def days_to_expire(self, date=None):
if (self.type != "Future" or self.listed_date == "0000-00-00" # 排除虚拟合约
):
return -1
date = to_date(date) if date else datetime.date.today()
maturity_date = to_date(self.maturity_date)
days = (maturity_date - date).days
return days if days >= 0 else -1
def days_from_listed(self, date=None):
if self.listed_date == "0000-00-00":
return -1
date = to_date(date) if date else datetime.date.today()
if self.de_listed_date != "0000-00-00" and date > to_date(
self.de_listed_date):
# 晚于退市日期
return -1
listed_date = to_date(self.listed_date)
ipo_days = (date - listed_date).days
return ipo_days if ipo_days >= 0 else -1
def ensure_dates_base_on_listed_date(instrument, start_date, end_date, market):
from rqdatac.services.calendar import get_previous_trading_date, get_latest_trading_date
if to_date(instrument.listed_date) > datetime.date.today():
raise ValueError("instrument {} is not listed yet".format(
instrument.order_book_id))
if start_date is None:
start_date = instrument.listed_date
elif to_date(start_date) < to_date(instrument.listed_date):
start_date = to_date(instrument.listed_date)
elif instrument.de_listed_date != "0000-00-00" and to_date(
start_date) >= to_date(instrument.de_listed_date):
warnings.warn("{} has been delisted on {}".format(
instrument.order_book_id, instrument.de_listed_date))
return None, None
if end_date is None:
if instrument.de_listed_date != "0000-00-00":
end_date = get_previous_trading_date(instrument.de_listed_date,
market=market)
else:
end_date = get_latest_trading_date(market=market)
elif instrument.de_listed_date != "0000-00-00" and to_date(
end_date) >= to_date(instrument.de_listed_date):
warnings.warn("{} has been delisted on {}".format(
instrument.order_book_id, instrument.de_listed_date))
end_date = get_previous_trading_date(instrument.de_listed_date,
market=market)
return start_date, end_date
def _weekly_start_end_date_handler(start_date, end_date):
start_date = to_date(start_date)
monday = start_date - datetime.timedelta(days=start_date.weekday())
first_trading_day_in_week = monday if is_trading_date(monday) else get_next_trading_date(monday)
if first_trading_day_in_week < start_date:
start_date = monday + datetime.timedelta(weeks=1)
end_date = to_date(end_date)
if end_date > datetime.date.today():
end_date = datetime.date.today()
friday = end_date - datetime.timedelta(days=end_date.weekday()) + datetime.timedelta(days=4)
last_trading_day_in_week = friday if is_trading_date(friday) else get_previous_trading_date(friday)
if last_trading_day_in_week > end_date:
end_date = friday - datetime.timedelta(weeks=1)
return to_date_int(start_date), to_date_int(end_date)
def get_etf_components(order_book_id, trading_date=None, market="cn"):
"""获取etf基金份额数据
:param order_book_id: 基金代码 str
:param trading_date: 交易日期，默认为当天
:param market: (Default value = "cn")
:return: DataFrame
"""
if order_book_id.endswith(".XSHG") or order_book_id.endswith(".XSHE"):
pass
elif order_book_id.startswith("1"):
order_book_id = order_book_id + ".XSHE"
elif order_book_id.startswith("5"):
order_book_id = order_book_id + ".XSHG"
else:
return None
if trading_date is not None:
trading_date = to_date(trading_date)
if trading_date > datetime.date.today():
return None
else:
trading_date = datetime.date.today()
trading_date = ensure_date_int(ensure_trading_date(trading_date))
result = get_client().execute("fund.get_etf_components", order_book_id, trading_date, market=market)
if not result:
return None
columns = ["trading_date", "order_book_id", "stock_code", "stock_amount", "cash_substitute",
"cash_substitute_proportion", "fixed_cash_substitute"]
df = pd.DataFrame(result, columns=columns).sort_values(by=["trading_date", "order_book_id", "stock_code"],
ascending=[True, True, True])
return df
def ensure_date_range(start_date, end_date, delta=relativedelta(months=3)):
if start_date is None and end_date is None:
return _to_date_int(datetime.date.today() - delta), _to_date_int(
datetime.date.today())
if start_date is None:
end_date = to_date(end_date)
return _to_date_int(end_date - delta), _to_date_int(end_date)
if end_date is None:
start_date = to_date(start_date)
return _to_date_int(start_date), _to_date_int(start_date + delta)
s, e = ensure_date_int(start_date), ensure_date_int(end_date)
if s > e:
raise ValueError("invalid date range: [{!r}, {!r}]".format(
start_date, end_date))
return s, e
def ensure_date_int(date):
date = to_date(date)
return date.year * 10000 + date.month * 100 + date.day
def ensure_date_str(date):
# type: (...) -> str
date = to_date(date)
return "%04d-%02d-%02d" % (date.year, date.month, date.day)