from jqdatasdk import *
import numpy as np
import pandas as pd
from datetime import datetime
from datetime import timedelta
import pyodbc

SQLServer，数据库信息根据实际情况自行设置

conn = pyodbc.connect(r'DRIVER={SQL Server Native Client 11.0};SERVER=XXXX;DATABASE=XXXX;UID=XXX;PWD=XXXX')
cursor = conn.cursor()

• 聚宽用户登录

  auth('XXXX','XXXX')
  

• 设置取数据时间段

  curDate = datetime.now().strftime('%Y-%m-%d')
  startDate=datetime.now() - timedelta(days=7)
  startDate=startDate.strftime('%Y-%m-%d')
  

待处理日期列表

str_qdate=query(finance.STK_EXCHANGE_LINK_CALENDAR).filter(
    finance.STK_EXCHANGE_LINK_CALENDAR.link_id==310001,
    finance.STK_EXCHANGE_LINK_CALENDAR.type_id==312001,
    finance.STK_EXCHANGE_LINK_CALENDAR.day>=startDate,
    finance.STK_EXCHANGE_LINK_CALENDAR.day<=curDate,
    ).order_by(
        finance.STK_EXCHANGE_LINK_CALENDAR.day.desc()
    )
df_date=finance.run_query(str_qdate)

逐日提取数据

for index, row  in df_date.iterrows():
    trade_day=row['day']
    str_quo=query(finance.STK_ML_QUOTA).filter(finance.STK_ML_QUOTA.day==trade_day).limit(3000)

    df_trade=finance.run_query(str_quo)
    df_trade

    #存入数据库
    for index, row  in df_trade.iterrows():
        strSql="exec proc_jqdata_shszsc_quo_crawl_add @trade_dt ='"   str(row['day'])   "'"
        strSql=strSql   ",@link_id="   str(row['link_id'] )
        strSql=strSql   ",@link_name='"   str(row['link_name'] )  "'"
        strSql=strSql   ",@currency_id="   str(row['currency_id'] )
        strSql=strSql   ",@currency_name='"   str(row['currency_name'] )  "'"
        strSql=strSql   ",@buy_amount="   str(row['buy_amount'] )
        strSql=strSql   ",@buy_volume="   str(row['buy_volume'] )
        strSql=strSql   ",@sell_amount="   str(row['sell_amount'] )
        strSql=strSql   ",@sell_volume="   str(row['sell_volume'] )
        strSql=strSql   ",@sum_amount="   str(row['sum_amount'] )
        strSql=strSql   ",@sum_volume="   str(row['sum_volume'] )
        strSql=strSql   ",@quota="   str(row['quota'] )
        strSql=strSql   ",@quota_balance="   str(row['quota_balance'] )
        strSql=strSql   ",@quota_daily="   str(row['quota_daily'] )
        strSql=strSql   ",@quota_daily_balance="   str(row['quota_daily_balance'] )

        strSql=strSql.replace('None', '0')

        print(strSql)
        cursor.execute(strSql)
        conn.commit()

SQL数据库建表语句

if exists (select * from dbo.sysobjects where id = object_id(N'dbo.shszsc_quo') and OBJECTPROPERTY(id, N'IsUserTable') = 1)
drop table dbo.shszsc_quo
GO
CREATE TABLE dbo.shszsc_quo (
    rec_id int identity(1,1) NOT NULL , -- 序号
    trade_dt date not null, --交易日期
    link_id int not null, --市场通编码
    link_name varchar(32) not null, --市场通名称(包括以下四个名称： 沪股通， 深股通， 港股通(沪)， 港股通(深))
    currency_id int not null, --货币编码
    currency_name varchar(16) not null, --货币名称
    buy_amount decimal(20,4) not null, --买入成交额(亿)
    buy_volume decimal(20,4) not null, --买入成交数(笔)
    sell_amount decimal(20,4) not null, --卖出成交额(亿)
    sell_volume decimal(20,4) not null, --卖出成交数(笔)
    sum_amount decimal(20,4) not null, --累计成交额(买入成交额 卖出成交额)
    sum_volume decimal(20,4) not null, --累计成交数目(买入成交量 卖出成交量)
    quota decimal(20, 4) not null, --总额度(亿（2016-08-16号起，沪港通和深港通不再设总额度限制）)
    quota_balance decimal(20, 4) not null, --总额度余额(亿)
    quota_daily decimal(20, 4) not null, --每日额度(亿)
    quota_daily_balance decimal(20, 4) not null, --每日额度余额(亿)

    first_input_userid int not null default 0, --首次录入人员
    first_input_time datetime not null default getdate(), --首次录入时间
    last_input_userid int not null default 0, --最后更新人员
    last_input_time datetime not null default getdate(), --最后更新时间
    constraint pk_shszsc_quo primary key(rec_id)
)
GO
create index idx_shszsc_quo_title on shszsc_quo(trade_dt)
go

保存数据至数据库的存储过程

if exists (select * from dbo.sysobjects where id = object_id(N'dbo.proc_jqdata_shszsc_quo_crawl_add') and OBJECTPROPERTY(id, N'IsProcedure') = 1) 
 drop procedure dbo.proc_jqdata_shszsc_quo_crawl_add
 go 
CREATE procedure [dbo].[proc_jqdata_shszsc_quo_crawl_add](
    @trade_dt date , --交易日期
    @link_id int , --市场通编码
    @link_name varchar(32) , --市场通名称(包括以下四个名称： 沪股通， 深股通， 港股通(沪)， 港股通(深))
    @currency_id int , --货币编码
    @currency_name varchar(16) , --货币名称
    @buy_amount decimal(20,4) , --买入成交额(亿)
    @buy_volume decimal(20,4) , --买入成交数(笔)
    @sell_amount decimal(20,4) , --卖出成交额(亿)
    @sell_volume decimal(20,4) , --卖出成交数(笔)
    @sum_amount decimal(20,4) , --累计成交额(买入成交额 卖出成交额)
    @sum_volume decimal(20,4) , --累计成交数目(买入成交量 卖出成交量)
    @quota decimal(20, 4) , --总额度(亿（2016-08-16号起，沪港通和深港通不再设总额度限制）)
    @quota_balance decimal(20, 4) , --总额度余额(亿)
    @quota_daily decimal(20, 4) , --每日额度(亿)
    @quota_daily_balance decimal(20, 4) --每日额度余额(亿)
)
as
begin

    if not exists(select * from shszsc_quo where trade_dt=@trade_dt and link_id=@link_id)
        insert into shszsc_quo(trade_dt,link_id,link_name,currency_id,currency_name,
                    buy_amount,buy_volume,sell_amount,sell_volume,sum_amount,sum_volume,
                    quota,quota_balance,quota_daily,quota_daily_balance) 
          values(@trade_dt,@link_id,@link_name,@currency_id,@currency_name,
                    @buy_amount,@buy_volume,@sell_amount,@sell_volume,@sum_amount,@sum_volume,
                    @quota,@quota_balance,@quota_daily,@quota_daily_balance)
end
go