def import_atm_vol_from_csv_file(file_path, run_id):
fname, ext = os.path.splitext(file_path)
valuation_date = DateTimeUtils.str2date(fname.split('_')[1],
pattern='%Y%m%d')
df = pd.read_csv(file_path)
atm_quote_list = []
current_time = datetime.now()
for index, row in df.iterrows():
atm_quote = OtcAtmQuote()
atm_quote.uuid = uuid.uuid4()
atm_quote.varietyType = row['udly'].strip()
atm_quote.underlyer = row['code'].strip()
atm_quote.legalEntityName = row['ctpt'].strip()
atm_quote.expireDate = DateTimeUtils.str2date(row['exe_date'])
if row['type'] == 'am':
atm_quote.productType = OptionProductType.VANILLA_AMERICAN.name
if row['type'] == 'eu':
atm_quote.productType = OptionProductType.VANILLA_EUROPEAN.name
atm_quote.ptm = float(row['ptm'])
atm_quote.askVol = float(row['ask_vol_cal'])
atm_quote.bidVol = float(row['bid_vol_cal'])
atm_quote.volEdge = float(row['vol_edge_cal'])
atm_quote.source = 'EXCEL_%s' % run_id
atm_quote.valuationDate = valuation_date
atm_quote.updatedAt = current_time
atm_quote_list.append(atm_quote)
db_sessin = create_db_session()
db_sessin.add_all(atm_quote_list)
db_sessin.commit()
def update_all_future_contract_info(start_date,
end_date,
force_update=False,
active_only=True):
db_session = std.create_db_session()
variety_types = InstrumentRepo.get_commodity_variety_types(
db_session, active_only)
exist_dict = CommodityFutureContractRepo.get_exist_future_contract_info(
db_session, force_update, start_date, end_date, variety_types)
for variety_type in variety_types:
logging.info('正在处理的合约类型为：%s' % variety_type)
fc_list = CommodityFutureContractService.get_future_contract_order(
db_session, variety_type, exist_dict.get(variety_type),
start_date, end_date)
CommodityFutureContractRepo.insert_fc_info_list(
db_session, fc_list)
def recon_one_instrument(self, params):
instrument, start_date, end_date, holidays, dry_run, ignore_milestone = params
db_session = std.create_db_session()
try:
logging.info("开始Recon标的物: %s" % instrument.instrumentId)
# 获取标的物Milestone
milestone = self.get_milestone(db_session, instrument)
# 只处理标的物上市日期和退市日期之间的数据
if instrument.listedDate is not None and start_date < instrument.listedDate:
start_date = instrument.listedDate
if instrument.delistedDate is not None and end_date > instrument.delistedDate:
end_date = instrument.delistedDate
# 需要Recon的日期由API给出
quote_close_dates = self.request_quote_close_dates(instrument, start_date, end_date)
if not quote_close_dates:
unchecked_trading_dates = []
else:
unchecked_trading_dates = [DateTimeUtils.str2date(x) for x in quote_close_dates]
# 对缺数数据进行处理
existing_trading_dates = self.get_existing_trading_dates(db_session, instrument)
# 计算出缺失数据
missing_trading_dates = self.get_missing_trading_dates(instrument, unchecked_trading_dates,
existing_trading_dates)
if not dry_run:
self.upsert_missing_trading_dates(db_session, instrument, missing_trading_dates)
# TODO 需要对多余的数据进行处理
# 计算出多余数据
extra_trading_dates = []
logging.info("Recon找到多余数据：%s -> %d 个Break" % (instrument.instrumentId, len(extra_trading_dates)))
# 如果没有差值，则比较开始日期和Milestone，更新Milestone
has_missing_dates = len(missing_trading_dates) != 0
has_extra_dates = len(extra_trading_dates) != 0
if (not has_missing_dates) and (not has_extra_dates) and (not dry_run):
if start_date <= end_date:
self.upsert_milestone(db_session, instrument, start_date, end_date, milestone)
else:
logging.info("标的物开始日期大于结束日期，不更新Milestone：%s [%s %s]" % (
instrument.instrumentId, start_date.strftime('%Y%m%d'), end_date.strftime('%Y%m%d')))
return instrument, (not has_missing_dates) and (not has_extra_dates)
except Exception as e:
logging.error("Recon失败，标的物：%s, 异常：%s" % (instrument.instrumentId, e))
return instrument, False
finally:
db_session.close()
def backfill_one_instrument(self, params):
instrument, start_date, end_date, holidays, force_update = params
logging.info("开始Backfill标的物: %s, startDate: %s, endDate: %s" %
(instrument.instrumentId, start_date.strftime('%Y%m%d'),
end_date.strftime('%Y%m%d')))
db_session = std.create_db_session()
try:
quote_close_breaks = self.get_recon_breaks(
db_session, start_date, end_date, instrument,
ReconFromType.QUOTE_CLOSE_RECON)
ret = self.backfill_multiple_quote_close(db_session, instrument,
quote_close_breaks,
force_update)
return instrument, ret
except Exception as e:
return instrument, False
finally:
db_session.close()
def backfill_one_instrument(self, params):
instrument, start_date, end_date, holidays, force_update = params
logging.info("开始Backfill标的物: %s, startDate: %s, endDate: %s" %
(instrument.instrumentId, start_date.strftime('%Y%m%d'),
end_date.strftime('%Y%m%d')))
db_session = std.create_db_session()
try:
special_dates = TradingCalendarRepo.load_special_dates(
db_session, instrument)
tick_snapshot_breaks = self.get_recon_breaks(
db_session, start_date, end_date, instrument,
ReconFromType.TICK_SNAPSHOT_RECON)
ret = self.backfill_multiple_tick_snapshot(db_session, instrument,
tick_snapshot_breaks,
holidays, special_dates)
return instrument, ret
except Exception as e:
return instrument, False
finally:
db_session.close()