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_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_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 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)
def get_tdx_marketid(symbol):
"""普通合约/指数合约=》tdx合约所在市场id"""
underlying_symbol = get_underlying_symbol(symbol)
print(symbol, underlying_symbol)
tdx_index_symbol = underlying_symbol.upper() + "L9"
print("hello", tdx_index_symbol)
market_id = INIT_TDX_MARKET_MAP[tdx_index_symbol]
if market_id is None:
print(market_id)
#raise KeyError(f"{tdx_index_symbol}不存在INIT_TDX_MARKET_MAP中")
return market_id
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 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 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