Quant_Code/2.数据下载与处理/download_data.ipynb

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 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 配置迅投研数据服务\n",
    "from vnpy.trader.setting import SETTINGS\n",
    "\n",
    "SETTINGS[\"datafeed.name\"] = \"xt\"\n",
    "SETTINGS[\"datafeed.username\"] = \"token\"\n",
    "SETTINGS[\"datafeed.password\"] = \"ef326f853a744c58572f0158d470912c38a09552\""
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 加载功能模块\n",
    "from datetime import datetime\n",
    "\n",
    "from vnpy.trader.datafeed import get_datafeed\n",
    "from vnpy.trader.object import HistoryRequest, Exchange, Interval\n",
    "\n",
    "from vnpy_sqlite import Database as SqliteDatabase\n",
    "#from elite_database import Database as EliteDatabase\n",
    "\n",
    "#增加\n",
    "import pandas as pd"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [
    {
     "data": {
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     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 初始化数据服务\n",
    "datafeed = get_datafeed()\n",
    "datafeed.init()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 交易所映射关系\n",
    "EXCHANGE_XT2VT = {\n",
    "    \"SH\": Exchange.SSE,\n",
    "    \"SZ\": Exchange.SZSE,\n",
    "    \"BJ\": Exchange.BSE,\n",
    "    \"SF\": Exchange.SHFE,\n",
    "    \"IF\": Exchange.CFFEX,\n",
    "    \"INE\": Exchange.INE,\n",
    "    \"DF\": Exchange.DCE,\n",
    "    \"ZF\": Exchange.CZCE,\n",
    "    \"GF\": Exchange.GFEX\n",
    "}"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "数据长度 41336\n"
     ]
    }
   ],
   "source": [
    "# 查询期货历史数据\n",
    "req = HistoryRequest(\n",
    "    symbol=\"rb00\",    # 加权指数 \n",
    "    # symbol=\"IF00\",      # 主力连续（未平滑）\n",
    "    # exchange=Exchange.CFFEX,\n",
    "    exchange = EXCHANGE_XT2VT[\"SF\"],\n",
    "    start=datetime(2023, 1, 1),\n",
    "    end=datetime(2023, 11, 24),#end=datetime.now(),\n",
    "    interval=Interval.TICK\n",
    ")\n",
    "\n",
    "ticks = datafeed.query_tick_history(req)\n",
    "print(\"数据长度\", len(ticks))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 创建Elite数据库实例并写入数据\n",
    "#db2 = EliteDatabase()\n",
    "#db2.save_bar_data(bars)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df = pd.DataFrame(ticks)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 创建CSV文件并写入数据\n",
    "filepath = \"rb00_11.csv\" # CSV文件保存路径及文件名\n",
    "df.to_csv(filepath, index=False) # index参数设置为False表示不包含索引列\n",
    "#df.to_csv(filepath, mode='a', index=False, header=False)  # index参数设置为False表示不包含索引列"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 读取CSV文件\n",
    "data = pd.read_csv(\"IC0.csv\")\n",
    "# 对数据进行排序\n",
    "sorted_data = data.sort_values(by='datetime')\n",
    "# 将排序结果写入CSV文件\n",
    "sorted_data.to_csv('sort_IC00.csv', index=False)"
   ]
  }
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