def spider_closed(self, spider, reason):
if self.trading_dates:
if self.saved_trading_dates:
self.trading_dates.append(self.saved_trading_dates)
result_list = drop_duplicate(self.trading_dates)
result_list = sorted(result_list)
the_path = get_exchange_trading_calendar_path('future', 'shfe')
with open(the_path, 'w') as outfile:
json.dump(result_list, outfile)
spider.logger.info('Spider closed: %s,%s\n', spider.name, reason)
def parse_shfe_day_data(force_parse=False):
cache_dir = get_exchange_cache_dir(security_type='future',
exchange='shfe',
the_year=datetime.datetime.today().year,
data_type="day_kdata")
the_parsed_path = os.path.join(cache_dir, 'parsed')
the_parsed = []
if os.path.exists(the_parsed_path):
with open(the_parsed_path) as data_file:
the_parsed = json.load(data_file)
if force_parse:
the_dates = [f for f in os.listdir(cache_dir) if f != 'parsed' and f]
else:
the_dates = [
f for f in os.listdir(cache_dir)
if f != 'parsed' and f not in the_parsed
]
for the_date in the_dates:
the_path = os.path.join(cache_dir, the_date)
logger.info("start handling {}".format(the_path))
with open(the_path, 'r', encoding='UTF8') as f:
tmp_str = f.read()
the_json = json.loads(tmp_str)
the_datas = the_json['o_curinstrument']
# 日期,代码,名称,最低,开盘,收盘,最高,成交量(手),成交额(元),唯一标识,前收盘,涨跌额,涨跌幅(%),持仓量,结算价,前结算,涨跌额(按结算价),涨跌幅(按结算价)
KDATA_COLUMN_FUTURE = [
'timestamp', 'code', 'name', 'low', 'open', 'close', 'high',
'volume', 'turnover', 'securityId', 'preClose', 'change',
'changePct', 'openInterest', 'settlement', 'preSettlement',
'change1', 'changePct1'
]
for the_data in the_datas:
# {'CLOSEPRICE': 11480,
# 'DELIVERYMONTH': '1809',
# 'HIGHESTPRICE': 11555,
# 'LOWESTPRICE': 11320,
# 'OPENINTEREST': 425692,
# 'OPENINTERESTCHG': 3918,
# 'OPENPRICE': 11495,
# 'ORDERNO': 0,
# 'PRESETTLEMENTPRICE': 11545,
# 'PRODUCTID': 'ru_f ',
# 'PRODUCTNAME': '天然橡胶 ',
# 'PRODUCTSORTNO': 100,
# 'SETTLEMENTPRICE': 11465,
# 'VOLUME': 456574,
# 'ZD1_CHG': -65,
# 'ZD2_CHG': -80}
if not re.match("\d{4}", the_data['DELIVERYMONTH']):
continue
code = "{}{}".format(
the_data['PRODUCTID'][:the_data['PRODUCTID'].index('_')],
the_data['DELIVERYMONTH'])
logger.info("start handling {} for {}".format(code, the_date))
name = get_future_name(code)
security_id = "future_shfe_{}".format(code)
security_list = get_security_list(security_type='future',
exchanges=['shfe'])
logger.info("start handling {} for {}".format(code, the_date))
security_item = {
'code': code,
'name': name,
'id': security_id,
'exchange': 'shfe',
'type': 'future'
}
# 检查是否需要保存合约meta
if security_list is not None and 'code' in security_list.columns:
security_list = security_list.set_index(
security_list['code'], drop=False)
if code not in security_list.index:
security_list = security_list.append(security_item,
ignore_index=True)
security_list.to_csv(get_security_list_path(
'future', 'shfe'),
index=False)
kdata_path = get_kdata_path(item=security_item,
source='exchange')
# TODO：这些逻辑应该统一处理
kdata_dir = get_kdata_dir(item=security_item)
if not os.path.exists(kdata_dir):
os.makedirs(kdata_dir)
if os.path.exists(kdata_path):
saved_df = pd.read_csv(kdata_path, dtype=str)
saved_df = saved_df.set_index(saved_df['timestamp'],
drop=False)
else:
saved_df = pd.DataFrame()
if saved_df.empty or the_date not in saved_df.index:
low_price = the_data['LOWESTPRICE']
if not low_price:
low_price = 0
open_price = the_data['OPENPRICE']
if not open_price:
open_price = 0
close_price = the_data['CLOSEPRICE']
if not close_price:
close_price = 0
high_price = the_data['HIGHESTPRICE']
if not high_price:
high_price = 0
volume = the_data['VOLUME']
if not volume:
volume = 0
if type(the_data['ZD1_CHG']) == str:
change = 0
else:
change = the_data['ZD1_CHG']
if type(the_data['ZD2_CHG']) == str:
change1 = 0
else:
change1 = the_data['ZD2_CHG']
pre_close = close_price - change
pre_settlement = the_data['PRESETTLEMENTPRICE']
# 首日交易
if pre_close != 0:
change_pct = change / pre_close
else:
change_pct = 0
if pre_settlement != 0:
change_pct1 = change1 / pre_settlement
else:
change_pct1 = 0
the_json = {
"timestamp":
to_time_str(the_date),
"code":
code,
"name":
name,
"low":
low_price,
"open":
open_price,
"close":
close_price,
"high":
high_price,
"volume":
volume,
# 成交额为估算
"turnover":
(low_price + open_price + close_price + high_price / 4)
* volume,
"securityId":
security_id,
"preClose":
pre_close,
"change":
change,
"changePct":
change_pct,
"openInterest":
the_data['OPENINTEREST'],
"settlement":
the_data['SETTLEMENTPRICE'],
"preSettlement":
the_data['PRESETTLEMENTPRICE'],
"change1":
change1,
"changePct1":
change_pct1
}
saved_df = saved_df.append(the_json, ignore_index=True)
saved_df = saved_df.loc[:, KDATA_COLUMN_FUTURE]
saved_df = saved_df.drop_duplicates(subset='timestamp',
keep='last')
saved_df = saved_df.set_index(saved_df['timestamp'],
drop=False)
saved_df.index = pd.to_datetime(saved_df.index)
saved_df = saved_df.sort_index()
saved_df.to_csv(kdata_path, index=False)
logger.info("end handling {} for {}".format(
code, the_date))
if the_date not in the_parsed:
the_parsed.append(the_date)
if the_parsed:
result_list = drop_duplicate(the_parsed)
result_list = sorted(result_list)
with open(the_parsed_path, 'w') as outfile:
json.dump(result_list, outfile)
logger.info("end handling {}".format(the_path))