def merge_quotes(quotes):
first = quotes[0]
last = quotes[-1]
pre_close = first.pre_close
open = first.open
high = max(q.high for q in quotes)
low = min(q.low for q in quotes)
close = last.close
volume = sum(q.volume for q in quotes)
amount = sum(q.amount for q in quotes)
change = last.close - first.pre_close
percent = change_percent(close, pre_close)
merged = Quote(
code=first.code,
datetime=first.datetime,
period='TBD',
open=open,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=change,
percent=percent,
volume=volume,
amount=amount
)
if last.turnover:
estimate_shares = int(last.volume / last.turnover * 100)
merged.turnover = round(float(volume) / estimate_shares * 100, 3)
return merged
def merge_quotes(quotes):
first = quotes[0]
last = quotes[-1]
pre_close = first.pre_close
open = first.open
high = max(q.high for q in quotes)
low = min(q.low for q in quotes)
close = last.close
volume = sum(q.volume for q in quotes)
amount = sum(q.amount for q in quotes)
change = last.close - first.pre_close
percent = change_percent(close, pre_close)
merged = Quote(code=first.code,
datetime=first.datetime,
period='TBD',
open=open,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=change,
percent=percent,
volume=volume,
amount=amount)
if last.turnover:
estimate_shares = int(last.volume / last.turnover * 100)
merged.turnover = round(float(volume) / estimate_shares * 100, 3)
return merged
def pull_history_hq_of_index(index, start_date=None, end_date=None):
if not start_date:
start_date = index.listing_date
hqs = ts.get_h_data(index.code,
start=str(start_date),
end=str(end_date),
index=True,
autype='',
pause=0.01)
iterator = reversed(hqs.index)
first_index = next(iterator)
first_day_hq = hqs.loc[first_index]
pre_close = first_day_hq['open']
sess = Session()
for timestamp in reversed(hqs.index):
dt = timestamp.to_datetime()
datetime_ = date(dt.year, dt.month, dt.day)
row = hqs.loc[timestamp]
open_price = row['open']
close = row['close']
low = row['low']
high = row['high']
volume = row['volume']
amount = row['amount']
change = close - pre_close
change_pct = change_percent(close, pre_close)
hq_day = Quote(code=index.code,
datetime=datetime_,
period='d1',
open=open_price,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=change,
percent=change_pct,
volume=volume,
amount=amount)
sess.merge(hq_day)
pre_close = close
logging.info('[%s][%s]' % (str(index.code), str(datetime_)))
sess.commit()
logging.info(str(index.code) + ' db session commited')
def pull_history_hq_of_index(index, start_date=None, end_date=None):
if not start_date:
start_date = index.listing_date
hqs = ts.get_h_data(index.code, start=str(start_date), end=str(end_date),
index=True, autype='', pause=0.01)
iterator = reversed(hqs.index)
first_index = next(iterator)
first_day_hq = hqs.loc[first_index]
pre_close = first_day_hq['open']
sess = Session()
for timestamp in reversed(hqs.index):
dt = timestamp.to_datetime()
datetime_ = date(dt.year, dt.month, dt.day)
row = hqs.loc[timestamp]
open_price = row['open']
close = row['close']
low = row['low']
high = row['high']
volume = row['volume']
amount = row['amount']
change = close - pre_close
change_pct = change_percent(close, pre_close)
hq_day = Quote(
code=index.code,
datetime=datetime_,
period='d1',
open=open_price,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=change,
percent=change_pct,
volume=volume,
amount=amount
)
sess.merge(hq_day)
pre_close = close
logging.info('[%s][%s]' %(str(index.code), str(datetime_)))
sess.commit()
logging.info(str(index.code) + ' db session commited')
def pull_last_quote(security, is_index):
hq = hq_last(security.market, security.code, is_index)
open = hq.get('open', 0)
# SUSPEND TODAY
if open == 0:
high, low, close, pre_close, volume, amount, change, percent = 0, 0, 0, 0, 0, 0, 0, 0
return None
else:
close = hq.get('close', 0)
low = hq.get('low', 0)
high = hq.get('high', 0)
pre_close = hq.get('pre_close', 0)
volume = hq.get('volume', 0)
amount = hq.get('amount', 0)
change = hq.get('change', 0) or hq.get('close', 0) - hq.get('pre_close', 0)
percent = hq.get('change_percent') or change_percent(close, pre_close) if pre_close else 0
quote = Quote(
code=security.code,
datetime=date.today(),
period='d1',
open=open,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=change,
percent=percent,
volume=volume,
amount=amount
)
if is_index:
if security.alias:
quote.code = security.alias
else:
turnover = volume / security.tradable_shares * 100 if security.tradable_shares > 0 else 0
quote.turnover = round(turnover, 2)
return quote
def pull_last_quote(security, is_index):
hq = hq_last(security.market, security.code, is_index)
open = hq.get('open', 0)
# SUSPEND TODAY
if open == 0:
high, low, close, pre_close, volume, amount, change, percent = 0, 0, 0, 0, 0, 0, 0, 0
return None
else:
close = hq.get('close', 0)
low = hq.get('low', 0)
high = hq.get('high', 0)
pre_close = hq.get('pre_close', 0)
volume = hq.get('volume', 0)
amount = hq.get('amount', 0)
change = hq.get('change',
0) or hq.get('close', 0) - hq.get('pre_close', 0)
percent = hq.get('change_percent') or change_percent(
close, pre_close) if pre_close else 0
quote = Quote(code=security.code,
datetime=date.today(),
period='d1',
open=open,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=change,
percent=percent,
volume=volume,
amount=amount)
if is_index:
if security.alias:
quote.code = security.alias
else:
turnover = volume / security.tradable_shares * 100 if security.tradable_shares > 0 else 0
quote.turnover = round(turnover, 2)
return quote
def index():
index_codes = [
'000001', '399102', '399006', '000300'
]
for code in index_codes:
market = util.index_market(code)
hq = hq_last(market, code)
now = datetime.now()
this_date = date(now.year, now.month, now.day)
this_minute = time(now.hour, now.minute, 0)
change = hq['price'] - hq['pre_close']
change_pct = change_percent(hq['price'], hq['pre_close'])
snapshot = HQSnapshot(
market=market,
code=code,
name=hq['name'],
date=this_date,
time=this_minute,
price=hq['price'],
pre_close=hq['pre_close'],
open=hq['open'],
low=hq['low'],
high=hq['high'],
change=change,
percent=change_pct,
volume=hq['volume'],
money=hq['volume_money']
)
session = Session()
session.merge(snapshot)
session.commit()
print 'sync: ', code
return 'ok'
def pull_history_quotes(security, is_index, start_date=None, end_date=None):
if not start_date or start_date < security.listing_date:
start_date = security.listing_date
try:
quotes_df = ts.get_h_data(security.code,
start=str(start_date),
end=str(end_date),
index=is_index,
pause=0.01)
except:
logging.error('Pull tushare history quotes failed.')
return
index_riter = reversed(quotes_df.index)
first = next(index_riter)
first_hq = quotes_df.loc[first]
pre_close = first_hq['open']
sess = Session()
for timestamp in reversed(quotes_df.index):
dt = timestamp.to_datetime()
datetime_ = date(dt.year, dt.month, dt.day)
row = quotes_df.loc[timestamp]
open = row['open']
high = row['high']
low = row['low']
close = row['close']
volume = row['volume']
amount = row['amount']
change = close - pre_close
change_pct = change_percent(close, pre_close)
'''
turnover = None
if security.tradable_shares != 0:
turnover = volume / security.tradable_shares * 100
'''
quote = Quote(code=security.code,
datetime=datetime_,
period='d1',
open=open,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=change,
percent=change_pct,
volume=volume,
amount=amount)
sess.merge(quote)
pre_close = close
try:
sess.commit()
logging.info(str(security.code) + ' db session commited')
except:
logging.error('Session commit failed.')
return
def get_quotes(start, end, codes=None):
sess = Session()
criterion = Stock.status == 'L'
if isinstance(codes, list):
criterion = and_(criterion, Stock.code.in_(codes))
stocks = sess.query(Stock).filter(criterion).all()
for stock in stocks:
try:
begin_date = start if start else stock.listing_date
end_date = end if end else date.today()
payload = {
'field': '',
'beginDate': begin_date.strftime('%Y%m%d'),
'endDate': end_date.strftime('%Y%m%d'),
'secID': '',
'ticker': stock.code,
'tradeDate': ''
}
resp = requests.get(equd_adj_quote_history, headers=headers, params=payload)
json_res = resp.json()
if json_res['retCode'] != 1:
logging.error('Request failed: [%s] %s' % (stock.code, json_res['retMsg']))
continue
quotes_data = json_res['data']
quote_records = []
for data in quotes_data:
if not data['isOpen']:
continue
adj_factor = data['accumAdjFactor']
open = Decimal(data['openPrice'] / adj_factor).quantize(Decimal('.001'))
close = Decimal(data['closePrice'] / adj_factor).quantize(Decimal('.001'))
low = Decimal(data['lowestPrice'] / adj_factor).quantize(Decimal('.001'))
high = Decimal(data['highestPrice'] / adj_factor).quantize(Decimal('.001'))
pre_close = Decimal(data['actPreClosePrice']).quantize(Decimal('.001'))
quote = Quote(
code=stock.code,
datetime=data['tradeDate'],
period='d1',
open=open,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=close - pre_close,
percent=change_percent(close, pre_close),
volume=data['turnoverVol'],
amount=data['turnoverValue'],
turnover=data['turnoverRate'] * 100
)
quote_records.append(quote)
sess.add_all(quote_records)
sess.commit()
except Exception as e:
logging.error('Exception: [%s]' % stock.code)
logging.error(e)
continue
def pull_history_quotes(security, is_index, start_date=None, end_date=None):
if not start_date or start_date < security.listing_date:
start_date = security.listing_date
try:
quotes_df = ts.get_h_data(security.code, start=str(start_date), end=str(end_date), index=is_index, pause=0.01)
except:
logging.error('Pull tushare history quotes failed.')
return
index_riter = reversed(quotes_df.index)
first = next(index_riter)
first_hq = quotes_df.loc[first]
pre_close = first_hq['open']
sess = Session()
for timestamp in reversed(quotes_df.index):
dt = timestamp.to_datetime()
datetime_ = date(dt.year, dt.month, dt.day)
row = quotes_df.loc[timestamp]
open = row['open']
high = row['high']
low = row['low']
close = row['close']
volume = row['volume']
amount = row['amount']
change = close - pre_close
change_pct = change_percent(close, pre_close)
'''
turnover = None
if security.tradable_shares != 0:
turnover = volume / security.tradable_shares * 100
'''
quote = Quote(
code=security.code,
datetime=datetime_,
period='d1',
open=open,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=change,
percent=change_pct,
volume=volume,
amount=amount
)
sess.merge(quote)
pre_close = close
try:
sess.commit()
logging.info(str(security.code) + ' db session commited')
except:
logging.error('Session commit failed.')
return
def get_quotes(start, end, codes=None):
sess = Session()
criterion = Stock.status == 'L'
if isinstance(codes, list):
criterion = and_(criterion, Stock.code.in_(codes))
stocks = sess.query(Stock).filter(criterion).all()
for stock in stocks:
try:
begin_date = start if start else stock.listing_date
end_date = end if end else date.today()
payload = {
'field': '',
'beginDate': begin_date.strftime('%Y%m%d'),
'endDate': end_date.strftime('%Y%m%d'),
'secID': '',
'ticker': stock.code,
'tradeDate': ''
}
resp = requests.get(equd_adj_quote_history,
headers=headers,
params=payload)
json_res = resp.json()
if json_res['retCode'] != 1:
logging.error('Request failed: [%s] %s' %
(stock.code, json_res['retMsg']))
continue
quotes_data = json_res['data']
quote_records = []
for data in quotes_data:
if not data['isOpen']:
continue
adj_factor = data['accumAdjFactor']
open = Decimal(data['openPrice'] / adj_factor).quantize(
Decimal('.001'))
close = Decimal(data['closePrice'] / adj_factor).quantize(
Decimal('.001'))
low = Decimal(data['lowestPrice'] / adj_factor).quantize(
Decimal('.001'))
high = Decimal(data['highestPrice'] / adj_factor).quantize(
Decimal('.001'))
pre_close = Decimal(data['actPreClosePrice']).quantize(
Decimal('.001'))
quote = Quote(code=stock.code,
datetime=data['tradeDate'],
period='d1',
open=open,
close=close,
low=low,
high=high,
pre_close=pre_close,
change=close - pre_close,
percent=change_percent(close, pre_close),
volume=data['turnoverVol'],
amount=data['turnoverValue'],
turnover=data['turnoverRate'] * 100)
quote_records.append(quote)
sess.add_all(quote_records)
sess.commit()
except Exception as e:
logging.error('Exception: [%s]' % stock.code)
logging.error(e)
continue