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vnpy/examples/alpha_research/download_data_xt.ipynb
vn.py f7d4a8602c [Mod] ruff and mypy code quality improvement
2025-06-16 23:25:48 +08:00

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{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# 准备数据"
]
},
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"xtquant文档地址：http://dict.thinktrader.net/nativeApi/start_now.html\n"
]
}
],
"source": [
"# 加载模块\n",
"from datetime import datetime\n",
"\n",
"from tqdm import tqdm\n",
"from xtquant import xtdata\n",
"\n",
"from vnpy.trader.database import DB_TZ\n",
"from vnpy.trader.datafeed import get_datafeed\n",
"from vnpy.trader.constant import Exchange, Interval\n",
"from vnpy.trader.object import HistoryRequest\n",
"\n",
"from vnpy.alpha import AlphaLab, logger"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
"# 设置下载参数\n",
"task_name = \"csi300\"\n",
"index_symbol = \"000300.SSE\"\n",
"xt_index_symbol = \"000300.SH\"\n",
"\n",
"start_date = \"20070101\"\n",
"end_date = \"20231231\"\n",
"\n",
"intervals = [\n",
" Interval.DAILY,\n",
"]"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [],
"source": [
"# 创建投研实验室\n",
"lab = AlphaLab(f\"./lab/{task_name}\") # 指定数据文件夹"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"True"
]
},
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# 初始化数据服务（这里配置使用的迅投研）\n",
"datafeed = get_datafeed()\n",
"datafeed.init()"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {
"scrolled": true
},
"outputs": [
{
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" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 337},\n",
" '101685.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 11, 10, 20, 0, 0, 13000),\n",
" 'count': 72},\n",
" '101686.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 429},\n",
" '101687.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 10, 11, 20, 0, 0, 12000),\n",
" 'count': 92},\n",
" '101688.BKZS': {'start_time': datetime.datetime(2018, 3, 17, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 9, 22, 0, 0),\n",
" 'count': 61},\n",
" '101689.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 12, 26, 18, 34, 7, 890000),\n",
" 'count': 89},\n",
" '101690.BKZS': {'start_time': datetime.datetime(2018, 6, 14, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 11, 28, 0, 0),\n",
" 'count': 19},\n",
" '101691.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 114},\n",
" '101692.BKZS': {'start_time': datetime.datetime(2018, 5, 25, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 10, 18, 20, 0, 0, 7000),\n",
" 'count': 5},\n",
" '101693.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 7, 18, 20, 0, 0, 2000),\n",
" 'count': 32},\n",
" '101694.BKZS': {'start_time': datetime.datetime(2017, 5, 31, 0, 0),\n",
" 'end_time': datetime.datetime(2023, 2, 14, 0, 0),\n",
" 'count': 23},\n",
" '101695.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 9, 5, 20, 0, 0, 2000),\n",
" 'count': 105},\n",
" '101696.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 9, 19, 20, 0, 0, 2000),\n",
" 'count': 46},\n",
" '101697.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 3, 24, 8, 50, 0, 15000),\n",
" 'count': 113},\n",
" '101698.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 363},\n",
" '101699.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 8, 16, 20, 0, 0, 2000),\n",
" 'count': 148},\n",
" '101700.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 3, 26, 0, 0),\n",
" 'count': 27},\n",
" '101701.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 36},\n",
" '101702.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 7, 11, 20, 0, 0, 2000),\n",
" 'count': 95},\n",
" '101703.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 12, 26, 18, 34, 7, 890000),\n",
" 'count': 197},\n",
" '101704.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 8, 12, 20, 0, 0, 2000),\n",
" 'count': 29},\n",
" '101705.BKZS': {'start_time': datetime.datetime(2018, 4, 15, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 8, 15, 20, 0, 0, 2000),\n",
" 'count': 62},\n",
" '101706.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 1, 18, 0, 0),\n",
" 'count': 62},\n",
" '101707.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 8, 2, 20, 0, 0, 12000),\n",
" 'count': 91},\n",
" '101708.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 389},\n",
" '101709.BKZS': {'start_time': datetime.datetime(2018, 6, 14, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 1, 18, 0, 0),\n",
" 'count': 8},\n",
" '101710.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 198},\n",
" '101711.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 201},\n",
" '101712.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 1, 7, 8, 0, 0, 4000),\n",
" 'count': 57},\n",
" '101713.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 4, 25, 8, 0, 0, 17000),\n",
" 'count': 375},\n",
" '101714.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 1, 16, 8, 50, 0, 3000),\n",
" 'count': 80},\n",
" '101715.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 4, 26, 8, 0, 0, 3000),\n",
" 'count': 141},\n",
" '101716.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 77},\n",
" '101717.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2023, 3, 29, 0, 0),\n",
" 'count': 37},\n",
" '101718.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 9, 5, 20, 0, 0, 2000),\n",
" 'count': 148},\n",
" '101719.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 4, 25, 8, 0, 0, 17000),\n",
" 'count': 150},\n",
" '101720.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 285},\n",
" '101721.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 9, 19, 20, 0, 0, 2000),\n",
" 'count': 51},\n",
" '101722.BKZS': {'start_time': datetime.datetime(2017, 5, 31, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 8, 30, 20, 0, 0, 12000),\n",
" 'count': 13},\n",
" '101723.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 50},\n",
" '101724.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 102},\n",
" '101725.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 10, 29, 20, 0, 0, 2000),\n",
" 'count': 151},\n",
" '101726.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2023, 8, 30, 0, 0),\n",
" 'count': 111},\n",
" '101727.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 221},\n",
" '101728.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 194},\n",
" '101729.BKZS': {'start_time': datetime.datetime(2018, 6, 14, 0, 0),\n",
" 'end_time': datetime.datetime(2021, 11, 26, 0, 0),\n",
" 'count': 4},\n",
" '101730.BKZS': {'start_time': datetime.datetime(2018, 6, 14, 0, 0),\n",
" 'end_time': datetime.datetime(2023, 2, 15, 0, 0),\n",
" 'count': 14},\n",
" '101731.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 85},\n",
" '101732.BKZS': {'start_time': datetime.datetime(2016, 4, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2021, 9, 3, 0, 0),\n",
" 'count': 13},\n",
" '101733.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 452},\n",
" '101734.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 8, 23, 20, 0, 0, 16000),\n",
" 'count': 376},\n",
" '101735.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 3, 26, 8, 50, 0, 3000),\n",
" 'count': 22},\n",
" '101736.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 11, 21, 20, 0, 0, 2000),\n",
" 'count': 128},\n",
" '101737.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 8, 12, 20, 0, 0, 2000),\n",
" 'count': 22},\n",
" '101738.BKZS': {'start_time': datetime.datetime(2016, 2, 5, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 1, 27, 0, 0),\n",
" 'count': 73},\n",
" '101739.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 298},\n",
" '101740.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 5, 4, 8, 0, 0, 3000),\n",
" 'count': 134},\n",
" '101741.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 7, 11, 20, 0, 0, 2000),\n",
" 'count': 53},\n",
" '101742.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 300},\n",
" '101743.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 3, 22, 8, 50, 0, 2000),\n",
" 'count': 253},\n",
" '101744.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 11, 21, 20, 0, 0, 2000),\n",
" 'count': 102},\n",
" '101745.BKZS': {'start_time': datetime.datetime(2017, 5, 31, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 5, 16, 0, 0),\n",
" 'count': 8},\n",
" '101746.BKZS': {'start_time': datetime.datetime(2016, 1, 4, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 492},\n",
" '101747.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 10, 14, 20, 0, 0, 2000),\n",
" 'count': 277},\n",
" '101748.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 6, 26, 0, 0),\n",
" 'count': 32},\n",
" '101749.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2021, 9, 3, 0, 0),\n",
" 'count': 76},\n",
" '101750.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 127},\n",
" '101751.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2023, 6, 13, 0, 0),\n",
" 'count': 74},\n",
" '101752.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2023, 1, 3, 0, 0),\n",
" 'count': 69},\n",
" '101753.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 615},\n",
" '101754.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 8, 15, 20, 0, 0, 2000),\n",
" 'count': 84},\n",
" '101755.BKZS': {'start_time': datetime.datetime(2016, 4, 11, 0, 0),\n",
" 'end_time': datetime.datetime(2023, 8, 22, 0, 0),\n",
" 'count': 41},\n",
" '101756.BKZS': {'start_time': datetime.datetime(2018, 6, 14, 0, 0),\n",
" 'end_time': datetime.datetime(2019, 3, 19, 0, 0),\n",
" 'count': 4},\n",
" '101757.BKZS': {'start_time': datetime.datetime(2017, 7, 21, 0, 0),\n",
" 'end_time': datetime.datetime(2023, 11, 25, 0, 0),\n",
" 'count': 48},\n",
" '101758.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 214},\n",
" '101759.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 12, 26, 18, 34, 7, 890000),\n",
" 'count': 123},\n",
" '101760.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 110},\n",
" '101761.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 530},\n",
" '101762.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 149},\n",
" '101763.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 6, 13, 0, 0),\n",
" 'count': 2},\n",
" '101764.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 1, 27, 0, 0),\n",
" 'count': 58},\n",
" '101765.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 9, 5, 20, 0, 0, 2000),\n",
" 'count': 82},\n",
" '101766.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 9, 5, 20, 0, 0, 2000),\n",
" 'count': 86},\n",
" '101767.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 5, 8, 0, 0, 3000),\n",
" 'count': 345},\n",
" '101768.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2024, 8, 23, 20, 0, 0, 16000),\n",
" 'count': 60},\n",
" '101769.BKZS': {'start_time': datetime.datetime(2016, 5, 6, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 9, 22, 0, 0),\n",
" 'count': 103},\n",
" '101770.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2019, 3, 19, 0, 0),\n",
" 'count': 4},\n",
" '101771.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 78},\n",
" '101772.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 5, 4, 8, 0, 0, 3000),\n",
" 'count': 115},\n",
" '101773.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2021, 11, 26, 0, 0),\n",
" 'count': 5},\n",
" '101774.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2022, 9, 22, 0, 0),\n",
" 'count': 36},\n",
" '101775.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 3, 11, 8, 50, 0, 16000),\n",
" 'count': 108},\n",
" '101776.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 13, 10, 1, 17, 901000),\n",
" 'count': 139},\n",
" '101777.BKZS': {'start_time': datetime.datetime(2016, 1, 1, 0, 0),\n",
" 'end_time': datetime.datetime(2025, 6, 4, 20, 0, 0, 2000),\n",
" 'count': 146},\n",
" ...}"
]
},
"execution_count": 5,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# 下载历史成分股信息\n",
"xtdata.download_sector_data()\n",
"\n",
"xtdata.download_history_data(\"\", \"stocklistchange\", \"\", \"\")"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {},
"outputs": [],
"source": [
"# 查询交易日历\n",
"days = xtdata.get_trading_calendar(market=\"SZ\", start_time=start_date, end_time=end_date)\n",
"\n",
"# 轮询获取指数成本股\n",
"index_components = {}\n",
"end_datetime = datetime.strptime(end_date, \"%Y%m%d\")\n",
"for i in days:\n",
" dt = datetime.strptime(i, \"%Y%m%d\")\n",
" if dt > end_datetime:\n",
" continue\n",
"\n",
" xt_symbols = xtdata.get_stock_list_in_sector(xt_index_symbol, i)\n",
"\n",
" vt_symbols: list = []\n",
" for xt_symbol in xt_symbols:\n",
" vt_symbol = xt_symbol.replace(\"SH\", \"SSE\").replace(\"SZ\", \"SZSE\")\n",
" vt_symbols.append(vt_symbol)\n",
"\n",
" index_components[dt.strftime(\"%Y-%m-%d\")] = vt_symbols\n",
"\n",
"# 保存到数据中心\n",
"lab.save_component_data(index_symbol, index_components)"
]
},
{
"cell_type": "code",
"execution_count": 7,
"metadata": {},
"outputs": [],
"source": [
"# 加载指数成分股代码\n",
"component_symbols = lab.load_component_symbols(index_symbol, start_date, end_date)"
]
},
{
"cell_type": "code",
"execution_count": 9,
"metadata": {},
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"100%|████████████████████████████████████████| 854/854 [01:21<00:00, 10.54it/s]\n"
]
}
],
"source": [
"# 转换时间格式\n",
"start = datetime.strptime(start_date, \"%Y%m%d\")\n",
"start.replace(tzinfo=DB_TZ)\n",
"\n",
"end = datetime.strptime(end_date, \"%Y%m%d\")\n",
"end.replace(tzinfo=DB_TZ)\n",
"\n",
"# 除了成分股，还要下载指数数据\n",
"task_symbols = component_symbols + [index_symbol]\n",
"\n",
"# 遍历下载数据\n",
"for vt_symbol in tqdm(task_symbols):\n",
" symbol, exchange_str = vt_symbol.split(\".\")\n",
"\n",
" for interval in intervals:\n",
" req = HistoryRequest(symbol, Exchange(exchange_str), start, end, interval)\n",
" bars = datafeed.query_bar_history(req)\n",
"\n",
" if bars:\n",
" lab.save_bar_data(bars)\n",
" else:\n",
" logger(interval, vt_symbol)"
]
},
{
"cell_type": "code",
"execution_count": 10,
"metadata": {},
"outputs": [],
"source": [
"# 添加回测参数配置\n",
"for vt_symbol in component_symbols:\n",
" lab.add_contract_setting(\n",
" vt_symbol,\n",
" long_rate=5/10000,\n",
" short_rate=10/10000,\n",
" size=1,\n",
" pricetick=0.0001,\n",
" )"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3 (ipykernel)",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.13.2"
}
},
"nbformat": 4,
"nbformat_minor": 4
}
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