def dateseris(mindate, maxdate):
date = timedelta(mindate, 0)
series = []
while maxdate >= date:
series.append(date)
date = timedelta(date, 1)
return series
def getTime(self):
"""
获取最小起始日期和min{最大交割日日期,当前日期}
"""
post = postgersql()
colname = ['trade_date','delivery_date','currency_pair','dates']
sql = """select op.trade_date,op.delivery_date,op.currency_pair,
case
when t.dates<op.delivery_date then date(t.dates)+1
when t.dates=op.delivery_date then current_date
end as dates
from %s op
left join
(select max(pt.date) as dates,pt.der_id from %s pt
group by pt.der_id) t
on op.trade_type||'_'||op.id = t.der_id
"""%(self.table,self.querytable)
time = post.view(sql,colname)
if time==[] or time==None:
self.begintime = None
self.endtime = None
else:
time = filter(lambda x:x['currency_pair'] in getrate() and dateTostr(x['delivery_date'])>=getrate()[x['currency_pair']],time)
#print len(time)
for lst in time:
if lst['dates'] is None:
lst['dates'] = dateTostr(lst['trade_date']) if dateTostr(lst['trade_date'])>getrate()[lst['currency_pair']] else getrate()[lst['currency_pair']]
else:
lst['dates'] = dateTostr(lst['dates'])
begintime = time[0]['dates'] if len(time)==1 else min(map(lambda x:x['dates'],time))
self.begintime = begintime if getNow('%Y-%m-%d')>=begintime else None
endtime = dateTostr(time[0]['delivery_date'] if len(time)==1 else max(map(lambda x:x['delivery_date'],time)))
self.endtime = endtime if getNow('%Y-%m-%d')>endtime else timedelta(getNow('%Y-%m-%d'),-1)
def getday(self, Time=None):
"""
获取某一天的拆借利率值
"""
Time2 = timedelta(Time, -100)
##查找最近20天的拆借利率，如果找不到就以0填充
data = self.__mongo.select(
'KPI', {
'index': self.code,
'datadate': {
'$lte': Time,
'$gte': Time2
},
'ratetype': self.ratetype
})
if data != []:
data = data[-1]
try:
rate = float(data['rate'])
self.__mongo.close()
return rate
except:
return 0.0
#print '查找不到所需数据，那么其拆借利率以0填充'
self.__mongo.close()
return 0.0
def do_all(self):
"""
执行所有历史数据
"""
self.getTime()
if self.begintime and self.endtime is not None:
Now = self.begintime
while (Now >= self.begintime and Now <= self.endtime):
self.Now = strTostr(Now)
CollaOptions_oneday(self.Lock, self.Now)
Now = timedelta(Now, 1)
def getdayMax(self,Time=None):
"""
获取某一天汇率最大值
"""
key={'code':True}
Time_end = strTostr(timedelta(Time,17.0/24))##当天时间下午5点
Time = strTostr(Time)
initial ={'Close':0,'Time':Time}
reduces = """function(doc,prev){
if (prev.Time<doc.Time){
prev.Close = doc.Close/1.0/doc.PriceWeight;
prev.Time = doc.Time
}}"""##遍历寻找当前最大汇率值
condition={'type':'0','code':self.code,'Time':{'$lt':Time_end,'$gte':Time}}
data = self.__mongo.group('kline',key,condition,initial,reduces)
self.__mongo.close()
return data
def getday(self, Time=None):
"""
获取某一天汇率
"""
Time1 = Time + ' 00:00:00'
Time2 = timedelta(Time, -100) + ' 00:00:00'
data = self.__mongo.select('kline', {
'type': '5',
'code': self.code,
'Time': {
'$gte': Time2,
'$lte': Time1
}
})
if data == []:
return []
else:
data = data[0]
return data.get('Close') / 1.0 / data.get('PriceWeight')
return None
def getdayMax(self, Time=None):
"""
获取某一天汇率最大值
"""
'''key={'code':True}
Time_end = strTostr(timedelta(Time,17.0/24))##当天时间下午5点
Time = strTostr(Time)
initial ={'Close':0,'Time':Time}
reduces = """function(doc,prev){
if (prev.Time<doc.Time){
prev.Close = doc.Close/1.0/doc.PriceWeight;
prev.Time = doc.Time
}}"""##遍历寻找当前最大汇率值
condition={'type':'0','code':self.code,'Time':{'$lt':Time_end,'$gte':Time}}
data = self.__mongo.group('kline',key,condition,initial,reduces)
self.__mongo.close()'''
Time1 = Time + ' 00:00:00'
Time2 = timedelta(Time, -100) + ' 00:00:00'
data = self.__mongo.select('kline', {
'type': '5',
'code': self.code,
'Time': {
'$gte': Time2,
'$lte': Time1
}
})
if data == []:
return []
else:
data = data[0]
return data.get('High') / 1.0 / data.get('PriceWeight')
return None
def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
"""
trfdata = {}
if self.data != []:
S = {} ##货币对最新汇率
spot = {}
Time = dateTostr(self.Now)
#mongo = mongodb()
for lst in self.data:
##获取厘定日汇率，未到立定日，以None填充
code = lst.get('currency_pair')
date = lst.get('determined_date').strftime('%Y-%m-%d')
#determined_date_rate = getkline(code,date,self.mongo)##获取厘定日汇率
if Time < date:
determined_date_rate = None
else:
determined_date_rate = getkline(code, date,
self.mongo) ##获取厘定日汇率
#SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
lst.update({'determined_date_rate': determined_date_rate})
sell_currency = lst['currency_pair'][:3]
buy_currency = lst['currency_pair'][3:]
#ratetype = getRate((lst['delivery_date'] -lst['trade_date']).days)
ratetype = '12月'
#SellRate,BuyRate = getcurrentbankrate(sell_currency,buy_currency,ratetype)
SellRate, BuyRate = gethistorybankrate(sell_currency,
buy_currency, ratetype,
Time) ##获取银行历史拆借利率
if S.get(code) is None:
for i in range(100):
RE = RateExchange(code).getdayMax(Time)
if RE is not None and RE != []:
S[code] = RE
break
Time = timedelta(Time, -1)
#RE = RateExchange(code).getMax()
#if RE is not None and RE !=[]:
#S[code] = RE[0].get('Close')##获取实时汇率
#if sell_currency+buy_currency!=code:
# BuyRate,SellRate=SellRate,BuyRate##判断卖出买入货币与汇率对的对应情况
if spot.get(code) is None:
dayspot = getdayspot(code, self.mongo)
dayspot = datafill(dayspot)
spot[code] = dayspot
sell_amount = np.float64(lst['sell_amount'])
buy_amount = np.float64(lst['buy_amount'])
if lst['type'] == u'1':
amount = buy_amount
currency = lst['buy_currency']
elif lst['type'] == u'2':
amount = sell_amount
currency = lst['sell_currency']
elif lst['type'] == u'3':
if lst['sell_currency'] == 'USD':
amount = buy_amount
currency = lst['buy_currency']
else:
amount = sell_amount
currency = lst['sell_currency']
else:
amount = None ##其他交易类型，暂时无法计算
currency = None
if trfdata.get(lst['trade_id']) is None:
try:
lags = getLags(self.data, lst['trade_id'])
except:
continue
trfdata[lst['trade_id']] = {
'orderlist': [],
'spotList': lagdata(spot[code], lags), ##lags时间段收益时间序列
'S': S[code], ##实时汇率
'SellRate': SellRate, ##卖出货币拆解利率
'BuyRate': BuyRate, ##买入货币拆解利率
'K': float(lst.get('rate')), ##锁定汇率
'TIV': float(lst.get('trp')), ##目标收益
'lags': lags, ##每期时间间隔
'Now': self.Now, ##损益计算时间
'amount': amount, ##本金
'consign_entity': lst['consign_entity'],
'trade_type': lst['trade_type'],
'id': lst['id'],
'currency': currency
}
trfdata[lst['trade_id']]['orderlist'].append(lst)
self.trfdata = trfdata
