[Mod] 只有在发起数据查询时，才创建API对象

vnpy_tqsdk/tqsdk_datafeed.py

@@ -1,15 +1,17 @@
 from datetime import timedelta
 from typing import List, Optional
 from pytz import timezone
-import pandas as pd
+import traceback
 
+import pandas as pd
 from tqsdk import TqApi, TqAuth
 
 from vnpy.trader.datafeed import BaseDatafeed
 from vnpy.trader.setting import SETTINGS
 from vnpy.trader.constant import Interval
 from vnpy.trader.object import BarData, TickData, HistoryRequest
 
+
 INTERVAL_VT2TQ = {
     Interval.MINUTE: 60,
     Interval.HOUR: 60 * 60,
@@ -20,11 +22,6 @@
 CHINA_TZ = timezone("Asia/Shanghai")
 
 
-def to_tq_symbol(symbol, exchange):
-    """将交易所代码转换为天勤代码"""
-    return f"{exchange.value}.{symbol}"
-
-
 class TqsdkDatafeed(BaseDatafeed):
     """天勤TQsdk数据服务接口"""
 
@@ -33,125 +30,49 @@ def __init__(self):
         self.username: str = SETTINGS["datafeed.username"]
         self.password: str = SETTINGS["datafeed.password"]
 
-        self.inited: bool = False
-        self.api = None
-        self.symbols: List[str] = None
-
-    def init(self) -> bool:
-        """初始化"""
-        if self.inited:
-            return True
-
-        if not self.username or not self.password:
-            return False
-
-        try:
-            self.api = TqApi(auth=TqAuth(self.username, self.password))
-        except Exception:
-            return False
-
-        if not self.symbols:
-            self.symbols = [k for k, v in self.api._data["quotes"].items()]
-
-        self.inited = True
-        return True
-
     def query_bar_history(self, req: HistoryRequest) -> Optional[List[BarData]]:
         """查询k线数据"""
-        if not self.inited:
-            self.init()
-
-        symbol = req.symbol
-        exchange = req.exchange
-        interval = req.interval
-        start = req.start
-        end = req.end
-
-        tq_symbol = to_tq_symbol(symbol, exchange)
-        if tq_symbol not in self.symbols:
-            return None
-
-        tq_interval = INTERVAL_VT2TQ.get(interval)
-        if not tq_interval:
+        # 初始化API
+        try:
+            api = TqApi(auth=TqAuth(self.username, self.password))
+        except Exception:
+            traceback.print_exc()
             return None
 
-        # 为了查询夜盘数据
-        end += timedelta(1)
-
-        df = self.api.get_kline_data_series(symbol=tq_symbol, duration_seconds=INTERVAL_VT2TQ[interval],
-                                            start_dt=start, end_dt=end)
+        # 查询数据
+        tq_symbol = f"{req.exchange.value}.{req.symbol}"
 
-        self.api.close()
+        df: pd.DataFrame = api.get_kline_data_series(
+            symbol=tq_symbol,
+            duration_seconds=INTERVAL_VT2TQ[req.interval],
+            start_dt=req.start,
+            end_dt=(req.end + timedelta(1))
+        )
 
-        self.inited = False
+        # 关闭API
+        api.close()
 
-        data: List[BarData] = []
+        # 解析数据
+        bars: List[BarData] = []
 
         if df is not None:
-            for ix, row in df.iterrows():
+            for tp in df.itertuples():
                 # 天勤时间为与1970年北京时间相差的秒数，需要加上8小时差
-                dt = pd.Timestamp(row["datetime"]).to_pydatetime() + timedelta(hours=8)
+                dt = pd.Timestamp(tp.datetime).to_pydatetime() + timedelta(hours=8)
+
                 bar = BarData(
-                    symbol=symbol,
-                    exchange=exchange,
-                    interval=interval,
+                    symbol=req.symbol,
+                    exchange=req.exchange,
+                    interval=req.interval,
                     datetime=CHINA_TZ.localize(dt),
-                    open_price=row["open"],
-                    high_price=row["high"],
-                    low_price=row["low"],
-                    close_price=row["close"],
-                    volume=row["volume"],
-                    open_interest=row["open_oi"],
+                    open_price=tp.open,
+                    high_price=tp.high,
+                    low_price=tp.low,
+                    close_price=tp.close,
+                    volume=tp.volume,
+                    open_interest=tp.open_oi,
                     gateway_name="TQ",
                 )
-                data.append(bar)
-        return data
-
-    def query_tick_history(self, req: HistoryRequest) -> Optional[List[TickData]]:
-        """查询Tick数据"""
-        if not self.inited:
-            self.init()
-
-        symbol = req.symbol
-        exchange = req.exchange
-        start = req.start
-        end = req.end
-
-        tq_symbol = to_tq_symbol(symbol, exchange)
-        if tq_symbol not in self.symbols:
-            return None
-
-        if req.interval is not Interval.TICK:
-            return None
+                bars.append(bar)
 
-        # 为了查询夜盘数据
-        end += timedelta(1)
-
-        df = self.api.get_tick_data_series(symbol=tq_symbol, start_dt=start, end_dt=end)
-
-        self.api.close()
-        self.inited = False
-
-        data: List[TickData] = []
-
-        if df is not None:
-            for ix, row in df.iterrows():
-                # 天勤时间为与1970年北京时间相差的秒数，需要加上8小时差
-                dt = pd.Timestamp(row["datetime"]).to_pydatetime() + timedelta(hours=8)
-                tick = TickData(
-                    symbol=symbol,
-                    exchange=exchange,
-                    datetime=CHINA_TZ.localize(dt),
-                    high_price=row["highest"],
-                    low_price=row["lowest"],
-                    last_price=row["last_price"],
-                    volume=row["volume"],
-                    open_interest=row["open_interest"],
-                    bid_price_1=row["bid_price1"],
-                    bid_volume_1=row["bid_volume1"],
-                    ask_price_1=row["ask_price1"],
-                    ask_volume_1=row["ask_volume1"],
-                    gateway_name="TQ",
-                )
-                data.append(tick)
-        return data
+        return bars