增加交易策略、交易指标、量化库代码等文件夹

5.课程代码/2.Option_spread_strategy/使用文档/27/test.ipynb

@@ -0,0 +1,69 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from update_rqdata_data import *"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "contracts = update_contract_data(Exchange.CFFEX)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "print(contracts[0])\n",
+    "print(contracts[-1])"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "update_bar_data()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.2"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

5.课程代码/2.Option_spread_strategy/使用文档/27/update_rqdata_data.py

@@ -0,0 +1,154 @@
+from datetime import datetime
+
+import rqdatac
+import pandas as pd
+
+from vnpy.trader.database import BarOverview
+from vnpy.trader.datafeed import get_datafeed
+from vnpy.trader.object import ContractData, BarData, HistoryRequest
+from vnpy.trader.constant import Exchange, Product, OptionType, Interval
+
+from elite_database import EliteDatabase
+
+
+# 初始化数据服务
+datafeed = get_datafeed()
+datafeed.init()
+
+
+# 交易所映射关系
+EXCHANGE_RQ2VT = {
+    "XSHG": Exchange.SSE,
+    "XSHE": Exchange.SZSE,
+    "SHFE": Exchange.SHFE,
+    "CFFEX": Exchange.CFFEX,
+    "INE": Exchange.INE,
+    "DCE": Exchange.DCE,
+    "CZCE": Exchange.CZCE,
+    "GFEX": Exchange.GFEX
+}
+
+
+def update_contract_data(exchange: Exchange) -> None:
+    """更新合约数据"""
+    # 查询期权信息
+    df: pd.DataFrame = rqdatac.all_instruments(type="Option")
+
+    # 转换合约对象
+    contracts: list[ContractData] = []
+
+    for tp in df.itertuples():
+        # 交易所过滤
+        if exchange != EXCHANGE_RQ2VT[tp.exchange]:
+            continue
+
+        # 确认期权类型
+        if tp.option_type == "C":
+            option_type = OptionType.CALL
+        else:
+            option_type = OptionType.PUT
+
+        # 获取最小价格变动
+        pricetick: float = rqdatac.instruments(tp.order_book_id).tick_size()
+
+        # 创建期权对象
+        contract = ContractData(
+            symbol=tp.trading_code,
+            exchange=exchange,
+            name=tp.trading_code,
+            product=Product.OPTION,
+            size=tp.contract_multiplier,
+            pricetick=pricetick,
+            min_volume=tp.round_lot,
+            option_strike=tp.strike_price,
+            option_listed=datetime.strptime(tp.listed_date, "%Y-%m-%d"),
+            option_expiry=datetime.strptime(tp.maturity_date, "%Y-%m-%d"),
+            option_portfolio=tp.underlying_symbol,
+            option_index=str(tp.strike_price),
+            option_underlying=tp.trading_code.split("-")[0],
+            option_type=option_type,
+            gateway_name="RQ"
+        )
+
+        contracts.append(contract)
+
+    # 保存合约信息到数据库
+    database: EliteDatabase = EliteDatabase()
+    database.save_contract_data(contracts)
+
+    print("合约信息更新成功", len(contracts))
+
+    return contracts
+
+
+def update_bar_data() -> None:
+    """更新K线数据"""
+    # 初始化数据服务
+    datafeed = get_datafeed()
+    datafeed.init()
+
+    # 获取当前时间戳
+    now: datetime = datetime.now()
+
+    # 获取合约信息
+    database: EliteDatabase = EliteDatabase()
+    contracts: list[ContractData] = database.load_contract_data()
+
+    # 获取数据汇总
+    data: list[BarOverview] = database.get_bar_overview()
+
+    overviews: dict[str, BarOverview] = {}
+    for o in data:
+        # 只保留分钟线数据
+        if o.interval != Interval.MINUTE:
+            continue
+
+        vt_symbol: str = f"{o.symbol}.{o.exchange.value}"
+        overviews[vt_symbol] = o
+
+    # 遍历所有合约信息
+    for contract in contracts:
+        # 如果没有到期时间，则跳过
+        if not contract.option_expiry:
+            continue
+
+        # 查询数据汇总
+        overview: BarOverview = overviews.get(contract.vt_symbol, None)
+
+        # 如果已经到期，则跳过
+        if overview and contract.option_expiry < now:
+            continue
+
+        # 初始化查询开始的时间
+        start: datetime = datetime(2018, 1, 1)
+
+        # 实现增量查询
+        if overview:
+            start = overview.end
+
+        # 执行数据查询和更新入库
+        req: HistoryRequest = HistoryRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            start=start,
+            end=datetime.now(),
+            interval=Interval.MINUTE
+        )
+
+        bars: list[BarData] = datafeed.query_bar_history(req)
+
+        if bars:
+            database.save_bar_data(bars)
+
+            start_dt: datetime = bars[0].datetime
+            end_dt: datetime = bars[-1].datetime
+            msg: str = f"{contract.vt_symbol}数据更新成功，{start_dt} - {end_dt}"
+            print(msg)
+
+
+if __name__ == "__main__":
+    # 更新合约信息
+    update_contract_data(Exchange.CFFEX)
+
+    # 更新历史数据
+    update_bar_data()