def get_normal_future_contract_code(code_lst):
temp = get_all_securities(types=['futures'])
temp['index_code'] = temp.index
temp['symbol'] = temp['index_code'].apply(lambda x: x[:-5])
temp = temp[['index_code', 'symbol']].set_index(['symbol'])
code_dict = {}
for code in code_lst:
code_dict[code] = temp.loc[code]['index_code']
return code_dict
if __name__ == '__main__':
DataFactory.config(MONGDB_PW='jz2018*',
DATASOURCE_DEFAULT=setting.DATASOURCE_REMOTE)
fold = 'e:/kdj_macd/'
fold_data = 'e:/kdj_macd/data/'
long_margin = 100000
short_margin = 100000
level = 10
long_value = long_margin * level
short_value = short_margin * level
start_day = '2020-03-27'
end_day = datetime.date.today().strftime('%Y-%m-%d')
long_code_lst = ['SC2006']
short_code_lst = ['PP2009']
long_code_dict = get_normal_future_contract_code(long_code_lst)
short_code_dict = get_normal_future_contract_code(short_code_lst)
lst = []
else:
print(data[0])
except Exception as e:
pass
def call_back(self, data):
# print(data)
print(data['TRADE_CODE'], data['LastPrice'], data['AskPrice1'],
data['BidPrice1'], data['TimeIndex'])
return data
if __name__ == '__main__':
DataFactory.config(MONGDB_PW='jz2018*',
MONGDB_IP='192.168.2.201',
MONGDB_USER='******',
DATASOURCE_DEFAULT=global_variable.DATASOURCE_REMOTE,
logging_level=global_variable.logging.INFO)
rd = redis.Redis('192.168.1.36')
long_margin = 50000
short_margin = 50000
level = 10
long_value = long_margin * level
short_value = short_margin * level
long_code_lst = ['SC2005']
short_code_lst = ['L2009', 'PP2009', 'TA2009', 'BU2009']
long_cost_lst = [251]
short_cost_lst = [5765, 5999]
long_contract = [
Future(symbol=i[:-4]).contract_size for i in long_code_lst
]
import numpy
import time
import data_engine.global_variable as global_variable
from data_engine.instrument.instrument import Instrument
from data_engine.data_factory import DataFactory
import redis
import json
import threading
from data_engine.instrument.future import Future
from data_engine.instrument.product import Product
import data_engine.setting as setting
import pymongo
from arctic import Arctic, TICK_STORE, CHUNK_STORE
if __name__ == '__main__':
DataFactory.config(MONGDB_PW='jz2018*',
DATASOURCE_DEFAULT=setting.DATASOURCE_REMOTE)
myclient = pymongo.MongoClient(
'mongodb://*****:*****@192.168.2.201:27017/')
jzmongo = myclient
# data = jzmongo['MARKET']['continuous_contract'].find(filter={"by": 'open_init'})
# df = pd.DataFrame(data)
# opt_weight = jzmongo['portfolio']['strategy_opt_weight'].find(filter={'strategy': 'YMJH-Daily'})
# df = pd.DataFrame(opt_weight)
# lst = []
# for method, group in df.groupby(['aggtoken', 'date']):
# row = []
# row.extend(method)
# row.append(group.weight.mean())
# lst.append(row)
# ret = pd.DataFrame(lst, columns=['aggtoken', 'date', 'weight'])