def main():
cmdKeys = "w:"
fw = public.getCmdParam(cmdKeys, ("-w", 2))
FT = fytuObject()
# 每10分钟检查一次窝轮行情
if fw == 1:
valid = FT.isTradeDate('HK')
if valid:
obj = warModel()
obj.online()
# 每15分钟检查一次基金申购:
if fw == 2:
if FT.isTradeDate('SH'):
obj = etf4_compare()
d, t = public.getDate(), public.getDatetime()
# 大于2点45分，则每15秒运行一次直到结束
if t > d + " 14:45:00" and t < d + " 15:00:00":
while True:
t = public.getDatetime()
if not (t > d + " 14:45:00" and t < d + " 15:00:00"): break
obj.create(1)
time.sleep(15)
else:
# 小于2点45分，则每15分钟运行一次
obj.create(0)
def order(self, docs, type='stock_order', callback=None):
if not docs or len(docs) == 0: return None
maps = self.matic_csv_map[type]
# 文件夹对应文件
filename = maps["filename"] % (
self.stage, str(public.getDatetime(style=self.timeStyle))[:-3])
CSV = csvFile(folder=self.Folder,
filename=filename,
headers=[n[0] for n in maps["columns"]])
orders = []
for doc in docs:
order = copy.deepcopy(doc)
c = doc['code']
order.update({
"code":
c[:c.find('.')],
"market":
'SZ' if c.find('XSHE') > -1 else
'SH' if c.find('XSHG') > -1 else '',
'mode':
doc['isBuy'],
'type':
"stock",
'volume':
doc['vol'],
'createtime':
public.getDatetime()
})
# 检查资金和持仓
if not self.check(order): continue
rec = self.parseDoc(order, "stock_order")
CSV.writeLine(rec)
doc.update({
"orderID": rec["local_report_no"],
"returnid": rec["local_report_no"],
})
orders.append(doc)
CSV.close()
# ftp 上传
if self.ftpUsed:
self.ftpUpload(filename)
# 保存序号, 待bug修复后 改为uuid
self.setIndex(self.recordIndex)
# 检查操作结果，回写数据库
return self.result(orders)
def get_price(self, type=None):
self.keylist = sh50_price().keylist
ary_code = []
# 缓存
if len(self.codelist) == 0:
res = self.Base.getCodes()
for doc in res:
ary_code.append(doc["code"])
ary_code.append(doc["code_down"])
# expireDay
self.expireMap[doc["code"]] = self.expireMap[
doc["code_down"]] = doc["expireDay"]
self.codelist = ary_code
else:
ary_code = self.codelist
param = ",".join([self.paramStyle % c.strip() for c in ary_code])
href = self.url + param
# 查询代码
res = self.getI(href)
dfs = []
i = 0
# 写入到pandas
for item in res.split(";")[:-1]:
tmp = [ary_code[i], public.getDatetime()] + self.extract(item)
dfs.append(self.set(tmp))
# dfs.append([0 if n=="" else n for n in tmp])
i += 1
# df = pd.DataFrame(dfs, columns =self.keylist)
return dfs
def record(self):
# 510050 行情
stock = self.Int.get510050()
stock["datetime"] = public.getDatetime()
self.Owner.insert(stock)
# 期权行情
etfs = self.Int.get_price()
spys = []
self.price_owner = float(stock["price"])
for i in range(0, len(etfs), 2):
# 计算剩余天数
r = public.dayDiff(self.Int.expireMap[etfs[i]["code"]],
public.getDate())
rec0 = self.calc(etfs[i], etfs[i + 1], r, mode=0)
spys.append(rec0)
rec1 = self.calc(etfs[i + 1], etfs[i], r, mode=1)
spys.append(rec1)
# inform 通知
try:
self.inform(spys)
except:
logger.error("ws disconnect")
# 写入数据库
self.sPrice.insertAll(etfs)
self.Spy.insertAll(spys)
def start(self, codes, kline, tms):
print((public.getDatetime(), ': start ', codes, kline, tms))
self.Rice = interface_Rice()
self.Record = sh50_orderForm()
self.Record.tablename = 'sh50_orderForm_train'
self.codes = codes
self.Price = sh50_price_s()
self.klineType = kline
self.timePeriods = tms
res = self.Rice.kline(codes, period=kline, start=self.startDate, end=self.endDate)
df = res[codes[0]]
# 计算统一特征
for conds in self.iterCond():
self.uid = "%s_%s_%s_%s" % (codes[0].replace('.', '-'), tms, kline[:-1], conds)
df = self.add_stock_index(df, index_list=self.index_list)
df['createTime'] = df.index
saveList = ['30_5_0.25_1.75', '15_15_0.25_1.75', '15_30_0.25_1.75', '30_60_0.25_1.75']
if self.uid[12:] in saveList:
cs = []
bans = 'ma,bullwidth,open,sard,rsi,high,low,std,top,lower,p_h,p_l,,close,volume,wmean,width,kdj_d2,createTime'.split(
',')
for c in df.columns:
if c not in bans:
cs.append(c)
file = self.Rice.basePath + '%s.csv' % self.uid
df.to_csv(file, index=1, columns=cs)
# print(('start ', self.uid))
self.saveStage(df)
def closeFuture(self, id='278231', price=5059, isstop=2, date=None):
self.Record = future_orderForm()
self.BI = BaseInfo([])
doc = self.Record.getById(id)
docnew = copy.deepcopy(doc)
base = self.BI.doc(doc['name'])
amount = price * doc['hands'] * base['contract_multiplier']
r = base['ratio']
fee = doc['hands'] * r if r >= 0.5 else amount * r
docnew.update({
"isopen":
0,
"isstop":
isstop,
"price":
price,
"mode":
-doc["mode"],
"vol":
doc['hands'] * base['contract_multiplier'],
"status":
6,
"fee":
fee,
"createdate":
public.getDatetime() if date is None else date,
"income":
np.sign(doc["mode"]) * (price - doc['price']) * doc['hands'] *
base['contract_multiplier'] - fee,
"memo":
''
})
print(docnew)
self.Record.insert(docnew)
def getDf(self, codes, period='1d'):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
BI = BaseInfo([])
if len(codes) == 0:
codes = Base.getUsedMap(hasIndex=True)
mCodes = Rice.getMain(codes)
dfs = Rice.kline(mCodes,
period=period,
start=public.getDate(diff=-10),
pre=200)
i = 0
for mcode in mCodes:
c = codes[i]
last = BI.att(c, 'nightEnd')[0:6].replace(':', '')
file = Rice.basePath + 'future_%s_%s_%s.csv' % (
mcode, last, public.getDatetime(style='%Y%m%d_%H%M%S'))
print(mcode, last)
df = dfs[mcode]
df['datetime'] = df.index
df0 = df[df['datetime'] > '2019-01-17 13:47:40.000']
print(df0.index, len(df0))
#df.to_csv(file, index=0)
i += 1
break
def calc(self, code, df, type=0):
if type == 0:
avg = df["close"][:-1].mean()
c = df['close'][self.k_amount - 1]
self.lastVolume_Map[code] = df['volume'][self.k_amount - 1]
else:
avg = df["close"][1:].mean()
c = df['close'][self.k_amount]
self.lastVolume_Map[code] = df['volume'][self.k_amount]
res = (c - avg) / avg * 100
# 购买方式
if res > 1:
type = 1
elif res < -1:
type = -1
else:
type = 0
# 生成记录
doc = {
"code": code,
'returnid': 0,
'type': type,
'price': round(c, 3),
'volume': int(round(500000 / c / 100, 0) * 100),
'amount': 0,
'value': res,
'createtime': public.getDatetime()
}
return doc
def total(self, dfs, period=14):
# 计算参数
df0 = dfs[self.mCodes[0]]
close = df0["close"]
df0["datetime"] = df0.index
df0['mcode'] = rq.get_dominant_future(self.code,
start_date=self.startDate,
end_date=self.endDate)
df0['atr'] = ta.ATR(df0['high'], df0['low'], close, timeperiod=period)
df0['atrc'] = ta.ATR(df0['high'], df0['low'], close,
timeperiod=1) / df0['atr']
# kdj顶点
kdjK, kdjD = ta.STOCH(df0["high"],
df0["low"],
close,
fastk_period=9,
slowk_period=3,
slowk_matype=1,
slowd_period=3,
slowd_matype=1)
df0["kdj_d2"] = kdj_d2 = kdjK - kdjD
df0["kdjm"] = kdj_d2 * kdj_d2.shift(1)
df0["kdjm"] = df0.apply(
lambda row: self.turn(row['kdjm'], row['kdj_d2'], 1), axis=1)
# 循环 scale
docs = []
for conds in self.iterCond():
uid = self.uidKey % ('_'.join(self.codes), str(period),
self.klineType, str(self.bullwidth), conds)
df1 = df0.apply(lambda row: self.jump0(row), axis=1)
for key in self.pointColumns:
df0[key] = df1[key]
if self.code in self.csvList:
file = self.Rice.basePath + '%s_pre.csv' % (uid)
print(uid, '---------------------------- to_cvs', file,
df0.columns)
df0.to_csv(file, index=0)
#tot = None
tot = self.detect(df0, period=period, uid=uid)
if tot is not None and tot['amount'] != 0:
tot.update({
"method": self.method,
"code": self.code,
"period": period,
"uid": uid,
"createdate": public.getDatetime()
})
docs.append(tot)
return docs
def Twap(self, docs):
types = [1, -1] # 分为买卖2类进行下单操作
results = ""
for t in types:
results += self.parseTwap(
[doc for doc in docs if doc["type"] == t], t) + "<br><br><br>"
return results + " ---------------- " + public.getDatetime(
) + "----------------"
def total(self, dfs, period=14):
# 计算参数
df0 = dfs[self.mCodes[0]]
close = df0["close"]
df0["datetime"] = df0.index
df0['mcode'] = rq.get_dominant_future(self.code,
start_date=self.startDate,
end_date=self.endDate)
df0['high_5'] = ta.MAX(df0['high'].shift(1), timeperiod=self.preDays)
df0['low_5'] = ta.MIN(df0['low'].shift(1), timeperiod=self.preDays)
df0['high_p'] = df0['high'].shift(1)
df0['low_p'] = df0['low'].shift(1)
df0['atr'] = ta.ATR(df0['high'], df0['low'], close, timeperiod=period)
df0['mcode_1'] = df0['mcode'].shift(1)
df0['isAlter'] = df0.apply(lambda r: 1
if r['mcode'] != r['mcode_1'] else 0,
axis=1)
df1 = df0.apply(lambda row: self.jump0(row), axis=1)
for key in self.pointColumns:
df0[key] = df1[key]
df0['jump_min'], df0['jump_max'] = ta.MINMAXINDEX(
df0['jump0'], timeperiod=self.keepDays + 1)
df2 = df0.apply(lambda row: self.jumps(row, df0), axis=1)
for key in self.pointColumns2:
df0[key] = df2[key]
# 循环 scale
docs = []
for conds in self.iterCond():
uid = self.uidKey % ('_'.join(self.codes), str(period),
self.klineType, str(self.bullwidth), conds)
if self.code in self.csvList:
file = self.Rice.basePath + '%s_pre.csv' % (uid)
print(uid, '---------------------------- to_cvs', file,
df0.columns)
df0.to_csv(file, index=0)
#tot = None
tot = self.detect(df0, period=period, uid=uid)
if tot is not None and tot['amount'] != 0:
tot.update({
"method": self.method,
"code": self.code,
"period": period,
"uid": uid,
"createdate": public.getDatetime()
})
docs.append(tot)
return docs
def order(self, n0, isBuy, mode):
pN = self.procMap.preNode
if pN is None:
batchid = uuid.uuid1()
else:
batchid = pN['batchid']
now = public.getDatetime()
vol, fee, amount, income, p0 = 0, 0, 0, 0, 0
price = n0["p_h"] if isBuy == 1 else n0["p_l"]
if isBuy > 0:
self.batchid = uuid.uuid1()
p0 = price
vol = int(self.iniAmount / p0 / 100) * 100
amount = vol * p0
fee = vol * p0 * self.ratio
income = -fee
elif isBuy < 0:
p0 = price
vol = pN['vol']
amount = vol * p0
fee = vol * p0 * self.ratio
income = vol * (p0 - pN['price']) - fee
doc = {
"code": n0['code'],
"name": n0['code'],
"createdate": now,
"price": p0,
"vol": vol,
"ini_price": p0,
"ini_vol": vol,
"mode": mode,
"isBuy": isBuy,
"fee": fee,
"amount": amount,
"income": income,
"method": self.methodName,
"batchid": batchid,
"status": 1,
"uid": self.procMap.currentUid
}
self.procMap.isBuy = isBuy
# 设置上一个记录
if isBuy > 0:
self.procMap.preNode = doc
self.procMap.batchid = uuid.uuid1()
else:
self.preNode = None
#self.orders.append(doc)
return doc
def _getFilename(self, action="records", record_type="stkhold", diff=0):
cur_date = str(public.getDatetime(diff=diff, style=self.dateStyle))
filename = ''
if action == "records":
filename = "%s.%s.csv" % (record_type, cur_date)
elif action == "results":
filename = "result_instr.%s.csv" % cur_date
return filename
def paramCalc(self, df0, t0):
# 替换即时k线
df = copy.deepcopy(df0[:-1])
# 计算相关参数
df.loc[public.getDatetime()] = t0
df = self.add_stock_index(df)
df['createTime'] = df.index
param = df.iloc[-1].to_dict()
return param
def paramCalc(self, df0, t0):
# 替换即时k线
df = copy.deepcopy(df0[:-1])
# 计算相关参数
df.loc[public.getDatetime()] = t0
df = self.add_stock_index(df)
df['createTime'] = df.index
df['mode'] = df.apply(lambda row: self.point(row), axis=1)
param = df.iloc[-1].to_dict()
return param
def getETF(self, sign=1, price=2.30, currentTime=None, code=None):
if currentTime is None:
currentTime = public.getDatetime()
if code is None:
sql = self.sql_etf % (self.tablename, str(currentTime), str(price), str(sign))
else:
sql = self.sql_code % (self.tablename, str(currentTime), code)
# print(sql)
return self.execOne(sql)
def total(self, dfs, dfs2=None, period=60):
# 计算参数
df0 = dfs[self.mCodes[0]]
df0["rel_price"] = close = df0["close"]
df0["datetime"] = df0.index
s0 = self.shift[0]
p_l = df0["p_l"] = (df0["close"] + s0)
p_h = df0["p_h"] = (df0["close"] - s0)
close2 = dfs2[self.mCodes[0]]["close"]
# 双线模拟计算k线数据的tick行为
df0['ma'] = ma = df0.apply(lambda row: self.k_ma(
row['datetime'], row['rel_price'], close2, period, 0),
axis=1)
df0['std'] = std = df0.apply(lambda row: self.k_ma(
row['datetime'], row['rel_price'], close2, period, 1),
axis=1)
# bullWidth
df0["bullwidth"] = width = (4 * std / ma * 100).fillna(0)
# 近三分钟width变动
df0["widthDelta"] = ta.MA(width - width.shift(1),
timeperiod=3).fillna(0)
df0["delta"] = (p_l - p_h) / std
# 循环 scale
docs = []
for scale in self.scaleList:
uid = self.uidKey % ("_".join(self.codes), str(period), str(scale),
self.klineType[:-1], str(self.shiftScale))
df0["top"], df0["lower"] = ma + scale * std, ma - scale * std
df0.fillna(0, inplace=True)
tot = self.detect(df0, period=period, uid=uid)
if tot is not None and tot['amount'] != 0:
tot.update({
"scale": scale,
"code": self.codes[0],
"period": period,
"uid": uid,
"shift": (p_l - p_h).mean(),
"method": self.method,
"stage": self.stage,
"createdate": public.getDatetime(),
})
docs.append(tot)
return docs
def alterPosi(self, openDocs):
"""自动处理调仓, 调仓结束后，子进程启动时自动检查交易记录，生成新的买单"""
self.baseInfo = BaseInfo([])
map = self.posMap
if map == {}: return None
orders = []
# 检查主力合约是否跨期，并自动调仓
monthWeek, weekDay = public.getMonthDay()
for code in openDocs:
# 手动调仓清单
if code in self.banAlterList: continue
doc = openDocs[code][0]
mCode = self.baseInfo.mCode(code)
key = '%s_%s' % (code, '0' if doc['mode'] > 0 else '1')
print('alterPosi check:', key, mCode, doc['code'])
opt0 = mCode != doc['code']
opt1 = (doc['name'] in self.indexList and monthWeek == 3
and weekDay == 3) # 股指期货调仓
if (opt0 or opt1) and key in map and map[key][0] >= doc['hands']:
logger.info(('alterPosi start: c1,c0, v, v0', key, mCode,
doc['code'], map[key][0], doc['hands']))
# 卖出单
del doc['id']
d0 = copy.deepcopy(doc)
d0['mode'] = -d0['mode']
d0['isopen'] = 0
d0['isstop'] = 4
d0['createdate'] = public.getDatetime()
orders.append(d0)
# 按原状态买入
d1 = copy.deepcopy(doc)
d1['code'] = mCode
d1['symbol'] = self.baseInfo.parseCtpCode(mCode)
d1['batchid'] = uuid.uuid1()
d1['status'] = d0['status'] = 4
d1['createdate'] = doc['createdate']
d1['isstop'] = 0
orders.append(d1)
# 下单数
if len(orders) > 0:
self.sendOrder(orders)
# return 0, orders
return self.checkResult()
def paramCalc(self, dfs, cur):
if len(dfs) == 0: return None
period = self.klinePeriod
c0 = cur[self.mCodes[0]]
c0['close'] = c0['last']
# 去掉当前的即时k线
df0 = copy.deepcopy(dfs[self.mCodes[0]].iloc[-40:])
#print(len(df0))
# 计算相关参数
columns = df0.columns
# 添加即时K线
df0.loc[public.getDatetime()] = pd.Series([c0[key] for key in columns],
index=columns)
close = df0["close"]
df0["datetime"] = df0.index
df0["ma"] = ma = ta.MA(close, timeperiod=period)
df0["std"] = std = ta.STDDEV(close, timeperiod=period, nbdev=1)
df0["stdc"] = std / ta.MA(std, timeperiod=period)
df0['atr'] = ta.ATR(df0['high'], df0['low'], close, timeperiod=period)
df0['atrr'] = df0['atr'] / ma * 10000
df0['atrc'] = ta.ATR(df0['high'], df0['low'], close,
timeperiod=1) / df0['atr']
# kdj顶点
kdjK, kdjD = ta.STOCH(df0["high"],
df0["low"],
close,
fastk_period=5,
slowk_period=3,
slowk_matype=1,
slowd_period=3,
slowd_matype=1)
df0["kdj_d2"] = kdj_d2 = kdjK - kdjD
df0["kdjm"] = kdj_d2 * kdj_d2.shift(1)
df0["kdjm"] = df0.apply(
lambda row: self.turn(row['kdjm'], row['kdj_d2'], 1), axis=1)
df1 = df0.apply(lambda row: self.point(row), axis=1)
for key in self.pointColumns:
df0[key] = df1[key]
param = copy.deepcopy(df0.iloc[-1]).to_dict()
self.df0 = df0
param.update({"p_l": c0["asks"][0], "p_h": c0["bids"][0]})
return param
def order(self, n0, isBuy, mode):
pN = self.preNode
now = public.getDatetime()
vol, fee, amount,income, p0 = 0,0,0,0, 0
price = n0["close"]
if isBuy > 0 :
self.batchid = uuid.uuid1()
p0 = price * (1+ self.shift)
vol = int(self.iniAmount/p0)
amount = vol * p0
fee = vol * p0 * self.ratio
income = -fee
elif isBuy < 0:
p0 = price * (1 - self.shift)
vol = pN['vol']
amount = vol * p0
fee = vol * p0 * self.ratio
income = amount - pN['amount']-fee
doc = {
"code": n0['code'],
"name": n0['code'],
"createdate": n0['createTime'],
"price": p0,
"vol": vol,
"mode": int(mode),
"isBuy": int(isBuy),
"fee": fee,
"amount": amount,
"income": income,
"method": self.methodName,
"batchid": self.batchid,
"uid": self.uid
}
self.records.append(doc)
if self.saveMongo:
self.mon_saveTick(n0, doc)
# 设置上一个记录
if isBuy > 0:
self.preNode = doc
else:
self.preNode = None
return True
def total(self, dfs, period=14):
# 计算参数
df0 = dfs[self.mCodes[0]]
# print(df0.iloc[-1])
code = self.codes[0]
#b0 = self.BS[code]
#rate, mar, mul = (b0[c] for c in ['ratio', 'margin_rate', 'contract_multiplier'])
df0["datetime"] = df0.index
print(df0.columns)
df0["curMa"] = df0.apply(lambda row: self.curMA(row, df0), axis=1)
df0["ap"], df0["bp"] = df0['a1'].shift(1), df0['b1'].shift(1)
df0["vol"] = df0['volume'].diff()
df0["delta"] = df0['open_interest'].diff()
df0["raise"] = df0['last'].diff()
# 循环 scale
docs = []
for conds in self.iterCond():
uid = self.uidKey % ('_'.join(self.codes), self.klineType, conds)
df1 = df0.apply(lambda row: self.calcMode(row), axis=1)
for key in self.pointColumns:
df0[key] = df1[key]
if code in self.csvList:
file = self.Rice.basePath + '%s_pre.csv' % (uid)
print(uid, '---------------------------- to_cvs', file,
df0.columns)
df0.to_csv(file, index=0)
return
tot = self.detect(df0, period=period, uid=uid)
print(tot)
if tot is not None and tot['amount'] != 0:
tot.update({
"method": self.method,
"code": self.code,
"period": period,
"uid": uid,
"createdate": public.getDatetime()
})
docs.append(tot)
return docs
def total(self, dfs, period=14):
# 计算参数
self.dfs = dfs
df0, df1 = (dfs[self.mCodes[i]] for i in [0, 1])
df = pd.DataFrame(index=df0.index)
df['close'] = close = df0['close'] / df1['close']
df['volume'] = (df0['volume'] + df1['volume']) / 2
df["ma"] = ma = ta.MA(close, timeperiod=period)
df["std"] = ta.STDDEV(close, timeperiod=period, nbdev=1)
df["bias"] = (close - ma) / ma
print(close.mean(), close.std())
# 循环 scale
docs = []
for conds in self.iterCond():
uid = self.uidKey % ('_'.join(self.codes), self.klineType, conds)
df1 = df0.apply(lambda row: self.point(row), axis=1)
for key in self.pointColumns:
df0[key] = df1[key]
isIn = False
for c in self.codes:
if c in self.cvsList:
isIn = True
break
tot = self.detect(df, period=period, uid=uid)
print(tot)
if tot is not None and tot['amount'] != 0:
tot.update({
"method": self.method,
"code": self.codes[0],
"code1": self.codes[1],
"period": period,
"uid": uid,
"createdate": public.getDatetime()
})
docs.append(tot)
return docs
def paramCalc(self, tick):
code = self.procMap.codes[0]
c0 = tick[code] # 快照
c0['close'] = c0['last']
df0 = copy.deepcopy(self.shareDict[code])
# 部分修正即时K线
df0.loc[public.getDatetime()] = pd.Series(
[c0[key] for key in self.klinecolumns], index=self.klinecolumns)
close = df0["close"]
df0['max90'] = mx = ta.MAX(close, timeperiod=60)
df0['drop'] = (mx - close) / mx
sar = ta.SAR(df0['high'],
df0['low'],
acceleration=self.sarStart,
maximum=0.2)
df0['sard'] = sard = close - sar
df0['sarm'] = sard * sard.shift(1)
df0['sarm'] = df0.apply(
lambda row: self.turn(row['sarm'], row['sard'], 1), axis=1)
sar5 = ta.SAR(df0['high'],
df0['low'],
acceleration=self.sarEnd,
maximum=0.2)
df0['sard5'] = sard5 = close - sar5
df0['sarm5'] = sard5 * sard5.shift(1)
df0['sarm5'] = df0.apply(
lambda row: self.turn(row['sarm5'], row['sard5'], 1), axis=1)
df0['createTime'] = df0.index
df0['mode'] = df0.apply(lambda row: self.point(row), axis=1)
param = copy.deepcopy(df0.iloc[-1]).to_dict()
param.update(c0)
#if param['sarm']==1: print(df0)
#print(param)
param.update({
"code": code,
"p_l": c0["asks"][0],
"p_h": c0["bids"][0]
})
return param
def start(self, codes, share):
print("子进程:", codes)
self.time0 = time0 = time.time()
self.Base = future_baseInfo()
self.Rice = tick_csv_Rice()
self.Rice.shareDict = share
self.Rice.basePath = self.basePath
self.Rice.cvs_start = self.cvs_start
self.Rice.cvs_end = self.cvs_end
self.Rice.dd = self.dd
self.new_docs = []
self.codes = codes
self.baseInfo = {}
self.filePath = self.basePath + "%s.csv" % "_".join(codes)
# 查询获得配置 - 费率和每手单量
for doc in self.Base.getInfo(codes):
self.baseInfo[doc["code"]] = doc
cs0, cs1 = self.baseInfo[codes[0]], self.baseInfo[codes[1]]
if cs0["nightEnd"] != cs1["nightEnd"]: return None
# 设置结束时间,用于数据清洗
try:
res = self.Rice.curKlineByCsv(codes, period=1, callback=self.new_tick)
except Exception as e:
print('error', codes, len(self.new_docs), e )
res = True
if res and len(self.new_docs) > 0 :
# 保存文件
df = pd.DataFrame(self.new_docs)
# 数据整理
df = self.detail(df)
print(public.getDatetime(), " 已保存", codes, "耗时:", time.time()-time0)
df.to_csv(self.filePath, columns=self.columns1, index=0)
self.new_docs= []
return True
def subFilter(self, codes, k):
print("stock filter subprocess start:", k / self.pageCount)
Rice = interface_Rice()
Base = stock_baseInfo()
startDate = public.getDatetime(diff=-200)
res = Rice.kline(codes, period=self.period, start=startDate, pre=90)
period = 180
line1 = 0.5
codeList = []
for code in codes:
df = res[code]
# 计算跌幅和回跌幅度
close = df['close']
mx0 = ta.MAX(close, timeperiod=60).values[-1]
last = close.values[-1]
opt0 = (mx0 - last) / mx0 > 0.2
mx = close[-period:].max()
mi = close[-period:].min()
miw = ta.MININDEX(close, timeperiod=period).values[-1]
mid = close[miw:].max()
# 超过M5
ma5 = ta.MA(close, timeperiod=5)
opt1 = (mx - mi) / mx > line1 and (mid - mi) / (
mx - mi) < 0.30 and (mx0 - last) / mx0 > 0.12
opt2 = (last > ma5.values[-1] or last > ma5.values[-2])
if (opt0) or (opt1 and opt2):
codeList.append(code)
print(k, len(codes), len(codeList))
Base.updateBound(codeList)
Base.closecur()
def timeDiff(self, preDate, curDate=None, quick=0):
#
if curDate is None:
curDate = public.getDatetime(style='%Y-%m-%d %H:%M:%S')
preDate = str(preDate)
if preDate.find('.') > -1:
preDate = preDate[:preDate.find(".")]
elif len(preDate) == 8:
preDate = public.parseTime(preDate,
format='%Y%m%d',
style='%Y-%m-%d %H:%M:%S')
diff = public.timeDiff(str(curDate), preDate) / 60
# 快速比较
if quick > 0 and diff < quick: return 1
# 间隔小于120，为非跨区
if diff < 120: return int(diff)
# 间隔周末
if diff > (24 * 60 * 2): diff -= 24 * 60 * 2
# 日内跨区
m0, m1 = (public.parseTime(d, style='%H:%M:%S')
for d in [preDate, curDate])
for ta in self.TimeDiffArea[:-1]:
if m0 < ta[0] < m1:
diff -= ta[1]
if diff < 120: return int(diff)
# 夜盘隔日
date = public.parseTime(curDate, style='%Y-%m-%d')
ta = self.TimeDiffArea[-1]
taTime = str(date) + ' ' + ta[0]
if preDate < taTime < curDate:
diff -= ta[1]
return int(diff)
def getMaps2(self, mapList):
codes = [c[0] for c in mapList]
orders = []
mCodes = self.Rice.getMain(codes)
snaps = self.Rice.snap(mCodes)
i = 0
for m in mCodes:
s = self.BI.ctpCode(m)
order = {
"symbol": s,
"code": m,
"name": mapList[i][0],
"mode": mapList[i][1],
"isopen": mapList[i][2],
"hands": mapList[i][3],
"price":
snaps[m]['last'] if len(mapList[i]) < 6 else mapList[i][5],
"method": mapList[i][4],
"createdate": public.getDatetime(diff=0),
}
orders.append(order)
i += 1
return orders
def calc(self, doc1, doc2, remainDays, mode=0):
rec = {
'code': doc1["code"],
'code_1': doc2["code"],
'price_bid': doc1["bid"],
'price_ask': doc2["ask"],
'price_owner': self.price_owner,
'remainDay': int(remainDays),
'power': doc1["power"],
'mode': mode,
'currentTime': public.getDatetime()
}
if mode == 0:
if doc2["ask"] == 0 or doc1["bid"] == 0:
res = 1.0
else:
res = (float(self.price_owner) + float(doc2["ask"]) -
float(doc1["bid"])) / float(doc1["power"]) / math.exp(
-1 * self.interest * remainDays)
res1 = 0
else:
if doc2["ask"] == 0 or doc1["bid"] == 0:
res = 1.0
else:
res = (float(self.price_owner) - float(doc2["ask"]) +
float(doc1["bid"])) / float(doc1["power"]) / math.exp(
-1 * self.interest * remainDays)
res1 = (float(self.price_owner) - float(doc2["ask"]) +
float(doc1["bid"])) / float(doc1["power"]) / math.exp(
self.interest_rong * remainDays)
rec["result"], rec["result1"] = res, res1
return rec
def total(self, dfs, period= 21):
# 计算参数
df01 = dfs[self.mCodes[0]]
close = df01["close"]
df01["datetime"] = df01.index
df01["time"] = df01["datetime"].apply(lambda x: str(x).split(' ')[1])
# 日线数据
self.df_day = df1 = self.Rice.kline(self.mCodes, period='1d', start=self.startDate, end=self.endDate, pre=21)[self.mCodes[0]]
df1['jump'] = df1['open'] - df1['close'].shift(1)
df1['atr'] = ta.ATR(df1['high'], df1['low'], df1['close'], timeperiod=14)
df1['atrc'] = ta.ATR(df1['high'], df1['low'], df1['close'], timeperiod=1) / df1['atr']
df1['mVol'] = self.iniAmount * self.stopLine / self.BS[self.codes[0]]["contract_multiplier"] / (2 * df1['atr'])
# 循环 scale
docs = []
for conds in self.iterCond():
uid = self.uidKey % ('_'.join(self.mCodes), str(period), self.klineType, str(self.bullwidth), conds)
df1["ma"] = ta.MA(df1["close"], timeperiod=period)
df1["ma5"] = ta.MA(df1["close"], timeperiod=5)
df1["ma10"] = ta.MA(df1["close"], timeperiod=10)
df1["ma20"] = ta.MA(df1["close"], timeperiod=20)
df0 = copy.deepcopy(df01[(df01['time'] >'09:10:00') & (df01['time'] <'10:15:00')][self.startDate:])
df2 = df0.apply(lambda row: self.jump(row, df01, df1), axis=1)
for key in self.pointColumns: df0[key] = df2[key]
if self.code in self.csvList:
file = self.Rice.basePath + '%s_sg.csv' % (uid)
file1 = self.Rice.basePath + '%s_sg1.csv' % (uid)
print(uid, '---------------------------- to_cvs', file, df0.columns)
df0.to_csv(file, index=0, columns= ['datetime', 'time', 'volume', 'close']+self.pointColumns)
#df1.to_csv(file1, index=1)
if self.onlyCVS:
df = df0[df0['powm'] !=0]
df['code'] = self.code
df['pid'] = self.ctpCode
df['uid'] = uid
df['shift'] = df['atrc']
df['delta'] = df['midratio']
df['mode'] = df['powm'].astype(int)
df['options'] = df['powm1'].astype(int)
df['createdate'] = df['datetime']
self.Train.insertAll(df.to_dict(orient='record'))
if self.onlyCVS: continue
#tot = None
tot = self.detect(df0, period=period, uid=uid)
if tot is not None and tot['amount'] != 0:
tot.update(
{
"method": self.method,
"code": self.code,
"period": period,
"uid": uid,
"createdate": public.getDatetime()
}
)
docs.append(tot)
return docs
def total(self, dfs, dfs2=None, period=60):
# 计算参数
df0 = dfs[self.mCodes[0]]
df0["rel_price"] = close = df0["close"]
df0["datetime"] = df0.index
s0 = self.shift[0]
p_l = df0["p_l"] = (df0["close"] + s0)
p_h = df0["p_h"] = (df0["close"] - s0)
if self.isSimTickUse:
# 调用复合apply函数计算混合参数
close2 = dfs2[self.mCodes[0]]["close"]
df0_1 = df0.apply(lambda row: self.k_ma(row['datetime'], row[
'rel_price'], close2, period),
axis=1)
df0 = pd.concat([df0, df0_1], axis=1)
else:
df0["ma"] = ma = ta.MA(close, timeperiod=period)
df0["std"] = std = ta.STDDEV(close, timeperiod=period, nbdev=1)
# 上下柜
# bullWidth
df0["bullwidth"] = width = (4 * std / ma * 100).fillna(0)
# 近三分钟width变动
df0["widthDelta"] = wd1 = ta.MA(width - width.shift(1),
timeperiod=3).fillna(0)
df0["slope"] = self.stand(
ta.MA(ta.LINEARREG_SLOPE(close, timeperiod=5), timeperiod=3))
df0["rsi"] = rsi = ta.RSI(close, timeperiod=14)
# kdj顶点
kdjK, kdjD = ta.STOCH(df0["high"],
df0["low"],
close,
fastk_period=5,
slowk_period=3,
slowk_matype=2,
slowd_period=3,
slowd_matype=2)
df0["kdj_d2"] = kdj_d2 = kdjK - kdjD
df0["kdjm"] = kdj_d2 * kdj_d2.shift(1)
df0["kdjm"] = df0.apply(
lambda row: self.turn(row['kdjm'], row['kdj_d2'], 1), axis=1)
# 相对波动
df0['delta'] = (p_l - p_h) / df0['std']
df1 = None
# 循环 scale
docs = []
for scale in self.scaleList:
for conds in self.iterCond():
uid = self.uidKey % ('_'.join(
self.codes), str(period), str(scale), self.klineType[:-1],
str(self.widthTimesPeriod) + '_' + conds)
if self.stopTimeLine:
self.stopTimeDiff = self.stopTimeLine * period * int(
self.klineType[:-1])
# 计算高低线值
df0["top"], df0["lower"] = df0['ma'] + (
scale - self.scaleDiff) * df0['std'], df0['ma'] - (
scale + self.scaleDiff) * df0['std']
df0['pow'] = df0.apply(lambda row: self.point(row), axis=1)
if uid in self.csvList or self.codes not in self.cvsCodes:
file = self.Rice.basePath + '%s_%s_pre.csv' % ('_'.join(
self.codes), self.klineType)
print(uid, '---------------------------- to_cvs', file,
df0.columns)
df0.to_csv(file, index=0)
self.cvsCodes.append(self.codes)
# df0.fillna(0, inplace=True)
tot = None
#tot = self.detect(df0, df1, period=period, uid=uid)
if tot is not None and tot['amount'] != 0:
tot.update({
"scale": scale,
"code": self.codes[0],
"period": period,
"uid": uid,
"shift": (p_l - p_h).mean(),
"createdate": public.getDatetime()
})
docs.append(tot)
return docs