from gmsdk.api import md
def on_tick(tick):
print('tick: ', tick.sec_id, ' ', tick.last_price, ' ', tick.utc_time)
def on_bar(bar):
print('bar: ', bar.symbol, ' ', bar.open, ' ', bar.bar_time)
md.ev_tick += on_tick
md.ev_bar += on_bar
ret = md.init(username='******',
password='******',
mode=4,
subscribe_symbols='CFFEX.IF1512.tick',
start_time='2015-05-27 00:00:00',
end_time='2015-05-27 09:30:00')
print('init result: ', ret)
md.run()
import time
from gmsdk.api import md
def on_tick(tick):
print('%s %s %s %s' % (time.time(), tick.sec_id, tick.last_price, tick.utc_time))
def on_bar(bar):
print('%s:%s %s:%s: %s %s %s' % (time.time(), bar.sec_id, bar.bar_type, bar.open, bar.high, bar.low, bar.close))
def on_error(code, message):
print(code, message)
md.ev_tick += on_tick
md.ev_bar += on_bar
md.ev_error += on_error
ret = md.init(
username='******',
password='******',
mode=3,
subscribe_symbols='CFFEX.IF1512.tick,CFFEX.IC1512.tick,CFFEX.IH1512.tick,CFFEX.TF1512.tick',
)
print('init result: ', ret)
md.run()
from gmsdk.api import md
def on_tick(tick):
print('tick: %s %s %s' % (tick.sec_id, tick.last_price, tick.strtime))
def on_bar(bar):
print('bar: %s %s %s' % (bar.sec_id, bar.open, bar.strtime))
md.ev_tick += on_tick
md.ev_bar += on_bar
ret = md.init(username='******',
password='******',
mode=4,
subscribe_symbols='SZSE.000001.bar.daily',
start_time='2015-05-27 00:00:00',
end_time='2015-06-27 09:30:00')
print('init result: ', ret)
md.run()
import arrow
def to_local(utc):
return arrow.get(utc).to('local')
def on_tick(tick):
print('%s %s %s %s' % (to_local(time.time()), tick.strtime, tick.sec_id, tick.last_price))
def on_bar(bar):
print('%s %s %s %s %s %s %s %s' % (to_local(time.time()), bar.strtime, bar.sec_id, bar.bar_type, bar.open, bar.high, bar.low, bar.close))
def on_error(code, message):
print (code, message)
md.ev_tick += on_tick
md.ev_bar += on_bar
md.ev_error += on_error
ret = md.init(
username='******',
password='******',
mode=2,
subscribe_symbols="SZSE.000001.tick,SHSE.600000.tick",
)
print('init result: ', ret)
md.run()
def on_tick(tick):
print('%s %s %s %s' %
(to_local(time.time()), tick.strtime, tick.sec_id, tick.last_price))
def on_bar(bar):
print('%s %s %s %s %s %s %s %s' %
(to_local(time.time()), bar.strtime, bar.sec_id, bar.bar_type,
bar.open, bar.high, bar.low, bar.close))
def on_error(code, message):
print(code, message)
md.ev_tick += on_tick
md.ev_bar += on_bar
md.ev_error += on_error
ret = md.init(
username='******',
password='******',
mode=2,
subscribe_symbols="SZSE.000001.tick,SHSE.600000.tick",
)
print('init result: ', ret)
md.run()
def on_tick(tick):
print('%s %s %s %s' %
(to_local(time.time()), tick.strtime, tick.sec_id, tick.last_price))
def on_bar(bar):
print('%s %s %s %s %s %s %s %s' %
(to_local(time.time()), bar.strtime, bar.sec_id, bar.bar_type,
bar.open, bar.high, bar.low, bar.close))
def on_error(code, message):
print(code, message)
md.ev_tick += on_tick
md.ev_bar += on_bar
md.ev_error += on_error
ret = md.init(
username='******',
password='******',
mode=2,
subscribe_symbols="SZSE.000001.tick,SHSE.600000.tick",
)
print('init result: ', ret)
md.run()
imbalance += volume* (vwap - lastMid)/tickSize
imbalance1 += volume * sign(vwap - lastMid)
#imbalance2 += volume * (vwap - lastWMid) / tickSize
imbalance2 += volume * sign(vwap - lastWMid)
if vwap>lastAsk[0]:
if volume>lastAskQty[0]:
imbalanceAsk += volume - lastAskQty[0]
else:
cancelAsk += lastAskQty[0]-volume
if vwap<lastBid[0]:
if volume > lastBidQty[0]:
imbalanceBid += volume - lastBidQty[0]
else:
cancelBid += lastBidQty[0] - volume
print('tick: %s,%s,%s,%s\n' % (tick.strtime,volume,lastMid,vwap))
md.ev_tick += on_tick
md.ev_bar += on_bar
ret = md.init(username='******',
password='******',
mode=4,
subscribe_symbols=symbol+'.tick,'+symbol+'.bar.60',
start_time='2016-03-01 09:30:00',
end_time='2016-03-03 14:59:00')
print('init result: ', ret)
md.run()
csvFile.close()