python3 利用MT5客户端下载历史数据

Love The Way You Lie 2022-12-22 14:28 540阅读 0赞

运用MT5 官方提供的包 MetaTrader5

#!encoding=utf8
    
    from datetime import datetime
    import matplotlib.pyplot as plt
    import pandas as pd
    from pandas.plotting import register_matplotlib_converters
    register_matplotlib_converters()
    import MetaTrader5 as mt5
    import pytz, os, csv
    
    
    class Mt5Client:
        M1 = 'M1'
        M5 = 'M5'
        M15 = 'M15'
        M30 = 'M30'
        H1 = 'H1'
        H4 = 'H4'
        D1 = 'D1'
    
        def __init__(self, account_number, password, server_name, mt5_path=None):
            """初始化MT5客户端
    
            Args:
                account_number (int): 登录MT5账户号码
                password (string): 登录MT5密码
                server_name (string): 登录服务器名称
                mt5_path (string, optional): MT5 客户端路径，如果不指定自动寻找. Defaults to None.
            """
            # 连接到MetaTrader 5
            if mt5_path:
                if not mt5.initialize(mt5_path):
                    print("MT5 路径：{}".format(mt5_path))
                    print("初始化 MT5 客户端失败")
                    mt5.shutdown()
                    exit(0)
            else:
                if not mt5.initialize():
                    print("初始化 MT5 客户端失败")
                    print("请指定MT5路径后在尝试")
                    mt5.shutdown()
                    exit(0)
    
            mt5_path = mt5.terminal_info()[19]
    
            # 请求连接状态和参数
            print("初始化 MT5 客户端成功，路径：{}".format(mt5_path))
            # 获取有关MetaTrader 5版本的数据
            # print(mt5.version())
    
            authorized = mt5.login(account_number, password, server_name)
            if authorized:
                print("用户信息如下：")
                account_info_dict = mt5.account_info()._asdict()
                print("name   = {}".format(account_info_dict['name']))
                print("login  = {}".format(account_info_dict['login']))
                print("server = {}".format(account_info_dict['server']))
    
        def shutdown(self):
            # 断开与MetaTrader 5的连接
            print("关闭 MT5 客户端")
            mt5.shutdown()
    
        def download_data(self, symbol, timeframe, start_time, end_time):
            """下载指定品种历史数据
    
            Args:
                symbol (string): 品种名称
                timeframe (mt5.TIMEFRAME): mt5时间框架,eg mt5.TIMEFRAME_M1
                start_time (string): 下载历史记录的开始时间,eg 2020-01-01
                end_time (string): 下载历史记录的结束时间,eg 2020-01-01
            Return:
                pd.DataFrame
            """
            mt5_timeframe = mt5.TIMEFRAME_M1
            if timeframe == "M1":
                mt5_timeframe = mt5.TIMEFRAME_M1
            elif timeframe == 'M5':
                mt5_timeframe = mt5.TIMEFRAME_M5
            elif timeframe == 'M15':
                mt5_timeframe = mt5.TIMEFRAME_M15
            elif timeframe == 'M30':
                mt5_timeframe = mt5.TIMEFRAME_M30
            elif timeframe == 'H1':
                mt5_timeframe = mt5.TIMEFRAME_H1
            elif timeframe == 'H4':
                mt5_timeframe = mt5.TIMEFRAME_H4
            elif timeframe == 'D1':
                mt5_timeframe = mt5.TIMEFRAME_D1
            # set time zone to UTC
            timezone = pytz.timezone("Etc/UTC")
            # 将字符串时间格式化成列表 2020-01-01 => [2020, 1, 1]
            start_time_list = start_time.split('-')
            end_time_list = end_time.split('-')
            start_time_list_int = list(map(int, start_time_list))
            end_time_list_int = list(map(int, end_time_list))        
            utc_from = datetime(start_time_list_int[0], start_time_list_int[1], start_time_list_int[2], tzinfo=timezone)
            utc_to = datetime(end_time_list_int[0], end_time_list_int[1], end_time_list_int[2], tzinfo=timezone)
            # 获取K线信息
            print("开始下载 {0} 周期 {1} 开始时间 {2}- 结束时间 {3} 的历史数据".format(symbol, timeframe, start_time, end_time))
            rates = mt5.copy_rates_range(symbol, mt5_timeframe, utc_from, utc_to)
            print("历史数据下载完成")
            result = [["symbol", "timestamp", "open", "high", "low", "close", "spread"]]
            for rate in rates:
                value = [symbol]
                value += [rate[0],rate[1],rate[2],rate[3],rate[4],rate[6]]
                result.append(value)
    
            work_dir = os.path.dirname(os.path.abspath(__file__))
            csv_path = os.path.abspath(os.path.join(work_dir, '..', 'data', symbol, timeframe))
            if not os.path.exists(csv_path):
                print("目录 {0} 不存在, 自动创建目录".format(csv_path))
                os.makedirs(csv_path)
    
            csv_filename = "{0}_{1}_{2}_{3}.csv".format(symbol, timeframe, ''.join(start_time_list), ''.join(end_time_list)) 
            csv_filepath = os.path.join(csv_path, csv_filename)
            if not os.path.exists(csv_filepath):
                print("开始将历史数据写入csv文件 {0}".format(csv_filepath))
                with open(csv_filepath, 'w', newline='') as fp:
                    csv_writer = csv.writer(fp)
                    csv_writer.writerows(result)
                print("历史数据写入成功")
            else:
                print("历史数据已经存在路径 {0}".format(csv_filepath))
            
            rates_frame = pd.DataFrame(rates)
            return rates_frame
    
    if __name__ == "__main__":
        client = Mt5Client(account_number=111, password='123456', server_name='Swissquote-Server')
        client.download_data("EURUSD", Mt5Client.M1, "2020-11-01", "2020-11-10")
        client.shutdown()

github源码：[https://github.com/lvhaiyang/python-mt5][https_github.com_lvhaiyang_python-mt5]

[https_github.com_lvhaiyang_python-mt5]: https://github.com/lvhaiyang/python-mt5