def get_daily_bars(stock_list, begin_time, end_time):
# 连接本地终端时，td_addr为localhost:8001,
if (td.init('*****@*****.**', 'zyj2590@1109', 'strategy_1') == 0):
try:
bars = md.get_dailybars(stock_list, begin_time, end_time)
return bars
except:
pass
def read_last_n_kline(symbol_list, weeks_in_seconds, count, end_time):
# 连接本地终端时，td_addr为localhost:8001,
if (td.init('*****@*****.**', 'zyj2590@1109', 'strategy_1') == 0):
# 类结构体转成dataframe
columns = [
'endtime', 'open', 'high', 'low', 'close', 'volume', 'amount'
]
bars = 0
is_daily = (weeks_in_seconds == 240 * 60)
data_list = [] # pd.DataFrame(None, columns=columns)
'''
todo 整批股票读取有问题，数据取不全，放弃
stocks = ''
for x in symbol_list:
stocks+=','+x
read_days=int(count*weeks_in_seconds/240/60)+1
start_date=md.get_calendar('SZSE',
datetime.datetime.strptime(end_time, '%Y-%m-%d %H:%M:%S')
-datetime.timedelta(days=read_days),end_time)[0].strtime
start_date=start_date[:10] +' 09:30:00'
while start_date<end_time:
bars=md.get_bars(stocks[1:], weeks_in_seconds, start_date, end_time)
'''
for stock in symbol_list:
#now = '[{0}] read k line'.format(time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(time.time())))
#print(now,stock)
kdata = []
# 返回结果是bar类数组
if is_daily:
bars = md.get_last_n_dailybars(stock, count, end_time)
else:
bars = md.get_last_n_bars(stock, weeks_in_seconds, count,
end_time)
for bar in bars:
if is_daily:
kdata.append([
int(bar.utc_time), bar.open, bar.high, bar.low,
bar.close, bar.volume, bar.amount
])
else:
kdata.append([
int(bar.utc_endtime), bar.open, bar.high, bar.low,
bar.close, bar.volume, bar.amount
])
if len(bars) > 0:
kdata = pd.DataFrame(kdata, columns=columns)
kdata = kdata.sort_values(by='endtime', ascending=False)
data_list.append({'code': stock, 'kdata': kdata})
return data_list
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_index_stock(index_symbol, 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_constituents(index_symbol)
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
orders = td.get_unfinished_orders()
print('query unfinished orders: ', orders)
# 策略已配置实盘账户，查询策略关联账户的相关信息
# 获取柜台交易账号列表
# r = td.get_broker_accounts()
# print ('get_broker_accounts', [to_dict(i) for i in r])
# 获取柜台交易账号资金
# r = td.get_broker_cash()
# print ('get_broker_cash', [to_dict(i) for i in r])
# 获取柜台交易账号持仓
# r = td.get_broker_positions()
# print ('get_broker_positions', [to_dict(i) for i in r])
# register callbacks
td.ev_execrpt += on_execrpt
td.ev_error += on_error
td.ev_login += on_login
td.ev_order_status += on_order_status
#连接本地终端时，td_addr为localhost:8001,
#ret = td.init('*****@*****.**', '123456', 'strategy_1', 'localhost:8001')
ret = td.init('*****@*****.**', '123456', 'strategy_1')
print('td init result: ', ret)
td.run()
orders = td.get_unfinished_orders()
print('query unfinished orders: ', orders)
# 策略已配置实盘账户，查询策略关联账户的相关信息
# 获取柜台交易账号列表
# r = td.get_broker_accounts()
# print ('get_broker_accounts', [to_dict(i) for i in r])
# 获取柜台交易账号资金
# r = td.get_broker_cash()
# print ('get_broker_cash', [to_dict(i) for i in r])
# 获取柜台交易账号持仓
# r = td.get_broker_positions()
# print ('get_broker_positions', [to_dict(i) for i in r])
# register callbacks
td.ev_execrpt += on_execrpt
td.ev_error += on_error
td.ev_login += on_login
td.ev_order_status += on_order_status
#连接本地终端时，td_addr为localhost:8001,
#ret = td.init('*****@*****.**', '123456', 'strategy_1', 'localhost:8001')
ret = td.init('*****@*****.**', '123456', 'strategy_1')
print('td init result: ', ret)
td.run()
def read_kline(symbol_list,
weeks_in_seconds,
begin_time,
end_time,
max_record=50000):
#连接本地终端时，td_addr为localhost:8001,
if (td.init('*****@*****.**', 'zyj2590@1109', 'strategy_1') == 0):
#类结构体转成dataframe
kdata = []
columns = [
'endtime', 'open', 'high', 'low', 'close', 'volume', 'amount'
]
bars = 0
is_daily = (weeks_in_seconds == 240 * 60)
while (True):
# 返回结果是bar类数组
if is_daily:
bars = md.get_dailybars(symbol_list, begin_time, end_time)
else:
bars = md.get_bars(symbol_list, weeks_in_seconds, begin_time,
end_time)
for bar in bars:
if is_daily:
kdata.append([
int(bar.utc_time), bar.open, bar.high, bar.close,
bar.low, bar.volume, bar.amount
])
else:
kdata.append([
int(bar.utc_endtime), bar.open, bar.high, bar.close,
bar.low, bar.volume, bar.amount
])
count = len(bars)
#TODO 一次最多处理10000项以内数据，超出应有所提示
if (count==0 or len(kdata)>max_record) \
or (not is_daily and bars[count - 1].strendtime >= end_time) \
or (is_daily and bars[count - 1].strtime >= end_time) :
break
#print("read [%s] k line:%s count=%d" % (symbol_list,
# bars[0].strtime[:10] + ' ' + bars[0].strtime[11:19], count))
if is_daily:
if count <= 10:
break
else:
begin_time = bars[count - 1].strtime[:10] \
+ ' ' + bars[count - 1].strtime[11:19]
else:
begin_time=bars[count-1].strendtime[:10]\
+' '+bars[count-1].strendtime[11:19]
'''
count=len(kdata)
if count>0:
print("total count:%d,end date:%s " % (count,timestamp_datetime(kdata[count-1][0])))
else:
print("No data" )
'''
return pd.DataFrame(kdata, columns=columns)
# query order
order = td.get_order(order2.cl_ord_id)
print('query order: ', order_to_dict(order) if order else '')
# query cash
cash = td.get_cash()
print('query cash: ', cash_to_dict(cash) if cash else '')
# query position
position = td.get_position('CFFEX', 'IF1512', OrderSide_Bid)
print('query position: ', position_to_dict(position) if position else '')
# query all positions
positions = td.get_positions()
print('query all positions: ', positions)
# get unfinished orders
orders = td.get_unfinished_orders()
print('query unfinished orders: ', orders)
# register callbacks
td.ev_execrpt += on_execrpt
td.ev_error += on_error
td.ev_login += on_login
td.ev_order_status += on_order_status
# init td
ret = td.init('*****@*****.**', '123456', 'strategy_2', 'localhost:8001')
print('td init result: ', ret)
td.run()