def deep_print(obj):
sep = '=' * 20 + '\n'
print(sep)
print(obj)
print(sep)
for item in dir(obj):
if not item.startswith('__'):
print(item, sep='\t')
if isinstance(obj, Iterable):
for item in obj:
if isinstance(item, list):
for _item in item:
print(_item)
elif isinstance(item, dict):
for k, v in item.items():
print(k, ' : ', v)
else:
print(item)
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
data = quote_ctx.get_market_snapshot('HK.01024')
deep_print(data)
status = quote_ctx.get_global_state()
deep_print(status)
quote_ctx.close()
print('program end')
class FutuAPI:
# DATA_PATH = "/Users/joseph/Dropbox/code/stat-arb/data"
DATA_PATH = "/home/atabet/projects/data"
HK_EQUITY_AM_START = timer(9, 30, 0)
HK_EQUITY_AM_END = timer(12, 0, 0)
HK_EQUITY_PM_START = timer(13, 0, 0)
HK_EQUITY_PM_END = timer(16, 0, 0)
def __init__(self):
self.subscribe_data = dict()
self.broker_queue = dict()
def __enter__(self):
self.quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
self.connect_quote()
return self
def __exit__(self, type, value, trace):
self.quote_ctx.close() # 结束后记得关闭当条连接，防止连接条数用尽
print("Close quote context!")
def subscribe(self, codes: List[str], sub_types: List[SubType],
sub_push: bool):
ret_sub, err_message = self.quote_ctx.subscribe(
codes, sub_types, subscribe_push=sub_push)
if ret_sub == RET_ERROR:
raise ValueError(f"subscribe error: {err_message}")
def get_global_state(self) -> dict:
"""
获取全局市场状态
https://openapi.futunn.com/futu-api-doc/quote/get-global-state.html
:return: (0, {'market_sz': 'CLOSED', 'market_us': 'PRE_MARKET_BEGIN', 'market_sh': 'CLOSED',
'market_hk': 'CLOSED', 'market_hkfuture': 'FUTURE_DAY_OPEN', 'market_usfuture': 'FUTURE_OPEN',
'server_ver': '217', 'trd_logined': True, 'timestamp': '1602491044', 'qot_logined': True,
'local_timestamp': 1602491044.555623, 'program_status_type': 'READY', 'program_status_desc': ''})
"""
ret, data = self.quote_ctx.get_global_state()
if ret == RET_OK:
return data
raise ValueError(f"get_global_state error: {data}")
def get_capital_distribution(self, code: str = "HK.00700"):
"""
获取资金分布
:param code: 股票代号
:return:
"""
ret, data = self.quote_ctx.get_capital_distribution(code)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_capital_flow(self, code: str = "HK.00700"):
"""
获取资金流向
:param code: 股票代号
:return:
"""
ret, data = self.quote_ctx.get_capital_flow(code)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_broker_queue(self, code: str = "HK.00700"):
"""
获取实时经纪队列
:param code:
:return:
"""
# 如果通过推送获取数据，直接在缓存里提取最新的copy
if code in self.broker_queue:
return self.broker_queue[code]
# 否则通过富途服务器获取。先订阅经纪队列类型。订阅成功后FutuOpenD将持续收到服务器的推送，False代表暂时不需要推送给脚本
if (code not in self.subscribe_data):
ret_sub, err_message = self.quote_ctx.subscribe(
[code], [SubType.BROKER], subscribe_push=False)
if ret_sub != RET_OK:
print(f"获取实时经纪队列(get_broker_queue)失败, {err_message}")
self.subscribe_data[code] = dict()
self.subscribe_data[code][SubType.BROKER] = True
elif (SubType.BROKER not in self.subscribe_data[code]):
ret_sub, err_message = self.quote_ctx.subscribe(
[code], [SubType.BROKER], subscribe_push=False)
if ret_sub != RET_OK:
print(f"获取实时经纪队列(get_broker_queue)失败, {err_message}")
self.subscribe_data[code][SubType.BROKER] = True
ret, bid_frame_table, ask_frame_table = self.quote_ctx.get_broker_queue(
code) # 获取一次经纪队列数据
if ret == RET_OK:
return bid_frame_table, ask_frame_table
else:
print('error:', bid_frame_table)
def process_broker_queue(self, data: pd.DataFrame):
bid_broker, ask_broker = data
codes = list(bid_broker["code"].unique())
assert len(codes) == 1, f"broker_queue pushback 不是合法的数据：{codes}"
code = codes[0]
self.broker_queue[code] = (bid_broker, ask_broker)
def connect_quote(self):
class BrokerQueueHandler(BrokerHandlerBase):
api = self
def on_recv_rsp(self, rsp_pb):
ret_code, err_or_stock_code, data = super(
BrokerQueueHandler, self).on_recv_rsp(rsp_pb)
if ret_code != RET_OK:
print(
"BrokerTest: error, msg: {}".format(err_or_stock_code))
return RET_ERROR, data
api.process_broker_queue(data) # BrokerQueueHandler自己的处理逻辑
return RET_OK, data
self.quote_ctx.set_handler(BrokerQueueHandler())
self.quote_ctx.start()
def get_history_kl_quota(self, get_detail: bool = False):
"""
获取历史 K 线额度使用明细
接口限制
------
我们会根据您账户的资产和交易的情况，下发历史 K 线额度。因此，30 天内您只能获取有限只股票的历史 K 线数据。具体规则参见 API 用户额度 。
您当日消耗的历史 K 线额度，会在 30 天后自动释放。
https://openapi.futunn.com/futu-api-doc/quote/get-history-kl-quota.html
:param get_detail: 设置True代表需要返回详细的拉取历史K 线的记录
:return: 例子 (1, 99, [{'code': 'HK.00700', 'request_time': '2020-03-27 19:15:57'}])
"""
ret, data = self.quote_ctx.get_history_kl_quota(get_detail=get_detail)
if ret == RET_OK:
return data
else:
print('error:', data)
def request_history_kline(self,
code: str,
start: str,
end: str,
ktype: KLType = KLType.K_DAY,
autype: AuType = AuType.QFQ,
fields: List[KL_FIELD] = [KL_FIELD.ALL],
max_count: int = 500,
extended_time: bool = False):
"""
获取历史 K 线
接口限制
-------
我们会根据您账户的资产和交易的情况，下发历史 K 线额度。因此，30 天内您只能获取有限只股票的历史 K 线数据。具体规则参见 API 用户额度 。您当日消耗的
历史 K 线额度，会在 30 天后自动释放。
每 30 秒内最多请求 60 次历史 K 线接口。注意：如果您是分页获取数据，此限频规则仅适用于每只股票的首页，后续页请求不受限频规则的限制。
分 K 提供最近 2 年数据，日 K 及以上提供最近 10 年的数据。
美股盘前和盘后 K 线仅支持 60 分钟及以下级别。由于美股盘前和盘后时段为非常规交易时段，此时段的 K 线数据可能不足 2 年。
https://openapi.futunn.com/futu-api-doc/quote/request-history-kline.html
:param code: 'HK.00700'
:param start: '2019-09-11'
:param end: '2019-09-18'
:param ktype: KLType.K_DAY,
:param autype: AuType.QFQ,
:param fields: [KL_FIELD.ALL],
:param max_count: 500,
:param extended_time: False
:return:
"""
ret, data, page_req_key = self.quote_ctx.request_history_kline(
code=code,
start=start,
end=end,
ktype=ktype,
autype=autype,
fields=fields,
max_count=max_count,
extended_time=extended_time,
) # 每页max_count个，请求第一页
if ret == RET_OK:
yield data
else:
print('error:', data)
return
while page_req_key != None: # 请求后面的所有结果
print('*************************************')
ret, data, page_req_key = self.quote_ctx.request_history_kline(
code=code,
start=start,
end=end,
ktype=ktype,
autype=autype,
fields=fields,
max_count=max_count,
extended_time=extended_time,
page_req_key=page_req_key) # 请求翻页后的数据
if ret == RET_OK:
yield data
else:
print('error:', data)
return
def get_rehab(self, code: str = "HK.00700"):
"""
获取复权因子
接口限制
------
每 30 秒内最多请求 60 次获取复权因子接口。
https://openapi.futunn.com/futu-api-doc/quote/get-rehab.html
:param market:
:param security:
:return:
"""
ret, data = self.quote_ctx.get_rehab(code)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_cur_kline(self,
code_list: List[str] = ["00700.HK"],
ktype_list: List[SubType] = [SubType.K_1M],
num: int = 1000,
autype=AuType.QFQ):
"""
获取实时 K 线
:param code_list: 股票代码列表
:param ktype_list: K 线类型列表
:param num: K 线数据个数，最多 1000 根
:param autype: 复权类型
:return:
"""
ret_sub, err_message = self.quote_ctx.subscribe(code_list,
ktype_list,
subscribe_push=False)
# 先订阅K 线类型。订阅成功后FutuOpenD将持续收到服务器的推送，False代表暂时不需要推送给脚本
if ret_sub == RET_OK: # 订阅成功
ret_data = []
for code, ktype in zip(code_list, ktype_list):
ret, data = self.quote_ctx.get_cur_kline(
code, num, ktype, autype) # 获取港股00700最近2个K线数据
if ret == RET_OK:
ret_data.append(data)
else:
print('error:', data)
ret_data.append(None)
return ret_data
else:
print('subscription failed', err_message)
def record_cur_kline(self,
code_list: List[str] = ["00700.HK"],
ktype_list: List[SubType] = [SubType.K_1M],
record_time: int = 28800): # 3600*8
"""
记录实时 K 线 (非futu原有api)
:param market: 市场
:param security: 股票代码
:param ktype: K 线类型
:return:
"""
handler = CurKlineHandler()
self.quote_ctx.set_handler(handler) # 设置实时摆盘回调
self.quote_ctx.subscribe(code_list,
ktype_list) # 订阅K线数据类型，FutuOpenD开始持续收到服务器的推送
time.sleep(record_time) # 设置脚本接收FutuOpenD的推送持续时间
self.quote_ctx.unsubscribe(code_list, ktype_list) # 反订阅K线数据类型（1分钟后生效）
def query_subscription(self, is_all_conn: bool = True):
"""
:param is_all_conn: 是否返回所有连接的订阅状态。True：返回所有连接的订阅状态；False：只返回当前连接的订阅状态
:return:
"""
ret, data = self.quote_ctx.query_subscription(is_all_conn=is_all_conn)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_owner_plate(self, code_list: List):
"""
获取股票所属板块
:param code_list:
:return:
"""
ret, data = self.quote_ctx.get_owner_plate(code_list)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_plate_list(self, market: Market, plate_class: Plate):
"""
获取板块列表
:param market:
:param plate_class:
:return:
"""
ret, data = self.quote_ctx.get_plate_list(market, plate_class)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_plate_stock(self,
plate_code: str,
sort_field: SortField = SortField.CODE,
ascend: bool = True):
"""
获取板块内股票列表
:param plate_code:
:param sort_field:
:param ascend:
:return:
"""
ret, data = self.quote_ctx.get_plate_stock(plate_code)
if ret == RET_OK:
return data
else:
raise ValueError(f'error: {data}')
def get_stock_filter(self,
market: Market,
filter_list: List[Union[SimpleFilter,
AccumulateFilter,
FinancialFilter]],
plate_code: str = None,
begin: int = 0,
num: int = 200):
"""
条件选股
:param market:
:param filter_list:
:param plate_code:
:param begin:
:param num:
:return:
"""
ret, ls = self.quote_ctx.get_stock_filter(market,
filter_list,
plate_code=plate_code,
begin=begin,
num=num) # 对香港市场的股票做简单筛选
if ret == RET_OK:
# last_page, all_count, ret_list = ls
# print(len(ret_list), all_count, ret_list)
# for item in ret_list:
# print(item.stock_code) # 取其中的股票代码
return ls
else:
raise ValueError(f'error: {ls}')
def save_history_kline(self,
code: str,
start: str = None,
end: str = None,
ktype: KLType = KLType.K_DAY,
autype: AuType = AuType.QFQ,
fields: List[KL_FIELD] = [KL_FIELD.ALL],
max_count: int = 5000,
extended_time: bool = False):
# 检查开始和结束时间
now = datetime.now()
if end is None:
end_dt = now
end = datetime.strftime(end_dt, "%Y-%m-%d")
else:
end_dt = datetime.strptime(end, "%Y-%m-%d")
if start is None:
start_dt = now - relativedelta(months=25)
start = datetime.strftime(start_dt, "%Y-%m-%d")
else:
start_dt = datetime.strptime(start, "%Y-%m-%d")
assert start_dt < end_dt, "start>=end, invalid time input!"
history_kline = self.request_history_kline(
code=code,
start=start,
end=end,
ktype=ktype,
max_count=max_count,
fields=fields, # [KL_FIELD.DATE_TIME, KL_FIELD.CLOSE]
)
for n, kl in enumerate(history_kline):
if "klines" not in locals():
klines = kl
else:
klines = klines.append(kl, ignore_index=True)
dts = list(set([t.split(" ")[0] for t in klines["time_key"]]))
dts.sort()
if len(dts) == 0:
print(f"No data available for {code}")
break
if len(dts) > 1:
for dt in dts[:-1]:
df = klines[(klines["time_key"] >= f"{dt} 00:00:00")
& (klines["time_key"] <= f"{dt} 23:59:59")]
if not os.path.exists(
f"{self.DATA_PATH}/k_line/{str(ktype)}/{code}"):
os.mkdir(
f"{self.DATA_PATH}/k_line/{str(ktype)}/{code}")
df.to_csv(
f"{self.DATA_PATH}/k_line/{str(ktype)}/{code}/{dt}.csv",
index=False)
print(f"{code}/{dt}.csv saved.")
klines = klines[klines["time_key"] >= f"{dts[-1]} 00:00:00"]
if not klines.empty:
klines.to_csv(
f"{self.DATA_PATH}/k_line/{str(ktype)}/{code}/{dts[-1]}.csv",
index=False)
print(f"{code}/{dts[-1]}.csv saved.")
def is_hk_equity_market_time(self, cur_datetime: datetime) -> bool:
"""If current datetime is within market open time"""
return (self.HK_EQUITY_AM_START <= cur_datetime.time() <=
self.HK_EQUITY_AM_END or self.HK_EQUITY_PM_START <=
cur_datetime.time() <= self.HK_EQUITY_PM_END)
def next_hk_equity_market_time(self, cur_datetime: datetime) -> datetime:
"""Return next market open time"""
if cur_datetime.time() < self.HK_EQUITY_AM_START:
return datetime(
cur_datetime.year,
cur_datetime.month,
cur_datetime.day,
self.HK_EQUITY_AM_START.hour,
self.HK_EQUITY_AM_START.minute,
self.HK_EQUITY_AM_START.second,
)
elif cur_datetime.time() < self.HK_EQUITY_PM_START:
return datetime(
cur_datetime.year,
cur_datetime.month,
cur_datetime.day,
self.HK_EQUITY_PM_START.hour,
self.HK_EQUITY_PM_START.minute,
self.HK_EQUITY_PM_START.second,
)
else:
return None
def get_stock_basicinfo(self) -> pd.DataFrame:
"""stock info"""
ret_code, data = self.quote_ctx.get_stock_basicinfo(
Market.HK, SecurityType.STOCK)
if ret_code:
print(f"Fail to get stock basicinfo: {data}")
return
return data
