def option_finance_board(symbol="华泰柏瑞沪深300ETF期权", end_month="2003"):
"""
获取期权的当日具体的行情数据, 主要为三个: 华夏上证50ETF期权, 华泰柏瑞沪深300ETF期权, 嘉实沪深300ETF期权, 沪深300股指期权
http://www.sse.com.cn/assortment/options/price/
http://www.szse.cn/market/derivative/derivative_list/index.html
http://www.cffex.com.cn/hs300gzqq/
:param symbol: 华夏上证50ETF期权 or 华泰柏瑞沪深300ETF期权 or 嘉实沪深300ETF期权 or 沪深300股指期权
:param end_month: 2003 2020年3月到期的期权
:return: pandas.DataFrame
"""
end_month = end_month[-2:]
if symbol == "华夏上证50ETF期权":
res = requests.get(SH_OPTION_URL_KING_50.format(end_month),
params=SH_OPTION_PAYLOAD_OTHER)
data_json = res.json()
raw_data = pd.DataFrame(data_json["list"])
raw_data.index = [str(data_json["date"]) + str(data_json["time"])
] * data_json["total"]
raw_data.columns = ["合约交易代码", "当前价", "涨跌幅", "前结价", "行权价"]
raw_data["数量"] = [data_json["total"]] * data_json["total"]
return raw_data
elif symbol == "华泰柏瑞沪深300ETF期权":
res = requests.get(SH_OPTION_URL_KING_300.format(end_month),
params=SH_OPTION_PAYLOAD_OTHER)
data_json = res.json()
raw_data = pd.DataFrame(data_json["list"])
raw_data.index = [str(data_json["date"]) + str(data_json["time"])
] * data_json["total"]
raw_data.columns = ["合约交易代码", "当前价", "涨跌幅", "前结价", "行权价"]
raw_data["数量"] = [data_json["total"]] * data_json["total"]
return raw_data
elif symbol == "嘉实沪深300ETF期权":
raw_df = pd.read_excel(SZ_OPTION_URL_300)
raw_df["期权行权日"] = pd.to_datetime(raw_df["期权行权日"])
raw_df["end_month"] = raw_df["期权行权日"].dt.month.astype(str).str.zfill(2)
raw_df = raw_df[raw_df["end_month"] == end_month]
del raw_df["end_month"]
return raw_df
elif symbol == "沪深300股指期权":
raw_df = pd.read_table(CFFEX_OPTION_URL_300, sep=",")
raw_df["end_month"] = raw_df["instrument"].str.split(
"-", expand=True).iloc[:, 0].str.slice(4, )
raw_df = raw_df[raw_df["end_month"] == end_month]
del raw_df["end_month"]
return raw_df
def option_finance_board(symbol: str = "嘉实沪深300ETF期权",
end_month: str = "2103") -> pd.DataFrame:
"""
期权的当日具体的行情数据, 主要为三个: 华夏上证50ETF期权, 华泰柏瑞沪深300ETF期权, 嘉实沪深300ETF期权, 沪深300股指期权
http://www.sse.com.cn/assortment/options/price/
http://www.szse.cn/market/product/option/index.html
http://www.cffex.com.cn/hs300gzqq/
:param symbol: 华夏上证50ETF期权 or 华泰柏瑞沪深300ETF期权 or 嘉实沪深300ETF期权 or 沪深300股指期权
:type symbol: str
:param end_month: 2003; 2020年3月到期的期权
:type end_month: str
:return: 当日行情
:rtype: pandas.DataFrame
"""
end_month = end_month[-2:]
if symbol == "华夏上证50ETF期权":
res = requests.get(SH_OPTION_URL_KING_50.format(end_month),
params=SH_OPTION_PAYLOAD_OTHER)
data_json = res.json()
raw_data = pd.DataFrame(data_json["list"])
raw_data.index = [str(data_json["date"]) + str(data_json["time"])
] * data_json["total"]
raw_data.columns = ["合约交易代码", "当前价", "涨跌幅", "前结价", "行权价"]
raw_data["数量"] = [data_json["total"]] * data_json["total"]
return raw_data
elif symbol == "华泰柏瑞沪深300ETF期权":
res = requests.get(SH_OPTION_URL_KING_300.format(end_month),
params=SH_OPTION_PAYLOAD_OTHER)
data_json = res.json()
raw_data = pd.DataFrame(data_json["list"])
raw_data.index = [str(data_json["date"]) + str(data_json["time"])
] * data_json["total"]
raw_data.columns = ["合约交易代码", "当前价", "涨跌幅", "前结价", "行权价"]
raw_data["数量"] = [data_json["total"]] * data_json["total"]
return raw_data
elif symbol == "嘉实沪深300ETF期权":
url = "http://www.szse.cn/api/report/ShowReport/data"
params = {
"SHOWTYPE": "JSON",
"CATALOGID": "ysplbrb",
"TABKEY": "tab1",
"PAGENO": "1",
"random": "0.10642298535346595",
}
r = requests.get(url, params=params)
data_json = r.json()
page_num = data_json[0]["metadata"]["pagecount"]
big_df = pd.DataFrame()
for page in range(1, page_num + 1):
params = {
"SHOWTYPE": "JSON",
"CATALOGID": "ysplbrb",
"TABKEY": "tab1",
"PAGENO": page,
"random": "0.10642298535346595",
}
r = requests.get(url, params=params)
data_json = r.json()
temp_df = pd.DataFrame(data_json[0]["data"])
big_df = big_df.append(temp_df, ignore_index=True)
big_df.columns = [
"合约编码",
"合约简称",
"标的名称",
"类型",
"行权价",
"合约单位",
"期权行权日",
"行权交收日",
]
big_df["期权行权日"] = pd.to_datetime(big_df["期权行权日"])
big_df["end_month"] = big_df["期权行权日"].dt.month.astype(str).str.zfill(2)
big_df = big_df[big_df["end_month"] == end_month]
del big_df["end_month"]
return big_df
elif symbol == "沪深300股指期权":
raw_df = pd.read_table(CFFEX_OPTION_URL_300, sep=",")
raw_df["end_month"] = (raw_df["instrument"].str.split(
"-", expand=True).iloc[:, 0].str.slice(4, ))
raw_df = raw_df[raw_df["end_month"] == end_month]
del raw_df["end_month"]
return raw_df