def pull_ticks():
underlyings = list(gv.UNDL_POOL['total'])
ticks = md.get_last_ticks(','.join(underlyings))
for tick in ticks:
tempdata = []
for col in gv.POOL_COLUMNS:
tempdata.append(eval(vars[col]))
#UNDL_POOL_INFO[addfix(tick.sec_id)] = tempdata
gv.UNDL_POOL_INFO[RawHoldingStocks.addfix(
tick.sec_id)] = tempdata
#!/usr/bin/env python
# -*- coding: utf-8 -*-
from gmsdk import md, to_dict
md.init('*****@*****.**', '123456')
# 提取tick数据
r = md.get_ticks(
'SHSE.600000',
'2016-01-04 09:00:00',
'2016-01-04 12:00:00',
)
print('get_ticks: ', len(r))
#提取tick快照
r = md.get_last_ticks('SHSE.600000')
print('get_last_ticks: ', len(r))
#提取最新N笔tick数据
r = md.get_last_n_ticks(
'SHSE.600000', 10)
print('get_last_n_ticks(10): ', len(r))
#提起一分钟分时数据(freq=60 seconds)
r = md.get_bars(
'SHSE.600000',
60,
'2015-12-01 09:30:00',
'2015-12-10 09:31:00',
)
print('get_bars: ', len(r))
from gmsdk import md
md.init('*****@*****.**', '123456')
r = md.get_ticks(
'CFFEX.IF1512,CFFEX.IF1512',
'2015-03-19 11:29:00',
'2015-03-19 12:00:00',
)
print('get_ticks: ', len(r))
r = md.get_last_ticks('CFFEX.IF1512,')
print('get_last_ticks: ', len(r))
r = md.get_last_n_ticks(
'CFFEX.IF1512', 10)
print('get_last_n_ticks(10): ', len(r))
r = md.get_bars(
'CFFEX.IF1512',
60,
'2015-05-01 09:30:00',
'2015-05-10 09:31:00',
)
print('get_bars: ', len(r))
r = md.get_last_bars('CFFEX.IF1512,', 60)
print('get_last_bars: ', len(r))
r = md.get_last_n_bars(
'CFFEX.IF1512',
def get_last_ticks(symbol_list):
symbol_list = mtsymbol_list(symbol_list)
var = md.get_last_ticks(symbol_list)
ret = tick_topd(var,'code')
return ret
def get_last_ticks(symbol_list):
symbol_list = mtsymbol_list(symbol_list)
var = md.get_last_ticks(symbol_list)
ret = tick_topd(var, 'code')
return ret
def data_subscribe(source):
""" 数据源订阅 , pool_columns 提供需要订阅的字段，需要更新 undl_pool_info """
COLNUM = len(gv.POOL_COLUMNS)
if source == 'wind':
# 定义数据源对应 callback 函数
def wind_callback(indata):
if indata.ErrorCode != 0:
raise Exception('Error in callback with ErrorCode %d' %
indata.ErrorCode) # 实际使用时，为防止中断可改为log输出
for dumi in range(len(indata.Codes)):
fieldlen = len(indata.Fields)
if fieldlen == COLNUM: # 只有在所有field都有数据的时候才存储
tempdata = []
for dumj in range(fieldlen):
tempdata.append(indata.Data[dumj][dumi])
gv.UNDL_POOL_INFO[indata.Codes[dumi]] = tempdata
w.start()
underlyings = list(gv.UNDL_POOL['total'])
w.wsq(','.join(underlyings),
','.join(gv.POOL_COLUMNS),
func=wind_callback)
print('data subscribed with source %s' % source)
elif source == 'goldmine':
vars = {'rt_last': 'tick.last_price', 'rt_time': 'tick.str_time'}
def on_tick(tick):
tempdata = []
for col in gv.POOL_COLUMNS:
tempdata.append(eval(vars[col]))
gv.UNDL_POOL_INFO[addfix(tick.sec_id)] = tempdata
# 提取当前资产池中的代码，并转换为gm所需格式
underlyings = list(gv.UNDL_POOL['total'])
ret = md.init(username="******", password="******", mode=3)
if ret != 0:
raise Exception('Error in initiation with ErrorCode %d' % ret)
ret = md.subscribe(','.join(underlyings))
if ret != 0:
raise Exception('Error in subscribe with ErrorCode %d' % ret)
# 添加回调函数
md.ev_tick += on_tick
# 初始填充POOL，确保不会出现 NAN
fillundl = ','.join(underlyings).replace('.tick', '')
ticks = md.get_last_ticks(fillundl)
for tick in ticks:
tempdata = []
for col in gv.POOL_COLUMNS:
tempdata.append(eval(vars[col]))
#UNDL_POOL_INFO[addfix(tick.sec_id)] = tempdata
gv.UNDL_POOL_INFO[RawHoldingStocks.addfix(tick.sec_id).addfix(
tick.sec_id)] = tempdata
# 加入线程
data_thread = threading.Thread(target=md.run)
if not gv.PRE_THREADS.get(source): # 如果是第一次建立线程则创建，否则只要重新订阅
gv.PRE_THREADS[source] = data_thread
data_thread.start()
else:
ret = md.resubscribe(','.join(underlyings))
if ret != 0:
raise Exception('Error in subscribe with ErrorCode %d' % ret)
print(threading.enumerate())
print('data subscribed with source %s' % source)
elif source == 'goldmine_snapshot':
vars = {'rt_last': 'tick.last_price', 'rt_time': 'tick.str_time'}
def pull_ticks():
underlyings = list(gv.UNDL_POOL['total'])
ticks = md.get_last_ticks(','.join(underlyings))
for tick in ticks:
tempdata = []
for col in gv.POOL_COLUMNS:
tempdata.append(eval(vars[col]))
#UNDL_POOL_INFO[addfix(tick.sec_id)] = tempdata
gv.UNDL_POOL_INFO[RawHoldingStocks.addfix(
tick.sec_id)] = tempdata
ret = md.init(username="******", password="******", mode=1)
if ret != 0:
raise Exception('Error in initiation with ErrorCode %d' % ret)
data_thread = NewThread(target=pull_ticks)
if not gv.PRE_THREADS.get(source): # 如果是第一次建立线程则创建，否则先关闭老线程，再开启新线程
gv.PRE_THREADS[source] = data_thread
else:
gv.PRE_THREADS[source].stop()
gv.PRE_THREADS[source] = data_thread
data_thread.start()
print(threading.enumerate())
print('data subscribed with source %s' % source)
elif source == 'simulation':
def simugen(pathtype='Brownian', step=1):
""" 模拟行情数据生成器 """
colnum = len(gv.POOL_COLUMNS)
holdings = gv.UNDL_POOL['total']
for undl in holdings:
if undl not in gv.UNDL_POOL_INFO:
gv.UNDL_POOL_INFO[undl] = np.random.rand(1, colnum)[0]
else:
if pathtype == 'Geometric':
trend = np.random.randn(1, colnum)[0]
sigma = np.random.rand(1, colnum)[0]
gv.UNDL_POOL_INFO[undl] *= np.exp(
trend * step + sigma * np.sqrt(step) *
np.random.randn(1, colnum))[0]
else:
gv.UNDL_POOL_INFO[undl] += np.sqrt(
step) * np.random.randn(1, colnum)[0]
data_thread = NewThread(target=simugen)
if not gv.PRE_THREADS.get(source): # 如果是第一次建立线程则创建，否则先关闭老线程，再开启新线程
gv.PRE_THREADS[source] = data_thread
else:
gv.PRE_THREADS[source].stop()
gv.PRE_THREADS[source] = data_thread
data_thread.start()
print(threading.enumerate())
print('data subscribed with source: %s' % source)
else:
print('No source infomation provided, can not subscribe!')