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