def opt_tick_req_single_code(self,index,option_code,queryTime):
self.client.opt_req_next_code = False
order_id = index*100000 + 1
while not self.client.opt_req_next_code and not self.client.process_done:
time_recorder = 0
self.client.reqHistoricalTicks(order_id, ContractSamples.OptionWithLocalSymbol(option_code),
queryTime.strftime("%Y%m%d %H:%M:%S"), "", 1000, "TRADES", 1, True, [])
time.sleep(10)
while not self.client.process_done:
if self.client.opt_req_next_code:
print('next code...............')
break
elif self.client.opt_req_continue:
queryTime = self.client.lasttime
order_id += 1
self.client.opt_req_continue = False
print('continue...............')
break
else:
time.sleep(2)
time_recorder += 1
if time_recorder > 90: #3分钟内没有返回内容，则重新提交请求
fw = open('data.txt', 'a')
fw.write(option_code+' '+str(order_id)+' '+str(queryTime)+'\n')
fw.close()
self.client.opt_req_next_code = True
self.client.tick_num = 1
break
print(datetime.datetime.now(), 'sleeping.................')
print(datetime.datetime.now())
def historicalDataRequests_req_opt_Seconds(self):
for index in self.stock_code_map.keys():
queryTime = datetime.datetime(2018, 1, 16, 16, 00)
endday = queryTime - timedelta(days=180)
while queryTime > endday:
if self.client.process_done:
break
else:
stock_code = self.stock_code_map[index]
print('Start to get', stock_code, str(index), str(queryTime))
self.client.reqHistoricalData(index, ContractSamples.OptionWithLocalSymbol(stock_code),
queryTime.strftime("%Y%m%d %H:%M:%S"),
"1800 S", "1 secs", "TRADES", 1, 1, False, [])
time.sleep(11)
print('Finish query', stock_code + str(queryTime))
if queryTime.hour == 10 and queryTime.minute == 0:
if queryTime.isoweekday() == 1:
queryTime -= timedelta(days=2,hours=18)
else:
queryTime -= timedelta(hours=18)
else:
queryTime -= timedelta(seconds=1800)
print('request done')
def opt_tick_req_single_code(self,index,option_code,query_Time):
queryTime = query_Time
while not self.client.opt_req_next_code and not self.client.process_done:
self.client.reqHistoricalTicks(index, ContractSamples.OptionWithLocalSymbol(option_code),
queryTime.strftime("%Y%m%d %H:%M:%S"), "", 1000, "TRADES", 1, True, [])
time.sleep(15)
while not self.client.process_done:
if self.client.opt_req_next_time:
if queryTime.isoweekday() == 1:
queryTime -= timedelta(days=3)
else:
queryTime -= timedelta(days=1)
queryTime = datetime.datetime.combine(queryTime.date(),query_Time.time())
print(queryTime)
self.client.opt_req_next_time = False
print('next time...............')
break
elif self.client.opt_req_continue:
queryTime = self.client.lasttime
self.client.opt_req_continue = False
print('continue...............')
break
else:
time.sleep(0.5)
print('sleeping.................')
def mktData_req_opt(self):
for index in self.stock_code_map.keys():
stock_code = self.stock_code_map[index]
print('Start to get', stock_code, str(index))
self.client.reqMktData(index, ContractSamples.OptionWithLocalSymbol(stock_code), "100,101,104,106,233,236,258", False, False, [])
print('Finish query', stock_code)
print('request done')
def historicalDataRequests_req_HeadTimestamp(self):
# Requesting historical data
# ! [reqHeadTimeStamp]
for index in self.stock_code_map.keys():
if self.client.process_done:
break
else:
stock_code = self.stock_code_map[index]
print('Start to get', stock_code, str(index))
self.client.reqHeadTimeStamp(index, ContractSamples.OptionWithLocalSymbol(stock_code), "TRADES", 0, 1)
time.sleep(10)
print('Finish query', stock_code)
def optionsOperations_req(self):
# ! [reqsecdefoptparams]
# self.client.reqSecDefOptParams(1, "IBM", "", "STK", 8314)
# self.client.reqContractDetails(210, ContractSamples.OptionForQuery())
# self.client.reqMktData(1002, ContractSamples.USStockAtSmart('AAPL'), "", False, False, []) #OptionForQuery()
# self.client.reqHistoricalData(1, ContractSamples.OptionForQuery(),
# "20180224 16:00:00", "900 S", "1 secs", "TRADES", 1, 1, False, [])
# self.client.reqHistoricalTicks(0, ContractSamples.OptionWithLocalSymbol("AAPL 180420C00180000"),
# "20171124 09:30:00", "", 1000, "TRADES", 1, True, [])
# self.opt_tick_req_single_code(0, "AAPL 180420C00180000", datetime.datetime(2017,11,22,9,30))
self.client.reqHeadTimeStamp(1, ContractSamples.OptionWithLocalSymbol("AAPL 190118C00135000"), "TRADES", 0, 1)
# self.client.reqMktData(1000, ContractSamples.OptionWithLocalSymbol("AAPL 180420C00180000"), "100,101,104,106,233,236,258", False, False, [])
# ! [reqsecdefoptparams]
print('request done!!')
def paper_trade(self):
my_client = MongoClient('10.12.0.30', 27017)
my_db = my_client['research']
my_col = my_db['optionsonar']
data = my_col.find({}, {'_id': 0})
data_pd = pd.DataFrame(list(data))
start_num = len(data_pd)
order_done = False
while not self.client.process_done and not order_done:
if self.client.nextValidOrderId is not None:
self.client.placeOrder(self.client.nextOrderId(), ContractSamples.OptionWithLocalSymbol('AAPL 180420C00180000'),
OrderSamples.LimitOrder("BUY", 3, 0.1))
order_done = True
else:
time.sleep(1)
print('wait for placing order')
print('place order done')
def option_minutes_req(self):
client = MongoClient('127.0.0.1', 27017)
my_db = client.option_data_us_mins
index_continue = 2647
time_continue = 0
if index_continue == -1:
for index in self.stock_code_map.keys():
if self.client.process_done:
break
else:
stock_code = self.stock_code_map[index]
my_db[stock_code].create_index([('date', ASCENDING),
('option_code', ASCENDING)
])
self.client.reqContractDetails(
index, ContractSamples.OptionForQuery(stock_code))
time.sleep(30)
print('Asked for ', str(stock_code))
while not self.client.req_opt_contract_end and not self.client.process_done:
print('waiting for req_opt_contract_end Done')
time.sleep(1)
print(self.client.option_code_map)
else:
temp = pd.read_csv('option_code_map.csv')
self.client.option_code_map = temp['option_code'].values.tolist()
if index_continue < 0:
index_continue = 0
option_code_map = self.client.option_code_map
queryTime = datetime.datetime(2017, 11, 24, 23, 59, 59)
queryTime += timedelta(days=7 * time_continue)
while queryTime < datetime.datetime(
2018, 3, 19, 23, 59, 59) and not self.client.process_done:
for index in range(index_continue, len(option_code_map)):
if self.client.process_done:
break
order_id = index * 100000 + time_continue
option_code = option_code_map[index]
time_recorder = 0
self.client.queryTime = queryTime.strftime("%Y%m%d %H:%M:%S")
self.client.reqHistoricalData(
order_id,
ContractSamples.OptionWithLocalSymbol(option_code),
queryTime.strftime("%Y%m%d %H:%M:%S"), "5 D", "1 min",
"TRADES", 1, 1, False, [])
time.sleep(random.randint(8, 15))
while not self.client.process_done:
if self.client.opt_req_next_code:
self.client.opt_req_next_code = False
print('next code...............')
break
else:
time.sleep(1)
time_recorder += 1
if time_recorder > 120: # 2分钟内没有返回内容，则跳过
fw = open('data.txt', 'a')
fw.write(option_code + ', ' + str(order_id) +
', ' + str(queryTime) + '\n')
fw.close()
self.client.opt_req_next_code = True
# break
print(datetime.datetime.now(), " ", order_id,
' sleeping.................')
index_continue = 0
time_continue += 1
queryTime += timedelta(days=7)