def connect_quote(self):
"""
Connect to market data server.
"""
self.quote_ctx = OpenQuoteContext(self.host, self.port)
class QuoteHandler(StockQuoteHandlerBase):
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(QuoteHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.process_quote(content)
return RET_OK, content
class OrderBookHandler(OrderBookHandlerBase):
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(OrderBookHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.process_orderbook(content)
return RET_OK, content
self.quote_ctx.set_handler(QuoteHandler())
self.quote_ctx.set_handler(OrderBookHandler())
self.quote_ctx.start()
self.write_log("行情接口连接成功")
def start(self, host = ct.FUTU_HOST, port = ct.FUTU_PORT):
with self.lock:
if self.quote_ctx is None:
self.quote_ctx = OpenQuoteContext(host, port)
else:
self.quote_ctx.start()
self.sub_dict = self.get_subscribed_dict()
logger.debug("self.sub_dict:%s" % self.sub_dict)
self._status = True
def get_stockdata(stock_list,start_date,end_date):
df={}
for stock in stock_list:
code = stock
filename = code+".csv"
path = "./stock/"
if not os.path.exists(path):
os.makedirs(path)
if os.path.exists(path + filename):
df_stock = pd.read_csv(path + filename)
else:
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
ret, df_stock, page_req_key = quote_ctx.request_history_kline(stock, start=start_date, end=end_date)
quote_ctx.close()
df_stock['date']=pd.to_datetime(df_stock['time_key'])
df_stock.to_csv(path + filename)
df_stock.index = pd.to_datetime(df_stock.date)
df_stock['openinterest']=0
df_stock = df_stock[['open','high','low','close','volume','openinterest']]
df.update({stock:df_stock})
return df
def connectQuote(self):
"""连接行情功能"""
self.quoteCtx = OpenQuoteContext(self.host, self.port)
# 继承实现处理器类
class QuoteHandler(StockQuoteHandlerBase):
"""报价处理器"""
gateway = self # 缓存Gateway对象
def on_recv_rsp(self, rsp_str):
ret_code, content = super(QuoteHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processQuote(content)
return RET_OK, content
class OrderBookHandler(OrderBookHandlerBase):
"""订单簿处理器"""
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(OrderBookHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processOrderBook(content)
return RET_OK, content
# 设置回调处理对象
self.quoteCtx.set_handler(QuoteHandler())
self.quoteCtx.set_handler(OrderBookHandler())
# 启动行情
self.quoteCtx.start()
self.writeLog(u'行情接口连接成功')
# toolkit for caculate annual percentage yield of cash secured short put strategy
from futu import OpenQuoteContext, RET_OK, OptionType, OptionCondType, set_futu_debug_model
from datetime import datetime, timedelta, timezone
import sys
set_futu_debug_model(False)
TIMEZONE_OFFSET = timedelta(
hours=-12
) # North American Eastern Time Zone, known as ET (EDT is UTC-4, EST is UTC-5)
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
group_name = sys.argv[1]
ret_code, stocks = quote_ctx.get_user_security(group_name)
if ret_code != RET_OK:
print("get_user_security, ret_code: %s, error: %s" % (ret_code, stocks))
sys.exit()
#print(stocks)
for i, stock in stocks.iterrows():
code = stock["code"]
name = stock["name"]
print(code, name)
quote_ctx.close()
def __enter__(self):
self.quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
self.connect_quote()
return self