def QA_fetch_get_extensionmarket_info(ip=None, port=None):
ip, port = get_extensionmarket_ip(ip, port)
apix = TdxExHq_API()
with apix.connect(ip, port):
global extension_market_info
extension_market_info = apix.to_df(apix.get_markets())
return extension_market_info
def QA_fetch_get_future_list(ip=best_ip['future']['ip'], port=best_ip['future']['port']):
'期货代码list'
apix = TdxExHq_API()
with apix.connect(ip, port):
market_info = apix.get_markets()
num = apix.get_instrument_count()
return pd.concat([apix.to_df(
apix.get_instrument_info((int(num / 500) - i) * 500, 500))
for i in range(int(num / 500) + 1)], axis=0).set_index('code', drop=False)
class ExtQuotes(object):
"""扩展市场实时行情"""
def __init__(self, **kwargs):
self.client = TdxExHq_API(**kwargs)
# self.bestip = os.environ.setdefault("MOOTDX_SERVER", '61.152.107.141:7727')
# self.bestip = kwargs.get("bestip", '202.108.253.131:7709')
# self.bestip = self.bestip.split(':')
self.bestip = ('202.108.253.131', 7709)
# self.bestip[1] = int(self.bestip[1])
def markets(self):
'''
获取实时市场列表
:return: pd.dataFrame or None
'''
with self.client.connect(*self.bestip):
data = self.client.get_markets()
return self.client.to_df(data)
return None
def quote5(self, market=47, symbol="IF1709"):
'''
查询五档行情
:return: pd.dataFrame or None
'''
with self.client.connect(*self.bestip):
data = self.client.get_instrument_quote(market, symbol)
return self.client.to_df(data)
def minute(self, market=47, symbol="IF1709"):
'''
查询五档行情
:return: pd.dataFrame or None
'''
with self.client.connect(*self.bestip):
data = self.client.get_minute_time_data(market, symbol)
return self.client.to_df(data)
def instrument(self, start=0, offset=100):
'''
查询代码列表
:param start:
:param offset:
:return: pd.dataFrame or None
'''
with self.client.connect(*self.bestip):
# nums = self.client.get_instrument_count()
data = self.client.get_instrument_info(int(start), int(offset))
return self.client.to_df(data)
class ExQuotes(object):
"""扩展市场实时行情"""
def __init__(self, **kwargs):
self.client = TdxExHq_API(**kwargs)
self.bestip = ('202.108.253.130', 7709)
def bars(
self,
symbol='',
category='1',
market='0',
start='0',
offset='100'):
'''
获取实时日K线数据
:param symbol:
:param category:
:param market:
:param start:
:param offset:
:return: pd.dataFrame or None
'''
with self.client.connect(*self.bestip):
data = self.client.get_security_bars(
int(category), int(market), str(symbol), int(start), int(offset))
return self.client.to_df(data)
def markets(self):
'''
获取实时市场列表
:return: pd.dataFrame or None
'''
with self.client.connect(*self.bestip):
data = self.client.get_markets()
return self.client.to_df(data)
def instrument(self, start=0, offset=100):
'''
:param start:
:param offset:
:return: pd.dataFrame or None
'''
with self.client.connect(*self.bestip):
data = self.client.get_instrument_info(int(start), int(offset))
return self.client.to_df(data)
def QA_fetch_get_future_list(ip=None, port=None):
'期货代码list'
global best_ip
if ip is None and port is None and best_ip['future']['ip'] is None and best_ip['future']['port'] is None:
best_ip = select_best_ip()
ip = best_ip['future']['ip']
port = best_ip['future']['port']
elif ip is None and port is None and best_ip['future']['ip'] is not None and best_ip['future']['port'] is not None:
ip = best_ip['future']['ip']
port = best_ip['future']['port']
else:
pass
apix = TdxExHq_API()
with apix.connect(ip, port):
market_info = apix.get_markets()
num = apix.get_instrument_count()
return pd.concat([apix.to_df(
apix.get_instrument_info((int(num / 500) - i) * 500, 500))
for i in range(int(num / 500) + 1)], axis=0).set_index('code', drop=False)
class ExEngine:
def __init__(self, *args, **kwargs):
self.api = TdxExHq_API(args, kwargs)
def connect(self):
self.api.connect('61.152.107.141', 7727)
return self
def __enter__(self):
return self
def exit(self):
self.api.disconnect()
def __exit__(self, exc_type, exc_val, exc_tb):
self.api.disconnect()
@lazyval
def markets(self):
return self.api.to_df(self.api.get_markets())
def test_all_functions():
symbol_params = [[47, "IF1709"], [8, "10000889"], [31, "00020"],
[47, "IFL0"], [31, "00700"]]
api = TdxExHq_API(auto_retry=True)
try:
with api.connect('121.14.110.210', 7727, time_out=30):
log.info("获取市场代码")
data = api.get_markets()
assert data is not None
assert type(data) is list
assert len(data) > 0
log.info("查询市场中商品数量")
data = api.get_instrument_count()
assert data is not None
assert data > 0
log.info("查询五档行情")
for params in symbol_params:
data = api.get_instrument_quote(*params)
print(data)
assert data is not None
assert type(data) is list
assert len(data) > 0
# log.info("查询分时行情")
for params in symbol_params:
data = api.get_minute_time_data(*params)
assert data is not None
assert type(data) is list
assert len(data) >= 0
log.info("查询历史分时行情")
for params in symbol_params:
data = api.get_history_minute_time_data(
params[0], params[1], 20170811)
assert data is not None
assert type(data) is list
assert len(data) >= 0
log.info("查询分时成交")
for params in symbol_params:
data = api.get_transaction_data(*params)
assert data is not None
assert type(data) is list
assert len(data) >= 0
log.info("查询历史分时成交")
for params in symbol_params:
data = api.get_history_transaction_data(
params[0], params[1], 20170811)
assert data is not None
assert type(data) is list
assert len(data) >= 0
log.info("查询k线")
for params in symbol_params:
data = api.get_instrument_bars(TDXParams.KLINE_TYPE_DAILY,
params[0], params[1])
assert data is not None
assert type(data) is list
assert len(data) >= 0
log.info("查询代码列表")
data = api.get_instrument_info(10000, 98)
assert data is not None
assert type(data) is list
assert len(data) > 0
except socket.timeout as e:
pass
class TdxFutureData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy=None, best_ip={}):
"""
构造函数
:param strategy: 上层策略，主要用与使用write_log（）
"""
self.api = None
self.connection_status = False # 连接状态
self.best_ip = best_ip
self.symbol_exchange_dict = {} # tdx合约与vn交易所的字典
self.symbol_market_dict = copy.copy(
INIT_TDX_MARKET_MAP) # tdx合约与tdx市场的字典
self.strategy = strategy
self.future_contracts = get_future_contracts()
def write_log(self, content):
if self.strategy:
self.strategy.write_log(content)
else:
print(content)
def write_error(self, content):
if self.strategy:
self.strategy.write_log(content, level=ERROR)
else:
print(content)
def connect(self, is_reconnect=False):
"""
连接API
:return:
"""
# 创建api连接对象实例
try:
if self.api is None or not self.connection_status:
self.write_log(u"开始连接通达信行情服务器")
self.api = TdxExHq_API(heartbeat=True,
auto_retry=True,
raise_exception=True)
# 选取最佳服务器
if is_reconnect or len(self.best_ip) == 0:
self.best_ip = get_cache_json(TDX_FUTURE_CONFIG)
last_datetime_str = self.best_ip.get("datetime", None)
if last_datetime_str:
try:
last_datetime = datetime.strptime(
last_datetime_str, "%Y-%m-%d %H:%M:%S")
if (datetime.now() - last_datetime
).total_seconds() > 60 * 60 * 2:
self.best_ip = {}
except Exception as ex:
self.best_ip = {}
else:
self.best_ip = {}
if len(self.best_ip) == 0:
self.best_ip = self.select_best_ip()
self.api.connect(self.best_ip["ip"], self.best_ip["port"])
# 尝试获取市场合约统计
c = self.api.get_instrument_count()
if c < 10:
err_msg = u"该服务器IP {}/{}无响应".format(
self.best_ip["ip"], self.best_ip["port"])
self.write_error(err_msg)
else:
self.write_log(u"创建tdx连接, IP: {}/{}".format(
self.best_ip["ip"], self.best_ip["port"]))
# print(u"创建tdx连接, IP: {}/{}".format(self.best_ip["ip"], self.best_ip["port"]))
self.connection_status = True
# if not is_reconnect:
# 更新 symbol_exchange_dict , symbol_market_dict
# self.qryInstrument()
except Exception as ex:
self.write_log(u"连接服务器tdx异常:{},{}".format(str(ex),
traceback.format_exc()))
return
# ----------------------------------------------------------------------
def ping(self, ip, port=7709):
"""
ping行情服务器
:param ip:
:param port:
:param type_:
:return:
"""
apix = TdxExHq_API()
__time1 = datetime.now()
try:
with apix.connect(ip, port):
if apix.get_instrument_count() > 10000:
_timestamp = datetime.now() - __time1
self.write_log("服务器{ip}:{port},耗时:{_timestamp}")
return _timestamp
else:
self.write_log("该服务器IP {ip}无响应")
return timedelta(9, 9, 0)
except Exception:
self.write_error("tdx ping服务器，异常的响应{ip}")
return timedelta(9, 9, 0)
# ----------------------------------------------------------------------
def select_best_ip(self):
"""
选择行情服务器
:return:
"""
self.write_log(u"选择通达信行情服务器")
data_future = [self.ping(x["ip"], x["port"]) for x in TDX_FUTURE_HOSTS]
best_future_ip = TDX_FUTURE_HOSTS[data_future.index(min(data_future))]
self.write_log(u"选取 {}:{}".format(best_future_ip["ip"],
best_future_ip["port"]))
# print(u"选取 {}:{}".format(best_future_ip["ip"], best_future_ip["port"]))
best_future_ip.update(
{"datetime": datetime.now().strftime("%Y-%m-%d %H:%M:%S")})
save_cache_json(best_future_ip, TDX_FUTURE_CONFIG)
return best_future_ip
def _get_vn_exchange(self, symbol):
"""获取"""
underlying_symbol = get_underlying_symbol(symbol).upper()
info = self.future_contracts.get(underlying_symbol, None)
if info:
return Exchange(info.get("exchange"))
else:
market_id = get_tdx_marketid(symbol)
return Tdx_Vn_Exchange_Map.get(str(market_id), Exchange.INE)
def qry_instrument(self):
"""
查询/更新合约信息
:return:
"""
# 取得所有的合约信息
num = self.api.get_instrument_count()
if not isinstance(num, int):
return
all_contacts = sum([
self.api.get_instrument_info((int(num / 500) - i) * 500, 500)
for i in range(int(num / 500) + 1)
], [])
# [{"category":category,"market": int,"code":sting,"name":string,"desc":string},{}]
# 对所有合约处理，更新字典 指数合约-tdx市场，指数合约-交易所
for tdx_contract in all_contacts:
tdx_symbol = tdx_contract.get("code", None)
if tdx_symbol is None:
continue
tdx_market_id = tdx_contract.get("market")
if str(tdx_market_id) in Tdx_Vn_Exchange_Map:
self.symbol_exchange_dict.update(
{tdx_symbol: Tdx_Vn_Exchange_Map.get(str(tdx_market_id))})
self.symbol_market_dict.update({tdx_symbol: tdx_market_id})
# ----------------------------------------------------------------------
def get_bars(self,
symbol,
period,
callback=None,
bar_freq=1,
start_dt=None,
end_dt=None,
return_bar=True):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
callback: 逐一bar去驱动回调函数, 只有 return_bar = True时才回调
bar_freq: 回调时的参数
start_dt: 取数据的开始时间
end_dt: 取数据的结束时间
return_bar: 返回 第二个数据内容，True:BarData, False:dict
"""
ret_bars = []
tdx_symbol = symbol.upper().replace("_", "")
tdx_symbol = tdx_symbol.replace("99", "L9")
underlying_symbol = get_underlying_symbol(symbol).upper()
tdx_index_symbol = underlying_symbol + "L9"
vn_exchange = self._get_vn_exchange(underlying_symbol)
self.connect()
if self.api is None:
return False, ret_bars
if period not in PERIOD_MAPPING.keys():
self.write_error(u"{} 周期{}不在下载清单中: {}".format(
datetime.now(), period, list(PERIOD_MAPPING.keys())))
return False, ret_bars
tdx_period = PERIOD_MAPPING.get(period)
if start_dt is None:
self.write_log(u"没有设置开始时间，缺省为10天前")
qry_start_date = datetime.now() - timedelta(days=10)
else:
qry_start_date = start_dt
if end_dt is None:
self.write_log(u"没有设置结束时间，缺省为当日")
end_date = datetime.combine(datetime.now() + timedelta(days=1),
time(ALL_MARKET_END_HOUR, 0))
else:
end_date = end_dt
if qry_start_date > end_date:
qry_start_date = end_date
self.write_log("{}开始下载tdx:{} {}数据, {} to {}.".format(
datetime.now(), tdx_symbol, period, qry_start_date, end_date))
# print("{}开始下载tdx:{} {}数据, {} to {}.".format(datetime.now(), tdx_symbol, tdx_period, last_date, end_date))
try:
_start_date = end_date
_bars = []
_pos = 0
while _start_date > qry_start_date:
_res = self.api.get_instrument_bars(
tdx_period,
self.symbol_market_dict.get(tdx_index_symbol,
0), tdx_symbol, _pos, QSIZE)
if _res is not None:
_bars = _res + _bars
_pos += QSIZE
if _res is not None and len(_res) > 0:
_start_date = _res[0]["datetime"]
_start_date = datetime.strptime(_start_date,
"%Y-%m-%d %H:%M")
self.write_log(u"分段取数据开始:{}".format(_start_date))
else:
break
if len(_bars) == 0:
self.write_error("{} Handling {}, len1={}..., continue".format(
str(datetime.now()), tdx_symbol, len(_bars)))
return False, ret_bars
current_datetime = datetime.now()
data = self.api.to_df(_bars)
data = data.assign(datetime=to_datetime(data["datetime"]))
data = data.assign(ticker=symbol)
data["instrument_id"] = data["ticker"]
data["symbol"] = symbol
data = data.drop([
"year", "month", "day", "hour", "minute", "price", "amount",
"ticker"
],
errors="ignore",
axis=1)
data = data.rename(index=str,
columns={
"position": "open_interest",
"trade": "volume",
})
if len(data) == 0:
print("{} Handling {}, len2={}..., continue".format(
str(datetime.now()), tdx_symbol, len(data)))
return False, ret_bars
data["total_turnover"] = data["volume"] * data["close"]
data["limit_down"] = 0
data["limit_up"] = 999999
data["trading_day"] = data["datetime"]
data["trading_day"] = data["trading_day"].apply(
lambda x: (x.strftime("%Y-%m-%d")))
monday_ts = data["datetime"].dt.weekday == 0 # 星期一
night_ts1 = data["datetime"].dt.hour > ALL_MARKET_END_HOUR
night_ts2 = data["datetime"].dt.hour < ALL_MARKET_BEGIN_HOUR
data.loc[night_ts1, "datetime"] -= timedelta(
days=1) # 所有日期的夜盘(21:00~24:00), 减一天
monday_ts1 = monday_ts & night_ts1 # 星期一的夜盘(21:00~24:00), 再减两天
data.loc[monday_ts1, "datetime"] -= timedelta(days=2)
monday_ts2 = monday_ts & night_ts2 # 星期一的夜盘(00:00~04:00), 再减两天
data.loc[monday_ts2, "datetime"] -= timedelta(days=2)
# data["datetime"] -= timedelta(minutes=1) # 直接给Strategy使用, RiceQuant格式, 不需要减1分钟
# data["dt_datetime"] = data["datetime"]
data["date"] = data["datetime"].apply(lambda x:
(x.strftime("%Y-%m-%d")))
data["time"] = data["datetime"].apply(lambda x:
(x.strftime("%H:%M:%S")))
# data["datetime"] = data["datetime"].apply(lambda x: float(x.strftime("%Y%m%d%H%M%S")))
data = data.set_index("datetime", drop=False)
if return_bar:
self.write_log("dataframe => [bars]")
for index, row in data.iterrows():
add_bar = BarData(gateway_name="tdx",
symbol=symbol,
exchange=vn_exchange,
datetime=index)
try:
add_bar.date = row["date"]
add_bar.time = row["time"]
add_bar.trading_day = row["trading_day"]
add_bar.open_price = float(row["open"])
add_bar.high_price = float(row["high"])
add_bar.low_price = float(row["low"])
add_bar.close_price = float(row["close"])
add_bar.volume = float(row["volume"])
add_bar.openInterest = float(row["open_interest"])
except Exception as ex:
self.write_error(
"error when convert bar:{},ex:{},t:{}".format(
row, str(ex), traceback.format_exc()))
# print("error when convert bar:{},ex:{},t:{}".format(row, str(ex), traceback.format_exc()))
return False, ret_bars
if start_dt is not None and index < start_dt:
continue
ret_bars.append(add_bar)
if callback is not None:
freq = bar_freq
bar_is_completed = True
if period != "1min" and index == data["datetime"][-1]:
# 最后一个bar，可能是不完整的，强制修改
# - 5min修改后freq基本正确
# - 1day在VNPY合成时不关心已经收到多少Bar, 所以影响也不大
# - 但其它分钟周期因为不好精确到每个品种, 修改后的freq可能有错
if index > current_datetime:
bar_is_completed = False
# 根据秒数算的话，要+1，例如13:31,freq=31，第31根bar
freq = NUM_MINUTE_MAPPING[period] - int(
(index - current_datetime).total_seconds()
/ 60)
callback(add_bar, bar_is_completed, freq)
else:
self.write_log("dataframe => [ dict ]")
ret_bars = list(data.T.to_dict().values())
return True, ret_bars
except Exception as ex:
self.write_error("exception in get:{},{},{}".format(
tdx_symbol, str(ex), traceback.format_exc()))
# print("exception in get:{},{},{}".format(tdx_symbol,str(ex), traceback.format_exc()))
self.write_log(u"重置连接")
self.api = None
self.connect(is_reconnect=True)
return False, ret_bars
def get_price(self, symbol):
"""获取最新价格"""
tdx_symbol = symbol.upper().replace("_", "")
short_symbol = get_underlying_symbol(tdx_symbol).upper()
if tdx_symbol.endswith("99"):
query_symbol = tdx_symbol.replace("99", "L9")
else:
query_symbol = get_full_symbol(tdx_symbol)
if query_symbol != tdx_symbol:
self.write_log("转换合约:{}=>{}".format(tdx_symbol, query_symbol))
tdx_index_symbol = short_symbol + "L9"
self.connect()
if self.api is None:
return 0
market_id = self.symbol_market_dict.get(tdx_index_symbol, 0)
_res = self.api.get_instrument_quote(market_id, query_symbol)
if not isinstance(_res, list):
return 0
if len(_res) == 0:
return 0
return float(_res[0].get("price", 0))
def get_99_contracts(self):
"""
获取指数合约
:return: dict list
"""
self.connect()
result = self.api.get_instrument_quote_list(42, 3, 0, 100)
return result
def get_mi_contracts(self):
"""
获取主力合约
:return: dict list
"""
self.connect()
result = self.api.get_instrument_quote_list(60, 3, 0, 100)
return result
def get_contracts(self, exchange):
self.connect()
market_id = Vn_Tdx_Exchange_Map.get(exchange, None)
if market_id is None:
print(u"市场:{}配置不在Vn_Tdx_Exchange_Map:{}中，不能取市场下所有合约".format(
exchange, Vn_Tdx_Exchange_Map))
return []
index = 0
count = 100
results = []
while (True):
print(u"查询{}下：{}~{}个合约".format(exchange, index, index + count))
#print("helloabc",self.api.get_instrument_quote_list(47,"IF2003"))
result = self.api.get_instrument_quote_list(
int(market_id), 3, index, count)
results.extend(result)
index += count
if len(result) < count:
break
return results
def get_mi_contracts2(self):
""" 获取主力合约"""
self.connect()
contracts = []
for exchange in Vn_Tdx_Exchange_Map.keys():
contracts.extend(self.get_mi_contracts_from_exchange(exchange))
return contracts
def get_mi_contracts_from_exchange(self, exchange):
contracts = self.get_contracts(exchange)
if len(contracts) == 0:
print(u"异常，未能获取{}下合约信息".format(exchange))
return []
mi_contracts = []
short_contract_dict = {}
for contract in contracts:
# 排除指数合约
code = contract.get("code")
if code[-2:] in ["L9", "L8", "L0", "L1", "L2", "L3", "50"] or \
(exchange == Exchange.CFFEX and code[-3:] in ["300", "500"]):
continue
short_symbol = get_underlying_symbol(code).upper()
contract_list = short_contract_dict.get(short_symbol, [])
contract_list.append(contract)
short_contract_dict.update({short_symbol: contract_list})
for k, v in short_contract_dict.items():
sorted_list = sorted(v, key=lambda c: c["ZongLiang"])
mi_contracts.append(sorted_list[-1])
return mi_contracts
def get_markets(self):
"""
获取市场代码
:return:
"""
self.connect()
result = self.api.get_markets()
return result
def get_transaction_data(self, symbol):
"""获取当前交易日的历史成交记录"""
ret_datas = []
max_data_size = sys.maxsize
symbol = symbol.upper()
if "99" in symbol:
# 查询的是指数合约
symbol = symbol.replace("99", "L9")
tdx_index_symbol = symbol
else:
# 查询的是普通合约
tdx_index_symbol = get_underlying_symbol(symbol).upper() + "L9"
self.connect()
q_size = QSIZE * 5
# 每秒 2个， 10小时
max_data_size = 1000000
self.write_log(u"开始下载{}当日分笔数据".format(symbol))
try:
_datas = []
_pos = 0
while True:
_res = self.api.get_transaction_data(
market=self.symbol_market_dict.get(tdx_index_symbol, 0),
code=symbol,
start=_pos,
count=q_size)
if _res is not None:
for d in _res:
dt = d.pop("date")
# 星期1~星期6
if dt.hour >= 20 and 1 < dt.isoweekday() <= 6:
dt = dt - timedelta(days=1)
elif dt.hour >= 20 and dt.isoweekday() == 1:
# 星期一取得20点后数据
dt = dt - timedelta(days=3)
elif dt.hour < 8 and dt.isoweekday() == 1:
# 星期一取得8点前数据
dt = dt - timedelta(days=3)
elif dt.hour >= 20 and dt.isoweekday() == 7:
# 星期天取得20点后数据，肯定是星期五夜盘
dt = dt - timedelta(days=2)
elif dt.isoweekday() == 7:
# 星期日取得其他时间，必然是 星期六凌晨的数据
dt = dt - timedelta(days=1)
d.update({"datetime": dt})
# 接口有bug，返回价格*1000，所以要除以1000
d.update({"price": d.get("price", 0) / 1000})
_datas = sorted(_res, key=lambda s: s["datetime"]) + _datas
_pos += min(q_size, len(_res))
if _res is not None and len(_res) > 0:
self.write_log(u"分段取分笔数据:{} ~{}, {}条,累计:{}条".format(
_res[0]["datetime"], _res[-1]["datetime"], len(_res),
_pos))
else:
break
if len(_datas) >= max_data_size:
break
if len(_datas) == 0:
self.write_error(u"{}分笔成交数据获取为空")
return True, _datas
except Exception as ex:
self.write_error(
"exception in get_transaction_data:{},{},{}".format(
symbol, str(ex), traceback.format_exc()))
self.write_error(u"当前异常服务器信息:{}".format(self.best_ip))
self.write_log(u"重置连接")
self.api = None
self.connect(is_reconnect=True)
return False, ret_datas
def save_cache(self, cache_folder, cache_symbol, cache_date, data_list):
"""保存文件到缓存"""
os.makedirs(cache_folder, exist_ok=True)
if not os.path.exists(cache_folder):
self.write_error("缓存目录不存在:{},不能保存".format(cache_folder))
return
cache_folder_year_month = os.path.join(cache_folder, cache_date[:6])
os.makedirs(cache_folder_year_month, exist_ok=True)
save_file = os.path.join(cache_folder_year_month,
"{}_{}.pkz2".format(cache_symbol, cache_date))
try:
with bz2.BZ2File(save_file, "wb") as f:
pickle.dump(data_list, f)
self.write_log(u"缓存成功:{}".format(save_file))
except Exception as ex:
self.write_error(u"缓存写入异常:{}".format(str(ex)))
def load_cache(self, cache_folder, cache_symbol, cache_date):
"""加载缓存数据"""
if not os.path.exists(cache_folder):
self.write_error("缓存目录:{}不存在,不能读取".format(cache_folder))
return None
cache_folder_year_month = os.path.join(cache_folder, cache_date[:6])
if not os.path.exists(cache_folder_year_month):
self.write_error("缓存目录:{}不存在,不能读取".format(cache_folder_year_month))
return None
cache_file = os.path.join(
cache_folder_year_month,
"{}_{}.pkz2".format(cache_symbol, cache_date))
if not os.path.isfile(cache_file):
self.write_error("缓存文件:{}不存在,不能读取".format(cache_file))
return None
with bz2.BZ2File(cache_file, "rb") as f:
data = pickle.load(f)
return data
return None
def get_history_transaction_data(self,
symbol,
trading_date,
cache_folder=None):
"""获取当某一交易日的历史成交记录"""
ret_datas = []
# trading_date, 转换为数字类型得日期
if isinstance(trading_date, datetime):
trading_date = trading_date.strftime("%Y%m%d")
if isinstance(trading_date, str):
trading_date = int(trading_date.replace("-", ""))
self.connect()
cache_symbol = symbol
cache_date = str(trading_date)
max_data_size = sys.maxsize
symbol = symbol.upper()
if "99" in symbol:
# 查询的是指数合约
symbol = symbol.replace("99", "L9")
tdx_index_symbol = symbol
else:
# 查询的是普通合约
tdx_index_symbol = get_underlying_symbol(symbol).upper() + "L9"
q_size = QSIZE * 5
# 每秒 2个， 10小时
max_data_size = 1000000
# 优先从缓存加载
if cache_folder:
buffer_data = self.load_cache(cache_folder, cache_symbol,
cache_date)
if buffer_data:
self.write_log(u"使用缓存文件")
return True, buffer_data
self.write_log(u"开始下载{} 历史{}分笔数据".format(trading_date, symbol))
cur_trading_date = get_trading_date()
if trading_date == int(cur_trading_date.replace("-", "")):
return self.get_transaction_data(symbol)
try:
_datas = []
_pos = 0
while True:
_res = self.api.get_history_transaction_data(
market=self.symbol_market_dict.get(tdx_index_symbol, 0),
date=trading_date,
code=symbol,
start=_pos,
count=q_size)
if _res is not None:
for d in _res:
dt = d.pop("date")
# 星期1~星期6
if dt.hour >= 20 and 1 < dt.isoweekday() <= 6:
dt = dt - timedelta(days=1)
d.update({"datetime": dt})
elif dt.hour >= 20 and dt.isoweekday() == 1:
# 星期一取得20点后数据
dt = dt - timedelta(days=3)
d.update({"datetime": dt})
elif dt.hour < 8 and dt.isoweekday() == 1:
# 星期一取得8点前数据
dt = dt - timedelta(days=3)
d.update({"datetime": dt})
elif dt.hour >= 20 and dt.isoweekday() == 7:
# 星期天取得20点后数据，肯定是星期五夜盘
dt = dt - timedelta(days=2)
d.update({"datetime": dt})
elif dt.isoweekday() == 7:
# 星期日取得其他时间，必然是 星期六凌晨的数据
dt = dt - timedelta(days=1)
d.update({"datetime": dt})
else:
d.update({"datetime": dt})
# 接口有bug，返回价格*1000，所以要除以1000
d.update({"price": d.get("price", 0) / 1000})
_datas = sorted(_res, key=lambda s: s["datetime"]) + _datas
_pos += min(q_size, len(_res))
if _res is not None and len(_res) > 0:
self.write_log(u"分段取分笔数据:{} ~{}, {}条,累计:{}条".format(
_res[0]["datetime"], _res[-1]["datetime"], len(_res),
_pos))
else:
break
if len(_datas) >= max_data_size:
break
if len(_datas) == 0:
self.write_error(u"{}分笔成交数据获取为空".format(trading_date))
return False, _datas
# 缓存文件
if cache_folder:
self.save_cache(cache_folder, cache_symbol, cache_date, _datas)
return True, _datas
except Exception as ex:
self.write_error(
"exception in get_transaction_data:{},{},{}".format(
symbol, str(ex), traceback.format_exc()))
self.write_error(u"当前异常服务器信息:{}".format(self.best_ip))
self.write_log(u"重置连接")
self.api = None
self.connect(is_reconnect=True)
return False, ret_datas
def update_mi_contracts(self):
# 连接通达信，获取主力合约
if not self.api:
self.connect()
mi_contract_quote_list = self.get_mi_contracts2()
self.write_log(u"一共获取:{}个主力合约:{}".format(
len(mi_contract_quote_list),
[c.get("code") for c in mi_contract_quote_list]))
should_save = False
# 逐一更新主力合约数据
for mi_contract in mi_contract_quote_list:
tdx_market_id = mi_contract.get("market")
full_symbol = mi_contract.get("code")
underlying_symbol = get_underlying_symbol(full_symbol).upper()
if underlying_symbol in ["SC", "NR"]:
vn_exchange = Exchange.INE
else:
vn_exchange = Tdx_Vn_Exchange_Map.get(str(tdx_market_id))
mi_symbol = get_real_symbol_by_exchange(full_symbol, vn_exchange)
# 更新登记 短合约：真实主力合约
self.write_log("{},{},{},{},{}".format(tdx_market_id, full_symbol,
underlying_symbol,
mi_symbol, vn_exchange))
if underlying_symbol in self.future_contracts:
info = self.future_contracts.get(underlying_symbol)
if mi_symbol > info.get("mi_symbol"):
self.write_log(u"主力合约变化:{} =>{}".format(
info.get("mi_symbol"), mi_symbol))
info.update({
"mi_symbol": mi_symbol,
"full_symbol": full_symbol
})
self.future_contracts.update({underlying_symbol: info})
should_save = True
else:
# 添加到新合约中
# 这里缺少size和price_tick, margin_rate，当ctp_gateway启动时，会自动补充和修正完毕
info = {
"underlying_symbol": underlying_symbol,
"mi_symbol": mi_symbol,
"full_symbol": full_symbol,
"exchange": vn_exchange.value
}
self.write_log(
u"新合约:{}, 需要待ctp连接后更新合约的size/price_tick/margin_rate".
format(info))
self.future_contracts.update({underlying_symbol: info})
should_save = True
if should_save:
save_future_contracts(self.future_contracts)
port = int(bsip['port'])
if api.connect(ip, port):
num = api.get_instrument_count()
all_contacts = sum([
api.get_instrument_info((int(num / 500) - i) * 500, 500)
for i in range(int(num / 500) + 1)
], [])
print(all_contacts)
# 指数合约
index_contracts = api.get_instrument_quote_list(42, 3, 0, 100)
# 主力合约
main_contracts = api.get_instrument_quote_list(60, 3, 0, 100)
markets_code = api.get_markets()
data = api.get_instrument_bars(TDXParams.KLINE_TYPE_DAILY, 8,
"10000843", 0, 100)
# 对所有合约处理，更新字典 指数合约-tdx市场，指数合约-交易所
for tdx_contract in all_contacts:
tdx_symbol = tdx_contract.get('code', None)
if tdx_symbol is None:
continue
tdx_market_id = tdx_contract.get('market')
if str(tdx_market_id) in Tdx_Vn_Exchange_Map:
TdxFutureData.symbol_exchange_dict.update(
{tdx_symbol: Tdx_Vn_Exchange_Map.get(str(tdx_market_id))})
TdxFutureData.symbol_market_dict.update(
{tdx_symbol: tdx_market_id})
# -*- coding: utf-8 -*-
from pytdx.exhq import TdxExHq_API
import ta
api = TdxExHq_API()
with api.connect('124.74.236.94', 7721):
#查询市场中商品数量
marketsID = api.to_df(api.get_markets())
#查询五档行情
quote =api.to_df(api.get_instrument_quote(47, "IFL8"))
#查询分时行情
markets_fenshi = api.to_df(api.get_minute_time_data(47, "IFL8"))
#查询历史分时行情
historydata = api.to_df(api.get_history_minute_time_data(47, "IFL8", 20170811))
#查询k线数据
kdata = api.to_df(api.get_instrument_bars(0, 47, "IFL8", 0, 700))
#查询当前分笔成交
fenbi = api.to_df(api.get_transaction_data(47, "IFL8"))
#查询历史分笔成交
fenbi_history = api.to_df(api.get_history_transaction_data(47, "IFL8", 20191204, start=1800))
#查询当天分笔成交
fenbi_chenjiao = api.to_df(api.get_history_transaction_data(47, "IFL8", 20191204,))
print (marketsID)
print (quote)
print (kdata)
df = kdata
def _exhq_():
api = TdxExHq_API()
with api.connect('139.219.103.190', 7721):
df = api.to_df(api.get_markets())
print(df)
from pytdx.exhq import TdxExHq_API
api = TdxExHq_API()
with api.connect('101.227.77.254', 7727):
api.get_markets()
api.get_minute_time_data(47, "IF1709")
import tushare as ts
class TdxFutureData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy, best_ip={}):
"""
构造函数
:param strategy: 上层策略，主要用与使用write_log（）
"""
self.api = None
self.connection_status = False # 连接状态
self.best_ip = best_ip
self.symbol_exchange_dict = {} # tdx合约与vn交易所的字典
self.symbol_market_dict = copy.copy(
INIT_TDX_MARKET_MAP) # tdx合约与tdx市场的字典
self.strategy = strategy
def write_log(self, content):
if self.strategy:
self.strategy.write_log(content)
else:
print(content)
def write_error(self, content):
if self.strategy:
self.strategy.write_log(content, level=ERROR)
else:
print(content, file=sys.stderr)
def connect(self, is_reconnect=False):
"""
连接API
:return:
"""
# 创建api连接对象实例
try:
if self.api is None or not self.connection_status:
self.write_log(u'开始连接通达信行情服务器')
self.api = TdxExHq_API(heartbeat=True,
auto_retry=True,
raise_exception=True)
# 选取最佳服务器
if is_reconnect or len(self.best_ip) == 0:
self.best_ip = get_cache_ip()
if len(self.best_ip) == 0:
self.best_ip = self.select_best_ip()
self.api.connect(self.best_ip['ip'], self.best_ip['port'])
# 尝试获取市场合约统计
c = self.api.get_instrument_count()
if c < 10:
err_msg = u'该服务器IP {}/{}无响应'.format(
self.best_ip['ip'], self.best_ip['port'])
self.write_error(err_msg)
else:
self.write_log(u'创建tdx连接, IP: {}/{}'.format(
self.best_ip['ip'], self.best_ip['port']))
# print(u'创建tdx连接, IP: {}/{}'.format(self.best_ip['ip'], self.best_ip['port']))
self.connection_status = True
# if not is_reconnect:
# 更新 symbol_exchange_dict , symbol_market_dict
# self.qryInstrument()
except Exception as ex:
self.write_log(u'连接服务器tdx异常:{},{}'.format(str(ex),
traceback.format_exc()))
return
# ----------------------------------------------------------------------
def ping(self, ip, port=7709):
"""
ping行情服务器
:param ip:
:param port:
:param type_:
:return:
"""
apix = TdxExHq_API()
__time1 = datetime.now()
try:
with apix.connect(ip, port):
if apix.get_instrument_count() > 10000:
_timestamp = datetime.now() - __time1
self.write_log(f'服务器{ip}:{port},耗时:{_timestamp}')
return _timestamp
else:
self.write_log(f'该服务器IP {ip}无响应')
return timedelta(9, 9, 0)
except Exception:
self.write_error(f'tdx ping服务器，异常的响应{ip}')
return timedelta(9, 9, 0)
# ----------------------------------------------------------------------
def select_best_ip(self):
"""
选择行情服务器
:return:
"""
self.write_log(u'选择通达信行情服务器')
data_future = [self.ping(x['ip'], x['port']) for x in TDX_FUTURE_HOSTS]
best_future_ip = TDX_FUTURE_HOSTS[data_future.index(min(data_future))]
self.write_log(u'选取 {}:{}'.format(best_future_ip['ip'],
best_future_ip['port']))
# print(u'选取 {}:{}'.format(best_future_ip['ip'], best_future_ip['port']))
save_cache_ip(best_future_ip)
return best_future_ip
# ----------------------------------------------------------------------
def qryInstrument(self):
"""
查询/更新合约信息
:return:
"""
# 取得所有的合约信息
num = self.api.get_instrument_count()
if not isinstance(num, int):
return
all_contacts = sum([
self.api.get_instrument_info((int(num / 500) - i) * 500, 500)
for i in range(int(num / 500) + 1)
], [])
# [{"category":category,"market": int,"code":sting,"name":string,"desc":string},{}]
# 对所有合约处理，更新字典 指数合约-tdx市场，指数合约-交易所
for tdx_contract in all_contacts:
tdx_symbol = tdx_contract.get('code', None)
if tdx_symbol is None:
continue
tdx_market_id = tdx_contract.get('market')
if str(tdx_market_id) in Tdx_Vn_Exchange_Map:
self.symbol_exchange_dict.update(
{tdx_symbol: Tdx_Vn_Exchange_Map.get(str(tdx_market_id))})
self.symbol_market_dict.update({tdx_symbol: tdx_market_id})
# ----------------------------------------------------------------------
def get_bars(self,
symbol,
period,
callback,
bar_is_completed=False,
bar_freq=1,
start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
ret_bars = []
tdx_symbol = symbol.upper().replace('_', '')
tdx_symbol = tdx_symbol.replace('99', 'L9')
tdx_index_symbol = get_underlying_symbol(symbol) + 'L9'
self.connect()
if self.api is None:
return False, ret_bars
if period not in PERIOD_MAPPING.keys():
self.write_error(u'{} 周期{}不在下载清单中: {}'.format(
datetime.now(), period, list(PERIOD_MAPPING.keys())))
return False, ret_bars
# tdx_period = PERIOD_MAPPING.get(period)
if start_dt is None:
self.write_log(u'没有设置开始时间，缺省为10天前')
qry_start_date = datetime.now() - timedelta(days=10)
else:
qry_start_date = start_dt
end_date = datetime.combine(datetime.now() + timedelta(days=1),
time(ALL_MARKET_END_HOUR, 0))
if qry_start_date > end_date:
qry_start_date = end_date
self.write_log('{}开始下载tdx:{} {}数据, {} to {}.'.format(
datetime.now(), tdx_symbol, period, qry_start_date, end_date))
# print('{}开始下载tdx:{} {}数据, {} to {}.'.format(datetime.now(), tdx_symbol, tdx_period, last_date, end_date))
try:
_start_date = end_date
_bars = []
_pos = 0
while _start_date > qry_start_date:
_res = self.api.get_instrument_bars(
PERIOD_MAPPING[period],
self.symbol_market_dict.get(tdx_index_symbol, 0),
tdx_symbol, _pos, QSIZE)
if _res is not None:
_bars = _res + _bars
_pos += QSIZE
if _res is not None and len(_res) > 0:
_start_date = _res[0]['datetime']
_start_date = datetime.strptime(_start_date,
'%Y-%m-%d %H:%M')
self.write_log(u'分段取数据开始:{}'.format(_start_date))
else:
break
if len(_bars) == 0:
self.write_error('{} Handling {}, len1={}..., continue'.format(
str(datetime.now()), tdx_symbol, len(_bars)))
return False, ret_bars
current_datetime = datetime.now()
data = self.api.to_df(_bars)
data = data.assign(datetime=to_datetime(data['datetime']))
data = data.assign(ticker=symbol)
data['instrument_id'] = data['ticker']
# if future['market'] == 28 or future['market'] == 47:
# # 大写字母: 郑州商品 or 中金所期货
# data['instrument_id'] = data['ticker']
# else:
# data['instrument_id'] = data['ticker'].apply(lambda x: x.lower())
data['symbol'] = symbol
data = data.drop([
'year', 'month', 'day', 'hour', 'minute', 'price', 'amount',
'ticker'
],
errors='ignore',
axis=1)
data = data.rename(index=str,
columns={
'position': 'open_interest',
'trade': 'volume',
})
if len(data) == 0:
print('{} Handling {}, len2={}..., continue'.format(
str(datetime.now()), tdx_symbol, len(data)))
return False, ret_bars
data['total_turnover'] = data['volume']
data["limit_down"] = 0
data["limit_up"] = 999999
data['trading_date'] = data['datetime']
data['trading_date'] = data['trading_date'].apply(
lambda x: (x.strftime('%Y-%m-%d')))
monday_ts = data['datetime'].dt.weekday == 0 # 星期一
night_ts1 = data['datetime'].dt.hour > ALL_MARKET_END_HOUR
night_ts2 = data['datetime'].dt.hour < ALL_MARKET_BEGIN_HOUR
data.loc[night_ts1, 'datetime'] -= timedelta(
days=1) # 所有日期的夜盘(21:00~24:00), 减一天
monday_ts1 = monday_ts & night_ts1 # 星期一的夜盘(21:00~24:00), 再减两天
data.loc[monday_ts1, 'datetime'] -= timedelta(days=2)
monday_ts2 = monday_ts & night_ts2 # 星期一的夜盘(00:00~04:00), 再减两天
data.loc[monday_ts2, 'datetime'] -= timedelta(days=2)
# data['datetime'] -= timedelta(minutes=1) # 直接给Strategy使用, RiceQuant格式, 不需要减1分钟
data['dt_datetime'] = data['datetime']
data['date'] = data['datetime'].apply(lambda x:
(x.strftime('%Y-%m-%d')))
data['time'] = data['datetime'].apply(lambda x:
(x.strftime('%H:%M:%S')))
data['datetime'] = data['datetime'].apply(
lambda x: float(x.strftime('%Y%m%d%H%M%S')))
data = data.set_index('dt_datetime', drop=False)
# data = data[int(last_date.strftime('%Y%m%d%H%M%S')):int(end_date.strftime('%Y%m%d%H%M%S'))]
# data = data[str(last_date):str(end_date)]
for index, row in data.iterrows():
add_bar = BarData()
try:
add_bar.symbol = row['symbol']
add_bar.datetime = index
add_bar.date = row['date']
add_bar.time = row['time']
add_bar.trading_date = row['trading_date']
add_bar.open = float(row['open'])
add_bar.high = float(row['high'])
add_bar.low = float(row['low'])
add_bar.close = float(row['close'])
add_bar.volume = float(row['volume'])
add_bar.openInterest = float(row['open_interest'])
except Exception as ex:
self.write_error(
'error when convert bar:{},ex:{},t:{}'.format(
row, str(ex), traceback.format_exc()))
# print('error when convert bar:{},ex:{},t:{}'.format(row, str(ex), traceback.format_exc()))
return False
if start_dt is not None and index < start_dt:
continue
ret_bars.append(add_bar)
if callback is not None:
freq = bar_freq
bar_is_completed = True
if period != '1min' and index == data['dt_datetime'][-1]:
# 最后一个bar，可能是不完整的，强制修改
# - 5min修改后freq基本正确
# - 1day在VNPY合成时不关心已经收到多少Bar, 所以影响也不大
# - 但其它分钟周期因为不好精确到每个品种, 修改后的freq可能有错
if index > current_datetime:
bar_is_completed = False
# 根据秒数算的话，要+1，例如13:31,freq=31，第31根bar
freq = NUM_MINUTE_MAPPING[period] - int(
(index - current_datetime).total_seconds() /
60)
callback(add_bar, bar_is_completed, freq)
return True, ret_bars
except Exception as ex:
self.write_error('exception in get:{},{},{}'.format(
tdx_symbol, str(ex), traceback.format_exc()))
# print('exception in get:{},{},{}'.format(tdx_symbol,str(ex), traceback.format_exc()))
self.write_log(u'重置连接')
self.api = None
self.connect(is_reconnect=True)
return False, ret_bars
def get_price(self, symbol):
"""获取最新价格"""
tdx_symbol = symbol.upper().replace('_', '')
short_symbol = get_underlying_symbol(tdx_symbol).upper()
if tdx_symbol.endswith('99'):
query_symbol = tdx_symbol.replace('99', 'L9')
else:
query_symbol = get_full_symbol(tdx_symbol)
if query_symbol != tdx_symbol:
self.write_log('转换合约:{}=>{}'.format(tdx_symbol, query_symbol))
tdx_index_symbol = short_symbol + 'L9'
self.connect()
if self.api is None:
return 0
market_id = self.symbol_market_dict.get(tdx_index_symbol, 0)
_res = self.api.get_instrument_quote(market_id, query_symbol)
if not isinstance(_res, list):
return 0
if len(_res) == 0:
return 0
return float(_res[0].get('price', 0))
def get_99_contracts(self):
"""
获取指数合约
:return: dict list
"""
self.connect()
result = self.api.get_instrument_quote_list(42, 3, 0, 100)
return result
def get_mi_contracts(self):
"""
获取主力合约
:return: dict list
"""
self.connect()
result = self.api.get_instrument_quote_list(60, 3, 0, 100)
return result
def get_contracts(self, exchange):
self.connect()
market_id = Vn_Tdx_Exchange_Map.get(exchange, None)
if market_id is None:
print(u'市场:{}配置不在Vn_Tdx_Exchange_Map:{}中，不能取市场下所有合约'.format(
exchange, Vn_Tdx_Exchange_Map))
return []
index = 0
count = 100
results = []
while (True):
print(u'查询{}下：{}~{}个合约'.format(exchange, index, index + count))
result = self.api.get_instrument_quote_list(
int(market_id), 3, index, count)
results.extend(result)
index += count
if len(result) < count:
break
return results
def get_mi_contracts2(self):
""" 获取主力合约"""
self.connect()
contracts = []
for exchange in Vn_Tdx_Exchange_Map.keys():
contracts.extend(self.get_mi_contracts_from_exchange(exchange))
return contracts
def get_mi_contracts_from_exchange(self, exchange):
contracts = self.get_contracts(exchange)
if len(contracts) == 0:
print(u'异常，未能获取{}下合约信息'.format(exchange))
return []
mi_contracts = []
short_contract_dict = {}
for contract in contracts:
# 排除指数合约
code = contract.get('code')
if code[-2:] in ['L9', 'L8', 'L0', 'L1', 'L2', 'L3', '50'] or\
(exchange == Exchange.CFFEX and code[-3:] in ['300', '500']):
continue
short_symbol = get_underlying_symbol(code).upper()
contract_list = short_contract_dict.get(short_symbol, [])
contract_list.append(contract)
short_contract_dict.update({short_symbol: contract_list})
for k, v in short_contract_dict.items():
sorted_list = sorted(v, key=lambda c: c['ZongLiang'])
mi_contracts.append(sorted_list[-1])
return mi_contracts
def get_markets(self):
"""
获取市场代码
:return:
"""
self.connect()
result = self.api.get_markets()
return result
def get_transaction_data(self, symbol):
"""获取当前交易日的历史成交记录"""
ret_datas = []
max_data_size = sys.maxsize
symbol = symbol.upper()
if '99' in symbol:
# 查询的是指数合约
symbol = symbol.replace('99', 'L9')
tdx_index_symbol = symbol
else:
# 查询的是普通合约
tdx_index_symbol = get_underlying_symbol(symbol).upper() + 'L9'
self.connect()
q_size = QSIZE * 5
# 每秒 2个， 10小时
max_data_size = 1000000
self.write_log(u'开始下载{}当日分笔数据'.format(symbol))
try:
_datas = []
_pos = 0
while (True):
_res = self.api.get_transaction_data(
market=self.symbol_market_dict.get(tdx_index_symbol, 0),
code=symbol,
start=_pos,
count=q_size)
if _res is not None:
for d in _res:
dt = d.pop('date')
# 星期1~星期6
if dt.hour >= 20 and 1 < dt.isoweekday() <= 6:
dt = dt - timedelta(days=1)
elif dt.hour >= 20 and dt.isoweekday() == 1:
# 星期一取得20点后数据
dt = dt - timedelta(days=3)
elif dt.hour < 8 and dt.isoweekday() == 1:
# 星期一取得8点前数据
dt = dt - timedelta(days=3)
elif dt.hour >= 20 and dt.isoweekday() == 7:
# 星期天取得20点后数据，肯定是星期五夜盘
dt = dt - timedelta(days=2)
elif dt.isoweekday() == 7:
# 星期日取得其他时间，必然是 星期六凌晨的数据
dt = dt - timedelta(days=1)
d.update({'datetime': dt})
# 接口有bug，返回价格*1000，所以要除以1000
d.update({'price': d.get('price', 0) / 1000})
_datas = sorted(_res, key=lambda s: s['datetime']) + _datas
_pos += min(q_size, len(_res))
if _res is not None and len(_res) > 0:
self.write_log(u'分段取分笔数据:{} ~{}, {}条,累计:{}条'.format(
_res[0]['datetime'], _res[-1]['datetime'], len(_res),
_pos))
else:
break
if len(_datas) >= max_data_size:
break
if len(_datas) == 0:
self.write_error(u'{}分笔成交数据获取为空')
return True, _datas
except Exception as ex:
self.write_error(
'exception in get_transaction_data:{},{},{}'.format(
symbol, str(ex), traceback.format_exc()))
self.write_error(u'当前异常服务器信息:{}'.format(self.best_ip))
self.write_log(u'重置连接')
self.api = None
self.connect(is_reconnect=True)
return False, ret_datas
def save_cache(self, cache_folder, cache_symbol, cache_date, data_list):
"""保存文件到缓存"""
os.makedirs(cache_folder, exist_ok=True)
if not os.path.exists(cache_folder):
self.write_error('缓存目录不存在:{},不能保存'.format(cache_folder))
return
cache_folder_year_month = os.path.join(cache_folder, cache_date[:6])
os.makedirs(cache_folder_year_month, exist_ok=True)
save_file = os.path.join(cache_folder_year_month,
'{}_{}.pkz2'.format(cache_symbol, cache_date))
try:
with bz2.BZ2File(save_file, 'wb') as f:
pickle.dump(data_list, f)
self.write_log(u'缓存成功:{}'.format(save_file))
except Exception as ex:
self.write_error(u'缓存写入异常:{}'.format(str(ex)))
def load_cache(self, cache_folder, cache_symbol, cache_date):
"""加载缓存数据"""
if not os.path.exists(cache_folder):
self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder))
return None
cache_folder_year_month = os.path.join(cache_folder, cache_date[:6])
if not os.path.exists(cache_folder_year_month):
self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder_year_month))
return None
cache_file = os.path.join(
cache_folder_year_month,
'{}_{}.pkz2'.format(cache_symbol, cache_date))
if not os.path.isfile(cache_file):
self.write_error('缓存文件:{}不存在,不能读取'.format(cache_file))
return None
with bz2.BZ2File(cache_file, 'rb') as f:
data = pickle.load(f)
return data
return None
def get_history_transaction_data(self, symbol, date, cache_folder=None):
"""获取当某一交易日的历史成交记录"""
ret_datas = []
if isinstance(date, datetime):
date = date.strftime('%Y%m%d')
if isinstance(date, str):
date = int(date)
self.connect()
cache_symbol = symbol
cache_date = str(date)
max_data_size = sys.maxsize
symbol = symbol.upper()
if '99' in symbol:
# 查询的是指数合约
symbol = symbol.replace('99', 'L9')
tdx_index_symbol = symbol
else:
# 查询的是普通合约
tdx_index_symbol = get_underlying_symbol(symbol).upper() + 'L9'
q_size = QSIZE * 5
# 每秒 2个， 10小时
max_data_size = 1000000
# 优先从缓存加载
if cache_folder:
buffer_data = self.load_cache(cache_folder, cache_symbol,
cache_date)
if buffer_data:
self.write_log(u'使用缓存文件')
return True, buffer_data
self.write_log(u'开始下载{} 历史{}分笔数据'.format(date, symbol))
cur_trading_date = get_trading_date()
if date == int(cur_trading_date.replace('-', '')):
return self.get_transaction_data(symbol)
try:
_datas = []
_pos = 0
while (True):
_res = self.api.get_history_transaction_data(
market=self.symbol_market_dict.get(tdx_index_symbol, 0),
date=date,
code=symbol,
start=_pos,
count=q_size)
if _res is not None:
for d in _res:
dt = d.pop('date')
# 星期1~星期6
if dt.hour >= 20 and 1 < dt.isoweekday() <= 6:
dt = dt - timedelta(days=1)
d.update({'datetime': dt})
elif dt.hour >= 20 and dt.isoweekday() == 1:
# 星期一取得20点后数据
dt = dt - timedelta(days=3)
d.update({'datetime': dt})
elif dt.hour < 8 and dt.isoweekday() == 1:
# 星期一取得8点前数据
dt = dt - timedelta(days=3)
d.update({'datetime': dt})
elif dt.hour >= 20 and dt.isoweekday() == 7:
# 星期天取得20点后数据，肯定是星期五夜盘
dt = dt - timedelta(days=2)
d.update({'datetime': dt})
elif dt.isoweekday() == 7:
# 星期日取得其他时间，必然是 星期六凌晨的数据
dt = dt - timedelta(days=1)
d.update({'datetime': dt})
else:
d.update({'datetime': dt})
# 接口有bug，返回价格*1000，所以要除以1000
d.update({'price': d.get('price', 0) / 1000})
_datas = sorted(_res, key=lambda s: s['datetime']) + _datas
_pos += min(q_size, len(_res))
if _res is not None and len(_res) > 0:
self.write_log(u'分段取分笔数据:{} ~{}, {}条,累计:{}条'.format(
_res[0]['datetime'], _res[-1]['datetime'], len(_res),
_pos))
else:
break
if len(_datas) >= max_data_size:
break
if len(_datas) == 0:
self.write_error(u'{}分笔成交数据获取为空'.format(date))
return False, _datas
# 缓存文件
if cache_folder:
self.save_cache(cache_folder, cache_symbol, cache_date, _datas)
return True, _datas
except Exception as ex:
self.write_error(
'exception in get_transaction_data:{},{},{}'.format(
symbol, str(ex), traceback.format_exc()))
self.write_error(u'当前异常服务器信息:{}'.format(self.best_ip))
self.write_log(u'重置连接')
self.api = None
self.connect(is_reconnect=True)
return False, ret_datas
def update_futures(args):
"""Update Future 1min data in MongoDB
Args:
Returns:
"""
client = pymongo.MongoClient(args.mongo_uri, serverSelectionTimeoutMS=1000)
client.server_info()
db = client[args.database]
collection = db['future_china_1min']
api = TdxExHq_API(heartbeat=True, multithread=True)
api.connect('61.152.107.141', 7727)
num = api.get_instrument_count()
insts = [api.get_instrument_info(i, QSIZE) for i in range(0, num, QSIZE)]
insts = [x for i in insts for x in i]
exchs = ['中金所期货', '上海期货', '大连商品', '郑州商品']
markets = [t['market'] for t in api.get_markets() if t['name'] in exchs]
futures = [t for t in insts
if t['market'] in markets and t['code'][-2] != 'L']
for future in futures:
qeury = collection.find({"ticker": future['code']})
qeury = qeury.sort('datetime', pymongo.DESCENDING)
qeury = qeury.limit(1)
last_one = list(qeury)
if len(last_one) > 0:
last_date = last_one[0]['datetime'] + timedelta(minutes=1)
else:
last_date = datetime.now() - timedelta(days=365)
end_date = datetime.now().date()
end_date = datetime.combine(end_date - timedelta(days=1),
time(ALL_MARKET_END_HOUR, 0))
_start_date = end_date
_bars = []
_pos = 0
while _start_date > last_date:
_res = api.get_instrument_bars(
TDXParams.KLINE_TYPE_1MIN,
future['market'],
future['code'],
_pos,
QSIZE)
try:
_bars = _res + _bars
except TypeError:
continue
_pos += QSIZE
if len(_res) > 0:
_start_date = _res[0]['datetime']
_start_date = datetime.strptime(_start_date, '%Y-%m-%d %H:%M')
else:
break
if len(_bars) == 0:
continue
data = api.to_df(_bars)
data = data.assign(datetime=pd.to_datetime(data['datetime']))
data = data.assign(ticker=future['code'])
data = data.drop(
['year', 'month', 'day', 'hour', 'minute', 'price', 'amount'],
errors='ignore',
axis=1)
data = data.rename(
index=str,
columns={
'position': 'oi',
'trade': 'volume',
})
data['date'] = pd.to_datetime(data['datetime'].dt.date)
_miss_ts = data['datetime'].dt.hour > ALL_MARKET_END_HOUR
data.loc[_miss_ts, 'datetime'] -= timedelta(days=1)
data = data.set_index('datetime', drop=False)
data = data[str(last_date):str(end_date)]
collection.insert_many(data.to_dict('records')) if len(data) > 0 else 0
_logger.info(future['code'])
api.disconnect()
class TdxMarket(MarketBase):
__market_name__ = 'TDX'
__timeframe__ = '1MIN'
def __init__(self, host: Optional[str] = None):
self._env = env = Env()
env.read_env()
tdx_host = host if host else env.str('TDX_HOST')
self._api = TdxExHq_API(heartbeat=True, multithread=True)
self._ip, self._port = tdx_host.split(':')
self._server_tz = timezone('Asia/Shanghai')
self._pill = Event()
self._market_mapping = dict(
zip(["SHFE", "CZCE", "DCE", "CFFEX", "US"], [30, 28, 29, 47, 74]))
def connect(self):
if not self._api.connect(self._ip, int(self._port)):
raise RemoteError('%s:%s connect error.' %
(self.ip, int(self.port)))
self._market_list = list(
self._api.to_df(self._api.get_markets()).market)
async def watch_klines(self, symbol: str):
market, code = symbol.split('.')
last_kline = None
while not self._pill.is_set():
tdx_klines = self._get_instrument_bars(
TDXParams.KLINE_TYPE_1MIN, self._market_mapping[market], code,
0, 10)
# 这个地方处理的原因在于由于是轮询的，就有可能出现在轮询间隔的时间(这里是1秒)内，有一半时间属于上一根K线，有一半时间属于下一根K线，所以如果我们只看最新的K线的话，前一根K线的一部分数据可能就会丢失，因此这里判断一下前一根K线如果有更新，就先把前一根K线推送了，再推送下一根K线
prev_kline = self._parse_kline(tdx_klines[-2])
latest_kline = self._parse_kline(tdx_klines[-1])
if last_kline and prev_kline['datetime'] == last_kline['datetime']:
self.logger.debug('yield prev kline: %s' % prev_kline)
yield prev_kline
if last_kline != latest_kline:
yield latest_kline
self.logger.debug('yield latest kline: %s' % latest_kline)
last_kline = latest_kline
await sleep(1)
async def get_kline_histories(self,
symbol: str,
from_ts: Optional[int] = None,
limit: Optional[int] = None):
market, code = symbol.split('.')
if self._market_mapping[market] in self._market_list:
bars = []
if from_ts is not None:
idx = 0
while len(bars) == 0 or bars[-1]['datetime'] >= from_ts:
bars += [
self._parse_kline(bar) for bar in reversed(
self._get_instrument_bars(
TDXParams.KLINE_TYPE_1MIN,
self._market_mapping[market], code, idx *
700, 700))
]
idx += 1
# 前面都是整700地取，所以有可能取到的数据会超过 from_ts,因此这里再做一次过滤
bars = list(filter(lambda x: x['datetime'] >= from_ts, bars))
elif limit is not None:
for i in range(limit // 700):
bars += [
self._parse_kline(bar) for bar in reversed(
self._get_instrument_bars(
TDXParams.KLINE_TYPE_1MIN,
self._market_mapping[market], code, i *
700, 700))
]
bars += [
self._parse_kline(bar) for bar in reversed(
self._get_instrument_bars(TDXParams.KLINE_TYPE_1MIN,
self._market_mapping[market],
code, limit // 700 *
700, limit % 700))
]
return reversed(bars)
def disconnect(self):
self._pill.set()
self._api.disconnect()
def _get_instrument_bars(self, category, market, code, start=0, count=700):
while True:
try:
cmd = GetInstrumentBars(self._api.client, lock=self._api.lock)
cmd.setParams(category, market, code, start=start, count=count)
return cmd.call_api()
except Exception as e:
pass
def _parse_kline(self, kline_tdx: dict) -> dict:
dt = self._server_tz.localize(
datetime.strptime(kline_tdx['datetime'],
'%Y-%m-%d %H:%M')).astimezone(pytz.utc)
return {
'datetime': int(dt.timestamp() * 1000),
'open': str(round(kline_tdx['open'], 2)),
'high': str(round(kline_tdx['high'], 2)),
'low': str(round(kline_tdx['low'], 2)),
'close': str(round(kline_tdx['close'], 2)),
'volume': kline_tdx['trade'],
}
