Python VtBarData.volume方法代码示例

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def loadTdxCsv(fileName, dbName, symbol):
    """将通达信导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    import csv
    
    start = time()
    print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
    
    # 锁定集合，并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)   
    
    # 读取数据和插入到数据库
    reader = csv.reader(file(fileName, 'r'))
    for d in reader:
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d[2])
        bar.high = float(d[3])
        bar.low = float(d[4])
        bar.close = float(d[5])
        bar.date = datetime.strptime(d[0], '%Y/%m/%d').strftime('%Y%m%d')
        bar.time = d[1][:2]+':'+d[1][2:4]+':00'
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
        bar.volume = d[6]
        bar.openInterest = d[7]

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)  
        print bar.date, bar.time
    
    print u'插入完毕，耗时：%s' % (time()-start)

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
 def loadRqBar(self, symbol, days):
     """从RQData加载K线数据"""
     endDate = datetime.now()
     startDate = endDate - timedelta(days)
     
     df = self.rq.get_price(symbol.upper(), 
                            frequency='1m', 
                            fields=['open', 'high', 'low', 'close', 'volume'],
                            start_date=startDate,
                            end_date=endDate)
     
     l = []
     
     for ix, row in df.iterrows():
         bar = VtBarData()
         bar.symbol = symbol
         bar.vtSymbol = symbol
         bar.open = row['open']
         bar.high = row['high']
         bar.low = row['low']
         bar.close = row['close']
         bar.volume = row['volume']
         bar.datetime = row.name
         bar.date = bar.datetime.strftime("%Y%m%d")
         bar.time = bar.datetime.strftime("%H:%M:%S")
         
         l.append(bar)
     
     return l

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def loadMcCsv(fileName, dbName, symbol):
    """将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
    import csv
    
    start = time()
    print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
    
    # 锁定集合，并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort']) 
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)   
    
    # 读取数据和插入到数据库
    reader = csv.DictReader(file(fileName, 'r'))
    for d in reader:
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d['Open'])
        bar.high = float(d['High'])
        bar.low = float(d['Low'])
        bar.close = float(d['Close'])
        bar.date = datetime.strptime(d['Date'], '%Y-%m-%d').strftime('%Y%m%d')
        bar.time = d['Time']
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
        bar.volume = d['TotalVolume']

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)  
        print bar.date, bar.time
    
    print u'插入完毕，耗时：%s' % (time()-start)

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def loadOKEXCsv(fileName, dbName, symbol):
    """将OKEX导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    start = time()
    print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)

    # 锁定集合，并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

    # 读取数据和插入到数据库
    reader = csv.reader(open(fileName,"r"))
    for d in reader:
        if len(d[1]) > 10:
            bar = VtBarData()
            bar.vtSymbol = symbol
            bar.symbol = symbol

            bar.datetime = datetime.strptime(d[1], '%Y-%m-%d %H:%M:%S')
            bar.date = bar.datetime.date().strftime('%Y%m%d')
            bar.time = bar.datetime.time().strftime('%H:%M:%S')

            bar.open = float(d[2])
            bar.high = float(d[3])
            bar.low = float(d[4])
            bar.close = float(d[5])

            bar.volume = float(d[6])
            bar.tobtcvolume = float(d[7])

            flt = {'datetime': bar.datetime}
            collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
            print('%s \t %s' % (bar.date, bar.time))

    print u'插入完毕，耗时：%s' % (time()-start)

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
    def downloadEquityDailyBar(self, symbol):
        """
        下载股票的日行情，symbol是股票代码
        """
        print u'开始下载%s日行情' %symbol
        
        # 查询数据库中已有数据的最后日期
        cl = self.dbClient[DAILY_DB_NAME][symbol]
        cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
        if cx.count():
            last = cx[0]
        else:
            last = ''
        
        # 开始下载数据
        path = 'api/market/getMktEqud.json'
            
        params = {}
        params['ticker'] = symbol
        if last:
            params['beginDate'] = last['date']
        
        data = self.datayesClient.downloadData(path, params)
        
        if data:
            # 创建datetime索引
            self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                                unique=True)                

            for d in data:
                bar = VtBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
                    bar.open = d.get('openPrice', 0)
                    bar.high = d.get('highestPrice', 0)
                    bar.low = d.get('lowestPrice', 0)
                    bar.close = d.get('closePrice', 0)
                    bar.date = d.get('tradeDate', '').replace('-', '')
                    bar.time = ''
                    bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
                    bar.volume = d.get('turnoverVol', 0)
                except KeyError:
                    print d
                
                flt = {'datetime': bar.datetime}
                self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)            
            
            print u'%s下载完成' %symbol
        else:
            print u'找不到合约%s' %symbol    

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def downloadEquityDailyBarts(self, symbol):
    """
    下载股票的日行情，symbol是股票代码
    """
    print u'开始下载%s日行情' %symbol
    
    # 查询数据库中已有数据的最后日期
    cl = self.dbClient[DAILY_DB_NAME][symbol]
    cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
    if cx.count():
        last = cx[0]
    else:
        last = ''
    # 开始下载数据
    import tushare as ts
    
    if last:
        start = last['date'][:4]+'-'+last['date'][4:6]+'-'+last['date'][6:]
        
    data = ts.get_k_data(symbol,start)
    
    if not data.empty:
        # 创建datetime索引
        self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                            unique=True)                
        
        for index, d in data.iterrows():
            bar = VtBarData()
            bar.vtSymbol = symbol
            bar.symbol = symbol
            try:
                bar.open = d.get('open')
                bar.high = d.get('high')
                bar.low = d.get('low')
                bar.close = d.get('close')
                bar.date = d.get('date').replace('-', '')
                bar.time = ''
                bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
                bar.volume = d.get('volume')
            except KeyError:
                print d
            
            flt = {'datetime': bar.datetime}
            self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)            
        
        print u'%s下载完成' %symbol
    else:
        print u'找不到合约%s' %symbol

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def generateVtBar(symbol, d):
    """生成K线"""
    bar = VtBarData()
    
    bar.symbol = symbol
    bar.vtSymbol = symbol
    bar.datetime = datetime.datetime.strptime(d['time_open'], '%Y-%m-%dT%H:%M:%S.%f0Z')
    bar.date = bar.datetime.strftime('%Y%m%d')
    bar.time = bar.datetime.strftime('%H:%M:%S')
    bar.open = d['price_open']
    bar.high = d['price_high']
    bar.low = d['price_low']
    bar.close = d['price_close']
    bar.volume = d['volume_traded']
    
    return bar

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def generateVtBar(row, symbol):
    """生成K线"""
    bar = VtBarData()
    
    bar.symbol = symbol
    bar.vtSymbol = symbol
    bar.open = row['open']
    bar.high = row['high']
    bar.low = row['low']
    bar.close = row['close']
    bar.volume = row['volume']
    bar.datetime = row.name
    bar.date = bar.datetime.strftime("%Y%m%d")
    bar.time = bar.datetime.strftime("%H:%M:%S")
    
    return bar

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def generateVtBar(symbol, d):
    """生成K线"""
    bar = VtBarData()
    
    bar.symbol = symbol
    bar.vtSymbol = symbol
    bar.open = d['open']
    bar.high = d['high']
    bar.low = d['low']
    bar.close = d['close']
    bar.volume = d['volume']
    bar.openInterest = d['open_oi']
    bar.datetime = datetime.fromtimestamp(d['datetime']/1000000000)
    bar.date = bar.datetime.strftime("%Y%m%d")
    bar.time = bar.datetime.strftime("%H:%M:%S")
    
    return bar

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def generateVtBar(row):
    """生成K线"""
    bar = VtBarData()
    
    bar.symbol = row['code']
    bar.exchange = generateExchange(bar.symbol)
    bar.vtSymbol = '.'.join([bar.symbol, bar.exchange])
    bar.open = row['open']
    bar.high = row['high']
    bar.low = row['low']
    bar.close = row['close']
    bar.volume = row['vol']
    bar.datetime = row.name
    bar.date = bar.datetime.strftime("%Y%m%d")
    bar.time = bar.datetime.strftime("%H:%M:%S")
    
    return bar

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def generateVtBar(d):
    """生成K线"""
    bar = VtBarData()
    
    bar.symbol = d['symbol']
    bar.vtSymbol = d['symbol']
    bar.date = d['date']
    bar.time = ':'.join([d['time'][:2], d['time'][2:]])
    bar.open = d['open']
    bar.high = d['high']
    bar.low = d['low']
    bar.close = d['close']
    bar.volume = d['volume']
    bar.openInterest = d['openInterest']
    bar.datetime = datetime.datetime.strptime(' '.join([bar.date, bar.time]), '%Y%m%d %H:%M')    
    
    return bar

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def generateVtBar(symbol, d):
    """生成K线"""
    l = symbol.split('_')
    bar = VtBarData()
    bar.symbol = l[-2] + l[-1]
    bar.exchange = l[0]
    bar.vtSymbol = '/'.join([bar.symbol, bar.exchange])
    bar.datetime = datetime.datetime.strptime(d['time_open'], '%Y-%m-%dT%H:%M:%S.%f0Z')
    bar.date = bar.datetime.strftime('%Y%m%d')
    bar.time = bar.datetime.strftime('%H:%M:%S')
    bar.open = d['price_open']
    bar.high = d['price_high']
    bar.low = d['price_low']
    bar.close = d['price_close']
    bar.volume = d['volume_traded']
    
    return bar

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def generateVtBar(vtSymbol, d):
    """生成K线"""
    bar = VtBarData()
    bar.vtSymbol = vtSymbol
    bar.symbol, bar.exchange = bar.vtSymbol.split('.')
    
    bar.datetime = datetime.datetime.fromtimestamp(d['time'])
    bar.date = bar.datetime.strftime('%Y%m%d')
    bar.time = bar.datetime.strftime('%H:%M:%S')
    
    bar.open = d['open']
    bar.high = d['high']
    bar.low = d['low']
    bar.close = d['close']
    bar.volume = d['volumeto']
    
    return bar

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
    def downloadFuturesIntradayBar(self, symbol):
        """下载期货的日内分钟行情"""
        print u'开始下载%s日内分钟行情' %symbol
                
        # 日内分钟行情只有具体合约
        path = 'api/market/getFutureBarRTIntraDay.json'
        
        params = {}
        params['instrumentID'] = symbol
        params['unit'] = 1
        
        data = self.datayesClient.downloadData(path, params)
        
        if data:
            today = datetime.now().strftime('%Y%m%d')
            
            # 创建datetime索引
            self.dbClient[MINUTE_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
                                                                      unique=True)                

            for d in data:
                bar = VtBarData()
                bar.vtSymbol = symbol
                bar.symbol = symbol
                try:
                    bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
                    bar.open = d.get('openPrice', 0)
                    bar.high = d.get('highestPrice', 0)
                    bar.low = d.get('lowestPrice', 0)
                    bar.close = d.get('closePrice', 0)
                    bar.date = today
                    bar.time = d.get('barTime', '')
                    bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M')
                    bar.volume = d.get('totalVolume', 0)
                    bar.openInterest = 0
                except KeyError:
                    print d
                
                flt = {'datetime': bar.datetime}
                self.dbClient[MINUTE_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)            
            
            print u'%s下载完成' %symbol
        else:
            print u'找不到合约%s' %symbol   

# 需要导入模块: from vnpy.trader.vtObject import VtBarData [as 别名]
# 或者: from vnpy.trader.vtObject.VtBarData import volume [as 别名]
def loadTdxLc1(fileName, dbName, symbol):
    """将通达信导出的lc1格式的历史分钟数据插入到Mongo数据库中"""
    from struct import *

    start = time()

    print u'开始读取通达信Lc1文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
    
    # 锁定集合，并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)  

    #读取二进制文件
    ofile=open(fileName,'rb')
    buf=ofile.read()
    ofile.close()
    
    num=len(buf)
    no=num/32
    b=0
    e=32  
    dl = []
    for i in xrange(no):
        a=unpack('hhfffffii',buf[b:e])
        b=b+32
        e=e+32
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = a[2]
        bar.high = a[3]
        bar.low = a[4]
        bar.close = a[5]
        bar.date = str(int(a[0]/2048)+2004)+str(int(a[0]%2048/100)).zfill(2)+str(a[0]%2048%100).zfill(2)
        bar.time = str(int(a[1]/60)).zfill(2)+':'+str(a[1]%60).zfill(2)+':00'
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
        bar.volume = a[7]

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
    
    print u'插入完毕，耗时：%s' % (time()-start)