def setUp(self):
Base.metadata.create_all()
instrument = Instrument()
instrument.ticker = 'MyTicker'
instrument.asset_class = 'MyAssetClass'
instrument.name = 'MyName'
instrument.currency = 'USD'
instrument.type = 'MyType'
instrument.transactions_fees = 0.
instrument.point_value = 1
instrument.exchange = 'MyExchange'
instrument.rolling_month = 'H'
market_data = MarketData()
market_data.instrument = instrument
market_data.type = DataType.CLOSE
market_data.date = datetime(2000,1,3)
market_data.value = 100.
session = Session()
instrument_dao = InstrumentDAO()
instrument_dao.save(session, instrument)
market_data_dao = MarketDataDAO()
market_data_dao.save(session, market_data)
self.instrument_service = InstrumentService()
def restore_backup():
try:
with open(USERS_BACKUP_FILE, 'r') as json_file:
users = json.load(json_file)
user_objs = {}
for user_id in users:
user_dict = json.loads(users[user_id])
u = User(user_dict['first_name'], user_dict['last_name'],
user_dict['email'], user_dict['password'],
user_dict['instrument_ids'], user_dict['is_deleted'])
user_objs[user_id] = u
lock.acquire()
data_store.set_users(user_objs)
lock.release()
except FileNotFoundError:
print('no users file to load from backup')
try:
with open(INSTRUMENTS_BACKUP_FILE, 'r') as json_file:
instruments = json.load(json_file)
instruments_objs = {}
for inst_id in instruments:
inst_dict = json.loads(instruments[inst_id])
i = Instrument(inst_dict['name'], inst_dict['type'],
inst_dict['links'], inst_dict['images'])
instruments_objs[inst_id] = i
data_store.set_instruments(instruments_objs)
except FileNotFoundError:
print('no instruments file to load from backup')
def add_instrument():
instrument_content = request.json
try:
instruments = data_store.get_all_instruments()
validators.validate_instrument(instrument_content, instruments)
except ValueError as err:
response = app.response_class(response=json.dumps({"err": str(err)}),
status=400,
mimetype='application/json')
return response
instrument = Instrument(instrument_content['name'],
instrument_content['type'],
instrument_content['links'])
data_store.set_instrument(instrument)
response = app.response_class(response=json.dumps(
{"instrument": instrument.to_json()}),
status=200,
mimetype='application/json')
return response
def addModule(self, module):
"""
Add module to workspace and create a
new instrument which includes this module. Adds entry in
self._modulesDict dictionary.
@type module: model.module.Module
@param module: Module to be added.
"""
instr = Instrument()
self.instruments.append(instr)
module.instrument = instr
instr.modules.append(module)
self._modulesDict[module.id] = module
self.setChanged()
arg = ['add', module]
self.notifyObservers(arg)
def disconnect(self, connection):
"""
Delete connection. Test if we need to create a new instrument
for the disconnected modules.
@type connection: model.connection.Connection
@param connection: Connection which should be deleted.
"""
fromVar = connection.fromVar
toVar = connection.toVar
toVar.module.instrument.connections.remove(connection)
toVar.connection = None
# Start breadth first search from toVar.module
connectedModules = self._getConnectedModules(toVar.module)
# If fromVar.module is in queue we're done, else insert all
# modules from connectedModules queue into new instrument
if not fromVar.module in connectedModules:
oldInstr = toVar.module.instrument
newInstr = Instrument()
self.instruments.append(newInstr)
oldInstrModules = list(oldInstr.modules)
for m in oldInstrModules:
if m in connectedModules:
m.instrument = newInstr
newInstr.modules.append(m)
oldInstr.modules.remove(m)
for c in list(oldInstr.connections):
if c.fromVar.module in connectedModules:
newInstr.connections.append(c)
oldInstr.connections.remove(c)
self.setChanged()
arg = ['disconnect', connection]
self.notifyObservers(arg)
def add_mmf_fund(message_array):
global max_instrument_id
for messageInfo in message_array:
# print "good"
ticker = getattr(messageInfo, 'InstrumentID', '')
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if exchange_name == 'SSE':
exchange_id = 18
elif exchange_name == 'SZE':
exchange_id = 19
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in instrument_db_dict:
continue
mmf_fund_db = Instrument()
max_instrument_id += 1
mmf_fund_db.id = max_instrument_id
mmf_fund_db.ticker = ticker
mmf_fund_db.exchange_id = exchange_id
mmf_fund_db.name = ''
mmf_fund_db.fut_val_pt = getattr(messageInfo, 'VolumeMultiple', '')
mmf_fund_db.multiplier = mmf_fund_db.fut_val_pt
mmf_fund_db.max_market_order_vol = getattr(messageInfo,
'MaxMarketOrderVolume', '')
mmf_fund_db.min_market_order_vol = getattr(messageInfo,
'MinMarketOrderVolume', '')
mmf_fund_db.max_limit_order_vol = getattr(messageInfo,
'MaxLimitOrderVolume', '')
mmf_fund_db.min_limit_order_vol = getattr(messageInfo,
'MinLimitOrderVolume', '')
mmf_fund_db.ticker_exch = ticker
mmf_fund_db.ticker_exch_real = ticker
mmf_fund_db.market_status_id = 2
mmf_fund_db.type_id = 15
mmf_fund_db.market_sector_id = 4
mmf_fund_db.round_lot_size = 100
# price_tick = getattr(messageInfo, 'PriceTick', '')
mmf_fund_db.tick_size_table = '0:0.001'
mmf_fund_db.crncy = 'CNY'
mmf_fund_db.longmarginratio = 0
mmf_fund_db.shortmarginratio = 999
mmf_fund_db.longmarginratio_speculation = mmf_fund_db.longmarginratio
mmf_fund_db.shortmarginratio_speculation = mmf_fund_db.shortmarginratio
mmf_fund_db.longmarginratio_hedge = mmf_fund_db.longmarginratio
mmf_fund_db.shortmarginratio_hedge = mmf_fund_db.shortmarginratio
mmf_fund_db.longmarginratio_arbitrage = mmf_fund_db.longmarginratio
mmf_fund_db.shortmarginratio_arbitrage = mmf_fund_db.shortmarginratio
if exchange_name == 'SSE':
mmf_fund_db.is_settle_instantly = 1
mmf_fund_db.is_purchase_to_redemption_instantly = 0
mmf_fund_db.is_buy_to_redpur_instantly = 0
mmf_fund_db.is_redpur_to_sell_instantly = 0
elif exchange_name == 'SZE':
mmf_fund_db.is_settle_instantly = 1
mmf_fund_db.is_purchase_to_redemption_instantly = 1
mmf_fund_db.is_buy_to_redpur_instantly = 1
mmf_fund_db.is_redpur_to_sell_instantly = 1
instrument_insert_list.append(mmf_fund_db)
# print instrument_insert_list
print 'prepare insert etf:', ticker
def add_stock(message_array):
# print 'hello'
# print message_array
global max_instrument_id
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
# print ticker
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if exchange_name == 'SSE':
exchange_id = 18
elif exchange_name == 'SZE':
exchange_id = 19
elif exchange_name == 'HGE':
exchange_id = 13
dict_key = '%s|%s' % (ticker, exchange_id)
# # print instrument_db_dict
if dict_key in instrument_db_dict:
continue
# instrument_name = getattr(messageInfo, 'InstrumentName', '')
# print "bye"
stock_db = Instrument()
max_instrument_id += 1
stock_db.id = max_instrument_id
stock_db.ticker = ticker
stock_db.exchange_id = exchange_id
stock_db.name = ''
stock_db.ticker_exch = ticker
stock_db.ticker_exch_real = ticker
stock_db.market_status_id = 2
stock_db.market_sector_id = 4
stock_db.type_id = 4
stock_db.crncy = 'CNY'
stock_db.round_lot_size = 100
stock_db.tick_size_table = '0:0.01'
stock_db.fut_val_pt = 1
stock_db.max_market_order_vol = 0
stock_db.min_market_order_vol = 0
stock_db.max_limit_order_vol = 1000000
stock_db.min_limit_order_vol = 100
stock_db.longmarginratio = 0
stock_db.shortmarginratio = 999
stock_db.longmarginratio_speculation = stock_db.longmarginratio
stock_db.shortmarginratio_speculation = stock_db.shortmarginratio
stock_db.longmarginratio_hedge = stock_db.longmarginratio
stock_db.shortmarginratio_hedge = stock_db.shortmarginratio
stock_db.longmarginratio_arbitrage = stock_db.longmarginratio
stock_db.shortmarginratio_arbitrage = stock_db.shortmarginratio
stock_db.multiplier = 1
stock_db.strike = 0
stock_db.is_settle_instantly = 0
stock_db.is_purchase_to_redemption_instantly = 0
stock_db.is_buy_to_redpur_instantly = 1
stock_db.is_redpur_to_sell_instantly = 1
# print 'hi'
instrument_insert_list.append(stock_db)
print 'prepare insert stock:', ticker
def add_option(message_array):
global max_instrument_id
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if exchange_name == 'SSE':
exchange_id = 18
elif exchange_name == 'SZE':
exchange_id = 19
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in instrument_db_dict:
continue
option_db = Instrument()
max_instrument_id += 1
option_db.id = max_instrument_id
option_db.ticker = ticker
option_db.exchange_id = exchange_id
option_db.fut_val_pt = getattr(messageInfo, 'VolumeMultiple', '')
option_db.max_market_order_vol = getattr(messageInfo,
'MaxMarketOrderVolume', '')
option_db.min_market_order_vol = getattr(messageInfo,
'MinMarketOrderVolume', '')
option_db.max_limit_order_vol = getattr(messageInfo,
'MaxLimitOrderVolume', '')
option_db.min_limit_order_vol = getattr(messageInfo,
'MinLimitOrderVolume', '')
option_db.strike = getattr(messageInfo, 'ExecPrice', '')
exchange_inst_id = getattr(messageInfo, 'ExchangeInstID', '')
undl_tickers = exchange_inst_id[0:6]
option_db.undl_tickers = undl_tickers
option_db.track_undl_tickers = undl_tickers
if 'M' in exchange_inst_id:
option_db.contract_adjustment = 0
elif 'A' in exchange_inst_id:
option_db.contract_adjustment = 1
elif 'B' in exchange_inst_id:
option_db.contract_adjustment = 2
elif 'C' in exchange_inst_id:
option_db.contract_adjustment = 3
option_db.create_date = getattr(messageInfo, 'CreateDate', '')
option_db.expire_date = getattr(messageInfo, 'ExpireDate', '')
instrument_name = getattr(messageInfo, 'InstrumentName', '').strip()
instrument_name = instrument_name.replace('购', 'Call').replace('沽', 'Put').replace('月', 'month') \
.replace('中国平安', undl_tickers).replace('上汽集团', undl_tickers)
if 'Call' in instrument_name:
put_call = 1
else:
put_call = 0
option_db.name = instrument_name
option_db.put_call = put_call
price_tick = getattr(messageInfo, 'PriceTick', '')
option_db.tick_size_table = '0:%s' % (float(price_tick), )
option_db.ticker_exch = ticker
option_db.ticker_exch_real = ticker
option_db.market_status_id = 2
option_db.type_id = 10 # option
option_db.market_sector_id = 4
option_db.round_lot_size = 1
option_db.longmarginratio = 0
option_db.shortmarginratio = 0.15
option_db.longmarginratio_speculation = option_db.longmarginratio
option_db.shortmarginratio_speculation = option_db.shortmarginratio
option_db.longmarginratio_hedge = option_db.longmarginratio
option_db.shortmarginratio_hedge = option_db.shortmarginratio
option_db.longmarginratio_arbitrage = option_db.longmarginratio
option_db.shortmarginratio_arbitrage = option_db.shortmarginratio
option_db.multiplier = 10000
option_db.crncy = 'CNY'
option_db.effective_since = filter_date_str
option_db.is_settle_instantly = 1
option_db.is_purchase_to_redemption_instantly = 0
option_db.is_buy_to_redpur_instantly = 0
option_db.is_redpur_to_sell_instantly = 0
option_db.option_margin_factor1 = 0.15
option_db.option_margin_factor2 = 0.07
instrument_insert_list.append(option_db)
# print instrument_insert_list
print 'prepare insert option:', ticker
def add_structured_fund(message_array):
global max_instrument_id
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
if ticker not in structured_fund_dict:
continue
# print ticker
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if exchange_name == 'SSE':
exchange_id = 18
elif exchange_name == 'SZE':
exchange_id = 19
else:
print '-------------------', exchange_id
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in instrument_db_dict:
continue
structured_fund_db = Instrument()
max_instrument_id += 1
structured_fund_db.id = max_instrument_id
structured_fund_db.ticker = ticker
structured_fund_db.exchange_id = exchange_id
structured_fund_db.name = ''
undl_ticker_str = ''
if ticker in undl_ticker_dict:
undl_ticker_list = undl_ticker_dict[ticker]
undl_ticker_str = ';'.join(undl_ticker_list)
structured_fund_db.undl_tickers = undl_ticker_str
if exchange_id == 18:
structured_fund_db.is_settle_instantly = 0
structured_fund_db.is_purchase_to_redemption_instantly = 0
structured_fund_db.is_buy_to_redpur_instantly = 1
structured_fund_db.is_redpur_to_sell_instantly = 1
elif exchange_id == 19:
structured_fund_db.is_settle_instantly = 0
structured_fund_db.is_purchase_to_redemption_instantly = 0
structured_fund_db.is_buy_to_redpur_instantly = 0
structured_fund_db.is_redpur_to_sell_instantly = 0
structured_fund_db.ticker_exch = ticker
structured_fund_db.ticker_exch_real = ticker
structured_fund_db.market_sector_id = 4
structured_fund_db.type_id = 16
structured_fund_db.crncy = 'CNY'
structured_fund_db.round_lot_size = 100
structured_fund_db.tick_size_table = '0:0.001'
structured_fund_db.market_status_id = 2
structured_fund_db.fut_val_pt = 1
structured_fund_db.max_limit_order_vol = 1000000
structured_fund_db.min_limit_order_vol = 100
structured_fund_db.max_market_order_vol = 0
structured_fund_db.min_market_order_vol = 0
structured_fund_db.longmarginratio = 0
structured_fund_db.shortmarginratio = 999
structured_fund_db.longmarginratio_speculation = structured_fund_db.longmarginratio
structured_fund_db.shortmarginratio_speculation = structured_fund_db.shortmarginratio
structured_fund_db.longmarginratio_hedge = structured_fund_db.longmarginratio
structured_fund_db.shortmarginratio_hedge = structured_fund_db.shortmarginratio
structured_fund_db.longmarginratio_arbitrage = structured_fund_db.longmarginratio
structured_fund_db.shortmarginratio_arbitrage = structured_fund_db.shortmarginratio
structured_fund_db.multiplier = 1
instrument_insert_list.append(structured_fund_db)
# print instrument_insert_list
print 'prepare insert structured fund:', ticker
def __init__(self, f):
self.d = self.meta_data_get(f)
self._instruments = [Instrument(i) for i in self.d]
def pre_add_future(message_array):
global max_instrument_id
for message_info in message_array:
ticker = getattr(message_info, 'InstrumentID', '')
exchange_name = getattr(message_info, 'ExchangeID', '')
if 'CFFEX' == exchange_name:
exchange_id = 25
elif 'SHFE' == exchange_name:
exchange_id = 20
elif 'DCE' == exchange_name:
exchange_id = 21
elif 'CZCE' == exchange_name:
exchange_id = 22
else:
continue
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in future_db_dict:
continue
future_db = Instrument()
max_instrument_id += 1
future_db.id = max_instrument_id
future_db.ticker = ticker
future_db.exchange_id = exchange_id
future_db.fut_val_pt = getattr(message_info, 'VolumeMultiple', '')
future_db.max_market_order_vol = getattr(message_info,
'MaxMarketOrderVolume', '')
future_db.min_market_order_vol = getattr(message_info,
'MinMarketOrderVolume', '')
future_db.max_limit_order_vol = getattr(message_info,
'MaxLimitOrderVolume', '')
future_db.min_limit_order_vol = getattr(message_info,
'MinLimitOrderVolume', '')
future_db.longmarginratio = getattr(message_info, 'LongMarginRatio',
'')
future_db.shortmarginratio = getattr(message_info, 'ShortMarginRatio',
'')
future_db.longmarginratio_speculation = future_db.longmarginratio
future_db.shortmarginratio_speculation = future_db.shortmarginratio
future_db.longmarginratio_hedge = future_db.longmarginratio
future_db.shortmarginratio_hedge = future_db.shortmarginratio
future_db.longmarginratio_arbitrage = future_db.longmarginratio
future_db.shortmarginratio_arbitrage = future_db.shortmarginratio
future_db.create_date = getattr(message_info, 'CreateDate', '')
future_db.expire_date = getattr(message_info, 'ExpireDate', '')
future_db.ticker_exch = ticker
future_db.ticker_exch_real = ticker
future_db.type_id = 1 # future
future_db.market_status_id = 2
future_db.multiplier = 1
future_db.crncy = 'CNY'
future_db.effective_since = getattr(message_info, 'OpenDate', '')
product_id = getattr(message_info, 'ProductID', '')
name_message = getattr(message_info, 'InstrumentName', '')
price_tick = getattr(message_info, 'PriceTick', '')
if (product_id == 'TF') or (product_id == 'T'):
future_db.market_sector_id = 5
future_db.round_lot_size = 1
future_db.tick_size_table = '0:%f' % (float(price_tick), )
future_db.undl_tickers = product_id
future_db.name = ticker
elif (product_id == 'IC') or (product_id == 'IF') or (product_id
== 'IH'):
future_db.market_sector_id = 6
future_db.round_lot_size = 1
future_db.tick_size_table = '0:%f' % (float(price_tick), )
future_db.longmarginratio_hedge = 0.2
future_db.shortmarginratio_hedge = 0.2
undl_ticker = ''
if product_id == 'IF':
undl_ticker = 'SHSZ300'
elif product_id == 'IC':
undl_ticker = 'SH000905'
elif product_id == 'IH':
undl_ticker = 'SSE50'
future_db.undl_tickers = undl_ticker
future_db.name = name_message.replace('中证', 'cs').replace('上证', 'SSE').replace('股指', 'IDX') \
.replace('期货', 'Future').replace('国债', 'TF').replace('指数', 'Index').strip()
else:
future_db.market_sector_id = 1
future_db.round_lot_size = 1
future_db.tick_size_table = '0:%f' % (float(price_tick), )
if product_id == 'cu':
expire_date = getattr(message_info, 'ExpireDate', '')
if now.strftime('%Y-%m') == expire_date[:7]:
future_db.round_lot_size = 5
future_db.undl_tickers = product_id
future_db.name = ticker
future_db.is_settle_instantly = 1
future_db.is_purchase_to_redemption_instantly = 0
future_db.is_buy_to_redpur_instantly = 0
future_db.is_redpur_to_sell_instantly = 0
ticker_type = filter(lambda x: not x.isdigit(), ticker)
future_db.session = __get_trading_info_list(ticker_type)[-1]
future_insert_list.append(future_db)
# platform_logger.info('prepare insert future:', ticker)
print('prepare insert future: %s') % ticker
def pre_add_option(message_array):
global max_instrument_id
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if 'CFFEX' == exchange_name:
exchange_id = 25
elif 'SHFE' == exchange_name:
exchange_id = 20
elif 'DCE' == exchange_name:
exchange_id = 21
elif 'CZCE' == exchange_name:
exchange_id = 22
else:
continue
if ticker in option_db_dict:
continue
option_db = Instrument()
max_instrument_id += 1
option_db.id = max_instrument_id
option_db.ticker = ticker
option_db.exchange_id = exchange_id
option_db.fut_val_pt = getattr(messageInfo, 'VolumeMultiple', '')
option_db.max_market_order_vol = getattr(messageInfo,
'MaxMarketOrderVolume', '')
option_db.min_market_order_vol = getattr(messageInfo,
'MinMarketOrderVolume', '')
option_db.max_limit_order_vol = getattr(messageInfo,
'MaxLimitOrderVolume', '')
option_db.min_limit_order_vol = getattr(messageInfo,
'MinLimitOrderVolume', '')
undl_tickers = getattr(messageInfo, 'UnderlyingInstrID', '')
option_db.undl_tickers = undl_tickers
option_db.create_date = getattr(messageInfo, 'CreateDate', '')
option_db.expire_date = getattr(messageInfo, 'ExpireDate', '')
instrument_name = getattr(messageInfo, 'InstrumentName', '').strip()
instrument_name = instrument_name.replace('买权', 'Call').replace(
'卖权', 'Put').replace('白糖', 'SR')
option_db.name = ticker
put_call = __get_put_call(instrument_name)
option_db.put_call = put_call
if put_call == 0:
option_db.strike = ticker.replace('-', '').split('P')[-1]
else:
option_db.strike = ticker.replace('-', '').split('C')[-1]
price_tick = getattr(messageInfo, 'PriceTick', '')
option_db.tick_size_table = '0:%s' % (float(price_tick), )
option_db.ticker_exch = ticker
option_db.ticker_exch_real = ticker
option_db.market_status_id = 2
option_db.type_id = 10 # option
option_db.market_sector_id = 1
option_db.round_lot_size = 1
option_db.longmarginratio = 0
option_db.shortmarginratio = 0.15
option_db.longmarginratio_speculation = option_db.longmarginratio
option_db.shortmarginratio_speculation = option_db.shortmarginratio
option_db.longmarginratio_hedge = option_db.longmarginratio
option_db.shortmarginratio_hedge = option_db.shortmarginratio
option_db.longmarginratio_arbitrage = option_db.longmarginratio
option_db.shortmarginratio_arbitrage = option_db.shortmarginratio
option_db.multiplier = 10
option_db.crncy = 'CNY'
option_db.effective_since = filter_date_str
option_db.is_settle_instantly = 1
option_db.is_purchase_to_redemption_instantly = 0
option_db.is_buy_to_redpur_instantly = 0
option_db.is_redpur_to_sell_instantly = 0
option_db.option_margin_factor1 = 0.5
option_db.option_margin_factor2 = 0.5
ticker_type = filter(lambda x: not x.isdigit(), undl_tickers)
option_db.session = __get_trading_info_list(ticker_type)[-1]
option_db.track_undl_tickers = __get_track_undl_tickers(ticker_type)
option_insert_list.append(option_db)
print 'prepare insert option:', ticker
if __name__ == "__main__":
logger.info('Starting instrument creation ...')
session = Session()
Base.metadata.create_all()
instrument_dao = InstrumentDAO()
try:
ad = instrument_dao.get_by_ticker(session, 'AD')
if not ad:
ad = Instrument()
ad.ticker = 'AD'
ad.name = 'Australian Dollar'
ad.asset_class = 'Currencies'
ad.transactions_fees = .00005
instrument_dao.save(session, ad)
bo = instrument_dao.get_by_ticker(session, 'BO')
if not bo:
bo = Instrument()
bo.ticker = 'BO'
bo.name = 'Soybean Oil'
bo.asset_class = 'Grains'
bo.transactions_fees = .015
instrument_dao.save(session, bo)
def add_future(message_array):
global max_instrument_id
for message_info in message_array:
ticker = getattr(message_info, 'InstrumentID', '')
exchange_name = getattr(message_info, 'ExchangeID', '')
if exchange_name == 'CFFEX':
exchange_id = 25
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in shf_db_dict:
continue
future_db = Instrument()
max_instrument_id += 1
future_db.id = max_instrument_id
future_db.ticker = ticker
future_db.exchange_id = exchange_id
instrument_name = getattr(message_info, 'InstrumentName', '')
future_db.name = instrument_name.replace('中证', 'cs').replace('上证', 'SSE') \
.replace('股指', 'IDX').replace('期货', 'Future').replace('国债', 'TF').strip()
future_db.fut_val_pt = getattr(message_info, 'VolumeMultiple', '')
future_db.max_market_order_vol = getattr(message_info,
'MaxMarketOrderVolume', '')
future_db.min_market_order_vol = getattr(message_info,
'MinMarketOrderVolume', '')
future_db.max_limit_order_vol = getattr(message_info,
'MaxLimitOrderVolume', '')
future_db.min_limit_order_vol = getattr(message_info,
'MinLimitOrderVolume', '')
product_id = getattr(message_info, 'ProductID', '')
undl_ticker = ''
if product_id == 'IF':
undl_ticker = 'SHSZ300'
elif product_id == 'IC':
undl_ticker = 'SH000905'
elif product_id == 'IH':
undl_ticker = 'SSE50'
elif product_id == 'TF':
undl_ticker = 'TF'
elif product_id == 'T':
undl_ticker = 'T'
future_db.undl_tickers = undl_ticker
future_db.create_date = getattr(message_info, 'CreateDate', '')
future_db.expire_date = getattr(message_info, 'ExpireDate', '')
price_tick = getattr(message_info, 'PriceTick', '')
future_db.tick_size_table = '0:%s' % (float(price_tick), )
future_db.market_status = 2
future_db.type_Id = 1 # future
future_db.round_lot_size = 1
future_db.multiplier = 1
if (product_id == 'T') or (product_id == 'TF'):
future_db.longmarginratio = 0.015
future_db.shortmarginratio = 0.015
future_db.market_sector_id = 5
else:
future_db.longmarginratio = 0.1
future_db.shortmarginratio = 0.1
future_db.market_sector_id = 6
instrument_insert_list.append(future_db)
print 'prepare insert future:', ticker
def add_option(message_array):
global max_instrument_id
for message_info in message_array:
ticker = getattr(message_info, 'InstrumentID', '')
exchange_name = getattr(message_info, 'ExchangeID', '')
if exchange_name == 'CFFEX':
exchange_id = 25
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in shf_db_dict:
continue
option_db = Instrument()
max_instrument_id += 1
option_db.id = max_instrument_id
option_db.ticker = ticker
option_db.exchange_id = exchange_id
option_db.fut_val_pt = getattr(message_info, 'VolumeMultiple', '')
option_db.max_market_order_vol = getattr(message_info,
'MaxMarketOrderVolume', '')
option_db.min_market_order_vol = getattr(message_info,
'MinMarketOrderVolume', '')
option_db.max_limit_order_vol = getattr(message_info,
'MaxLimitOrderVolume', '')
option_db.min_limit_order_vol = getattr(message_info,
'MinLimitOrderVolume', '')
option_db.strike = getattr(message_info, 'StrikePrice', '')
option_db.create_date = getattr(message_info, 'CreateDate', '')
option_db.expire_date = getattr(message_info, 'ExpireDate', '')
underlying_instr_id = getattr(message_info, 'UnderlyingInstrID', '')
undl_ticker = underlying_instr_id.replace('HO',
'IH').replace('IO', 'IF')
undl_ticker = rebuild_undl_ticker(undl_ticker)
option_db.undl_tickers = undl_ticker
instrument_name = getattr(message_info, 'InstrumentName', '')
instrument_name = instrument_name.replace(u'期权', 'OPTION').replace(
u'股指', 'IDX').strip()
option_db.name = instrument_name
if '-C-' in ticker:
put_call = 1
else:
put_call = 0
option_db.put_call = put_call
option_db.market_status_id = 2
option_db.type_id = 10 # option
option_db.market_sector_id = 6
option_db.round_lot_size = 1
option_db.tick_size_table = '0:0.2'
option_db.longmarginratio = 1
option_db.shortmarginratio = 0.15
option_db.multiplier = 1
instrument_insert_list.append(option_db)
print 'prepare insert option:', ticker
