def test_get_share(self):
share = _modb.get_share('', isodate_to_milliseconds('2018-04-27'),
isodate_to_milliseconds('2018-04-27'))
lg.info("local daily summary:\n{}".format(share.head(1)))
online = sse.get_money_fund_share('2018-04-27')
lg.info("online daily summary:\n{}".format(online.head(1)))
self.assertEqual(len(share.index), len(online.index))
self.assertEqual(share.iloc[0][moneydb.COL_TRADE_DATE],
online.iloc[0]['STAT_DATE'])
def sync_gcr_ohlc(self,
gcr_index='sh204001',
count_of_recent_trading_days=14):
logger.info("syncing gcr ohlc {}:days:{}".format(
gcr_index, count_of_recent_trading_days))
if gcr_index not in moneydb.tracked_gcr:
logger.error("gcr {} is not tracked.".format(gcr_index))
return
duration = moneydb.tracked_gcr[gcr_index][moneydb.COL_GCR_DURATION]
amt_multiple = moneydb.tracked_gcr[gcr_index][moneydb.COL_GCR_AMOUNT]
ohlc = moneysites.qq.get_gcr_ohlc(
gcr_index=gcr_index,
count_of_recent_trading_days=count_of_recent_trading_days)
ohlc[moneydb.COL_GCR_INDEX] = [gcr_index for _ in ohlc.index]
ohlc[moneydb.COL_GCR_DURATION] = [duration for _ in ohlc.index]
ohlc[moneydb.COL_GCR_AMOUNT] = [
amt_multiple * ohlc.loc[i]['v'] for i in ohlc.index
]
ohlc[moneydb.COL_TRADE_DATE] = ohlc['d']
ohlc[moneydb.COL_MILLISECONDS] = [
isodate_to_milliseconds(ohlc.loc[i][moneydb.COL_TRADE_DATE])
for i in ohlc.index
]
logger.debug("grc_ohlc:\n{}".format(ohlc.tail(1)))
self._modb.upsert_gcr_ohlc(ohlc)
logger.info("{} gcr ohlc sync is done:{}".format(
gcr_index, len(ohlc.index)))
def sync_today(self, force_update=False, missed_days=14):
'''
清算后
:param force_update:
:param missed_days:
:return:
'''
trade_date = datetime.today().isoformat()[:10]
start = datetime.today() - timedelta(days=missed_days)
start_date = start.isoformat()[:10]
logger.info("syncing money share today from {} to {}...".format(
start_date, trade_date))
self.sync_money_share(fr_date=start_date, force_update=force_update)
for gcr_index in moneydb.tracked_gcr:
# logger.info("syncing gcr today:{}".format(gcr_index))
self.sync_gcr_ohlc(gcr_index=gcr_index,
count_of_recent_trading_days=missed_days)
logger.info("update gcr locked amount from: {}".format(start_date))
self.update_gcr_locked_amount(fr_date=start_date)
logger.info("{}:ugly szse share is syncing...".format(trade_date))
share = moneysites.szse.get_money_fund_share(trade_date)
share[moneydb.COL_MONEY_FUND_INDEX] = share['SEC_CODE']
share[moneydb.COL_TRADE_DATE] = share['STAT_DATE']
share[moneydb.COL_MILLISECONDS] = [
isodate_to_milliseconds(share.loc[i][moneydb.COL_TRADE_DATE])
for i in share.index
]
self._modb.upsert_share(share)
logger.info("sync today is done.")
def sync_money_share(self,
fr_date='2018-01-01',
to_date='',
force_update=False,
wait=1):
end = datetime.today()
if to_date != '':
end = datetime.strptime(to_date, '%Y-%m-%d')
start = datetime.strptime(fr_date, '%Y-%m-%d')
delta = timedelta(days=1)
count = int((end - start) / delta) + 1
i = 1
while start <= end:
trade_date = start.isoformat()[:10]
logger.info("{}({}/{}):".format(trade_date, i, count))
if start.weekday() < 5:
milliseconds = isodate_to_milliseconds(trade_date)
cached_share = self._modb.get_share(fund_index='',
fr_ms=milliseconds,
to_ms=milliseconds)
if len(cached_share.index) == 0 or force_update:
self._sync_money_share(trade_date)
time.sleep(wait)
else:
logger.info(
"{} share already exists and not force update.".format(
trade_date))
else:
logger.info("skip weekend:{}".format(start.strftime("%A")))
start += delta
i += 1
def _sync_ohlc(self, option_index):
option_index = str(option_index)
logger.info("{}:ohlc is syncing...".format(option_index))
ohlc = optionsites.sina.get_option_history_ohlc(option_index)
ohlc[optiondb.COL_OPTION_INDEX] = [option_index for _ in ohlc.index]
ohlc[optiondb.COL_TRADE_DATE] = ohlc['d']
ohlc[optiondb.COL_MILLISECONDS] = [
isodate_to_milliseconds(ohlc.loc[i][optiondb.COL_TRADE_DATE])
for i in ohlc.index
]
logger.debug("online ohlc:{}\n{}".format(len(ohlc.index),
ohlc.head(1)))
self._opdb.upsert_ohlc(ohlc)
def sync_hsg_flow(self, fr_date='2014-11-17', to_date=''):
logger.info("syncing hsg flow {} to {}".format(fr_date, to_date))
flow = moneysites.eastmoney.get_hsg_flow(fr_date, to_date)
flow[moneydb.COL_TRADE_DATE] = [
flow.loc[i]['DateTime'][:10] for i in flow.index
]
flow[moneydb.COL_MILLISECONDS] = [
isodate_to_milliseconds(flow.loc[i][moneydb.COL_TRADE_DATE])
for i in flow.index
]
logger.debug("hsg flow:\n{}".format(flow.tail(1)))
self._modb.upsert_hsg_flow(flow)
logger.info("hsg flow sync is done:{}: {} to {}".format(
len(flow.index), fr_date, to_date))
def _sync_greeks(self, trade_date):
logger.info("{}:greeks is syncing...".format(trade_date))
greeks = optionsites.sse.get_greeks(trade_date)
greeks[optiondb.COL_OPTION_INDEX] = greeks['SECURITY_ID']
greeks[optiondb.COL_OPTION_CODE] = greeks['CONTRACT_ID']
greeks[optiondb.COL_TRADE_DATE] = greeks['TRADE_DATE']
greeks[optiondb.COL_MILLISECONDS] = [
isodate_to_milliseconds(greeks.loc[i][optiondb.COL_TRADE_DATE])
for i in greeks.index
]
self._opdb.upsert_greeks(greeks)
logger.debug("\n{}".format(greeks.head(1)))
logger.info("greeks sync done.")
def _sync_money_share(self, trade_date):
check_isodatestr_or_raise(trade_date)
logger.info("{}:share is syncing...".format(trade_date))
share = moneysites.sse.get_money_fund_share(trade_date)
share[moneydb.COL_MONEY_FUND_INDEX] = share['SEC_CODE']
share[moneydb.COL_TRADE_DATE] = share['STAT_DATE']
share[moneydb.COL_MILLISECONDS] = [
isodate_to_milliseconds(share.loc[i][moneydb.COL_TRADE_DATE])
for i in share.index
]
self._modb.upsert_share(share)
logger.debug("\n{}".format(share.head(1)))
logger.info("{}:share sync is done:{}".format(trade_date,
len(share.index)))
def update_gcr_locked_amount(self, fr_date='2018-01-01', to_date=''):
end = datetime.today()
if to_date != '':
end = datetime.strptime(to_date, '%Y-%m-%d')
start = datetime.strptime(fr_date, '%Y-%m-%d')
delta = timedelta(days=1)
count = int((end - start) / delta) + 1
i = 1
while start <= end:
trade_date = start.isoformat()[:10]
logger.info("update gcr locked amount: {}({}/{}):".format(
trade_date, i, count))
if start.weekday() < 5:
milliseconds = isodate_to_milliseconds(trade_date)
self._modb.update_gcr_locked_amount(milliseconds)
else:
logger.info("skip weekend:{}".format(start.strftime("%A")))
start += delta
i += 1
def sync_greeks(self,
fr_date='2015-02-09',
to_date='',
force_update=False,
wait=1):
'''
must be called before sync_ohlc([], False)
:param fr_date:
:param to_date:
:param force_update:
:param wait:
:return:
'''
end = datetime.today()
if to_date != '':
end = datetime.strptime(to_date, '%Y-%m-%d')
start = datetime.strptime(fr_date, '%Y-%m-%d')
delta = timedelta(days=1)
count = int((end - start) / delta) + 1
i = 1
while start <= end:
trade_date = start.isoformat()[:10]
logger.info("({}/{}){}:".format(i, count, trade_date))
if start.weekday() < 5: # need trade calendar
milliseconds = isodate_to_milliseconds(trade_date)
cached_greeks = self._opdb.get_greeks(option_index='',
fr_ms=milliseconds,
to_ms=milliseconds)
if len(cached_greeks.index) == 0 or force_update:
self._sync_greeks(trade_date)
time.sleep(wait)
else:
logger.info(
"{} greeks already exists and not force update.".
format(trade_date))
else:
logger.info("skip weekend:{} {}".format(
trade_date, start.strftime("%A")))
start += delta
i += 1
def test_update_gcr_locked_amount(self):
_modb.update_gcr_locked_amount(isodate_to_milliseconds('2018-05-02'))
