def getDailyFuturesDetails(self, BegDate, EndDate, symbol):
detailsDF = pd.DataFrame(
self.tsbytestostr(
ts.RemoteExecute(
'''N:=TradeDays(StrToDate('%s'),StrToDate('%s'));
return nday(N, 'DATE', datetimetostr(sp_time()),
'CLOSE', close(),
'HIGH', high(),
'LOW', low(),
'OPEN',open(),
'AMOUNT',amount(),
"SETTLEMENT",Settlement(),
"OPENINT",OpenInterest(),
"VOL",vol(),
'CONTRACT',base(703001),
'COMMODITY',base(703003),
'MARGIN',FuturesTradingMarginRate(sp_time(),0));''' %
(BegDate, EndDate), {
'StockID': symbol,
"CurrentDate": ts.LocalCallFunc(
"StrToDate", [EndDate])[1]
}))[1])
try:
detailsDF['COMMODITY'] = [
x.upper() for x in detailsDF['COMMODITY']
]
except Exception as e:
print('-------------------')
print(e)
print('%s合约没有数据！！！' % symbol)
print('-------------------')
return detailsDF
def getTickDetails(self, BegDate, EndDate, contract_code, symbol):
# tick_details = pd.DataFrame(self.tsbytestostr(ts.RemoteExecute( '''a:=select ["StockID"],["StockName"],["date"],["price"],["vol"],["amount"],["cjbs"],["yclose"],["syl1"],["syl2"],["buy1"],["sale1"],["bc1"],["sc1"] from tradetable datekey %s+21/24 to %s+16/24 of '%s' end;b:=update a set ['date']=datetimetostr(['date']) end;return a;''' % (
# ts.LocalCallFunc("StrToDate", [BegDate])[1], ts.LocalCallFunc("StrToDate", [EndDate])[1], contract_code),{}))[1])
# tick_details.to_csv('%s%s_%s.csv'%(path,symbol,EndDate),index=False)
# return tick_details
# tick_details = pd.DataFrame(self.tsbytestostr(ts.RemoteExecute(
# '''a:=select ["StockID"],["StockName"],["date"],["price"],["vol"],["amount"],["cjbs"],["yclose"],["syl1"],["syl2"],["buy1"],["sale1"],["bc1"],["sc1"] from tradetable datekey %s+21/24 to %s+16/24 of '%s' end;b:=update a set ['date']=datetimetostr(['date']) end;return a;''' % (
# ts.LocalCallFunc("StrToDate", [BegDate])[1], ts.LocalCallFunc("StrToDate", [EndDate])[1], contract_code),
# {}))[1])
if self.mc is None:
# self.mc = mongodb_client()
self.mc.dbConnect()
# dateList=self.getTradeDays(
# (datetime.datetime.strptime(BegDate, '%Y-%m-%d') - datetime.timedelta(3)).strftime('%Y-%m-%d'), EndDate)
# BegDateAdj=dateList[max(0,dateList.index(BegDate)-1)]
tick_dict = self.tsbytestostr(
ts.RemoteExecute(
'''a:=select ["StockID"],["StockName"],["date"],["price"],["vol"],["amount"],["cjbs"],["yclose"],["syl1"],["syl2"],["buy1"],["sale1"],["bc1"],["sc1"] from tradetable datekey %s to %s+0.9999999 of '%s' end;b:=update a set ['date']=datetimetostr(['date']) end;return a;'''
% (ts.LocalCallFunc("StrToDate", [BegDate])[1],
ts.LocalCallFunc("StrToDate", [EndDate])[1], contract_code),
{}))[1]
# datetime.datetime.strptime(tick_dict['date'][0], '%Y-%m-%d %H:%M:%S').replace(microsecond=500000)
last_tick_datetime = None
count = 0
for d in tick_dict:
tick = CtaTickData()
tick.vtSymbol = d['StockName']
tick.symbol = d['StockID'] # 合约代码 CF1705 StockID
# tick.exchange = EMPTY_STRING # 交易所代码
# 成交数据
tick.lastPrice = d['price'] # 最新成交价
tick.volume = d['vol'] #最新成交量
tick.amount = d['amount'] # 成交金额
tick.cjbs = d['cjbs'] # 周期内成交笔数
tick.yclose = d['yclose'] # 上一收盘价
tick.preSettlement = d['syl2'] # 上一日结算价
# tick的时间
# 转换为datetime格式
try:
if len(d['date']) > 10:
tick.datetime = datetime.datetime.strptime(
d['date'], '%Y-%m-%d %H:%M:%S') # python的datetime时间对象
else:
tick.datetime = datetime.datetime.strptime(
d['date'], '%Y-%m-%d')
tick.date = tick.datetime.strftime('%Y-%m-%d') # 日期
tick.time = tick.datetime.strftime('%H:%M:%S') # 时间
# tick.tradingDay = d['price'] # 交易日期
except Exception as ex:
# 抛弃本tick
print('日期转换错误:%s,error:%s' % (d['date'], ex))
continue
# 1档行情
tick.bidPrice1 = d['buy1']
tick.askPrice1 = d['sale1']
tick.bidVolume1 = d['bc1']
tick.askVolume1 = d['sc1']
# 修正毫秒
if tick.datetime.replace(microsecond=0) == last_tick_datetime:
# 与上一个tick的时间（去除毫秒后）相同,修改为500毫秒
tick.datetime = tick.datetime.replace(microsecond=500000)
tick.time = tick.datetime.strftime('%H:%M:%S.%f')
else:
tick.datetime = tick.datetime.replace(microsecond=0)
tick.time = tick.datetime.strftime('%H:%M:%S.%f')
# 记录最新tick的时间
last_tick_datetime = tick.datetime
if symbol == 'TC':
symbol = 'ZC'
if symbol == 'RO':
symbol = 'OI'
if symbol == 'ER':
symbol = 'RI'
if symbol == 'WS':
symbol = 'WH'
if symbol == 'ME':
symbol = 'MA'
self.mc.dbInsert('FUTURE_TICK_DB',
'TS_%s_TickDatas' % symbol,
d=tick.__dict__)
count = count + 1
print('写入合约%s完成，共%d条' % (contract_code, count))
return
