def QA_SU_save_future_min(engine, client=DATABASE):
err_timeout_product_list = []
err_unknown_product_list = []
succ_product_list = []
no_data_list = []
QA_util_log_info('Updating future min, total %d products' %
len(future_product_list))
for index, product_code in enumerate(future_product_list):
col = QASETTING.client.future_1min[product_code]
col.create_index([('datetime', pymongo.DESCENDING)], unique=True)
ref = col.find({
"code": product_code
}).sort('datetime', pymongo.DESCENDING)
start = '%s %s' % (DEFAULT_START_DATE, DEFAULT_START_TIME)
if ref.count() > 0:
start = ref.next()['datetime']
col.delete_one({'datetime': start})
end = time.strftime('%Y-%m-%d %H:%M:%S')
if start != end:
try:
print('UPDATE %s from %s to %s' % (product_code, start, end),
end="")
future_df = QATdx.QA_fetch_get_future_min(product_code,
start=start,
end=end)
if len(future_df) > 0:
future_json = future_df.to_json(orient='records')
col.insert_many(json.loads(future_json))
print(' OK!')
else:
no_data_list.append(product_code)
print(' NO DATA FROM TDX!')
succ_product_list.append(product_code)
except socket.timeout as ex:
err_timeout_product_list.append('%s: error.socket.timeout' %
product_code)
print(' TIMEOUT!')
except Exception as ex:
err_unknown_product_list.append('%s: %s\n %s' %
(product_code, ex, future_df))
print(' UNKNOWN_ERROR!')
else:
print('%s is up to date %s' % (product_code, end))
QA_util_log_info(
'Update future_min completed!\nTotal succeed: %d\n Total error:%d' %
(len(succ_product_list),
len(err_timeout_product_list) + len(err_unknown_product_list)))
if len(err_timeout_product_list) > 0:
for each_err_log in err_timeout_product_list:
QA_util_log_info(each_err_log)
if len(err_unknown_product_list) > 0:
for each_err_log in err_unknown_product_list:
QA_util_log_info(each_err_log)
if len(no_data_list) > 0:
QA_util_log_info('No data from TDX: %s' % no_data_list)
def QA_quotation(code, start, end, frequence, market, source=DATASOURCE.TDX, output=OUTPUT_FORMAT.DATAFRAME):
"""一个统一的获取k线的方法
如果使用mongo,从本地数据库获取,失败则在线获取
Arguments:
code {str/list} -- 期货/股票的代码
start {str} -- 开始日期
end {str} -- 结束日期
frequence {enum} -- 频率 QA.FREQUENCE
market {enum} -- 市场 QA.MARKET_TYPE
source {enum} -- 来源 QA.DATASOURCE
output {enum} -- 输出类型 QA.OUTPUT_FORMAT
"""
res = None
if market == MARKET_TYPE.STOCK_CN:
if frequence == FREQUENCE.DAY:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_stock_day_adv(code, start, end)
except:
res = None
if source == DATASOURCE.TDX or res == None:
res = QATdx.QA_fetch_get_stock_day(code, start, end, '00')
res = QA_DataStruct_Stock_day(res.set_index(['date', 'code']))
elif source == DATASOURCE.TUSHARE:
res = QATushare.QA_fetch_get_stock_day(code, start, end, '00')
elif frequence in [FREQUENCE.ONE_MIN, FREQUENCE.FIVE_MIN, FREQUENCE.FIFTEEN_MIN, FREQUENCE.THIRTY_MIN, FREQUENCE.SIXTY_MIN]:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_stock_min_adv(
code, start, end, frequence=frequence)
except:
res = None
if source == DATASOURCE.TDX or res == None:
res = QATdx.QA_fetch_get_stock_min(
code, start, end, frequence=frequence)
res = QA_DataStruct_Stock_min(
res.set_index(['datetime', 'code']))
elif market == MARKET_TYPE.FUTURE_CN:
if frequence == FREQUENCE.DAY:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_future_day_adv(code, start, end)
except:
res = None
if source == DATASOURCE.TDX or res is None:
res = QATdx.QA_fetch_get_future_day(code, start, end)
res = QA_DataStruct_Future_day(res.set_index(['date', 'code']))
elif frequence in [FREQUENCE.ONE_MIN, FREQUENCE.FIVE_MIN, FREQUENCE.FIFTEEN_MIN, FREQUENCE.THIRTY_MIN, FREQUENCE.SIXTY_MIN]:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_future_min_adv(
code, start, end, frequence=frequence)
except:
res = None
if source == DATASOURCE.TDX or res is None:
res = QATdx.QA_fetch_get_future_min(
code, start, end, frequence=frequence)
res = QA_DataStruct_Future_min(
res.set_index(['datetime', 'code']))
elif market == MARKET_TYPE.INDEX_CN:
if frequence == FREQUENCE.DAY:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_index_day_adv(code, start, end)
except:
return None
if source == DATASOURCE.TDX or res == None:
res = QATdx.QA_fetch_get_index_day(code, start, end)
res = QA_DataStruct_Index_day(res.set_index(['date', 'code']))
elif frequence in [FREQUENCE.ONE_MIN, FREQUENCE.FIVE_MIN, FREQUENCE.FIFTEEN_MIN, FREQUENCE.THIRTY_MIN, FREQUENCE.SIXTY_MIN]:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_index_min_adv(
code, start, end, frequence=frequence)
except:
res = None
if source == DATASOURCE.TDX or res == None:
res = QATdx.QA_fetch_get_index_min(
code, start, end, frequence=frequence)
res = QA_DataStruct_Index_min(
res.set_index(['datetime', 'code']))
elif market == MARKET_TYPE.OPTION_CN:
if source == DATASOURCE.MONGO:
#res = QAQueryAdv.QA_fetch_option_day_adv(code, start, end)
raise NotImplementedError('CURRENT NOT FINISH THIS METHOD')
# print(type(res))
if output is OUTPUT_FORMAT.DATAFRAME:
return res.data
elif output is OUTPUT_FORMAT.DATASTRUCT:
return res
elif output is OUTPUT_FORMAT.NDARRAY:
return res.to_numpy()
elif output is OUTPUT_FORMAT.JSON:
return res.to_json()
elif output is OUTPUT_FORMAT.LIST:
return res.to_list()
def QA_quotation_adv(code, start, end=save_tdx.now_time(), frequence='1min',
market=MARKET_TYPE.STOCK_CN, source=DATASOURCE.AUTO, output=OUTPUT_FORMAT.DATAFRAME):
"""一个统一的获取k线的方法
如果source=DATASOURCE.AUTO,优先mongo,从本地数据库获取,mongo中未下载的数据从TDX中在线补全。(仅限股票)
Arguments:
code {str/list} -- 期货/股票的代码
start {str} -- 开始日期
end {str} -- 结束日期
frequence {enum} -- 频率 QA.FREQUENCE
market {enum} -- 市场 QA.MARKET_TYPE
source {enum} -- 来源 QA.DATASOURCE
output {enum} -- 输出类型 QA.OUTPUT_FORMAT
"""
if pd.Timestamp(end) > pd.Timestamp(save_tdx.now_time()):
end = save_tdx.now_time()
res = None
if market == MARKET_TYPE.STOCK_CN:
if frequence == FREQUENCE.DAY or frequence == FREQUENCE.WEEK:
if source == DATASOURCE.AUTO:
try:
# 返回的是QA_DataStruct_Stock_day对象，为了与在线获取的数据格式保持统一，转成单索引
res = QAQueryAdv.QA_fetch_stock_day_adv(
code, start, end).data.reset_index(level='code')
# res = QAQueryAdv.QA_fetch_stock_day_adv(
# code, start, end).data.reset_index(level='code')[:14]
start_date = res.index[-1]
end_date = pd.Timestamp(end)
if end_date-start_date > datetime.timedelta(hours=17):
# 从TDX补充数据，由于仅考虑个股，在这里不做入库操作，入库还是需要save
data_tdx = QATdx.QA_fetch_get_stock_day(
code, QA_util_get_next_period(start_date, frequence), end_date, '00')
# data_tdx与从数据库获取的数据格式上做一些统一。
data_tdx = data_tdx.rename(columns={"vol": "volume"}).drop([
'date', 'date_stamp'], axis=1)
data_tdx.index = pd.to_datetime(data_tdx.index)
res = pd.concat([res, data_tdx], sort=True)
res = QA_DataStruct_Stock_day(
res.reset_index().set_index(['date', 'code']))
except:
res = None
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_stock_day_adv(code, start, end)
except:
res = None
if source == DATASOURCE.TDX or res == None:
res = QATdx.QA_fetch_get_stock_day(code, start, end, '00')
res = QA_DataStruct_Stock_day(res.set_index(['date', 'code']))
elif source == DATASOURCE.TUSHARE:
res = QATushare.QA_fetch_get_stock_day(code, start, end, '00')
if frequence == FREQUENCE.WEEK:
res = QA_DataStruct_Stock_day(
QA_data_day_resample(res.data))
elif frequence in [FREQUENCE.ONE_MIN, FREQUENCE.FIVE_MIN, FREQUENCE.FIFTEEN_MIN, FREQUENCE.THIRTY_MIN, FREQUENCE.SIXTY_MIN]:
if source == DATASOURCE.AUTO:
try:
# 返回的是QA_DataStruct_Stock_day对象，为了与在线获取的数据格式保持统一，转成单索引
res = QAQueryAdv.QA_fetch_stock_min_adv(
code, start, end, frequence=frequence).data.reset_index(level='code')
# res = QAQueryAdv.QA_fetch_stock_min_adv(
# code, start, end, frequence=frequence).data.reset_index(level='code')[:710]
start_date = res.index[-1]
end_date = pd.Timestamp(end)
if end_date > start_date:
# 从TDX补充数据，由于仅考虑个股，在这里不做入库操作，入库还是需要save
data_tdx = QATdx.QA_fetch_get_stock_min(code, QA_util_get_next_period(
start_date, frequence), end_date, frequence=frequence)
# data_tdx与从数据库获取的数据格式上做一些统一。
data_tdx = data_tdx.rename(columns={"vol": "volume"}).drop(
['date', 'datetime', 'date_stamp', 'time_stamp'], axis=1)
data_tdx.index = pd.to_datetime(data_tdx.index)
res = pd.concat([res, data_tdx], sort=True)
res = QA_DataStruct_Stock_day(
res.reset_index().set_index(['datetime', 'code']))
except:
res = None
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_stock_min_adv(
code,
start,
end,
frequence=frequence
)
except:
res = None
if source == DATASOURCE.TDX or res == None:
res = QATdx.QA_fetch_get_stock_min(
code,
start,
end,
frequence=frequence
)
res = QA_DataStruct_Stock_min(
res.set_index(['datetime',
'code'])
)
elif market == MARKET_TYPE.FUTURE_CN:
if frequence == FREQUENCE.DAY:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_future_day_adv(code, start, end)
except:
res = None
if source == DATASOURCE.TDX or res is None:
res = QATdx.QA_fetch_get_future_day(code, start, end)
res = QA_DataStruct_Future_day(res.set_index(['date', 'code']))
elif frequence in [FREQUENCE.ONE_MIN,
FREQUENCE.FIVE_MIN,
FREQUENCE.FIFTEEN_MIN,
FREQUENCE.THIRTY_MIN,
FREQUENCE.SIXTY_MIN]:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_future_min_adv(
code,
start,
end,
frequence=frequence
)
except:
res = None
if source == DATASOURCE.TDX or res is None:
res = QATdx.QA_fetch_get_future_min(
code,
start,
end,
frequence=frequence
)
res = QA_DataStruct_Future_min(
res.set_index(['datetime',
'code'])
)
elif market == MARKET_TYPE.INDEX_CN:
if frequence == FREQUENCE.DAY:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_index_day_adv(code, start, end)
except:
return None
if source == DATASOURCE.TDX or res == None:
res = QATdx.QA_fetch_get_index_day(code, start, end)
res = QA_DataStruct_Index_day(res.set_index(['date', 'code']))
elif frequence in [FREQUENCE.ONE_MIN,
FREQUENCE.FIVE_MIN,
FREQUENCE.FIFTEEN_MIN,
FREQUENCE.THIRTY_MIN,
FREQUENCE.SIXTY_MIN]:
if source == DATASOURCE.MONGO:
try:
res = QAQueryAdv.QA_fetch_index_min_adv(
code,
start,
end,
frequence=frequence
)
except:
res = None
if source == DATASOURCE.TDX or res == None:
res = QATdx.QA_fetch_get_index_min(
code,
start,
end,
frequence=frequence
)
res = QA_DataStruct_Index_min(
res.set_index(['datetime',
'code'])
)
elif market == MARKET_TYPE.OPTION_CN:
if source == DATASOURCE.MONGO:
#res = QAQueryAdv.QA_fetch_option_day_adv(code, start, end)
raise NotImplementedError('CURRENT NOT FINISH THIS METHOD')
# print(type(res))
if output is OUTPUT_FORMAT.DATAFRAME:
return res.data
elif output is OUTPUT_FORMAT.DATASTRUCT:
return res
elif output is OUTPUT_FORMAT.NDARRAY:
return res.to_numpy()
elif output is OUTPUT_FORMAT.JSON:
return res.to_json()
elif output is OUTPUT_FORMAT.LIST:
return res.to_list()
def QA_quotation(code, start, end, frequence, market, source, output):
"""一个统一的fetch
Arguments:
code {str/list} -- 证券/股票的代码
start {str} -- 开始日期
end {str} -- 结束日期
frequence {enum} -- 频率 QA.FREQUENCE
market {enum} -- 市场 QA.MARKET_TYPE
source {enum} -- 来源 QA.DATASOURCE
output {enum} -- 输出类型 QA.OUTPUT_FORMAT
"""
if market == MARKET_TYPE.STOCK_CN:
if frequence == FREQUENCE.DAY:
if source == DATASOURCE.MONGO:
res = QAQueryAdv.QA_fetch_stock_day_adv(code, start, end)
elif source == DATASOURCE.TDX:
res = QATdx.QA_fetch_get_stock_day(code, start, end, '00')
elif source == DATASOURCE.TUSHARE:
res = QATushare.QA_fetch_get_stock_day(code, start, end, '00')
elif frequence in [FREQUENCE.ONE_MIN, FREQUENCE.FIVE_MIN, FREQUENCE.FIFTEEN_MIN, FREQUENCE.THIRTY_MIN, FREQUENCE.SIXTY_MIN]:
if source == DATASOURCE.MONGO:
res = QAQueryAdv.QA_fetch_stock_min_adv(
code, start, end, frequence=frequence)
elif source == DATASOURCE.TDX:
res = QATdx.QA_fetch_get_stock_min(
code, start, end, frequence=frequence)
elif frequence == FREQUENCE.TICK:
if source == DATASOURCE.TDX:
res = QATdx.QA_fetch_get_stock_transaction(code, start, end)
elif market == MARKET_TYPE.FUTURE_CN:
if frequence == FREQUENCE.DAY:
if source == DATASOURCE.MONGO:
res = QAQueryAdv.QA_fetch_future_day_adv(code, start, end)
elif source == DATASOURCE.TDX:
res = QATdx.QA_fetch_get_future_day(code, start, end)
elif frequence in [FREQUENCE.ONE_MIN, FREQUENCE.FIVE_MIN, FREQUENCE.FIFTEEN_MIN, FREQUENCE.THIRTY_MIN, FREQUENCE.SIXTY_MIN]:
if source == DATASOURCE.MONGO:
res = QAQueryAdv.QA_fetch_future_min_adv(
code, start, end, frequence=frequence)
elif source == DATASOURCE.TDX:
res = QATdx.QA_fetch_get_future_min(
code, start, end, frequence=frequence)
elif frequence == FREQUENCE.TICK:
if source == DATASOURCE.TDX:
res = QATdx.QA_fetch_get_future_transaction(code, start, end)
# 指数代码和股票代码是冲突重复的， sh000001 上证指数 000001 是不同的
elif market == MARKET_TYPE.INDEX_CN:
if frequence == FREQUENCE.DAY:
if source == DATASOURCE.MONGO:
res = QAQueryAdv.QA_fetch_index_day_adv(code, start, end)
elif market == MARKET_TYPE.OPTION_CN:
if source == DATASOURCE.MONGO:
#res = QAQueryAdv.QA_fetch_option_day_adv(code, start, end)
raise NotImplementedError('CURRENT NOT FINISH THIS METHOD')
# print(type(res))
return res
