def get_future_brief(self, identifiers):
"""
获取期货最新行情
:param identifiers: 期货代码列表
:return: pandas.DataFrame，各 column 含义如下
identifier: 期货代码
ask_price: 卖价
ask_size: 卖量
bid_price: 买价
bid_size: 买量
pre_close: 前收价
latest_price: 最新价
latest_size: 最新成交量
latest_time: 最新价成交时间
volume: 当日累计成交手数
open_interest: 未平仓合约数量
open: 开盘价
high: 最高价
low: 最低价
limit_up: 涨停价
limit_down: 跌停价
"""
params = FutureQuoteParams()
params.contract_codes = identifiers
request = OpenApiRequest(FUTURE_REAL_TIME_QUOTE, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = FutureBriefsResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.briefs
else:
raise ApiException(response.code, response.message)
def get_future_bars(self, identifiers, period=BarPeriod.DAY, begin_time=-1, end_time=-1, limit=1000):
"""
获取期货K线数据
:param identifiers: 期货代码
:param period: day: 日K,week: 周K,month:月K ,year:年K,1min:1分钟,5min:5分钟,15min:15分钟,30min:30分钟,60min:60分钟
:param begin_time: 开始时间
:param end_time: 结束时间
:param limit: 数量限制
:return:
"""
params = FutureQuoteParams()
params.contract_codes = identifiers
if period:
params.period = period.value
params.begin_time = begin_time
params.end_time = end_time
params.limit = limit
request = OpenApiRequest(FUTURE_KLINE, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = FutureQuoteBarResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.bars
else:
raise ApiException(response.code, response.message)
def get_future_brief(self, identifiers):
"""
获取期货最新行情
:param identifiers: 期货代码
:return:
"""
params = FutureQuoteParams()
params.contract_codes = identifiers
request = OpenApiRequest(FUTURE_REAL_TIME_QUOTE, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = FutureBriefsResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.briefs
else:
raise ApiException(response.code, response.message)
def get_future_trade_ticks(self,
identifiers,
begin_index=0,
end_index=30,
limit=1000):
"""
获取期货逐笔成交
:param identifiers: 期货代码列表
:param begin_index: 开始索引
:param end_index: 结束索引
:param limit: 数量限制
:return: pandas.DataFrame, 各 column 含义如下
index: 索引值
time: 成交时间，精确到毫秒的时间戳
price: 成交价格
volume: 成交量
"""
params = FutureQuoteParams()
params.contract_codes = identifiers
params.begin_index = begin_index
params.end_index = end_index
params.limit = limit
request = OpenApiRequest(FUTURE_TICK, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = FutureTradeTickResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.trade_ticks
else:
raise ApiException(response.code, response.message)
def get_future_bars(self,
identifiers,
period=BarPeriod.DAY,
begin_time=-1,
end_time=-1,
limit=1000):
"""
获取期货K线数据
:param identifiers: 期货代码列表
:param period: day: 日K,week: 周K,month:月K ,year:年K,1min:1分钟,5min:5分钟,15min:15分钟,30min:30分钟,60min:60分钟
:param begin_time: 开始时间. 若是时间戳需要精确到毫秒, 为13位整数;
或是日期时间格式的字符串, 如 "2019-01-01" 或 "2019-01-01 12:00:00"
:param end_time: 结束时间. 格式同 begin_time
:param limit: 数量限制
:return: pandas.DataFrame, 各column 含义如下：
identifier: 期货合约代码
time: Bar对应的时间戳, 即Bar的结束时间。Bar的切割方式与交易所一致，以CN1901举例，T日的17:00至T+1日的16:30的数据会被合成一个日级Bar。
latest_time: Bar 最后的更新时间
open: 开盘价
high: 最高价
low: 最低价
close: 收盘价
settlement: 结算价，在未生成结算价时返回0
volume: 成交量
open_interest: 未平仓合约数量
"""
params = FutureQuoteParams()
params.contract_codes = identifiers
if period:
params.period = period.value
params.begin_time = begin_time
params.end_time = end_time
params.limit = limit
request = OpenApiRequest(FUTURE_KLINE, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = FutureQuoteBarResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.bars
else:
raise ApiException(response.code, response.message)