Open SAMPLE-42 opened 5 months ago
def fetch_data(self, contract_symbols, start_date, end_date, duration, update_date=False):
"""
功能:获取指定合约,指定时间区间的历史数据
Args:
contract_symbols: 合约代码, list
start_date: 下载的起始时间
end_date: 下载的结束时间
duration: k线级别
update_date: 数据更新, bool
return: 历史行情数据, dataframe
"""
data_dir_path = os.path.join(self.root_dir, 'data', f'update_{update_date}')
if not os.path.exists(data_dir_path):
os.makedirs(data_dir_path)
download_data_tasks = {}
for symbol in tqdm(contract_symbols):
print(f'当前下载{symbol}合约数据')
data_save_file_name = f"{symbol}_data.csv"
data_save_file_path = os.path.join(data_dir_path, data_save_file_name)
download_data_tasks[symbol] = DataDownloader(api=self.api,
symbol_list=symbol,
dur_sec=duration,
start_dt=start_date,
end_dt=end_date,
csv_file_name=data_save_file_path,
)
with closing(self.api):
while not all([v.is_finished() for v in download_data_tasks.values()]):
self.api.wait_update()
print("progress: ", {k: ("%.2f%%" % v.get_progress()) for k, v in download_data_tasks.items()})
self.logger.log(logging.INFO, f'{start_date}-----{end_date}数据全部下载完成')
print(f'{start_date}-----{end_date}数据全部下载完成')
time.sleep(10)
# 检查是否有空的DataDownloader,如果有则删除相应文件
for symbol, downloader in download_data_tasks.items():
# 构建文件路径
file_csv_path = os.path.join(data_dir_path, f"{symbol}_data.csv")
if os.path.exists(file_csv_path):
df = pd.read_csv(file_csv_path)
if not df.empty:
df = pd.read_csv(file_csv_path)
df_copy = df.copy()
# df_copy.columns = ['datetime', 'open', 'high', 'low', 'close', 'volume', 'open_oi', 'close_oi']
df_copy['instrument_id'] = symbol
df_copy.to_csv(file_csv_path)
else:
os.remove(file_csv_path)
self.logger.log(logging.INFO, f"删除空文件: {symbol}")
print(f"删除空文件: {symbol}")
DataDownloader下载器指定历史区间,选定’2015-01-01‘ --- 至今,下载所有合约时,下载结果中存在合约缺失(多数为郑商所数据和股指期权数据),请问是什么问题。总共缺失3000+,其中存在一些较近的时间的期权也缺失。使用DataDownloader下载器单独下载缺失合约数据也是空的,例如CZCE.SM403C5300