def test_data_api():
address = data_config.get("remote.data.address", None)
username = data_config.get("remote.data.username", None)
password = data_config.get("remote.data.password", None)
if address is None or username is None or password is None:
raise ValueError("no data service config available!")
api = DataApi(address, use_jrpc=False)
login_msg = api.login(username=username, password=password)
print login_msg
daily, msg = api.daily(symbol="600030.SH,000002.SZ", start_date=20170103, end_date=20170708,
fields="open,high,low,close,volume,last,trade_date,settle")
daily2, msg2 = api.daily(symbol="600030.SH", start_date=20170103, end_date=20170708,
fields="open,high,low,close,volume,last,trade_date,settle")
# err_code, err_msg = msg.split(',')
assert msg == '0,'
assert msg2 == '0,'
assert daily.shape == (248, 9)
assert daily2.shape == (124, 9)
df, msg = api.bar(symbol="600030.SH", trade_date=20170904, freq=common.QUOTE_TYPE.MIN, start_time=90000, end_time=150000)
print df.columns
assert df.shape == (240, 15)
print "test passed"
def loginJaqsApp(self):
"""
# 登录jaqs的api。需要账号和token，可在官网上注册。
"""
print(u'正在登陆JaqsAPI.')
self.api = DataApi(addr=self.setting['ADDR'])
self.api.login(self.setting['PHONE'], self.setting['TOKEN'])
def initApi():
try:
global api
api = DataApi(addr=addr)
api.login(phone, token)
except Exception as e:
print('Init Api Failed')
def get_data(symbol=None):
if not os.path.exists('./data/prepared/datacsv/'):
os.makedirs('./data/prepared/datacsv/')
if not symbol:
api = DataApi(addr="tcp://data.quantos.org:8910")
result, msg = api.login(
"18652420434",
"eyJhbGciOiJIUzI1NiJ9.eyJjcmVhdGVfdGltZSI6IjE1MTcwNjAxMDgyOTMiLCJpc3MiOiJhdXRoMCIsImlkIjoiMTg2NTI0MjA0MzQifQ.b1ejSpbEVS7LhbsveZ5kvbWgUs7fnUd0-CBakPwNUu4"
)
# print(result)
data, msg = api.query(
view="lb.indexCons",
fields="symbol",
filter="index_code=000016.SH&start_date=20180801&end_date=20180831",
data_format='pandas')
print(msg)
# symbols = data['symbol'].tolist()
symbols = [
'600887.SH', '601988.SH', '600048.SH', '601006.SH', '601398.SH',
'601628.SH', '601166.SH', '601318.SH', '601328.SH', '601169.SH',
'601088.SH', '601857.SH', '601390.SH', '601601.SH', '601186.SH',
'601668.SH', '601766.SH', '600999.SH', '601989.SH', '601688.SH',
'601288.SH', '601818.SH', '601800.SH', '601360.SH', '601336.SH',
'603993.SH', '601211.SH', '600958.SH', '601878.SH', '601229.SH',
'601881.SH'
]
print(symbols)
for sym in symbols:
# df = load_data(sym)
# close = [float(x) for x in df['close']]
# # prepare macd data
# df['MACD'], df['MACDsignal'], df['MACDhist'] = talib.MACD(np.array(close),
# fastperiod=12, slowperiod=26, signalperiod=9)
# df = df.sort_index()
# df.index = pd.to_datetime(df.index, format='%Y%m%d')
# df = prepare_kdj(df, 9, 'close') # 计算好kdj之后从13行开始取数据,计算出来的kdj比较准确
# df = df[34:]
# df = calculator_close(df)
# save_csv(sym, df)
draw_pic(sym, 'macd_j')
else:
df = load_data(symbol)
close = [float(x) for x in df['close']]
# prepare macd data
df['MACD'], df['MACDsignal'], df['MACDhist'] = talib.MACD(
np.array(close), fastperiod=12, slowperiod=26, signalperiod=9)
# df = df.sort_index()
# df.index = pd.to_datetime(df.index, format='%Y%m%d')
df = prepare_kdj(df, 9, 'close') # 计算好kdj之后从13行开始取数据,计算出来的kdj比较准确
df = df[34:]
df = calculator_close(df)
save_csv(symbol, df)
draw_pic(symbol, 'macd_j')
def getQuantApi():
token = 'eyJhbGciOiJIUzI1NiJ9.eyJjcmVhdGVfdGltZSI6IjE1MzI5MzM3MjAwOTEiLCJpc3MiOiJhdXRoMCIsImlkIjoiMTg2MDExMTA5NTkifQ.nN08iv14dxEtd1r3EMmASxfkWqXoJ0xlyif8peWaFg4'
addr = 'tcp://data.quantos.org:8910'
phone = '18601110959'
try:
api = DataApi(addr=addr)
api.login(phone, token)
return api
except Exception as e:
print('Init Api Failed')
def __init__(self, api_url=None, user=None, token=None):
global _api
from jaqs.data import DataApi
if _api is None:
url = api_url or os.environ.get("QUANTOS_URL", "tcp://data.quantos.org:8910")
user = user or os.environ.get("QUANTOS_USER")
token = token or os.environ.get("QUANTOS_TOKEN")
_api = DataApi(addr=url)
_api.login(user, token)
self._api = _api
def __init__(self,
storage,
user,
password,
jaqs_addr="tcp://data.quantos.org:8910"):
self.user = user
self.password = password
self.jaqs_addr = jaqs_addr
self.api = DataApi(self.jaqs_addr)
assert isinstance(storage, BarStorage)
self.storage = storage
def init_from_config(self, props):
# do not initialize and login again
if self.data_api is not None and self.data_api._loggined:
return
if props is None:
props = dict()
if self.data_api is not None:
if len(props) == 0:
return
else:
self.data_api.close()
def get_from_list_of_dict(l, key, default=None):
res = None
for dic in l:
res = dic.get(key, None)
if res is not None:
break
if res is None:
res = default
return res
props_default = dict(
) # jutil.read_json(jutil.join_relative_path('etc/data_config.json'))
dic_list = [props, props_default]
address = get_from_list_of_dict(dic_list, "remote.data.address", "")
username = get_from_list_of_dict(dic_list, "remote.data.username", "")
password = get_from_list_of_dict(dic_list, "remote.data.password", "")
if address is None or username is None or password is None:
raise ValueError("no address, username or password available!")
time_out = get_from_list_of_dict(dic_list, "timeout", 60)
self.data_api = DataApi(address, use_jrpc=False)
self.data_api.set_timeout(timeout=time_out)
print("\nDataApi login: {}@{}".format(username, address))
r, msg = self.data_api.login(username=username, password=password)
if not r:
print(" login failed: msg = '{}'\n".format(msg))
else:
print " login success \n"
def connect(self):
"""连接"""
try:
dataServer = self.setting['DATA_SERVER']
tradeServer = self.setting['TRADE_SERVER']
userID = self.setting['USER_ID']
token = self.setting['TOKEN']
except KeyError:
self.writeLog(text.CONFIG_KEY_MISSING)
return
# 连接行情API
try:
api = DataApi(addr=dataServer)
api.login(userID, token)
self.writeLog(text.DATA_SERVER_CONNECTED)
except:
self.writeLog(text.DATA_SERVER_FAILED)
return
# 连接交易API
t_api = TradeApi(addr=tradeServer)
user_info, msg = t_api.login(userID, token)
self.writeLog(text.TRADING_SERVER_CONNECTED)
if msg == self.setting['ISOK']:
self.user_info = user_info
strategy_list = self.user_info['strategies']
self.strategyID = strategy_list[
self.setting['DEFAULT_STRATEGYID']] # 设置默认的策略编号
else:
self.writeLog(text.TRADING_SERVER_FAILED)
return
self.qsqApi = api
self.qstApi = t_api
self.initContract() # 初始化合约信息
self.initTradingEnv() # 初始化交易环境
self.qryAccount() # 获取账户信息
self.qryPosition() # 获取交易信息
self.initOrder() # 获取订单信息
self.initTrade() # 获取成交信息
def get_api():
login = CONF["login"]
api = DataApi(login["addr"])
api.login(login["username"], login["password"])
return api
def setUp(self):
self.api = DataApi(addr='tcp://data.tushare.org:8910')
self.api.login(
self.user_id,
"eyJhbGciOiJIUzI1NiJ9.eyJjcmVhdGVfdGltZSI6IjE1MjY5MDQ0NTgwODAiLCJpc3MiOiJhdXRoMCIsImlkIjoiMTg4MTAyOTkyMDAifQ.M9d07UvpEWVWugga0d2UtbWsRRZubS5mgMXaTxrieSk"
)
import pyfolio as pf
from fxdayu_data import DataAPI
try:
from functools import lru_cache, partial
except ImportError:
from fastcache import lru_cache
from jaqs.data import DataApi
data_config = {
"remote.data.address": "tcp://192.168.0.102:23000",
"remote.data.username": "******",
"remote.data.password": "******"
}
api = DataApi(data_config["remote.data.address"])
api.login(username=data_config["remote.data.username"],
password=data_config["remote.data.password"])
def memorized_method(*lru_args, **lru_kwargs):
def decorator(func):
@functools.wraps(func)
def wrapped_func(self, *args, **kwargs):
# We're storing the wrapped method inside the instance. If we had
# a strong reference to self the instance would never die.
self_weak = weakref.ref(self)
@functools.wraps(func)
@lru_cache(*lru_args, **lru_kwargs)
def cached_method(*args, **kwargs):
def login(username, password):
api = DataApi(env.ADDR)
api.login(username, password)
logging.warning("login | %s", username)
return api
"18652420434",
"remote.data.password":
"******"
}
trade_config = {
"remote.trade.address":
"tcp://gw.quantos.org:8901",
"remote.trade.username":
"******",
"remote.trade.password":
"******"
}
dataview_store_folder = './read_picture/data/prepared'
api = DataApi(addr='tcp://data.quantos.org:8910')
api.login(
18652420434,
'eyJhbGciOiJIUzI1NiJ9.eyJjcmVhdGVfdGltZSI6IjE1MTcwNjAxMDgyOTMiLCJpc3MiOiJhdXRoMCIsImlkIjoiMTg2NTI0MjA0MzQifQ.b1ejSpbEVS7LhbsveZ5kvbWgUs7fnUd0-CBakPwNUu4'
)
start_date = "20120101"
end_date = "20181231"
def get_index_info():
df, msg = api.query(
view="lb.indexCons",
fields="index_code,symbol,in_date,out_date",
filter="index_code=000905.SH&start_date=20120101&end_date=20181231",
data_format='pandas')
def get_api():
api = DataApi(env.jaqs_addr)
api.login(env.jaqs_user, env.jaqs_password)
return api
from jaqs.data import DataApi
import matplotlib.pyplot as plt
# matplotlib inline
import pandas as pd
import numpy as np
api = DataApi(addr='tcp://data.tushare.org:8910')
phone = 'phone'
token = 'token'
df, msg = api.login(phone, token)
print(df, msg)
df, msg = api.query(view="jz.instrumentInfo",
fields="market,symbol,list_date,status",
filter="inst_type=1&status=1&market=SH,SZ",
data_format="pandas")
df.index = df['symbol']
df.sort_index(inplace=True)
print(len(df))
print(len(df[df['market'] == 'SZ']))
print(len(df[df['market'] == 'SH']))
performance_metrics['Sharpe Ratio'] = \
(performance_metrics['Annual Return (%)'] / performance_metrics['Annual Volatility (%)'])
risk_metrics = dict()
risk_metrics['Beta'] = np.corrcoef(df_returns.loc[:, 'bench'],
df_returns.loc[:, 'strat'])[0, 1]
risk_metrics['Maximum Drawdown (%)'] = max_dd * 100
risk_metrics['Maximum Drawdown start'] = df_returns.index[max_dd_start]
risk_metrics['Maximum Drawdown end'] = df_returns.index[max_dd_end]
# print(performance_metrics, risk_metrics, df_returns)
return performance_metrics, risk_metrics, df_returns
if __name__ == "__main__":
api = DataApi(addr="tcp://data.tushare.org:8910")
df, msg = api.login(data_config["remote.data.username"],
data_config["remote.data.password"])
# print(df, msg)
df = get_fundlist(api, u'股票型', u'增强指数型')
symbols = ",".join(df['symbol'])
start_data = 20170101
curr_data = 20180110
index_map = get_index_map(api, symbols, start_data)
# print(index_map)
indicators = list()
for (symbol, index) in index_map.items():
performance_metrics, risk_metrics, df_returns = cal_active_return(
def init_from_config(self, props):
"""
Parameters
----------
props : dict
Configurations used for initialization.
Example
-------
{"remote.data.address": "tcp://*****:*****@{}".format(username, address))
INDENT = ' ' * 4
if self.data_api is None:
if (address == "") or (username == "") or (password == ""):
raise InitializeError(
"no address, username or password available!")
elif self.data_api._loggined:
if ((address == self._address) and (time_out == self._timeout)
and (username == self._username)
and (password == self._password)):
print(INDENT +
"Already login as {:s}, skip init_from_config".format(
username))
return # do not login with the same props again
else:
self.data_api.close()
self.data_api = None
self._address = address
self._username = username
self._password = password
self._timeout = time_out
data_api = DataApi(self._address, use_jrpc=False)
data_api.set_timeout(timeout=self._timeout)
r, err_msg = data_api.login(username=self._username,
password=self._password)
if not r:
print(INDENT + "login failed: err_msg = '{}'\n".format(err_msg))
else:
self.data_api = data_api
print(INDENT + "login success \n")
class Api(object):
__api = DataApi(addr='tcp://data.tushare.org:8910')
def __lazy_login(self):
if self.__login_flag is False:
ret = self.__api.login(self.id, self.token)
if ret[0] is None:
raise Exception('login failed %s - %s' % (self.id, ret))
else:
log.info('%s login success' % self.id)
self.__login_flag = ret
def __init__(self):
self.__login_flag = False
with open('.config.json') as f:
info = json.load(f)
self.id = info.get('id')
self.token = info.get('token')
# 获取市场股市列表
def instrumentinfo(self, _fields="", _filter="inst_type=1&status=1&market=SH,SZ"):
self.__lazy_login()
df, msg = self.__api.query(view="jz.instrumentInfo", fields=_fields,
filter=_filter,
data_format='pandas')
log.debug('request jz.instrumentInfo')
return df
# 停复牌resu_date 未设置
# def secsusp(self, _filter="", _fields=""):
# self.__lazy_login()
# df, msg = self.__api.query(
# view="lb.secSusp",
# fields=_fields,
# filter=_filter,
# data_format='pandas')
# log.debug('request lb.secSusp')
# return CecsuspDataFrame(df)
# 获取限售股解禁列表
# TODO
#def secrestricted(self, _start_date, _end_date, _fields=""):
# self.__lazy_login()
# filters = urlencode({'start_date': TradeCalendar.date2int(_start_date),
# 'end_date': TradeCalendar.date2int(_end_date)})
# df, msg = self.__api.query(
# view="lb.secRestricted",
# fields=_fields,
# filter=filters,
# data_format='pandas')
# log.debug('request lb.secRestricted')
# return df
# 日交易行情
def daily(self, symbol, start_date, end_date, freq='1d', fields= "", adjust_mode='post'):
self.__lazy_login()
df, msg = self.__api.daily(
symbol=symbol,
freq=freq,
start_date=start_date,
end_date=end_date,
fields=fields,
adjust_mode=adjust_mode)
log.debug('request daily %s' % msg)
return df
# 交易日历
def tradecal(self, _fields="trade_date, istradeday"):
self.__lazy_login()
df, msg = self.__api.query(
view="jz.secTradeCal",
fields=_fields)
log.debug('request jz.secTradeCal')
return df
# 订阅
def subscribe(self, _symbol, _func, _fields):
self.__lazy_login()
sublist, msg = self.__api.subscribe(_symbol, func=_func,
fields=_fields)
log.debug('request subscribe')
return sublist
# bar
def bar(self, _symbol, _trade_date, _freq="5M", _fields=""):
self.__lazy_login()
df, msg = self.__api.bar(symbol=_symbol,
trade_date=_trade_date,
freq=_freq,
fields=_fields)
log.debug('request bar')
return df