time, '%Y-%m-%d %H:%M:%S') + timedelta(hours=8)
             add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
             add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
             add_bar.tradingDay = add_bar.date
             add_bar.open = float(bar[1])
             add_bar.high = float(bar[2])
             add_bar.low = float(bar[3])
             add_bar.close = float(bar[4])
             add_bar.volume = float(bar[6])    # 这里:5 是交易量,6是交易量转化BTC或LTC数量
         except Exception as ex:
             self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
             return False, ret_bars
         ret_bars.append(add_bar)
         if callback is not None:
             callback(add_bar, bar_is_completed, bar_freq)
     return True, ret_bars
示例#21
0
    def get_bars(self,
                 symbol,
                 period,
                 callback,
                 bar_is_completed=False,
                 bar_freq=1,
                 start_dt=None):
        """
        返回k线数据
        symbol:合约
        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
        """
        ret_bars = []
        symbol_pair = systemSymbolToVnSymbol(symbol)

        if symbol_pair not in symbol_list:
            msg = u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair)
            if self.strategy:
                self.strategy.writeCtaError(msg)
            else:
                print(msg)
            return False, ret_bars
        symbol = symbol_pair.replace('_', '')
        if period == '1hour':
            period = '60min'

        if period not in period_list:
            self.writeError(u'{}不在下载时间周期范围:{} 内'.format(period, period_list))
            return False, ret_bars

        url = u'https://api.huobipro.com/market/history/kline?symbol={}&period={}& size=2000&AccessKeyId=fff-xxx-ssss-kkk'.format(
            symbol, period)

        self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(),
                                                     symbol_pair, period, url))

        content = None
        try:
            content = self.session.get(url).content.decode('gbk')
        except Exception as ex:
            self.writeError('exception in get:{},{},{}'.format(
                url, str(ex), traceback.format_exc()))
            return False, ret_bars

        ret_dict = execjs.eval(content)
        bars = ret_dict.get('data', None)

        if not isinstance(bars, list):
            self.writeError('返回数据不是list:{}'.format(content))
            return False, ret_bars
        bars.reverse()

        for i, bar in enumerate(bars):
            add_bar = CtaBarData()
            try:
                add_bar.vtSymbol = symbol
                add_bar.symbol = symbol
                add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
                add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
                add_bar.tradingDay = add_bar.date
                add_bar.open = float(bar[1])
                add_bar.high = float(bar[2])
                add_bar.low = float(bar[3])
                add_bar.close = float(bar[4])
                add_bar.volume = float(bar[5])
            except Exception as ex:
                self.strategy.writeCtaError(
                    'error when convert bar:{},ex:{},t:{}'.format(
                        bar, str(ex), traceback.format_exc()))
                return False, ret_bars

            if start_dt is not None and bar.datetime < start_dt:
                continue

            if callback is not None:
                callback(add_bar, bar_is_completed, bar_freq)

        return True, ret_bars