Quant_Code/2.数据下载与处理/update_data.py

from multiprocessing import Process
from datetime import datetime

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 vnpy.trader.setting import SETTINGS

from elite_database import EliteDatabase


# 配置迅投研数据服务
SETTINGS["datafeed.name"] = "xt"
SETTINGS["datafeed.username"] = "token"
SETTINGS["datafeed.password"] = ""


# 交易所映射关系
EXCHANGE_XT2VT = {
    "SH": Exchange.SSE,
    "SZ": Exchange.SZSE,
    "BJ": Exchange.BSE,
    "SF": Exchange.SHFE,
    "IF": Exchange.CFFEX,
    "INE": Exchange.INE,
    "DF": Exchange.DCE,
    "ZF": Exchange.CZCE,
    "GF": Exchange.GFEX
}


def update_history_data() -> None:
    """更新历史合约信息"""
    # 在子进程中加载xtquant
    from xtquant.xtdata import download_history_data

    # 初始化数据服务
    datafeed = get_datafeed()
    datafeed.init()

    # 下载历史合约信息
    download_history_data("", "historycontract")

    print("xtquant历史合约信息下载完成")


def update_contract_data(sector_name: str) -> None:
    """更新合约数据"""
    # 在子进程中加载xtquant
    from xtquant.xtdata import (
        get_stock_list_in_sector,
        get_instrument_detail
    )

    # 初始化数据服务
    datafeed = get_datafeed()
    datafeed.init()

    # 查询中金所历史合约代码
    vt_symbols: list[str] = get_stock_list_in_sector(sector_name)

    # 遍历列表查询合约信息
    contracts: list[ContractData] = []

    for xt_symbol in vt_symbols:
        # 拆分XT代码
        symbol, xt_exchange = xt_symbol.split(".")

        # 筛选期权合约合约
        if "-" in symbol:
            data: dict = get_instrument_detail(xt_symbol, True)

            type_str = data["InstrumentID"].split("-")[1]
            if type_str == "C":
                option_type = OptionType.CALL
            elif type_str == "P":
                option_type = OptionType.PUT

            option_underlying: str = data["InstrumentID"].split("-")[0]
                
            contract: ContractData = ContractData(
                symbol=data["InstrumentID"],
                exchange=EXCHANGE_XT2VT[xt_exchange.replace("O", "")],
                name=data["InstrumentName"],
                product=Product.OPTION,
                size=data["VolumeMultiple"],
                pricetick=data["PriceTick"],
                min_volume=data["MinLimitOrderVolume"],
                option_strike=data["ExtendInfo"]["OptExercisePrice"],
                option_listed=datetime.strptime(data["OpenDate"], "%Y%m%d"),
                option_expiry=datetime.strptime(data["ExpireDate"], "%Y%m%d"),
                option_underlying=option_underlying,
                option_portfolio=data["ProductID"],
                option_index=str(data["ExtendInfo"]["OptExercisePrice"]),
                option_type=option_type,
                gateway_name="XT"
            )
            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))


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__":
    # 使用子进程更新历史合约信息
    process: Process = Process(target=update_history_data)
    process.start()
    process.join()      # 等待子进程执行完成

    # 更新合约信息
    update_contract_data("中金所")
    update_contract_data("过期中金所")

    # 更新历史数据
    # update_bar_data()