def calc_d_base(date):
# 计算并保存d_base
r = []
symbol_list = get_symbols_quote()
for symbol in symbol_list:
if symbol[:2] != 'IO':
continue
try:
basic = symbol[:6]
strike = get_contract(symbol).strike
symbol_c = basic + '-C-' + str(strike)
symbol_p = basic + '-P-' + str(strike)
fn = get_dss() + 'fut/bar/day_' + symbol_c + '.csv'
df_c = pd.read_csv(fn)
fn = get_dss() + 'fut/bar/day_' + symbol_p + '.csv'
df_p = pd.read_csv(fn)
d_base = df_c.iat[-1, 5] + df_p.iat[-1, 5]
r.append([date, basic, strike, d_base])
except Exception as e:
# s = traceback.format_exc()
# to_log(s)
pass
df = pd.DataFrame(r, columns=['date', 'basic', 'strike', 'd_base'])
fn = get_dss() + 'opt/sdiffer_d_base.csv'
if os.path.exists(fn):
df.to_csv(fn, index=False, mode='a', header=False)
else:
df.to_csv(fn, index=False)
def examine():
dss = get_dss()
# setting_pz中的品种已在trade_time中维护
#读取交易时段文件
fn = dss + 'fut/cfg/trade_time.csv'
df = pd.read_csv(fn)
tm_pz_set = set(df.symbol)
#print(tm_pz_set)
fn = dss + 'fut/cfg/setting_pz.csv'
df = pd.read_csv(fn)
setting_pz_list = list(df.pz)
#print(setting_pz_list)
for pz in setting_pz_list:
if pz not in tm_pz_set:
to_log('examine: ' + pz +
' of setting_pz.csv not in trade_time.csv')
# 加载配置，目前盯市的品种已在setting_pz中维护
symbols_quote_list = get_symbols_quote()
for symbol in symbols_quote_list:
c = get_contract(symbol)
#print( c.pz )
if c is None:
to_log('examine: ' + symbol +
' of config.json not in setting_pz.csv')
# symbols_quote涵盖symbols_trade
symbols_trade_list = get_symbols_trade()
for symbol in symbols_trade_list:
if symbol not in symbols_quote_list:
to_log('examine: ' + symbol +
' of symbols_trade not in symbols_quote')
# 行情接收器是否存在超时情况
config = open(dss + 'fut/cfg/config.json')
setting = json.load(config)
symbol = setting['symbols_quote_canary']
# symbols_quote_list = symbols.split(',')
now = datetime.now()
today = now.strftime('%Y-%m-%d')
# today = '20200515'
fn = get_dss() + 'fut/tick/tick_' + today + '_' + symbol + '.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
df = df[(df.UpdateTime >= '14:50:59') & (df.UpdateTime <= '14:59:59')]
df = df.sample(3)
for i, row in df.iterrows():
u = datetime.strptime(row.UpdateDate + ' ' + row.UpdateTime,
'%Y-%m-%d %H:%M:%S')
u += timedelta(seconds=3)
u = datetime.strftime(u, '%Y-%m-%d %H:%M:%S')
# print(row.Localtime, u)
if row.Localtime > u:
to_log('examine: over time! ' + row.Localtime + ' > ' + u)
def __init__(self):
"""Constructor"""
CtpQuote.__init__(self)
# 加载配置
# config = open(get_dss()+'fut/cfg/config.json')
# setting = json.load(config)
# symbols = setting['symbols_quote']
# self.id_list = symbols.split(',')
self.id_list = get_symbols_quote()
self.dss = get_dss()
self.tradeDay = ''
self.night_day = ''
self.temp_tradeDay = ''
self.bar_min1_dict = {}
def tick2bar(tradeDay):
#读取交易时段文件
fn = get_dss() + 'fut/cfg/trade_time.csv'
df_tm = pd.read_csv(fn)
symbol_list = get_symbols_quote()
# symbol_list = ['ag1912']
# 逐个处理每个合约
for symbol in symbol_list:
try:
# 读取品种的tick文件
fn = get_dss() + 'fut/tick/tick_' + tradeDay + '_' + symbol + '.csv'
if os.path.exists(fn) == False:
# print(fn+' not exists')
continue
# print(fn+' begin ... ')
df = pd.read_csv(fn)
# 获取品种交易时段
pz = get_contract(symbol).pz
df2 = df_tm[df_tm.symbol==pz].sort_values(by='seq')
r1 = []
# 逐个时段遍历处理
for i,row in df2.iterrows():
# 组装该时段数据，进行数据清洗
if row.end > row.begin:
# 非夜盘跨零点交易时段
df1 = df[(df.UpdateTime>=row.begin) & (df.UpdateTime<=row.end)]
if len(df1) > 0:
# 处理tick异常数据，删除盘后非交易时段推送的数据
df1 = df1.sort_values(by=['UpdateDate','UpdateTime'])
df1 = df1.reset_index()
dt = df1.at[0,'UpdateDate']
df1 = df1[df1.UpdateDate == dt]
else:
# 夜盘跨零点交易时段，作特殊拼接处理
df11 = df[(df.UpdateTime>=row.begin) & (df.UpdateTime<='23:59:59')]
df12 = df[(df.UpdateTime>='00:00:00') & (df.UpdateTime<=row.end)]
df1 = pd.concat([df11, df12])
# 加工生成该时段的 bar_min1 数据，至少有2根tick才能加工成bar
if len(df1) > 3:
# 排序很重要，因为tick送过来的顺序可能是乱的
df1 = df1.sort_values(by=['UpdateDate','UpdateTime'])
df1 = df1.reset_index()
# 处理该时段的tick，加工返回bar数据集
r1 += proc_segment(df1, row.begin, row.end, row.num, symbol)
else:
if len(symbol) < 9:
to_log( symbol + ' 时段数据缺失：'+ tradeDay + ' ' + str(row.seq) )
# 该合约处理完毕，保存各周期bar到文件
if len(r1) > 0:
save_bar(r1, symbol)
except Exception as e:
s = traceback.format_exc()
to_log(s)
to_log('error: ' + symbol)
continue