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'])