def lts_price_analysis(date_str):
print 'Enter Lts_price_analysis.'
global session_common
global filter_date_str
server_host = server_constant_local.get_server_model('host')
session_common = server_host.get_db_session('common')
if date_str is None or date_str == '':
filter_date_str = date_utils.get_today_str('%Y-%m-%d')
else:
filter_date_str = date_str
build_instrument_db_dict()
instrument_file_list = FileUtils(DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('HUABAO_INSTRUMENT', filter_date_str)
market_file_list = FileUtils(DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('HUABAO_MARKET', filter_date_str)
lts_file_list = []
lts_file_list.extend(instrument_file_list)
lts_file_list.extend(market_file_list)
for qd_file in lts_file_list:
read_position_file_lts('%s/%s' % (DATAFETCHER_MESSAGEFILE_FOLDER, qd_file))
update_structured_fund()
update_db()
session_common.commit()
server_host.close()
print 'Exit Lts_price_analysis.'
def ctp_price_analysis(date_str):
print 'Enter ctp_price_analysis.'
server_host = server_constant_local.get_server_model('host')
global session_common
session_common = server_host.get_db_session('common')
global filter_date_str
if date_str is None or date_str == '':
filter_date_str = now.strftime('%Y-%m-%d')
else:
filter_date_str = date_str
build_instrument_db_dict()
instrument_file_list = FileUtils(DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('CTP_INSTRUMENT', filter_date_str)
market_file_list = FileUtils(DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('CTP_MARKET', filter_date_str)
ctp_file_list = []
ctp_file_list.extend(instrument_file_list)
ctp_file_list.extend(market_file_list)
for ctp_file in ctp_file_list:
read_price_file_ctp('%s/%s' % (DATAFETCHER_MESSAGEFILE_FOLDER, ctp_file))
set_main_submain()
update_db()
session_common.commit()
server_host.close()
print 'Exit ctp_price_analysis.'
def get_select_file_by_folder_key(folder, key):
date = datetime.now().strftime('%Y%m%d')
date = ''.join(date.split('-'))
date_tab = '-'.join([date[:4], date[4:6], date[6:8]])
select_file_list = FileUtils(folder).filter_file(key, date)
select_file_list_2 = FileUtils(folder).filter_file(key, date_tab)
select_file_list.extend(select_file_list_2)
select_file_list = map(lambda x: os.path.join(folder, x), select_file_list)
return select_file_list
def lts_update_index(date_str):
if date_str is None or date_str == '':
filter_date_str = now.strftime('%Y-%m-%d')
else:
filter_date_str = date_str
server_host = server_constant_local.get_server_model('host')
session_common = server_host.get_db_session('common')
instrument_list = []
sf_instrument_list = []
of_instrument_list = []
market_info_list = []
index_market_list = []
lts_file_list = FileUtils(DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('HUABAO_INSTRUMENT', filter_date_str)
for lts_file_name in lts_file_list:
lts_file_path = '%s/%s' % (DATAFETCHER_MESSAGEFILE_FOLDER, lts_file_name)
temp_instrument_list, temp_sf_list, temp_of_list, temp_market_list, temp_index_market_list = \
__read_lts_file(lts_file_path)
instrument_list.extend(temp_instrument_list)
sf_instrument_list.extend(temp_sf_list)
of_instrument_list.extend(temp_of_list)
market_info_list.extend(temp_market_list)
index_market_list.extend(temp_index_market_list)
instrument_info_df = pd.DataFrame(instrument_list)
exchange_id_df = instrument_info_df.apply(lambda row: __format_exchange_id(row['ExchangeID']), axis=1)
instrument_info_df.insert(0, 'exchange_id', exchange_id_df)
filter_instrument_df = instrument_info_df[instrument_info_df['exchange_id'].isin(filter_exchange_list)]
filter_instrument_df = filter_instrument_df[filter_instrument_df['IsTrading'] == '1']
filter_instrument_df.loc[:, 'type_id'] = filter_instrument_df.apply(lambda row: __format_type_id(row['ProductID']), axis=1)
common_stock_df = filter_instrument_df[filter_instrument_df['type_id'] == instrument_type_enums.CommonStock].copy()
common_stock_df = __format_common_stock_df(common_stock_df)
option_df = filter_instrument_df[filter_instrument_df['type_id'] == instrument_type_enums.Option].copy()
option_df = __format_option_df(option_df, filter_date_str)
convertible_bond_df = filter_instrument_df[filter_instrument_df['type_id'] == instrument_type_enums.ConvertableBond].copy()
convertible_bond_df = __format_convertible_bond_df(convertible_bond_df)
mmf_df = filter_instrument_df[filter_instrument_df['type_id'] == instrument_type_enums.MMF].copy()
mmf_df = __format_mmf_df(mmf_df)
format_instrument_df = pd.concat([common_stock_df, convertible_bond_df, option_df, mmf_df], sort=False).fillna('')
instrument_db_dict = __query_instrument_dict(session_common)
__add_instrument_db(session_common, instrument_db_dict, format_instrument_df)
market_info_df = pd.DataFrame(market_info_list, columns=['InstrumentID', 'PreClosePrice', 'PreSettlementPrice',
'UpperLimitPrice', 'LowerLimitPrice', 'ClosePrice',
'Volume'])
index_market_df = pd.DataFrame(index_market_list, columns=['InstrumentID', 'PreClosePrice', 'ClosePrice', 'Volume'])
market_info_df = pd.concat([market_info_df, index_market_df], sort=False).fillna('')
fund_instrument_df = __format_fund_instrument(sf_instrument_list, of_instrument_list)
__update_instrument(session_common, instrument_db_dict, market_info_df, fund_instrument_df)
session_common.commit()
def ctp_position_analysis():
print 'Enter ctp_position_analysis.'
server_host = server_constant_local.get_server_model('host')
global session_common
session_common = server_host.get_db_session('common')
global session_portfolio
session_portfolio = server_host.get_db_session('portfolio')
global session_om
session_om = server_host.get_db_session('om')
update_sql = "update portfolio.account_trade_restrictions set TODAY_OPEN = 0, TODAY_CANCEL=0 where 1=1"
session_portfolio.execute(update_sql)
ctp_position_file_list = FileUtils(
DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('CTP_POSITION',
filter_date_str)
for ctp_file in ctp_position_file_list:
read_position_file_ctp('%s/%s' %
(DATAFETCHER_MESSAGEFILE_FOLDER, ctp_file))
session_common.commit()
session_portfolio.commit()
session_om.commit()
server_host.close()
print 'Exit ctp_position_analysis.'
def lts_price_analysis_add(date_str):
print 'Enter Lts_price_analysis_add.'
global session_common
global filter_date_str
server_host = server_constant_local.get_server_model('host')
session_common = server_host.get_db_session('common')
if date_str is None or date_str == '':
filter_date_str = now.strftime('%Y-%m-%d')
else:
filter_date_str = date_str
build_instrument_db_dict()
get_instrument_max_id()
instrument_file_list = FileUtils(
DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('HUABAO_INSTRUMENT',
filter_date_str)
for qd_file in instrument_file_list:
read_position_file_lts('%s/%s' %
(DATAFETCHER_MESSAGEFILE_FOLDER, qd_file))
session_common.commit()
server_host.close()
insert_server_db()
print 'Exit Lts_price_analysis_add.'
def run_common_screen_cmd(service, cmd):
screen_manager(service, cmd)
today = datetime.now().strftime('%Y%m%d')
select_file_list = FileUtils(tradeplat_log_folder).filter_file(
service, today)
time.sleep(5) # too fast will not record info
read_mainframe_log = [
'cd %s;tail -200 %s' % (tradeplat_log_folder, select_file_list[-1])
]
log_info = host_servert.run_cmd_str(read_mainframe_log)
pattern = 'Receive Command=[%s]' % cmd
log_info = log_info.split('\n')
record_info = []
record_or_not = False
for line in log_info:
line = line.replace('\n', '')
line = line.replace('\r', '')
if line == '':
continue
if line == pattern:
record_or_not = True
if record_or_not:
record_info.append(line)
result = '\n'.join(record_info)
return result
def ctp_price_analysis_add(date_str):
print 'Enter ctp_price_analysis_add.'
global session_common
global session_basicinfo
global filter_date_str
server_host = server_constant_local.get_server_model('host')
session_common = server_host.get_db_session('common')
session_basicinfo = server_host.get_db_session('basic_info')
if date_str is None or date_str == '':
filter_date_str = now.strftime('%Y-%m-%d')
else:
filter_date_str = date_str
instrument_file_list = FileUtils(
DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('CTP_INSTRUMENT',
filter_date_str)
build_future_db_dict()
get_instrument_max_id()
for ctp_file in instrument_file_list:
read_price_file_ctp('%s/%s' %
(DATAFETCHER_MESSAGEFILE_FOLDER, ctp_file))
server_host.close()
insert_server_db()
print 'Exit ctp_price_analysis_add.'
def show_log(select_log, show_num='20'):
filename = ''
file_folder = ''
server_list = get_service_list('host')
server_list = [x.app_name for x in server_list]
if select_log in server_list:
file_folder = tradeplat_log_folder
date = datetime.now().strftime('%Y%m%d')
file_list = FileUtils(file_folder).filter_file(select_log, date)
if len(file_list) == 0:
return '%s has no log' % select_log
filename = file_list[-1]
print file_folder, filename
elif select_log in os.listdir(datafetcher_messagefile_folder):
file_folder = datafetcher_messagefile_folder
filename = select_log
elif select_log == 'DataFetcher':
return 'never work now'
elif select_log == 'tool_log':
file_folder = eod_log_path
filename = 'tool.log'
elif select_log == 'eod_log':
file_folder = eod_log_path
filename = 'eod.log'
elif select_log == 'account_log':
file_folder = eod_log_path
filename = 'account.log'
elif select_log == 'cmd_log':
file_folder = eod_log_path
filename = 'cmd.log'
# show_log_cmd = 'cd %s;tail -%s %s' % (file_folder, show_num, filename)
show_file_path = os.path.join(file_folder, filename)
file_ = file(show_file_path, 'r')
content = file_.readlines()
content = content[-1 * int(show_num):]
content = map(lambda x: x.replace('\n', ''), content)
# content = host_server_constant.run_shell_cmd([show_log_cmd])
print '======================='
# content = content.split('\n')
content = '<br>'.join(content)
if content == '':
content = '%s has no content' % filename
return content
def lts_position_analysis():
print 'Enter Lts_position_analysis.'
server_host = server_constant_local.get_server_model('host')
global session_portfolio
session_portfolio = server_host.get_db_session('portfolio')
global session_om
session_om = server_host.get_db_session('om')
filter_date_str = date_utils.get_today_str('%Y-%m-%d')
lts_position_file_list = FileUtils(DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('HUABAO_POSITION', filter_date_str)
for lts_file in lts_position_file_list:
read_position_file_lts('%s/%s' % (DATAFETCHER_MESSAGEFILE_FOLDER, lts_file), filter_date_str)
session_portfolio.commit()
session_om.commit()
server_host.close()
print 'Exit Lts_position_analysis.'
def __account_position_enter(add_flag):
print 'Enter xtp_position_analysis.'
global session_portfolio, session_om
server_host = server_constant_local.get_server_model('host')
session_portfolio = server_host.get_db_session('portfolio')
session_om = server_host.get_db_session('om')
xtp_position_file_list = FileUtils(
DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('PROXYXTP_POSITION',
filter_date_str)
for xtp_file in xtp_position_file_list:
read_position_file(
'%s/%s' % (DATAFETCHER_MESSAGEFILE_FOLDER, xtp_file), add_flag)
session_portfolio.commit()
session_om.commit()
server_host.close()
print 'Exit xtp_position_analysis.'
def stk_position_analysis():
print 'Enter Stk_position_analysis.'
host_server_model = server_constant_local.get_server_model('host')
global session_om
session_om = host_server_model.get_db_session('om')
global session_portfolio
session_portfolio = host_server_model.get_db_session('portfolio')
stk_position_file_list = FileUtils(
DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('PROXYKMA_POSITION',
today_str)
for stk_file in stk_position_file_list:
read_position_file_stk('%s/%s' %
(DATAFETCHER_MESSAGEFILE_FOLDER, stk_file))
session_om.commit()
session_portfolio.commit()
print 'Exit Stk_position_analysis.'
def guosen_position_analysis():
print 'Enter guosen_position_analysis.'
server_host = server_constant_local.get_server_model('host')
global session_portfolio
session_portfolio = server_host.get_db_session('portfolio')
global session_om
session_om = server_host.get_db_session('om')
guosen_position_file_list = FileUtils(
DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('GUOXIN_POSITION',
today_str)
for guosen_file in guosen_position_file_list:
read_position_file_guosen(
'%s/%s' % (DATAFETCHER_MESSAGEFILE_FOLDER, guosen_file))
session_portfolio.commit()
session_om.commit()
server_host.close()
print 'Exit guosen_position_analysis.'
def ts_position_analysis():
print 'Enter ts_position_analysis.'
server_host = server_constant_local.get_server_model('host')
global session_common
session_common = server_host.get_db_session('common')
global session_portfolio
session_portfolio = server_host.get_db_session('portfolio')
global session_om
session_om = server_host.get_db_session('om')
__build_ticker_exchange(server_host)
ts_position_file_list = FileUtils(
DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('ysposition',
filter_date_str)
for ts_file in ts_position_file_list:
read_position_file_ts('%s/%s' %
(DATAFETCHER_MESSAGEFILE_FOLDER, ts_file))
session_common.commit()
session_portfolio.commit()
session_om.commit()
server_host.close()
print 'Exit ts_position_analysis.'
def ctp_update_index(date_str):
if date_str is None or date_str == '':
filter_date_str = now.strftime('%Y-%m-%d')
else:
filter_date_str = date_str
server_host = server_constant_local.get_server_model('host')
session_common = server_host.get_db_session('common')
session_basicinfo = server_host.get_db_session('basic_info')
trading_df = __query_trading_df(session_basicinfo)
instrument_info_list = []
market_info_list = []
ctp_file_list = FileUtils(DATAFETCHER_MESSAGEFILE_FOLDER).filter_file(
'CTP_INSTRUMENT', filter_date_str)
for ctp_file_name in ctp_file_list:
ctp_file_path = '%s/%s' % (DATAFETCHER_MESSAGEFILE_FOLDER,
ctp_file_name)
temp_instrument_list, temp_market_list = __read_ctp_file(ctp_file_path)
instrument_info_list.extend(temp_instrument_list)
market_info_list.extend(temp_market_list)
instrument_info_df = pd.DataFrame(instrument_info_list)
market_info_df = pd.DataFrame(market_info_list,
columns=[
'InstrumentID', 'PreClosePrice',
'PreSettlementPrice', 'UpperLimitPrice',
'LowerLimitPrice', 'ClosePrice', 'Volume'
])
filter_instrument_df = instrument_info_df[
instrument_info_df['ProductClass'].isin(['1', '2'])]
exchange_id_df = filter_instrument_df.apply(
lambda row: __format_exchange_id(row['ExchangeID']), axis=1)
filter_instrument_df.insert(0, 'exchange_id', exchange_id_df)
filter_instrument_df = filter_instrument_df[
filter_instrument_df['exchange_id'].isin(future_exchange_list)]
filter_instrument_df.loc[:, 'type_id'] = filter_instrument_df.apply(
lambda row: __format_type_id(row['ProductClass']), axis=1)
filter_instrument_df.loc[:, 'market_sector_id'] = 1
filter_instrument_df.loc[:, 'market_status_id'] = 2
filter_instrument_df.loc[:, 'round_lot_size'] = 1
filter_instrument_df.loc[:, 'crncy'] = 'CNY'
# 临到期cu的round_lot_size单独设置
filter_instrument_df.loc[(filter_instrument_df['ProductID'] == 'cu') & (
filter_instrument_df['ExpireDate'][:7] == now.strftime('%Y-%m')),
'round_lot_size'] = 5
# filter_instrument_df.loc[filter_instrument_df['LongMarginRatio'] > 10000, 'LongMarginRatio'] = 0
# filter_instrument_df.loc[filter_instrument_df['ShortMarginRatio'] > 10000, 'ShortMarginRatio'] = 0
filter_instrument_df.loc[:, 'put_call'] = None
filter_instrument_df.loc[:, 'strike'] = None
filter_instrument_df.loc[:, 'option_margin_factor1'] = None
filter_instrument_df.loc[:, 'option_margin_factor2'] = None
filter_instrument_df.loc[:, 'session_ticker_type'] = filter_instrument_df.\
apply(lambda row: __format_session_ticker_type(row['type_id'], row['ProductID'], row['UnderlyingInstrID']), axis=1)
filter_instrument_df = pd.merge(filter_instrument_df,
trading_df,
how='left',
on=['session_ticker_type'])
filter_instrument_df = pd.merge(filter_instrument_df,
market_info_df,
how='left',
on=['InstrumentID'])
future_instrument_df = filter_instrument_df[
filter_instrument_df['type_id'] ==
instrument_type_enums.Future].copy()
future_instrument_df = __format_future_df(future_instrument_df)
option_instrument_df = filter_instrument_df[
filter_instrument_df['type_id'] ==
instrument_type_enums.Option].copy()
option_instrument_df = __format_option_df(option_instrument_df,
future_instrument_df)
format_instrument_df = pd.concat(
[future_instrument_df, option_instrument_df])
instrument_db_dict = __query_instrument_dict(session_common)
__save_instrument(session_common, instrument_db_dict, format_instrument_df)
# instrument_df['InstrumentID'] = instrument_df['InstrumentID'].astype(str)
# instrument_index_df = instrument_df.set_index(['InstrumentID', ])
session_common.commit()
dict_key = '%s|%s' % (future.ticker, future.exchange_id)
shf_db_dict[dict_key] = future
def insert_server_db():
if len(instrument_insert_list) == 0:
return
for server_model in server_constant_local.get_all_server():
server_session = server_model.get_db_session('common')
for future_db in instrument_insert_list:
server_session.add(future_db.copy())
server_session.commit()
if __name__ == '__main__':
print 'Enter femas_price_analysis_add.'
server_host = server_constant_local.get_server_model('host')
session_common = server_host.get_db_session('common')
build_future_db_dict()
get_instrument_max_id()
femas_td_file_list = FileUtils(DATAFETCHER_MESSAGEFILE_FOLDER).filter_file(
'Femas_TD', today_str)
for femas_td_file in femas_td_file_list:
read_price_file_femas('%s/%s' %
(DATAFETCHER_MESSAGEFILE_FOLDER, femas_td_file))
session_common.commit()
server_host.close()
insert_server_db()
print 'Exit femas_price_analysis_add.'
session_om.add(order_db)
for trade_db in trade_list:
session_om.add(trade_db)
for position_db in position_list:
session_portfolio.add(position_db)
def update_position_prev_net(account_id):
update_sql = "Update portfolio.account_position Set PREV_NET = YD_POSITION_LONG - YD_POSITION_SHORT where ID=%s \
and DATE='%s' and symbol != 'CNY'" % (account_id, today_str)
session_portfolio.execute(update_sql)
if __name__ == '__main__':
print 'Enter femas_position_analysis.'
server_host = server_constant_local.get_server_model('host')
session_portfolio = server_host.get_db_session('portfolio')
session_om = server_host.get_db_session('om')
femas_position_file_list = FileUtils(
DATAFETCHER_MESSAGEFILE_FOLDER).filter_file('FEMAS_POSITION',
today_str)
for femas_file in femas_position_file_list:
read_position_file_femas('%s/%s' %
(DATAFETCHER_MESSAGEFILE_FOLDER, femas_file))
session_portfolio.commit()
session_om.commit()
server_host.close()
print 'Exit femas_position_analysis.'
def rebuild_index(self):
FileUtils(self.__target_folder).clear_folder()
self.__rebuild_vwap_factor()