add get_current_price api

Former-commit-id: acf7996
zvtvz · Jul 4, 2019 · 07553f1 · 07553f1
1 parent 547d1f4
commit 07553f1
Show file tree

Hide file tree

Showing 10 changed files with 74 additions and 41 deletions.
diff --git a/README.md b/README.md
@@ -1,7 +1,9 @@
-[![github](https://img.shields.io/github/stars/zvtvz/zvt.svg)](https://github.com/zvtvz/zvt)
+[![image](https://img.shields.io/pypi/v/zvt.svg)](https://pypi.org/project/zvt/)
 [![image](https://img.shields.io/pypi/l/zvt.svg)](https://pypi.org/project/zvt/)
+[![image](https://img.shields.io/pypi/pyversions/zvt.svg)](https://pypi.org/project/zvt/)
 [![Build Status](https://api.travis-ci.org/zvtvz/zvt.svg?branch=master)](https://travis-ci.org/zvtvz/zvt)
 [![codecov.io](https://codecov.io/github/zvtvz/zvt/coverage.svg?branch=master)](https://codecov.io/github/zvtvz/zvt)
+[![HitCount](http://hits.dwyl.io/zvtvz/zvt.svg)](http://hits.dwyl.io/zvtvz/zvt)
 
 **Read this in other languages: [English](README-en.md).**  
 

diff --git a/docs/README.md b/docs/README.md
@@ -1,9 +1,7 @@
-[![image](https://img.shields.io/pypi/v/zvt.svg)](https://pypi.org/project/zvt/)
+[![github](https://img.shields.io/github/stars/zvtvz/zvt.svg)](https://github.com/zvtvz/zvt)
 [![image](https://img.shields.io/pypi/l/zvt.svg)](https://pypi.org/project/zvt/)
-[![image](https://img.shields.io/pypi/pyversions/zvt.svg)](https://pypi.org/project/zvt/)
 [![Build Status](https://api.travis-ci.org/zvtvz/zvt.svg?branch=master)](https://travis-ci.org/zvtvz/zvt)
 [![codecov.io](https://codecov.io/github/zvtvz/zvt/coverage.svg?branch=master)](https://codecov.io/github/zvtvz/zvt)
-[![HitCount](http://hits.dwyl.io/zvtvz/zvt.svg)](http://hits.dwyl.io/zvtvz/zvt)
 ## ZVT是什么?
 
 ZVT是在[fooltrader](https://github.com/foolcage/fooltrader)的基础上重新思考后编写的量化项目，其包含可扩展的数据recorder，api，因子计算，选股，回测，交易,定位为**中低频** **多级别** **多标的** **多因子** 全市场分析和交易框架。

diff --git a/setup.py b/setup.py
@@ -36,7 +36,7 @@
     # For a discussion on single-sourcing the version across setup.py and the
     # project code, see
     # https://packaging.python.org/en/latest/single_source_version.html
-    version='0.0.5',  # Required
+    version='0.0.6',  # Required
 
     # This is a one-line description or tagline of what your project does. This
     # corresponds to the "Summary" metadata field:

diff --git a/zvt/accounts/__init__.py b/zvt/accounts/__init__.py
@@ -1 +1,4 @@
 # -*- coding: utf-8 -*-
+from zvt.accounts.ccxt_account import CCXTAccount
+
+CCXTAccount.init()
diff --git a/zvt/accounts/ccxt_account.py b/zvt/accounts/ccxt_account.py
@@ -1,41 +1,45 @@
 # -*- coding: utf-8 -*-
 import json
+
 import ccxt
 
 from zvt.domain import COIN_EXCHANGES
+from zvt.settings import HTTP_PROXY, HTTPS_PROXY
 
 
 class CCXTAccount(object):
-    def __init__(self, exchanges=COIN_EXCHANGES) -> None:
-        self.exchange_conf = {}
-        self.exchanges = exchanges
-
-        self.init_exchange_conf()
+    exchanges = COIN_EXCHANGES
+    exchange_conf = {}
 
-    def init_exchange_conf(self):
-        for exchange in self.exchanges:
+    @classmethod
+    def init(cls):
+        for exchange in cls.exchanges:
             import pkg_resources
 
             resource_package = 'zvt'
             resource_path = 'accounts/{}.json'.format(exchange)
             config_file = pkg_resources.resource_filename(resource_package, resource_path)
 
             with open(config_file) as f:
-                self.exchange_conf[exchange] = json.load(f)
+                cls.exchange_conf[exchange] = json.load(f)
 
-    def get_tick_limit(self, exchange):
-        return self.exchange_conf[exchange]['tick_limit']
+    @classmethod
+    def get_tick_limit(cls, exchange):
+        return cls.exchange_conf[exchange]['tick_limit']
 
-    def get_kdata_limit(self, exchange):
-        return self.exchange_conf[exchange]['kdata_limit']
+    @classmethod
+    def get_kdata_limit(cls, exchange):
+        return cls.exchange_conf[exchange]['kdata_limit']
 
-    def get_safe_sleeping_time(self, exchange):
-        return self.exchange_conf[exchange]['safe_sleeping_time']
+    @classmethod
+    def get_safe_sleeping_time(cls, exchange):
+        return cls.exchange_conf[exchange]['safe_sleeping_time']
 
-    def get_ccxt_exchange(self, exchange_str):
+    @classmethod
+    def get_ccxt_exchange(cls, exchange_str) -> ccxt.Exchange:
         exchange = eval("ccxt.{}()".format(exchange_str))
-        exchange.apiKey = self.exchange_conf[exchange_str]['apiKey']
-        exchange.secret = self.exchange_conf[exchange_str]['secret']
+        exchange.apiKey = cls.exchange_conf[exchange_str]['apiKey']
+        exchange.secret = cls.exchange_conf[exchange_str]['secret']
         # set to your proxies if need
-        exchange.proxies = {'http': 'http://127.0.0.1:10081', 'https': 'http://127.0.0.1:10081'}
+        exchange.proxies = {'http': HTTP_PROXY, 'https': HTTPS_PROXY}
         return exchange
diff --git a/zvt/api/technical.py b/zvt/api/technical.py
@@ -4,6 +4,7 @@
 import pandas as pd
 from sqlalchemy.orm import Session
 
+from zvt.accounts.ccxt_account import CCXTAccount
 from zvt.api.common import get_data, decode_security_id
 from zvt.api.common import get_security_schema, get_kdata_schema
 from zvt.domain import get_db_engine, TradingLevel, Provider, get_store_category, SecurityType, get_db_session, \
@@ -19,7 +20,8 @@ def init_securities(df, security_type='stock', provider=Provider.EASTMONEY):
     db_engine = get_db_engine(provider, store_category=store_category)
     security_schema = get_security_schema(security_type)
 
-    current = get_securities(security_type=security_type, columns=[security_schema.id,security_schema.code], provider=provider)
+    current = get_securities(security_type=security_type, columns=[security_schema.id, security_schema.code],
+                             provider=provider)
     df = df[~df['id'].isin(current['id'])]
 
     df.to_sql(security_schema.__tablename__, db_engine, index=False, if_exists='append')
@@ -102,10 +104,32 @@ def get_kdata(security_id, level=TradingLevel.LEVEL_1DAY.value, provider='eastmo
                     end_timestamp=end_timestamp, filters=filters, session=session, order=order, limit=limit)
 
 
+def get_current_price(security_list=None, security_type=SecurityType.coin):
+    result = {}
+    if security_type == SecurityType.coin:
+        if security_list:
+            for security_id in security_list:
+                a, exchange, code = decode_security_id(security_id)
+                assert SecurityType(a) == security_type
+                ccxt_exchange = CCXTAccount.get_ccxt_exchange(exchange_str=exchange)
+
+                if not ccxt_exchange:
+                    raise Exception('{} not support'.format(exchange))
+
+                orderbook = ccxt_exchange.fetch_order_book(code)
+
+                bid = orderbook['bids'][0][0] if len(orderbook['bids']) > 0 else None
+                ask = orderbook['asks'][0][0] if len(orderbook['asks']) > 0 else None
+                security_id = f'coin_{exchange}_{code}'
+                result[security_id] = (bid, ask)
+
+    return result
+
+
 if __name__ == '__main__':
     # print(get_securities())
     # print(get_kdata(security_id='stock_sz_300027', provider='netease'))
-    print(get_kdata(security_id='coin_binance_EOS/USDT', provider='ccxt', level=TradingLevel.LEVEL_1MIN))
+    # print(get_kdata(security_id='coin_binance_EOS/USDT', provider='ccxt', level=TradingLevel.LEVEL_1MIN))
     # print(get_finance_factor(security_id='stock_sh_601318', session=get_db_session('eastmoney')))
     # a = get_stock_category('stock_sz_000029')
     # print(a)
@@ -120,3 +144,4 @@ def get_kdata(security_id, level=TradingLevel.LEVEL_1DAY.value, provider='eastmo
     # print(df)
     #
     # print(get_securities(codes=['000338', '000778', '600338'], exchanges=['sz']))
+    print(get_current_price(['coin_huobipro_EOS/USDT', 'coin_binance_EOS/USDT']))
diff --git a/zvt/recorders/ccxt/coin_kdata_recorder.py b/zvt/recorders/ccxt/coin_kdata_recorder.py
@@ -19,19 +19,18 @@ def request(self, url=None, method='get', param=None, path_fields=None):
         size = param['size']
         ccxt_level = param['ccxt_level']
         level = param['level']
-        ccxt_account: CCXTAccount = param['ccxt_account']
 
-        ccxt_exchange = ccxt_account.get_ccxt_exchange(security_item.exchange)
+        ccxt_exchange = CCXTAccount.get_ccxt_exchange(security_item.exchange)
 
         if ccxt_exchange.has['fetchOHLCV']:
-            limit = ccxt_account.get_kdata_limit(security_item.exchange)
+            limit = CCXTAccount.get_kdata_limit(security_item.exchange)
 
             limit = min(size, limit)
 
             kdata_list = []
 
             try:
-                if ccxt_account.exchange_conf[security_item.exchange]['support_since']:
+                if CCXTAccount.exchange_conf[security_item.exchange]['support_since']:
                     kdatas = ccxt_exchange.fetch_ohlcv(security_item.code,
                                                        timeframe=ccxt_level,
                                                        since=start_timestamp)
@@ -82,7 +81,6 @@ def __init__(self, security_type=SecurityType.coin, exchanges=['binance'], codes
 
         self.ccxt_trading_level = to_ccxt_trading_level(level)
         self.start_timestamp = to_pd_timestamp(start_timestamp)
-        self.ccxt_account = CCXTAccount(exchanges=exchanges)
 
         super().__init__(security_type, exchanges, codes, batch_size, force_update, sleeping_time, fetching_style,
                          default_size, contain_unfinished_data, level, one_shot, kdata_use_begin_time=True)
@@ -102,8 +100,7 @@ def generate_request_param(self, security_item, start, end, size, timestamp):
             'start_timestamp': to_time_str(start),
             'size': size,
             'level': self.level,
-            'ccxt_level': self.ccxt_trading_level,
-            'ccxt_account': self.ccxt_account
+            'ccxt_level': self.ccxt_trading_level
         }
 
 

diff --git a/zvt/recorders/ccxt/coin_meta_recorder.py b/zvt/recorders/ccxt/coin_meta_recorder.py
@@ -13,12 +13,11 @@ class CoinMetaRecorder(Recorder):
 
     def __init__(self, batch_size=10, force_update=False, sleeping_time=10, exchanges=COIN_EXCHANGES) -> None:
         super().__init__(batch_size, force_update, sleeping_time)
-        self.ccxt_account = CCXTAccount(exchanges=exchanges)
         self.exchanges = COIN_EXCHANGES
 
     def run(self):
         for exchange_str in self.exchanges:
-            exchange = self.ccxt_account.get_ccxt_exchange(exchange_str)
+            exchange = CCXTAccount.get_ccxt_exchange(exchange_str)
             try:
                 markets = exchange.fetch_markets()
                 df = pd.DataFrame()

diff --git a/zvt/recorders/ccxt/coin_tick_recorder.py b/zvt/recorders/ccxt/coin_tick_recorder.py
@@ -16,12 +16,11 @@ class MyApiWrapper(ApiWrapper):
     def request(self, url=None, method='get', param=None, path_fields=None):
         security_item = param['security_item']
         size = param['size']
-        ccxt_account: CCXTAccount = param['ccxt_account']
 
-        ccxt_exchange = ccxt_account.get_ccxt_exchange(security_item.exchange)
+        ccxt_exchange = CCXTAccount.get_ccxt_exchange(security_item.exchange)
 
         if ccxt_exchange.has['fetchTrades']:
-            limit = ccxt_account.get_tick_limit(security_item.exchange)
+            limit = CCXTAccount.get_tick_limit(security_item.exchange)
 
             limit = min(size, limit)
 
@@ -70,7 +69,6 @@ def __init__(self, security_type=SecurityType.coin, exchanges=['binance'], codes
         self.data_schema = get_kdata_schema(security_type=security_type, level=TradingLevel.LEVEL_TICK)
 
         self.start_timestamp = to_pd_timestamp(start_timestamp)
-        self.ccxt_account = CCXTAccount(exchanges=exchanges)
 
         super().__init__(security_type, exchanges, codes, batch_size, force_update, sleeping_time, fetching_style,
                          default_size, contain_unfinished_data, TradingLevel.LEVEL_TICK, one_shot,
@@ -91,8 +89,7 @@ def generate_request_param(self, security_item, start, end, size, timestamp):
         return {
             'security_item': security_item,
             'start_timestamp': to_time_str(start),
-            'size': size,
-            'ccxt_account': self.ccxt_account
+            'size': size
         }
 
 

diff --git a/zvt/settings.py b/zvt/settings.py
@@ -5,7 +5,7 @@
 DATA_SAMPLE_ZIP_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', 'datasample.zip'))
 
 # please change the path to your real store path
-DATA_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', 'data'))
+DATA_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', 'datasample'))
 
 UI_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', 'ui'))
 
@@ -27,3 +27,11 @@
 
 # 覆盖维度 银行/保险/企业/券商 创业板 中小板 主板
 SAMPLE_STOCK_CODES = ['000001', '000783', '000778', '603220', '601318', '000338', '002572', '300027']
+
+HTTP_PROXY = None
+if not HTTP_PROXY:
+    HTTP_PROXY = os.environ.get('HTTP_PROXY')
+
+HTTPS_PROXY = None
+if not HTTPS_PROXY:
+    HTTPS_PROXY = os.environ.get('HTTPS_PROXY')