def gen_future_info(d):
future_info_file = os.path.join(d, 'future_info.json')
if not os.path.exists(future_info_file):
init_future_info(d)
return
with open(future_info_file, 'r') as f:
all_futures_info = json.load(f)
future_list = []
symbol_list = []
param = [
'close_commission_ratio', 'close_commission_today_ratio',
'commission_type', 'open_commission_ratio'
]
for i in all_futures_info:
if i.get('order_book_id'):
future_list.append(i.get('order_book_id'))
else:
symbol_list.append(i.get('underlying_symbol'))
futures_order_book_id = rqdatac.all_instruments(
type='Future')['order_book_id'].unique()
for future in futures_order_book_id:
underlying_symbol = re.match(r'^[a-zA-Z]*', future).group()
if future in future_list:
continue
future_dict = {}
commission = rqdatac.futures.get_commission_margin(future)
if not commission.empty:
future_list.append(future)
future_dict['order_book_id'] = future
commission = commission.iloc[0]
for p in param:
future_dict[p] = commission[p]
future_dict['tick_size'] = rqdatac.instruments(future).tick_size()
elif underlying_symbol in symbol_list \
or underlying_symbol in {'S', 'TC', 'ER', 'WS', 'WT', 'RO', 'ME'}:
continue
else:
symbol_list.append(underlying_symbol)
future_dict['underlying_symbol'] = underlying_symbol
try:
dominant = rqdatac.futures.get_dominant(
underlying_symbol).iloc[-1]
except AttributeError:
# FIXME: why get_dominant return None???
continue
commission = rqdatac.futures.get_commission_margin(
dominant).iloc[0]
for p in param:
future_dict[p] = commission[p]
future_dict['tick_size'] = rqdatac.instruments(
dominant).tick_size()
all_futures_info.append(future_dict)
with open(os.path.join(d, 'future_info.json'), 'w') as f:
json.dump(all_futures_info, f, separators=(',', ':'), indent=2)
def gen_instruments(d):
stocks = sorted(list(rqdatac.all_instruments().order_book_id))
instruments = [i.__dict__ for i in rqdatac.instruments(stocks)]
with open(os.path.join(d, 'instruments.pk'), 'wb') as out:
pickle.dump(instruments, out, protocol=2)
def init_future_info(d):
all_futures_info = []
underlying_symbol_list = []
fields = [
'close_commission_ratio', 'close_commission_today_ratio',
'commission_type', 'open_commission_ratio'
]
futures_order_book_id = rqdatac.all_instruments(
type='Future')['order_book_id'].unique()
for future in futures_order_book_id:
future_dict = {}
underlying_symbol = re.match(r'^[a-zA-Z]*', future).group()
commission = rqdatac.futures.get_commission_margin(future)
if not commission.empty:
future_dict['order_book_id'] = future
commission = commission.iloc[0]
for p in fields:
future_dict[p] = commission[p]
future_dict['tick_size'] = rqdatac.instruments(future).tick_size()
elif underlying_symbol not in underlying_symbol_list:
if underlying_symbol in {'S', 'TC', 'ER', 'WS', 'WT', 'RO', 'ME'}:
continue
underlying_symbol_list.append(underlying_symbol)
future_dict['underlying_symbol'] = underlying_symbol
try:
dominant = rqdatac.futures.get_dominant(
underlying_symbol).iloc[-1]
except AttributeError:
# FIXME: why get_dominant return None???
continue
commission = rqdatac.futures.get_commission_margin(
dominant).iloc[0]
for p in fields:
future_dict[p] = commission[p]
future_dict['tick_size'] = rqdatac.instruments(
dominant).tick_size()
else:
continue
all_futures_info.append(future_dict)
hard_info = [{
'underlying_symbol': 'TC',
'close_commission_ratio': 4.0,
'close_commission_today_ratio': 0.0,
'commission_type': "by_volume",
'open_commission_ratio': 4.0,
'tick_size': 0.2
}, {
'underlying_symbol': 'ER',
'close_commission_ratio': 2.5,
'close_commission_today_ratio': 2.5,
'commission_type': "by_volume",
'open_commission_ratio': 2.5,
'tick_size': 1.0
}, {
'underlying_symbol': 'WS',
'close_commission_ratio': 2.5,
'close_commission_today_ratio': 0.0,
'commission_type': "by_volume",
'open_commission_ratio': 2.5,
'tick_size': 1.0
}, {
'underlying_symbol': 'RO',
'close_commission_ratio': 2.5,
'close_commission_today_ratio': 0.0,
'commission_type': "by_volume",
'open_commission_ratio': 2.5,
'tick_size': 2.0
}, {
'underlying_symbol': 'ME',
'close_commission_ratio': 1.4,
'close_commission_today_ratio': 0.0,
'commission_type': "by_volume",
'open_commission_ratio': 1.4,
'tick_size': 1.0
}]
all_futures_info += hard_info
with open(os.path.join(d, 'future_info.json'), 'w') as f:
json.dump(all_futures_info, f, separators=(',', ':'), indent=2)