f925dff46b
- Added dingdanliu_nb_mflow for improved order processing - Updated related scripts and configurations to support new functionality
135 lines
3.6 KiB
Python
135 lines
3.6 KiB
Python
from multiprocessing import Process
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from datetime import datetime
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from vnpy.trader.database import BarOverview
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from vnpy.trader.datafeed import get_datafeed
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from vnpy.trader.database import get_database
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from vnpy.trader.object import BarData, HistoryRequest
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from vnpy.trader.constant import Exchange, Interval
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import re
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# 交易所映射关系
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EXCHANGE_XT2VT = {
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"SH": Exchange.SSE,
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"SZ": Exchange.SZSE,
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"BJ": Exchange.BSE,
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"SF": Exchange.SHFE,
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"IF": Exchange.CFFEX,
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"INE": Exchange.INE,
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"DF": Exchange.DCE,
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"ZF": Exchange.CZCE,
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"GF": Exchange.GFEX
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}
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# 开始查询时间
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START_TIME = datetime(2018, 1, 1)
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def update_history_data() -> None:
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"""更新历史合约信息"""
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# 在子进程中加载xtquant
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from xtquant.xtdata import download_history_data
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# 初始化数据服务
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datafeed = get_datafeed()
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datafeed.init()
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# 下载历史合约信息
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download_history_data("", "historycontract")
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print("xtquant历史合约信息下载完成")
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def update_bar_data(
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sector_name: str,
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interval: Interval = Interval.MINUTE
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) -> None:
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"""更新K线数据"""
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# 在子进程中加载xtquant
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from xtquant.xtdata import (
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get_stock_list_in_sector,
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get_instrument_detail
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)
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# 初始化数据服务
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datafeed = get_datafeed()
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datafeed.init()
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# 连接数据库
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database = get_database()
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# 获取当前时间戳
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now: datetime = datetime.now()
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# 获取本地已有数据汇总
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data: list[BarOverview] = database.get_bar_overview()
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overviews: dict[str, BarOverview] = {}
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for o in data:
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vt_symbol: str = f"{o.symbol}.{o.exchange.value}"
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overviews[vt_symbol] = o
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# 查询交易所历史合约代码
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xt_symbols: list[str] = get_stock_list_in_sector(sector_name)
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# 遍历列表查询合约信息
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for xt_symbol in xt_symbols:
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# 查询合约信息
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data: dict = get_instrument_detail(xt_symbol, True)
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# 获取合约到期时间
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expiry: datetime = None
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if data["ExpireDate"]:
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expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d")
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# 拆分迅投研代码
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symbol, xt_exchange = xt_symbol.split(".")
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symbol_main = re.split(r'(\d+)', symbol)[0]
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# 生成本地代码
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exchange: Exchange = EXCHANGE_XT2VT[xt_exchange]
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vt_symbol: str = f"{symbol_main}+'JQ00'.{exchange.value}" or f"{symbol_main}+'00'.{exchange.value}"
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# 查询数据汇总
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overview: BarOverview = overviews.get(vt_symbol, None)
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# 如果已经到期，则跳过
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if overview and expiry and expiry < now:
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continue
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# 实现增量查询
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start: datetime = START_TIME
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if overview:
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start = overview.end
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# 执行数据查询和更新入库
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req: HistoryRequest = HistoryRequest(
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symbol=symbol,
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exchange=exchange,
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start=start,
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end=now,
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interval=interval
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)
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bars: list[BarData] = datafeed.query_bar_history(req)
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if bars:
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database.save_bar_data(bars)
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start_dt: datetime = bars[0].datetime
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end_dt: datetime = bars[-1].datetime
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msg: str = f"{vt_symbol}数据更新成功，{start_dt} - {end_dt}"
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print(msg)
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if __name__ == "__main__":
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# 使用子进程更新历史合约信息
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process: Process = Process(target=update_history_data)
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process.start()
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process.join() # 等待子进程执行完成
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# 更新历史数据
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update_bar_data("上期所")
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update_bar_data("过期上期所") |