def add_stock(message_array):
global max_instrument_id
stock_ticker_list = []
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if exchange_name == 'SSE':
exchange_id = 18
elif exchange_name == 'SZE':
exchange_id = 19
elif exchange_name == 'HGE':
exchange_id = 13
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in instrument_db_dict:
continue
# instrument_name = getattr(messageInfo, 'InstrumentName', '')
stock_db = Instrument()
max_instrument_id += 1
stock_db.id = max_instrument_id
stock_db.ticker = ticker
stock_db.exchange_id = exchange_id
stock_db.name = ''
stock_db.ticker_exch = ticker
stock_db.ticker_exch_real = ticker
stock_db.market_status_id = 2
stock_db.market_sector_id = 4
stock_db.type_id = 4
stock_db.crncy = 'CNY'
stock_db.round_lot_size = 100
stock_db.tick_size_table = '0:0.01'
stock_db.fut_val_pt = 1
stock_db.max_market_order_vol = 0
stock_db.min_market_order_vol = 0
stock_db.max_limit_order_vol = 1000000
stock_db.min_limit_order_vol = 100
stock_db.longmarginratio = 0
stock_db.shortmarginratio = 999
stock_db.longmarginratio_speculation = stock_db.longmarginratio
stock_db.shortmarginratio_speculation = stock_db.shortmarginratio
stock_db.longmarginratio_hedge = stock_db.longmarginratio
stock_db.shortmarginratio_hedge = stock_db.shortmarginratio
stock_db.longmarginratio_arbitrage = stock_db.longmarginratio
stock_db.shortmarginratio_arbitrage = stock_db.shortmarginratio
stock_db.multiplier = 1
stock_db.strike = 0
stock_db.is_settle_instantly = 0
stock_db.is_purchase_to_redemption_instantly = 0
stock_db.is_buy_to_redpur_instantly = 1
stock_db.is_redpur_to_sell_instantly = 1
instrument_insert_list.append(stock_db)
stock_ticker_list.append(ticker)
if len(stock_ticker_list) > 0:
print 'Prepare Insert Stock:', ','.join(stock_ticker_list)
def __save_instrument(session_common, instrument_db_dict, instrument_df):
instrument_db_list = []
now_time = int(now.strftime('%H%M%S'))
for index, row in instrument_df.iterrows():
ticker = row['InstrumentID']
if ticker in instrument_db_dict:
instrument_db = instrument_db_dict[ticker]
if (now_time > 150500) and (now_time < 180000):
instrument_db.close = row['ClosePrice']
instrument_db.close_update_time = datetime.now()
instrument_db.volume = row['Volume']
else:
instrument_db.prev_close = row['PreClosePrice']
instrument_db.prev_settlementprice = row['PreSettlementPrice']
instrument_db.uplimit = row['UpperLimitPrice']
instrument_db.downlimit = row['LowerLimitPrice']
instrument_db.prev_close_update_time = datetime.now()
else:
instrument_db = Instrument()
instrument_db.ticker = ticker
instrument_db.name = ticker
instrument_db.ticker_exch = ticker
instrument_db.ticker_exch_real = ticker
instrument_db.create_date = row['CreateDate']
instrument_db.effective_since = row['OpenDate']
instrument_db.tick_size_table = '0:%f' % float(row['PriceTick'])
instrument_db.exchange_id = row['exchange_id']
instrument_db.type_id = row['type_id']
instrument_db.market_status_id = row['market_status_id']
instrument_db.multiplier = row['multiplier']
instrument_db.crncy = row['crncy']
instrument_db.market_sector_id = row['market_sector_id']
instrument_db.round_lot_size = row['round_lot_size']
instrument_db.undl_tickers = row['undl_tickers']
instrument_db.commission_rate_type = row['commission_rate_type']
instrument_db.is_settle_instantly = row['is_settle_instantly']
instrument_db.is_purchase_to_redemption_instantly = row[
'is_purchase_to_redemption_instantly']
instrument_db.is_buy_to_redpur_instantly = row[
'is_buy_to_redpur_instantly']
instrument_db.is_redpur_to_sell_instantly = row[
'is_redpur_to_sell_instantly']
instrument_db.put_call = row['put_call']
instrument_db.strike = row['strike']
instrument_db.option_margin_factor1 = row['option_margin_factor1']
instrument_db.option_margin_factor2 = row['option_margin_factor2']
instrument_db.session = row['session']
instrument_db.expire_date = row['ExpireDate']
instrument_db.fut_val_pt = row['VolumeMultiple']
instrument_db.max_market_order_vol = row['MaxMarketOrderVolume']
instrument_db.min_market_order_vol = row['MinMarketOrderVolume']
instrument_db.max_limit_order_vol = row['MaxLimitOrderVolume']
instrument_db.min_limit_order_vol = row['MinLimitOrderVolume']
instrument_db.longmarginratio = row['longmarginratio']
instrument_db.shortmarginratio = row['shortmarginratio']
instrument_db.longmarginratio_speculation = instrument_db.longmarginratio
instrument_db.shortmarginratio_speculation = instrument_db.shortmarginratio
instrument_db.longmarginratio_hedge = instrument_db.longmarginratio
instrument_db.shortmarginratio_hedge = instrument_db.shortmarginratio
instrument_db.longmarginratio_arbitrage = instrument_db.longmarginratio
instrument_db.shortmarginratio_arbitrage = instrument_db.shortmarginratio
instrument_db.update_date = datetime.now()
instrument_db_list.append(instrument_db)
sql_list = to_many_sql(Instrument, instrument_db_list, 'common.instrument')
print len(sql_list)
for sql in sql_list:
session_common.execute(sql)
def __convert_to_instrument():
stock_db_list = []
for (SecurityID, securities_xml_info) in securities_xml_dict.items():
if securities_xml_info.SecurityType not in ('1', '2', '3'):
continue
stock_db = Instrument()
stock_db.ticker = SecurityID.strip()
if securities_xml_info.SecurityIDSource == SecruityIDSource_xml_dict.CS:
stock_db.exchange_id = Exchange_Type_Enum.CS
stock_db.name = securities_xml_info.EnglishName
stock_db.ticker_exch = stock_db.ticker
stock_db.ticker_exch_real = stock_db.ticker
stock_db.market_status_id = 2
stock_db.market_sector_id = Market_Sector_Type_Enum.Equity
stock_db.type_id = Instrument_Type_Enum.CommonStock
stock_db.ticker_isin = securities_xml_info.ISIN
stock_db.crncy = 'CNY'
cashauctionparams_xml_info = cashauctionparams_xml_dict[SecurityID]
stock_db.round_lot_size = cashauctionparams_xml_info.BuyQtyUnit
stock_db.tick_size_table = '0:%s' % float(
cashauctionparams_xml_info.PriceTick)
stock_db.fut_val_pt = 1 # ?
stock_db.max_market_order_vol = 0
stock_db.min_market_order_vol = 0
stock_db.max_limit_order_vol = 1000000
stock_db.min_limit_order_vol = 100
stock_db.longmarginratio = 0
stock_db.shortmarginratio = 999
stock_db.longmarginratio_speculation = stock_db.longmarginratio
stock_db.shortmarginratio_speculation = stock_db.shortmarginratio
stock_db.longmarginratio_hedge = stock_db.longmarginratio
stock_db.shortmarginratio_hedge = stock_db.shortmarginratio
stock_db.longmarginratio_arbitrage = stock_db.longmarginratio
stock_db.shortmarginratio_arbitrage = stock_db.shortmarginratio
stock_db.multiplier = 1
stock_db.is_settle_instantly = 0
stock_db.is_purchase_to_redemption_instantly = 0
stock_db.is_buy_to_redpur_instantly = 1
stock_db.is_redpur_to_sell_instantly = 1
negotiationparams_xml = negotiationparams_xml_dict[SecurityID]
stock_db.prev_close = securities_xml_info.PrevClosePx
stock_db.prev_settlementprice = stock_db.prev_close
stock_db.uplimit = negotiationparams_xml.PriceUpperLimit
stock_db.downlimit = negotiationparams_xml.PriceLowerLimit
stock_db.prev_close_update_time = date_utils.get_now()
stock_db.update_date = date_utils.get_now()
stock_db_list.append(stock_db)
server_host = server_constant.get_server_model('host')
session_test = server_host.get_db_session('test')
for instrument_db in stock_db_list:
session_test.merge(instrument_db)
session_test.commit()
server_host.close()
def __add_instrument_db(session_common, instrument_db_dict, instrument_df):
instrument_db_list = []
for index, row in instrument_df.iterrows():
ticker = row['InstrumentID']
if ticker in instrument_db_dict:
instrument_db = instrument_db_dict[ticker]
else:
instrument_db = Instrument()
instrument_db.ticker = ticker
# instrument_db.name = ticker
instrument_db.name = row['ExchangeInstID']
instrument_db.ticker_exch = ticker
instrument_db.ticker_exch_real = ticker
instrument_db.create_date = row['CreateDate'] if row['CreateDate'] != '' else None
instrument_db.effective_since = row['OpenDate'] if row['OpenDate'] != '' else None
instrument_db.tick_size_table = '0:%f' % float(row['PriceTick'])
instrument_db.exchange_id = row['exchange_id']
instrument_db.type_id = row['type_id']
instrument_db.market_status_id = row['market_status_id']
instrument_db.multiplier = row['multiplier']
instrument_db.crncy = 'CNY'
instrument_db.market_sector_id = row['market_sector_id']
instrument_db.round_lot_size = row['round_lot_size']
instrument_db.undl_tickers = row['undl_tickers']
instrument_db.commission_rate_type = row['commission_rate_type']
instrument_db.is_settle_instantly = row['is_settle_instantly']
instrument_db.is_purchase_to_redemption_instantly = row['is_purchase_to_redemption_instantly']
instrument_db.is_buy_to_redpur_instantly = row['is_buy_to_redpur_instantly']
instrument_db.is_redpur_to_sell_instantly = row['is_redpur_to_sell_instantly']
instrument_db.put_call = row['put_call'] if row['put_call'] != '' else None
instrument_db.strike = row['strike'] if row['strike'] != '' else None
instrument_db.option_margin_factor1 = row['option_margin_factor1'] if row['option_margin_factor1'] != '' else None
instrument_db.option_margin_factor2 = row['option_margin_factor2'] if row['option_margin_factor2'] != '' else None
instrument_db.expire_date = row['ExpireDate'] if row['ExpireDate'] != '' else None
instrument_db.fut_val_pt = row['VolumeMultiple']
instrument_db.max_market_order_vol = row['max_market_order_vol'] if row['max_market_order_vol'] != '' else None
instrument_db.min_market_order_vol = row['min_market_order_vol'] if row['min_market_order_vol'] != '' else None
instrument_db.max_limit_order_vol = row['max_limit_order_vol'] if row['max_limit_order_vol'] != '' else None
instrument_db.min_limit_order_vol = row['min_limit_order_vol'] if row['min_limit_order_vol'] != '' else None
instrument_db.longmarginratio = row['longmarginratio']
instrument_db.shortmarginratio = row['shortmarginratio']
instrument_db.longmarginratio_speculation = instrument_db.longmarginratio
instrument_db.shortmarginratio_speculation = instrument_db.shortmarginratio
instrument_db.longmarginratio_hedge = instrument_db.longmarginratio
instrument_db.shortmarginratio_hedge = instrument_db.shortmarginratio
instrument_db.longmarginratio_arbitrage = instrument_db.longmarginratio
instrument_db.shortmarginratio_arbitrage = instrument_db.shortmarginratio
instrument_db.update_date = datetime.now()
if instrument_db.type_id == instrument_type_enums.CommonStock:
if row['IsTrading'] == '1':
instrument_db.inactive_date = None
else:
instrument_db.inactive_date = now.strftime('%Y-%m-%d')
instrument_db_list.append(instrument_db)
sql_list = to_many_sql(Instrument, instrument_db_list, 'common.instrument')
for sql in sql_list:
session_common.execute(sql)
def add_convertible_bond(message_array):
global max_instrument_id
ticker_list = []
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
# 过滤掉不可交易或者退市的合约
is_trading = getattr(messageInfo, 'IsTrading', '')
if is_trading != '1':
continue
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if exchange_name == 'SSE':
exchange_id = 18
elif exchange_name == 'SZE':
exchange_id = 19
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in instrument_db_dict:
continue
convertible_bond_db = Instrument()
max_instrument_id += 1
convertible_bond_db.id = max_instrument_id
convertible_bond_db.ticker = ticker
convertible_bond_db.exchange_id = exchange_id
convertible_bond_db.name = ''
convertible_bond_db.fut_val_pt = getattr(messageInfo, 'VolumeMultiple',
'')
convertible_bond_db.multiplier = convertible_bond_db.fut_val_pt
convertible_bond_db.max_market_order_vol = getattr(
messageInfo, 'MaxMarketOrderVolume', '')
convertible_bond_db.min_market_order_vol = getattr(
messageInfo, 'MinMarketOrderVolume', '')
# convertible_bond_db.max_limit_order_vol = getattr(messageInfo, 'MaxLimitOrderVolume', '')
convertible_bond_db.max_limit_order_vol = 100000
convertible_bond_db.min_limit_order_vol = getattr(
messageInfo, 'MinLimitOrderVolume', '')
convertible_bond_db.ticker_exch = ticker
convertible_bond_db.ticker_exch_real = ticker
convertible_bond_db.market_status_id = 2
convertible_bond_db.type_id = 19
convertible_bond_db.market_sector_id = 2
convertible_bond_db.round_lot_size = 10
convertible_bond_db.tick_size_table = '0:0.001'
convertible_bond_db.crncy = 'CNY'
convertible_bond_db.longmarginratio = 0
convertible_bond_db.shortmarginratio = 999
convertible_bond_db.longmarginratio_speculation = convertible_bond_db.longmarginratio
convertible_bond_db.shortmarginratio_speculation = convertible_bond_db.shortmarginratio
convertible_bond_db.longmarginratio_hedge = convertible_bond_db.longmarginratio
convertible_bond_db.shortmarginratio_hedge = convertible_bond_db.shortmarginratio
convertible_bond_db.longmarginratio_arbitrage = convertible_bond_db.longmarginratio
convertible_bond_db.shortmarginratio_arbitrage = convertible_bond_db.shortmarginratio
convertible_bond_db.is_settle_instantly = 1
convertible_bond_db.is_purchase_to_redemption_instantly = 0
convertible_bond_db.is_buy_to_redpur_instantly = 0
convertible_bond_db.is_redpur_to_sell_instantly = 0
instrument_insert_list.append(convertible_bond_db)
ticker_list.append(ticker)
if len(ticker_list) > 0:
print 'Prepare Insert ConvertibleBond:', ','.join(ticker_list)
def add_option(message_array):
global max_instrument_id
option_ticker_list = []
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if exchange_name == 'SSE':
exchange_id = 18
elif exchange_name == 'SZE':
exchange_id = 19
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in instrument_db_dict:
continue
option_db = Instrument()
max_instrument_id += 1
option_db.id = max_instrument_id
option_db.ticker = ticker
option_db.exchange_id = exchange_id
option_db.fut_val_pt = getattr(messageInfo, 'VolumeMultiple', '')
option_db.max_market_order_vol = getattr(messageInfo,
'MaxMarketOrderVolume', '')
option_db.min_market_order_vol = getattr(messageInfo,
'MinMarketOrderVolume', '')
option_db.max_limit_order_vol = getattr(messageInfo,
'MaxLimitOrderVolume', '')
option_db.min_limit_order_vol = getattr(messageInfo,
'MinLimitOrderVolume', '')
option_db.strike = getattr(messageInfo, 'ExecPrice', '')
exchange_inst_id = getattr(messageInfo, 'ExchangeInstID', '')
undl_tickers = exchange_inst_id[0:6]
option_db.undl_tickers = undl_tickers
option_db.track_undl_tickers = undl_tickers
option_db.commission_rate_type = 'option_%s' % undl_tickers
if 'M' in exchange_inst_id:
option_db.contract_adjustment = 0
elif 'A' in exchange_inst_id:
option_db.contract_adjustment = 1
elif 'B' in exchange_inst_id:
option_db.contract_adjustment = 2
elif 'C' in exchange_inst_id:
option_db.contract_adjustment = 3
option_db.create_date = getattr(messageInfo, 'CreateDate', '')
option_db.expire_date = getattr(messageInfo, 'ExpireDate', '')
instrument_name = getattr(messageInfo, 'InstrumentName', '').strip()
instrument_name = instrument_name.replace('购', 'Call').replace('沽', 'Put').replace('月', 'month') \
.replace('中国平安', undl_tickers).replace('上汽集团', undl_tickers)
if 'Call' in instrument_name:
put_call = 1
else:
put_call = 0
# option_db.name = instrument_name
# if ticker.isdigit():
option_db.name = exchange_inst_id
option_db.put_call = put_call
price_tick = getattr(messageInfo, 'PriceTick', '')
option_db.tick_size_table = '0:%s' % (float(price_tick), )
option_db.ticker_exch = ticker
option_db.ticker_exch_real = ticker
option_db.market_status_id = 2
option_db.type_id = 10 # option
option_db.market_sector_id = 4
option_db.round_lot_size = 1
option_db.longmarginratio = 0
option_db.shortmarginratio = 0.15
option_db.longmarginratio_speculation = option_db.longmarginratio
option_db.shortmarginratio_speculation = option_db.shortmarginratio
option_db.longmarginratio_hedge = option_db.longmarginratio
option_db.shortmarginratio_hedge = option_db.shortmarginratio
option_db.longmarginratio_arbitrage = option_db.longmarginratio
option_db.shortmarginratio_arbitrage = option_db.shortmarginratio
option_db.multiplier = 10000
option_db.crncy = 'CNY'
option_db.effective_since = filter_date_str
option_db.is_settle_instantly = 1
option_db.is_purchase_to_redemption_instantly = 0
option_db.is_buy_to_redpur_instantly = 0
option_db.is_redpur_to_sell_instantly = 0
option_db.option_margin_factor1 = 0.15
option_db.option_margin_factor2 = 0.07
instrument_insert_list.append(option_db)
option_ticker_list.append(ticker)
if len(option_ticker_list) > 0:
print 'Prepare Insert Option:', ','.join(option_ticker_list)
def add_mmf_fund(message_array):
global max_instrument_id
etf_ticker_list = []
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if exchange_name == 'SSE':
exchange_id = 18
elif exchange_name == 'SZE':
exchange_id = 19
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in instrument_db_dict:
continue
mmf_fund_db = Instrument()
max_instrument_id += 1
mmf_fund_db.id = max_instrument_id
mmf_fund_db.ticker = ticker
mmf_fund_db.exchange_id = exchange_id
mmf_fund_db.name = ''
mmf_fund_db.fut_val_pt = getattr(messageInfo, 'VolumeMultiple', '')
mmf_fund_db.multiplier = mmf_fund_db.fut_val_pt
mmf_fund_db.max_market_order_vol = getattr(messageInfo,
'MaxMarketOrderVolume', '')
mmf_fund_db.min_market_order_vol = getattr(messageInfo,
'MinMarketOrderVolume', '')
mmf_fund_db.max_limit_order_vol = getattr(messageInfo,
'MaxLimitOrderVolume', '')
mmf_fund_db.min_limit_order_vol = getattr(messageInfo,
'MinLimitOrderVolume', '')
mmf_fund_db.ticker_exch = ticker
mmf_fund_db.ticker_exch_real = ticker
mmf_fund_db.market_status_id = 2
mmf_fund_db.type_id = 15
mmf_fund_db.market_sector_id = 4
mmf_fund_db.round_lot_size = 100
# price_tick = getattr(messageInfo, 'PriceTick', '')
mmf_fund_db.tick_size_table = '0:0.001'
mmf_fund_db.crncy = 'CNY'
mmf_fund_db.longmarginratio = 0
mmf_fund_db.shortmarginratio = 999
mmf_fund_db.longmarginratio_speculation = mmf_fund_db.longmarginratio
mmf_fund_db.shortmarginratio_speculation = mmf_fund_db.shortmarginratio
mmf_fund_db.longmarginratio_hedge = mmf_fund_db.longmarginratio
mmf_fund_db.shortmarginratio_hedge = mmf_fund_db.shortmarginratio
mmf_fund_db.longmarginratio_arbitrage = mmf_fund_db.longmarginratio
mmf_fund_db.shortmarginratio_arbitrage = mmf_fund_db.shortmarginratio
if exchange_name == 'SSE':
mmf_fund_db.is_settle_instantly = 1
mmf_fund_db.is_purchase_to_redemption_instantly = 0
mmf_fund_db.is_buy_to_redpur_instantly = 0
mmf_fund_db.is_redpur_to_sell_instantly = 0
elif exchange_name == 'SZE':
mmf_fund_db.is_settle_instantly = 1
mmf_fund_db.is_purchase_to_redemption_instantly = 1
mmf_fund_db.is_buy_to_redpur_instantly = 1
mmf_fund_db.is_redpur_to_sell_instantly = 1
instrument_insert_list.append(mmf_fund_db)
etf_ticker_list.append(ticker)
if len(etf_ticker_list) > 0:
print 'Prepare Insert ETF:', ','.join(etf_ticker_list)
def pre_add_future(message_array):
global max_instrument_id
future_ticker_list = []
for message_info in message_array:
ticker = getattr(message_info, 'InstrumentID', '')
exchange_name = getattr(message_info, 'ExchangeID', '')
if 'CFFEX' == exchange_name:
exchange_id = exchange_type_enums.CFF
elif 'SHFE' == exchange_name:
exchange_id = exchange_type_enums.SHF
elif 'DCE' == exchange_name:
exchange_id = exchange_type_enums.DCE
elif 'CZCE' == exchange_name:
exchange_id = exchange_type_enums.ZCE
elif 'INE' == exchange_name:
exchange_id = exchange_type_enums.INE
else:
continue
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in future_db_dict:
continue
future_db = Instrument()
max_instrument_id += 1
future_db.id = max_instrument_id
future_db.ticker = ticker
future_db.exchange_id = exchange_id
future_db.fut_val_pt = getattr(message_info, 'VolumeMultiple', '')
future_db.max_market_order_vol = getattr(message_info,
'MaxMarketOrderVolume', '')
future_db.min_market_order_vol = getattr(message_info,
'MinMarketOrderVolume', '')
future_db.max_limit_order_vol = getattr(message_info,
'MaxLimitOrderVolume', '')
future_db.min_limit_order_vol = getattr(message_info,
'MinLimitOrderVolume', '')
future_db.longmarginratio = getattr(message_info, 'LongMarginRatio',
'')
future_db.shortmarginratio = getattr(message_info, 'ShortMarginRatio',
'')
future_db.longmarginratio_speculation = future_db.longmarginratio
future_db.shortmarginratio_speculation = future_db.shortmarginratio
future_db.longmarginratio_hedge = future_db.longmarginratio
future_db.shortmarginratio_hedge = future_db.shortmarginratio
future_db.longmarginratio_arbitrage = future_db.longmarginratio
future_db.shortmarginratio_arbitrage = future_db.shortmarginratio
future_db.create_date = getattr(message_info, 'CreateDate', '')
future_db.expire_date = getattr(message_info, 'ExpireDate', '')
future_db.ticker_exch = ticker
future_db.ticker_exch_real = ticker
future_db.type_id = 1 # future
future_db.market_status_id = 2
future_db.multiplier = 1
future_db.crncy = 'CNY'
future_db.effective_since = getattr(message_info, 'OpenDate', '')
product_id = getattr(message_info, 'ProductID', '')
name_message = getattr(message_info, 'InstrumentName', '')
price_tick = getattr(message_info, 'PriceTick', '')
if product_id in ('T', 'TF', 'TS'):
future_db.market_sector_id = 5
future_db.round_lot_size = 1
future_db.tick_size_table = '0:%f' % (float(price_tick), )
future_db.undl_tickers = product_id
future_db.commission_rate_type = product_id
future_db.name = ticker
elif product_id in ('IC', 'IF', 'IH'):
future_db.market_sector_id = 6
future_db.round_lot_size = 1
future_db.tick_size_table = '0:%f' % (float(price_tick), )
future_db.longmarginratio_hedge = 0.2
future_db.shortmarginratio_hedge = 0.2
undl_ticker = ''
if product_id == 'IF':
undl_ticker = 'SHSZ300'
elif product_id == 'IC':
undl_ticker = 'SH000905'
elif product_id == 'IH':
undl_ticker = 'SSE50'
future_db.undl_tickers = undl_ticker
future_db.commission_rate_type = undl_ticker
future_db.name = name_message.replace('中证', 'cs').replace('上证', 'SSE').replace('股指', 'IDX') \
.replace('期货', 'Future').replace('国债', 'TF').replace('指数', 'Index').replace('沪深300', '').strip()
else:
future_db.market_sector_id = 1
future_db.round_lot_size = 1
future_db.tick_size_table = '0:%f' % (float(price_tick), )
if product_id == 'cu':
expire_date = getattr(message_info, 'ExpireDate', '')
if now.strftime('%Y-%m') == expire_date[:7]:
future_db.round_lot_size = 5
future_db.undl_tickers = product_id
future_db.commission_rate_type = product_id
future_db.name = ticker
future_db.is_settle_instantly = 1
future_db.is_purchase_to_redemption_instantly = 0
future_db.is_buy_to_redpur_instantly = 0
future_db.is_redpur_to_sell_instantly = 0
ticker_type = filter(lambda x: not x.isdigit(), ticker)
future_db.session = __get_trading_info_list(ticker_type)[-1]
future_insert_list.append(future_db)
future_ticker_list.append(ticker)
if len(future_ticker_list) > 0:
print 'Prepare Insert Future:', ','.join(future_ticker_list)
def pre_add_option(message_array):
global max_instrument_id
option_ticker_list = []
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if 'CFFEX' == exchange_name:
exchange_id = exchange_type_enums.CFF
elif 'SHFE' == exchange_name:
exchange_id = exchange_type_enums.SHF
elif 'DCE' == exchange_name:
exchange_id = exchange_type_enums.DCE
elif 'CZCE' == exchange_name:
exchange_id = exchange_type_enums.ZCE
elif 'INE' == exchange_name:
exchange_id = exchange_type_enums.INE
else:
continue
if ticker in option_db_dict:
continue
option_db = Instrument()
max_instrument_id += 1
option_db.id = max_instrument_id
option_db.ticker = ticker
option_db.exchange_id = exchange_id
option_db.fut_val_pt = getattr(messageInfo, 'VolumeMultiple', '')
option_db.max_market_order_vol = getattr(messageInfo,
'MaxMarketOrderVolume', '')
option_db.min_market_order_vol = getattr(messageInfo,
'MinMarketOrderVolume', '')
option_db.max_limit_order_vol = getattr(messageInfo,
'MaxLimitOrderVolume', '')
option_db.min_limit_order_vol = getattr(messageInfo,
'MinLimitOrderVolume', '')
undl_tickers = getattr(messageInfo, 'UnderlyingInstrID', '')
ticker_type = filter(lambda x: not x.isdigit(), undl_tickers)
option_db.undl_tickers = undl_tickers
option_db.commission_rate_type = 'option_%s' % ticker_type
option_db.create_date = getattr(messageInfo, 'CreateDate', '')
option_db.expire_date = getattr(messageInfo, 'ExpireDate', '')
option_db.name = ticker
instrument_name = getattr(messageInfo, 'InstrumentName', '').strip()
instrument_name = instrument_name.replace('买权', 'Call').replace(
'卖权', 'Put').replace('白糖', 'SR')
put_call = __get_put_call(instrument_name)
option_db.put_call = put_call
if put_call == 0:
option_db.strike = ticker.replace('-', '').split('P')[-1]
else:
option_db.strike = ticker.replace('-', '').split('C')[-1]
price_tick = getattr(messageInfo, 'PriceTick', '')
option_db.tick_size_table = '0:%s' % (float(price_tick), )
option_db.ticker_exch = ticker
option_db.ticker_exch_real = ticker
option_db.market_status_id = 2
option_db.type_id = 10 # option
option_db.market_sector_id = 1
option_db.round_lot_size = 1
option_db.longmarginratio = 0
option_db.shortmarginratio = 0.15
option_db.longmarginratio_speculation = option_db.longmarginratio
option_db.shortmarginratio_speculation = option_db.shortmarginratio
option_db.longmarginratio_hedge = option_db.longmarginratio
option_db.shortmarginratio_hedge = option_db.shortmarginratio
option_db.longmarginratio_arbitrage = option_db.longmarginratio
option_db.shortmarginratio_arbitrage = option_db.shortmarginratio
option_db.multiplier = 10
option_db.crncy = 'CNY'
option_db.effective_since = filter_date_str
option_db.is_settle_instantly = 1
option_db.is_purchase_to_redemption_instantly = 0
option_db.is_buy_to_redpur_instantly = 0
option_db.is_redpur_to_sell_instantly = 0
option_db.option_margin_factor1 = 0.5
option_db.option_margin_factor2 = 0.5
option_db.session = __get_trading_info_list(ticker_type)[-1]
option_db.track_undl_tickers = __get_track_undl_tickers(ticker_type)
option_insert_list.append(option_db)
option_ticker_list.append(ticker)
if len(option_ticker_list) > 0:
print 'Prepare Insert Option:', ','.join(option_ticker_list)