get all future data from rqdata

getData.py

from time import time

import rqdatac as rq

from vnpy.trader.object import BarData
from vnpy.trader.constant import Exchange, Interval
from vnpy.trader.database import database_manager

USERNAME = ""
PASSWORD = ""
FIELDS = ["open", "high", "low", "close", "volume"]

rq.init(USERNAME, PASSWORD, ("rqdatad-pro.ricequant.com", 16011))


def generate_bar_from_row(row, symbol, exchange):
    """"""
    bar = BarData(
        symbol=symbol,
        exchange=Exchange(exchange),
        interval=Interval.MINUTE,
        open_price=row["open"],
        high_price=row["high"],
        low_price=row["low"],
        close_price=row["close"],
        volume=row["volume"],
        datetime=row.name.to_pydatetime(),
        gateway_name="DB"
    )
    return bar


def download_minute_bar(vt_symbol):
    """下载某一合约的分钟线数据"""
    print(f"开始下载合约数据{vt_symbol}")
    symbol, exchange = vt_symbol.split(".")

    start = time()

    df = rq.get_price(
        symbol,
        frequency="1m",
        fields=FIELDS,
        start_date='20100416',
        end_date='20190416'
    )

    bars = []
    for ix, row in df.iterrows():
        bar = generate_bar_from_row(row, symbol, exchange)
        bars.append(bar)

    database_manager.save_bar_data(bars)

    end = time()
    cost = (end - start) * 1000

    print(
        "合约%s的分钟K线数据下载完成%s - %s，耗时%s毫秒"
        % (symbol, df.index[0], df.index[-1], cost)
    )


if __name__ == "__main__":
    all_future_symbols = [
        'IF88.CFFEX',
        'TF88.CFFEX',
        'T88.CFFEX',
        'IC88.CFFEX',
        'IH88.CFFEX',
        'P88.DCE',
        'V88.DCE',
        'JD88.DCE',
        'L88.DCE',
        'PP88.DCE',
        'ZC88.CZCE',
        'FB88.DCE',
        'BB88.DCE',
        'TA88.CZCE',
        'I88.DCE',
        'J88.DCE',
        'JM88.DCE',
        'PM88.CZCE',
        'CF88.CZCE',
        'WH88.CZCE',
        'SR88.CZCE',
        'RI88.CZCE',
        'OI88.CZCE',
        'MA88.CZCE',
        'JR88.CZCE',
        'RM88.CZCE',
        'FG88.CZCE',
        'LR88.CZCE',
        'SM88.CZCE',
        'SF88.CZCE',
        'C88.DCE',
        'A88.DCE',
        'B88.DCE',
        'M88.DCE',
        'Y88.DCE',
        'CS88.DCE',
        'WS88.CZCE',
        'WT88.CZCE',
        'RO88.CZCE',
        'ER88.CZCE',
        'ME88.CZCE',
        'S88.DCE',
        'RS88.CZCE',
        'TC88.CZCE',
        'IF888.CFFEX',
        'TF888.CFFEX',
        'IC888.CFFEX',
        'T888.CFFEX',
        'IH888.CFFEX',
        'P888.DCE',
        'V888.DCE',
        'JD888.DCE',
        'L888.DCE',
        'PP888.DCE',
        'ZC888.CZCE',
        'FB888.DCE',
        'TA888.CZCE',
        'BB888.DCE',
        'I888.DCE',
        'J888.DCE',
        'JM888.DCE',
        'PM888.CZCE',
        'CF888.CZCE',
        'WH888.CZCE',
        'SR888.CZCE',
        'RI888.CZCE',
        'OI888.CZCE',
        'MA888.CZCE',
        'JR888.CZCE',
        'RM888.CZCE',
        'FG888.CZCE',
        'LR888.CZCE',
        'SF888.CZCE',
        'SM888.CZCE',
        'C888.DCE',
        'A888.DCE',
        'B888.DCE',
        'M888.DCE',
        'Y888.DCE',
        'CS888.DCE',
        'WS888.CZCE',
        'WT888.CZCE',
        'RO888.CZCE',
        'ME888.CZCE',
        'ER888.CZCE',
        'S888.DCE',
        'TC888.CZCE',
        'RS888.CZCE',
        'CY88.CZCE',
        'CY888.CZCE',
        'AP88.CZCE',
        'AP888.CZCE',
        'SC88.INE',
        'SC888.INE',
        'TS88.CFFEX',
        'TS888.CFFEX',
        'AL88.SHFE',
        'FU88.SHFE',
        'CU88.SHFE',
        'ZN88.SHFE',
        'PB88.SHFE',
        'BU88.SHFE',
        'SN88.SHFE',
        'NI88.SHFE',
        'RU88.SHFE',
        'AU88.SHFE',
        'AG88.SHFE',
        'RB88.SHFE',
        'HC88.SHFE',
        'WR88.SHFE',
        'AL888.SHFE',
        'FU888.SHFE',
        'ZN888.SHFE',
        'CU888.SHFE',
        'PB888.SHFE',
        'BU888.SHFE',
        'SN888.SHFE',
        'NI888.SHFE',
        'RU888.SHFE',
        'AU888.SHFE',
        'AG888.SHFE',
        'HC888.SHFE',
        'RB888.SHFE',
        'WR888.SHFE',
        'SP88.SHFE',
        'SP888.SHFE',
        'EG88.DCE',
        'EG888.DCE',
        'CJ88.CZCE',
        'CJ888.CZCE',
    ]
    for symbol in all_future_symbols:
        download_minute_bar(symbol)