之前2月25日，针对种行上海期货交易所进行测试，同期在周六进行行情广播，货品我的情数datarecording一直在跑；然后就发现读了不少脏数据。
vnpy自带的据清行情清理功能较为简单，只是针对种行在清除非交易时段，没有考虑周六日；而且只是同期笼统给了一个最大时间交易范围，像股指期货没有夜盘，货品螺纹钢晚上11点就结束，情数但是据清默认只是结束在凌晨两点半这个最大交易时间。源码库 所以写了一个方法，针对种行按照不同品种，同期更细致的货品清理。
可以直接把这个方法插入\DataRecording\runDataCleaning.py,情数 然后替代原来方法。也可以自己另外调用。据清
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 # ---------------------------------------------------------------------- def cleanDataAdv(dbName, collectionName, start): """清洗数据""" #新的静态数据 # 这里以商品期货为例 MORNING_START = time(9, 0) MORNING_REST = time(10, 15) MORNING_RESTART = time(10, 30) MORNING_END = time(11, 30) AFTERNOON_START = time(13, 30) AFTERNOON_END = time(15, 0) NIGHT_START = time(21, 0) NIGHT_END = time(2, 30) #股指期货 STOCK_FUTURE = ["IC", "IF", "IH"] MORNING_START_STOCK = time(9, 30) AFTERNOON_START_STOCK = time(13,0) AFTERNOON_END_STOCK = time(15, 0) #晚上11点结束交易,不全，请自行维护 PM11CLOSE_FUTURE = [rb,ru,bu,hc,sp] NIGHT_END_11 = time(23, 00) #晚上11点半结束交易,不全，请自行维护,大连只有一位标志，所以带1 PM1130CLOSE_FUTURE = [FG,MA,SR,TA,RM,OI,CF,CY,ZC,i1,j1,m1,p1,y1] NIGHT_END_1130 = time(23, 30) #凌晨1点半结束交易,不全，请自行维护 AM1CLOSE_FUTURE = [cu,pd,al,zn] NIGHT_END_AM1 = time(1, 00) print(u\n清洗数据库：%s, 集合：%s, 起始日：%s % (dbName, collectionName, start)) mc = MongoClient(localhost, 27017) # 创建MongoClient cl = mc[dbName][collectionName] # 获取数据集合 d = { datetime: { $gte: start}} # 只过滤从start开始的数据 cx = cl.find(d) # 获取数据指针 for data in cx: # 获取时间戳对象 dt = data[datetime].time() # 默认需要清洗 cleanRequired = True ####如果是股指期货，这没有上午休息和夜盘，云南idc服务商9点半到11点半，下午1点到下午三点，周六日无行情 if collectionName[:2] in STOCK_FUTURE: if data[datetime].weekday() is not (5 or 6): if ((MORNING_START_STOCK <= dt < MORNING_END) or (AFTERNOON_START_STOCK <= dt < AFTERNOON_END_STOCK)): cleanRequired = False ####如果是11点结束，则周六日无行情 elif collectionName[:2] in PM11CLOSE_FUTURE: if data[datetime].weekday() is not (5 or 6): if ((MORNING_START <= dt < MORNING_REST) or (MORNING_RESTART <= dt < MORNING_END) or (AFTERNOON_START <= dt < AFTERNOON_END) or ( NIGHT_START <= dt <NIGHT_END_11)): cleanRequired = False ####如果是11点半结束，则周六日无行情 elif collectionName[:2] in PM1130CLOSE_FUTURE: if data[datetime].weekday() is not (5 or 6): if ((MORNING_START <= dt < MORNING_REST) or (MORNING_RESTART <= dt < MORNING_END) or (AFTERNOON_START <= dt < AFTERNOON_END) or (NIGHT_START <= dt < NIGHT_END_1130)): cleanRequired = False ####如果是1点结束， elif collectionName[:2] in AM1CLOSE_FUTURE: # 如果在交易事件内，则为有效数据，无需清洗 if data[datetime].weekday() is not 6: if ((MORNING_START <= dt < MORNING_REST) or (MORNING_RESTART <= dt < MORNING_END) or (AFTERNOON_START <= dt < AFTERNOON_END) or (dt >= NIGHT_START) or (dt < NIGHT_END_AM1)): cleanRequired = False else: # 如果在交易事件内，则为有效数据，无需清洗 if data[datetime].weekday() is not 6: if ((MORNING_START <= dt < MORNING_REST) or (MORNING_RESTART <= dt < MORNING_END) or (AFTERNOON_START <= dt < AFTERNOON_END) or (dt >= NIGHT_START) or (dt < NIGHT_END)): cleanRequired = False # 如果需要清洗 if cleanRequired: print(u删除无效数据，时间戳：%s % data[datetime]) cl.delete_one(data) print(u清洗完成，数据库：%s, 集合：%s % (dbName, collectionName))
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