def __init__(self, env):
'''
:param env:
'''
self.session = Session.Session()
self.get_session = self.session.get_session(env)
self.log = Log.Logs()
def __init__(self):
self.server = ""
self.user = ""
self.password = ""
self.database = ""
self.initialize()
self.conn = None
self.logger = Log.get_logger(__name__)
def __init__(self):
self.content = ''
cfg = RawConfigParser()
cfg.read('config.ini')
receivers = cfg.get('Email', 'receiveList')
self.receivers = receivers.split(';') # 接收邮箱
self.sender = cfg.get('Email', 'sender')
self.pwd = cfg.get('Email', 'pwd')
self.server = cfg.get('Email', 'server')
self.log = Log.get_logger(__name__)
class HighFrequencyService(object):
log = Log.get_logger(__name__)
# 配置为高频数据地址
cfg = ConfigParser()
cfg.read('config.ini')
tick_file_path = cfg.get('Level2Tick', 'to')
transaction_file_path = cfg.get('Transaction', 'to')
order_file_path = cfg.get('Order', 'to')
orderqueue_file_path = cfg.get('OrderQueue', 'to')
k60s_minuteBar = cfg.get('MinuteBar', 'to')
dictTypeAndPath = {
HighFrequencyType.tick: tick_file_path,
HighFrequencyType.transaction: transaction_file_path,
HighFrequencyType.order: order_file_path,
HighFrequencyType.orderqueue: orderqueue_file_path,
HighFrequencyType.k60s: k60s_minuteBar
}
@classmethod
def get_tradable_stock(cls, tradingday):
"""
read tradble symbol
:param symbol: '600000.sh' str
:param tradingday: '20170104' str
:return: pd.DataFrame
"""
h5file = h5py.File(
os.path.join(cls.tick_file_path, ''.join([tradingday, '.h5'])),
'r')
list = []
for s in h5file.keys():
list.append(s)
h5file.close()
return list
@classmethod
def read_tick(cls, symbol, tradingday):
"""
read tick data
:param symbol: '600000.sh' str
:param tradingday: '20170104' str
:return: pd.DataFrame
"""
with h5py.File(
os.path.join(cls.tick_file_path, ''.join([tradingday, '.h5'])),
'r') as f:
if symbol not in f.keys():
return None
time = f[symbol]['Time']
price = f[symbol]['Price']
volume = f[symbol]['Volume']
turnover = f[symbol]['Turnover']
matchItem = f[symbol]['MatchItem']
bsflag = f[symbol]['BSFlag']
accVolume = f[symbol]['AccVolume']
accTurnover = f[symbol]['AccTurnover']
askAvgPrice = f[symbol]['AskAvgPrice']
bidAvgPrice = f[symbol]['BidAvgPrice']
totalAskVolume = f[symbol]['TotalAskVolume']
totalBidVolume = f[symbol]['TotalBidVolume']
open_p = f[symbol]['Open']
high = f[symbol]['High']
low = f[symbol]['Low']
preClose = f[symbol]['PreClose']
tick = pd.DataFrame({
'Time': time,
'Price': price,
'Volume': volume,
'Turnover': turnover,
'MatchItem': matchItem,
'BSFlag': bsflag,
'AccVolume': accVolume,
'AccTurnover': accTurnover,
'AskAvgPrice': askAvgPrice,
'BidAvgPrice': bidAvgPrice,
'TotalAskVolume': totalAskVolume,
'TotalBidVolume': totalBidVolume,
'Open': open_p,
'High': high,
'Low': low,
'PreClose': preClose
})
for i in range(10):
tick['BidPrice' + str(i + 1)] = f[symbol]['BidPrice10'][:][:,
i]
tick['AskPrice' + str(i + 1)] = f[symbol]['AskPrice10'][:][:,
i]
tick['BidVolume' + str(i + 1)] = f[symbol]['BidVolume10'][:][:,
i]
tick['AskVolume' + str(i + 1)] = f[symbol]['AskVolume10'][:][:,
i]
return tick
@classmethod
def read_transaction(cls, symbol, tradingday):
"""
read transaction data
:param symbol: '600000.sh' str
:param tradingday: '20170104' str
:return: pd.DataFrame
"""
with h5py.File(
os.path.join(cls.transaction_file_path,
''.join([tradingday, '.h5'])), 'r') as f:
if symbol not in f.keys():
return None
time = f[symbol]['Time']
orderKind = f[symbol]['OrderKind']
bsflag = f[symbol]['BSFlag']
price = f[symbol]['Price']
volume = f[symbol]['Volume']
ask_order = f[symbol]['AskOrder']
bid_order = f[symbol]['BidOrder']
transaction = pd.DataFrame({
'Time': time,
'OrderKind': orderKind,
'Bsflag': bsflag,
'Price': price,
'Volume': volume,
'AskOrder': ask_order,
'BidOrder': bid_order
})
return transaction
@classmethod
def read_order(cls, symbol, tradingday):
"""
read order data
:param symbol: '600000.sh' str
:param tradingday: '20170104' str
:return: pd.DataFrame
"""
with h5py.File(
os.path.join(cls.order_file_path, ''.join([tradingday,
'.h5'])), 'r') as f:
if symbol not in f.keys():
return None
time = f[symbol]['Time']
order_number = f[symbol]['OrderNumber']
orderKind = f[symbol]['OrderKind']
function_code = f[symbol]['FunctionCode']
price = f[symbol]['Price']
volume = f[symbol]['Volume']
order = pd.DataFrame({
'Time': time,
'OrderKind': orderKind,
'OrderNumber': order_number,
'Price': price,
'Volume': volume,
'FunctionCode': function_code
})
return order
@classmethod
def read_orderqueue(cls, symbol, tradingday):
"""
read orderqueue data
:param symbol: '600000.sh' str
:param tradingday: '20170104' str
:return: list [orderqueueitem]
orderqueueitem {} dict
"""
orderqueue = []
with h5py.File(
os.path.join(cls.orderqueue_file_path,
''.join([tradingday, '.h5'])), 'r') as f:
if symbol not in f.keys():
return None
time = f[symbol]['Time'][:]
side = f[symbol]['Side'][:]
price = f[symbol]['Price'][:]
orderItems = f[symbol]['OrderItems'][:]
abItems = f[symbol]['ABItems'][:]
abVolume = f[symbol]['ABVolume'][:]
for i in range(len(time)):
orderqueueItem = {
'Time': time[i],
'Side': side[i],
'Price': price[i],
'OrderItems': orderItems[i],
'ABItems': abItems[i],
'ABVolume': abVolume[i, :]
}
orderqueue.append(orderqueueItem)
return orderqueue
@classmethod
def get_main_contact(cls, contract, tradingDay):
"""
获取主力合约文件名
:param contract: 'IF'、'IC'、'IH' str
:param '20190228' str
"""
files = os.listdir(cls.index_future_path + tradingDay)
fl = pd.DataFrame(files)
return fl.iloc[(cls.index_future_path + tradingDay + '\\' +
fl[fl[0].str.contains(contract)][0]).apply(
os.path.getsize).idxmax()][0]
@classmethod
def read_fut_tick(cls, contract, tradingDay):
"""
获取期货地址
:param contract: 'IF'、'IC'、'IH' str
:param '20190228' str
"""
symbol = cls.get_main_contact(contract, tradingDay)
tick = pd.read_csv(cls.index_future_path + tradingDay + '\\' + symbol)
return tick[(tick['Time'] >= 90000000) & (tick['Time'] <= 151500000)]
@classmethod
def read_h5_key(cls, constant, tradingDay):
try:
symbols = []
with h5py.File(
os.path.join(cls.dictTypeAndPath[constant],
tradingDay + '.h5'), 'r') as f:
for symbol in f.keys():
symbols.append(symbol)
return symbols
except Exception as e:
cls.log.error(f'{constant}--{tradingDay} read_h5_key is Fail')
cls.log.error(e)
'''
DateTime : 15/07/2020 5:53PM
Author : Positive
File : Params
'''
import os
from Resources import yaml_read
from Utility import Log
log = Log.Logs()
path_dir = str(
os.path.abspath(os.path.join(os.path.dirname(__file__), os.pardir)))
def get_paramater(name):
data = yaml_read.GetAPIParam().get_param()
param = data[name]
return param
class LoginFlow:
log.info('Yaml Path:' + path_dir + '/Resources/Params/login_flow.yml')
params = get_paramater('Login_Flow')
print(params)
url = []
data = []
header = []
for i in range(0, len(params)):
def __init__(self):
self.log = Log.Logs()