用于EagleEye3.0 规则集漏报和误报测试的示例项目,项目收集于github和gitee
You can not select more than 25 topics Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
 
 
 
 
 
 

187 lines
5.2 KiB

from datetime import datetime, timedelta
from typing import List
from rqdatac import init as rqdata_init
from rqdatac.services.basic import all_instruments as rqdata_all_instruments
from rqdatac.services.get_price import get_price as rqdata_get_price
from source.common.config import SETTINGS
from source.common.datastruct import BarData, HistoryRequest
from source.common.constant import Exchange, Interval
INTERVAL_VT2RQ = {
Interval.MINUTE: "1m",
Interval.HOUR: "60m",
Interval.DAILY: "1d",
}
INTERVAL_ADJUSTMENT_MAP = {
Interval.MINUTE: timedelta(minutes=1),
Interval.HOUR: timedelta(hours=1),
Interval.DAILY: timedelta() # no need to adjust for daily bar
}
class RqdataClient:
"""
Client for querying history data from RQData.
"""
def __init__(self):
""""""
self.username = SETTINGS["rqdata.username"]
self.password = SETTINGS["rqdata.password"]
self.inited = False
self.symbols = set()
def init(self):
""""""
if self.inited:
return True
if not self.username or not self.password:
return False
rqdata_init(self.username, self.password,
('rqdatad-pro.ricequant.com', 16011))
try:
df = rqdata_all_instruments(date=datetime.now())
for ix, row in df.iterrows():
self.symbols.add(row['order_book_id'])
except RuntimeError:
return False
self.inited = True
return True
def to_rq_symbol(self, symbol: str, exchange: Exchange):
"""
CZCE product of RQData has symbol like "TA1905" while
vt symbol is "TA905.CZCE" so need to add "1" in symbol.
"""
if exchange in [Exchange.SSE, Exchange.SZSE]:
if exchange == Exchange.SSE:
rq_symbol = f"{symbol}.XSHG"
else:
rq_symbol = f"{symbol}.XSHE"
else:
if exchange is not Exchange.CZCE:
return symbol.upper()
for count, word in enumerate(symbol):
if word.isdigit():
break
# noinspection PyUnboundLocalVariable
product = symbol[:count]
year = symbol[count]
month = symbol[count + 1:]
if year == "9":
year = "1" + year
else:
year = "2" + year
rq_symbol = f"{product}{year}{month}".upper()
return rq_symbol
def query_bar(
self,
symbol: str,
exchange: Exchange,
interval: Interval,
start: datetime,
end: datetime
):
"""
Query bar data from RQData.
"""
rq_symbol = self.to_rq_symbol(symbol, exchange)
if rq_symbol not in self.symbols:
return None
end += timedelta(1) # For querying night trading period data
df = rqdata_get_price(
rq_symbol,
frequency=interval.value,
fields=["open", "high", "low", "close", "volume","open_interest"],
start_date=start,
end_date=end
)
data: List[BarData] = []
for ix, row in df.iterrows():
bar = BarData(
symbol=symbol,
exchange=exchange,
interval=interval,
datetime=row.name.to_pydatetime(),
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],
close_price=row["close"],
volume=row["volume"],
open_interest=row["open_interest"],
gateway_name="RQ"
)
data.append(bar)
return data
def query_history(self, req: HistoryRequest):
"""
Query history bar data from RQData.
"""
symbol = req.symbol
exchange = req.exchange
interval = req.interval
start = req.start
end = req.end
rq_symbol = self.to_rq_symbol(symbol, exchange)
if rq_symbol not in self.symbols:
return None
rq_interval = INTERVAL_VT2RQ.get(interval)
if not rq_interval:
return None
# For adjust timestamp from bar close point (RQData) to open point (VN Trader)
adjustment = INTERVAL_ADJUSTMENT_MAP[interval]
# For querying night trading period data
end += timedelta(1)
df = rqdata_get_price(
rq_symbol,
frequency=rq_interval,
fields=["open", "high", "low", "close", "volume","open_interest"],
start_date=start,
end_date=end
)
data: List[BarData] = []
for ix, row in df.iterrows():
bar = BarData(
symbol=symbol,
exchange=exchange,
interval=interval,
datetime=row.name.to_pydatetime() - adjustment,
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],
close_price=row["close"],
volume=row["volume"],
open_interest=row["open_interest"],
gateway_name="RQ"
)
data.append(bar)
return data
rqdata_client = RqdataClient()