def get_ticks(symbol, begin_time, end_time):
var = md.get_ticks(symbol, begin_time, end_time)
if len(var) == 0:
print("no ticks data for stock %s between %s and %s" %(symbol, begin_time, end_time))
return pd.DataFrame()
else:
ret = tick_topd(var,'date')
return ret
def download(exchange, instrument, date):
dt = dateutil.parser.parse(date)
fname = '%s-%4d%02d%02d.csv' % (instrument, dt.year, dt.month, dt.day)
if os.path.isfile(fname):
print('%s already existed!' % fname)
return fname
print('download ticks \'%s\'...' % fname)
start = '%4d-%02d-%02d 09:00:00' % (dt.year, dt.month, dt.day)
end = '%4d-%02d-%02d 15:00:00' % (dt.year, dt.month, dt.day)
md.init('*****@*****.**', 'xxx')
data = md.get_ticks('%s.%s' % (exchange, instrument), start, end)
if len(data) == 0:
print('download failed!')
return None
else:
print('download %d ticks' % len(data))
def secondofday(time):
t = time.split(':')
return int(t[0]) * 3600 + int(t[1]) * 60 + int(t[2])
rnd = lambda x: int(x) if math.modf(x)[0] == 0 else round(x, 1)
ticks = []
for x in data:
utctime = datetime.datetime.fromtimestamp(x.utc_time)
time = utctime.strftime('%H:%M:%S')
millis = int(int(utctime.strftime('%f')) / 1000)
seconds = secondofday(time)
ticks.append([
x.sec_id, time, millis,
int(x.cum_volume),
rnd(x.cum_amount), x.cum_position,
rnd(x.bids[0][0]), x.bids[0][1],
rnd(x.asks[0][0]), x.asks[0][1], seconds
])
with open(fname, 'w') as outfile:
writer = csv.writer(outfile, delimiter=',')
writer.writerow([
"InstrumentID", "UpdateTime", "UpdateMillisec", "Volume",
"Turnover", "OpenInterest", "BidPrice1", "BidVolume1", "AskPrice1",
"AskVolume1", "SecondOfDay"
])
for x in ticks:
writer.writerow(x)
return fname
def gmwsd(self, code, valstr, startdate, enddate):
# 假设startdate,enddate均为datetime/time 格式
cols = [
'strtime', 'open', 'high', 'low', 'close', 'volume', 'amount',
'settle_price'
]
today = dt.datetime.today()
if 'strtime' not in valstr:
valstr = ','.join(['strtime', valstr])
if enddate.strftime('%Y-%m-%d') >= today.strftime(
'%Y-%m-%d'): # 需要取今日数据
nowtime = dt.datetime.now()
if nowtime.hour * 100 + nowtime.minute > 1500: # 收盘后请求当日数据，根据tick数据构建
head = dt.datetime(year=today.year,
month=today.month,
day=today.day,
hour=15)
tail = dt.datetime(year=today.year,
month=today.month,
day=today.day,
hour=16)
tickdata = md.get_ticks(code,
head.strftime('%Y-%m-%d %H:%M:%S'),
tail.strftime('%Y-%m-%d %H:%M:%S'))
t = tickdata[-1]
todaydata = [
t.strtime, t.open, t.high, t.low, t.last_price,
t.cum_volume, t.cum_amount, t.settle_price
] # 将所有字段添加if needed
else: #收盘前请求当日数据，将返回前一日结果
lastdata = md.get_last_dailybars(code)
t = lastdata[0]
todaydata = [
t.strtime, t.open, t.high, t.low, t.close, t.volume,
t.amount, t.settle_price
]
todaydata = pd.DataFrame([todaydata], columns=cols)
else:
todaydata = pd.DataFrame()
if startdate == enddate: # 不再需要其他数据
return todaydata.loc[:, valstr.split(',')]
else:
tempdata = md.get_dailybars(code, startdate.strftime('%Y-%m-%d'),
enddate.strftime('%Y-%m-%d'))
predata = [[
t.strtime, t.open, t.high, t.low, t.close, t.volume, t.amount,
t.settle_price
] for t in tempdata]
predata = pd.DataFrame(predata, columns=cols)
return predata.append(todaydata,
ignore_index=True).loc[:,
valstr.split(',')]
def extract_tick_data(self, session_start, session_end, target_contract):
return_tick_dicts = []
ret_value = md.init("*****@*****.**", "btbxl@121208")
current_loop_start = session_start
while (True):
test_tick_list = md.get_ticks(
target_contract,
current_loop_start.strftime(
stdafx.my_datetime.my_quant_time_format),
session_end.strftime(stdafx.my_datetime.my_quant_time_format))
if test_tick_list.__len__() <= 1: #如果已经取不出数据，则跳出
break
current_final_tick = test_tick_list[test_tick_list.__len__() - 1]
current_final_tick_moment = stdafx.my_datetime.utc_float2datetime(
current_final_tick.utc_time)
current_loop_start = current_final_tick_moment #更新下一圈提数据的开始时刻
test_tick_list.pop()
return_tick_dicts.extend(test_tick_list)
if current_loop_start >= session_end: #如果下圈开始时间已经等于最终时间，则结束
break
pass
tick_series = [
my_tick(tick_to_dict(each_tick)) for each_tick in return_tick_dicts
]
self.tick_profitability_walk(tick_series)
my_tick_dict_series = [each.__dict__ for each in tick_series]
pickle_filename = self.get_pickle_filename(target_contract,
session_start, session_end)
pickle_file = open(pickle_filename, mode='wb')
pickle.dump(my_tick_dict_series, pickle_file, -1)
pickle_file.close()
return my_tick_dict_series
#!/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_ticks(symbol, begin_time, end_time):
var = md.get_ticks(symbol, begin_time, end_time)
ret = tick_topd(var,'date')
return ret
def get_ticks(symbol, begin_time, end_time):
var = md.get_ticks(symbol, begin_time, end_time)
ret = tick_topd(var, 'date')
return ret
from gmsdk import md
ret = md.init("13601380996",
"it@iZ23psatkqsZ",
2,
"SHFE.RU1709.bar.60")
ticks = md.get_ticks("SHSE.600000,SZSE.000001",
"2017-06-01 09:30:00",
"2017-06-01 09:31:00")
print(ticks)
ret = md.init("13601380996",
"it@iZ23psatkqsZ",
4,
"SHFE.ru1709.tick")
ti = md.get_ticks("SHFE.ru1709.tick","2017-06-01 09:30:00","2017-06-01 09:31:00")
print("aaa!")
print(ti)
