def DaimaInDeal():
ret = md.init("yourname", "password")
daima_set = []
for b1 in md.get_instruments('SHSE', 1, 1):
if b1.symbol[5:7] == '60':
daima_set.append(b1.symbol[5:])
else:
pass
for c1 in md.get_instruments('SZSE', 1, 1):
if c1.symbol[5:7] == '60':
pass
else:
daima_set.append(c1.symbol[5:])
daima_set_end = []
for ck in daima_set:
if ck[0:2] == '20':
pass
else:
daima_set_end.append(ck)
return daima_set_end
def get_stock_by_market(exchange, sec_type, is_active, return_list=True):
# 连接本地终端时，td_addr为localhost:8001,
if (td.init('*****@*****.**', 'zyj2590@1109', 'strategy_1') == 0):
try:
stock_list = ""
css = md.get_instruments(exchange, sec_type, is_active)
if return_list:
stock_list = [cs.symbol for cs in css]
else:
for cs in css:
stock_list += "," + cs.symbol
return stock_list[1:]
except:
pass
def get_etf():
shse = md.get_instruments('SHSE', 5, 0)
return to_pd(shse,'symbol')
def get_index():
shse = md.get_instruments('SHSE', 3, 1)
shse =to_pd(shse,'symbol')
szse = md.get_instruments('SZSE', 3, 1)
szse =to_pd(szse,'symbol')
return shse.append(szse)
def get_cffex():
var = md.get_instruments('CFFEX', 4, 1)
return to_pd(var,'symbol')
def get_czce():
var = md.get_instruments('CZCE', 4, 1)
return to_pd(var,'symbol')
def get_shfe():
var = md.get_instruments('SHFE', 4, 1)
return to_pd(var,'symbol')
def get_etf():
shse = md.get_instruments('SHSE', 5, 0)
return to_pd(shse, 'symbol')
def get_cffex():
var = md.get_instruments('CFFEX', 4, 1)
return to_pd(var, 'symbol')
def get_index():
shse = md.get_instruments('SHSE', 3, 1)
shse = to_pd(shse, 'symbol')
szse = md.get_instruments('SZSE', 3, 1)
szse = to_pd(szse, 'symbol')
return shse.append(szse)
def get_czce():
var = md.get_instruments('CZCE', 4, 1)
return to_pd(var, 'symbol')
def get_shfe():
var = md.get_instruments('SHFE', 4, 1)
return to_pd(var, 'symbol')
def get_szse():
var = md.get_instruments('SZSE', 1, 0)
return to_pd(var, 'symbol')
def get_fund():
shse = md.get_instruments('SHSE', 2, 0)
shse =to_pd(shse,'symbol')
szse = md.get_instruments('SZSE', 2, 0)
szse =to_pd(szse,'symbol')
return shse.append(szse)
def get_fund():
shse = md.get_instruments('SHSE', 2, 0)
shse = to_pd(shse, 'symbol')
szse = md.get_instruments('SZSE', 2, 0)
szse = to_pd(szse, 'symbol')
return shse.append(szse)
use_name = '18826243593'
the_passwork = 'cheng3170'
md.init(use_name, the_passwork)
dict_ctpheyue_tick_df = {}
list_filter = [
'A', 'AG', 'AL', 'AU', 'BU', 'C', 'CF', 'CS', 'CU', 'FG', 'HC', 'I',
'J', 'JD', 'JM', 'L', 'M', 'MA', 'NI', 'OI', 'P', 'PB', 'PP', 'RB',
'RM', 'RU', 'SM', 'SN', 'SR', 'T', 'TA', 'TF', 'V', 'WH', 'Y', 'ZC',
'ZN'
]
list_changes = ['DCE', 'SHFE', 'CZCE', 'CFFEX']
list_heyues = []
list_create_tables = []
for each_change in list_changes:
list_heyues.extend(
pd.Series(md.get_instruments(
each_change, 4, 1)).apply(lambda x: x.symbol).tolist())
str_heyues = ''
list_ctp_heyues = []
for each_heyue in list_heyues:
if each_heyue.split('.')[0] != 'CZCE':
if each_heyue.split('.')[1][:-4].upper() in list_filter:
str_heyues += each_heyue + '.tick,'
list_create_tables.append(each_heyue.split('.')[1].lower())
list_ctp_heyues.append(each_heyue.split('.')[1])
dict_ctpheyue_tick_df[each_heyue.split('.')[1]] = pd.DataFrame(
{
'TradingDay': [],
'UpdateTime': [],
'UpdateMillisec': [],
def get_szse():
var =md.get_instruments('SZSE', 1, 0)
return to_pd(var,'symbol')
r = md.get_dailybars(
'SHSE.600000',
'2015-05-01 00:00:00',
'2015-05-20 23:59:59')
print('get_dailybars: ', len(r))
#提取dailybar快照
r = md.get_last_dailybars('SHSE.600000,')
print('get_last_dailybars: ', len(r))
#提取最新N笔dailybar数据
r = md.get_last_n_dailybars('SHSE.600000', 10)
print('get_last_n_dailybars(10): ', len(r))
#提取交易代码
r = md.get_instruments('SHSE', 1, 1)
print('get_instruments: ', len(r))
#根据期货品种提取交易代码
r = md.get_instruments_by_name('ag')
print('get_instruments_by_name', len(r))
#提取指数的成分股代码
r = md.get_constituents('SHSE.000001')
print('get_constituents', len(r))
#按时间周期提取FinancialIndex
r = md.get_financial_index('SHSE.600000', '2010-12-01 09:30:00', '2016-01-08 12:00:00')
print('get_financial_index', len(r))
#提取快照, 即最新的FinancialIndex
def updatePal(palPath=None):
start = time.time()
md.init('18201141877', 'Wqxl7309')
if not w.isconnected():
w.start()
palPath = r'E:\bqfcts\bqfcts\data\Paltest' if palPath is None else palPath
tempFilePath = os.path.join(palPath,'temp_files')
if not os.path.exists(tempFilePath):
os.mkdir(tempFilePath)
matName = 'data_20150701_now.mat'
savedPal = h5py.File(os.path.join(palPath,matName))
# print(read_cell(savedPal,'sec_names'))
nextTrd = dt.datetime.strptime(str(int(savedPal['nexttrd'][0][0])),'%Y%m%d')
nextTrdStr = nextTrd.strftime('%Y-%m-%d')
updateTime = dt.datetime(nextTrd.year,nextTrd.month,nextTrd.day,15,30,0)
if updateTime > dt.datetime.now():
print('not update time yet')
return
else:
availableDateStr = md.get_last_dailybars('SHSE.000001')[0].strtime[:10]
if int(availableDateStr.replace('-','')) <= int(nextTrdStr.replace('-','')):
print('new data not avaliable yet')
return
else:
print('will update from {0} to {1}'.format(nextTrdStr,availableDateStr))
betweenDays = [tdt.strtime[:10] for tdt in md.get_calendar('SHSE',nextTrdStr,availableDateStr)]
if nextTrdStr!=availableDateStr: # 避免同一日期重复
betweenDays.append(availableDateStr)
betweenDaysNumber = [int(tdt.replace('-','')) for tdt in betweenDays]
newDateNum = len(betweenDaysNumber)
# 更新前 先备份数据
backupPath = os.path.join(palPath,'backup')
cpResult = os.system(r'COPY {0} {1} /Y'.format(os.path.join(palPath,matName),os.path.join(backupPath,matName)))
assert cpResult==0,'backup failed'
gmDateFmt = 'yyyy-mm-dd'
# update indice
indiceNames = ['sh','hs300','zz500','sz50']
indiceCodes = ['000001','000300','000905','000016']
symbols = ','.join(['SHSE.{}'.format(sbl) for sbl in indiceCodes])
indiceBars = md.get_dailybars(symbols,nextTrdStr,availableDateStr)
for dumi,idx in enumerate(indiceNames):
bars = indiceBars[dumi::4]
idxret = np.array([bar.close for bar in bars])/np.array([bar.pre_close for bar in bars]) - 1
idxArray = np.array([betweenDaysNumber,
[bar.open for bar in bars],
[bar.high for bar in bars],
[bar.low for bar in bars],
[bar.close for bar in bars],
[bar.volume for bar in bars],
[bar.amount for bar in bars],
idxret
])
# newIndex = np.column_stack([savedPal['index_{}'.format(idx)][:], idxArray])
pd.DataFrame(np.transpose(idxArray)).to_csv(os.path.join(tempFilePath,'index_{}.csv'.format(idx)),index=False,header=False)
# update stock info
nCut = savedPal['N_cut'][0][0] # 6000
nEnd = savedPal['N_end'][0][0] # last end date id ex.6732
stockNames = read_cell(savedPal, 'stockname')
savedStkcdsGM = ['.'.join([stk[-2:]+'SE',stk[:6]]) for stk in stockNames]
savedStkNum = len(stockNames)
listedStkcdsWind = w.wset('sectorconstituent','date={};sectorid=a001010100000000'.format(availableDateStr)).Data[1]
newStkcdsWind = sorted(list(set(listedStkcdsWind) - set(stockNames)))
if newStkcdsWind:
stockNames.extend( newStkcdsWind )
newStkIpos = [int(tdt.strftime('%Y%m%d')) for tdt in w.wss(newStkcdsWind, 'ipo_date').Data[0]]
newIpoIds = [(w.tdayscount(nextTrd,str(ipo)).Data[0][0]+nEnd) for ipo in newStkIpos]
newStockip = pd.DataFrame([[int(newStkcdsWind[dumi][:6]), newStkIpos[dumi], newIpoIds[dumi],0,0,0,0,0] for dumi in range(len(newStkcdsWind))])
newStockip.to_csv( os.path.join(tempFilePath,'stockip.csv'),index=False,header=False )
else:
pd.DataFrame([]).to_csv(os.path.join(tempFilePath, 'stockip.csv'), index=False, header=False)
newStkcdsGm = ['.'.join([stk[-2:]+'SE',stk[:6]]) for stk in newStkcdsWind]
allStkcdsGM = savedStkcdsGM + newStkcdsGm # 全体股票包含已退市 与pal行数相同
# allSecNames = pd.DataFrame(w.wss(stockNames,'sec_name').Data[0])
allInstruments = md.get_instruments('SZSE', 1, 0) + md.get_instruments('SHSE', 1, 0)
allInstrumentsDF = pd.DataFrame([[inds.symbol, inds.sec_name] for inds in allInstruments],columns=['symbol','sec_name']).set_index('symbol')
allSecNames = allInstrumentsDF.loc[allStkcdsGM,'sec_name']
allSecNames.to_csv( os.path.join(tempFilePath, 'sec_names.csv'), index=False, header=False )
pd.DataFrame(newStkcdsWind).to_csv( os.path.join(tempFilePath, 'stockname.csv'), index=False, header=False )
# update trade info
pages = ['date','open','high','low','close','volume','amount','pctchg','flow_a_share','total_share','adjfct','adjprc','isst']
newPal = {}
for page in pages:
newPal[page] = pd.DataFrame(np.zeros([len(allStkcdsGM), newDateNum]),index=allStkcdsGM,columns=betweenDays)
lastPal = pd.DataFrame(savedPal['Pal'][:,-1,:],columns=savedStkcdsGM)
barsDaily = md.get_dailybars(','.join(allStkcdsGM), nextTrdStr, availableDateStr)
for bar in barsDaily:
tdt = bar.strtime[:10]
stk = '.'.join([bar.exchange,bar.sec_id])
newPal['date'].loc[stk, tdt] = int(tdt.replace('-',''))
newPal['open'].loc[stk, tdt] = bar.open
newPal['high'].loc[stk, tdt] = bar.high
newPal['low'].loc[stk, tdt] = bar.low
newPal['close'].loc[stk, tdt] = bar.close
newPal['volume'].loc[stk, tdt] = bar.volume
newPal['amount'].loc[stk, tdt] = bar.amount
newPal['pctchg'].loc[stk, tdt] = bar.close/bar.pre_close - 1
# 计算自算复权因子 ： 前一日收盘价*(1+当日收益率)/当日收盘价 s.t. （当日收盘价*当日复权因子）/前一日收盘价 = 1+ret
# 若当日没有交易 ： 沿用前一日 复权因子 循环外处理
# 若前一日没有交易 前一日收盘价 特殊处理：
# 当日有交易 ： 取停牌前最后一个交易日的 收盘价
# 当日没交易 没有退市 ： 沿用前一日复权因子 循环外处理
# 当日没交易 已经退市 ： 沿用前一日复权因子 循环外处理
# 若新股上市第一天 ： 复权因子为1
if stk in newStkcdsGm:
newPal['adjfct'].loc[stk, tdt] = 1
else:
noTrdLast = (lastPal.loc[0, stk] == 0) if tdt == nextTrdStr else (newPal['date'].loc[stk, betweenDays[betweenDays.index(tdt) - 1]] == 0)
if noTrdLast: # 前一日没交易 今日有交易（否则不应出现在bars里面）
lastBar = md.get_last_n_dailybars(stk, 2, end_time=tdt)[-1]
newPal['adjfct'].loc[stk, tdt] = lastPal.loc[15, stk] * lastBar.close * (1 + newPal['pctchg'].loc[stk, tdt]) / bar.close
else:
preClose = lastPal.loc[4,stk] if tdt==nextTrdStr else newPal['close'].loc[stk,betweenDays[betweenDays.index(tdt)-1]]
newPal['adjfct'].loc[stk, tdt] = lastPal.loc[15, stk] * preClose * (1 + newPal['pctchg'].loc[stk, tdt]) / bar.close
for dumi,tdt in enumerate(betweenDays):
idx = newPal['adjfct'].loc[:,tdt]==0
idx = idx.values
if tdt==nextTrdStr:
newPal['adjfct'].loc[idx[:savedStkNum], tdt] = lastPal.loc[15,:].values[idx[:savedStkNum]]
else:
newPal['adjfct'].loc[idx, tdt] = newPal['adjfct'].loc[idx, betweenDays[dumi-1]]
newPal['adjprc'] = newPal['adjfct']*newPal['close']
shareBar = md.get_share_index(','.join(allStkcdsGM), nextTrdStr, availableDateStr)
for bar in shareBar:
tdt = bar.pub_date
stk = bar.symbol
newPal['flow_a_share'].loc[stk, tdt] = bar.flow_a_share
newPal['total_share'].loc[stk, tdt] = bar.total_share
isST = np.array([int('ST' in sn) for sn in allSecNames.values])
newPal['isst'] = pd.DataFrame(np.repeat(np.reshape(isST,(isST.shape[0],1)),len(betweenDays),axis=1), index=allStkcdsGM, columns=betweenDays)
for page in newPal:
newPal[page].to_csv(os.path.join(tempFilePath,'{}.csv'.format(page)),index=False,header=False )
print('Pal temp files update finished with {0} stocks and {1} days in {2} seconds '.format(len(newStkcdsWind),len(betweenDays),time.time() - start))
