def OnGotContracts(self, response):
# # 继承基类
DataRecorder.OnGotContracts(self, response)
# # 获取合约
req = BfGetContractReq(symbol="*", exchange="*")
resps = self.GwGetContract(req)
symbol_list = []
for resp in resps:
print resp
self.InsertContract(resp)
symbol_list = symbol_list + [resp.symbol]
print '*' * 60
# # 根据合约初始化
for symbol in symbol_list:
if symbol not in self.last_dt_bar.keys():
self.last_dt_bar[symbol] = {}
self.CntBar[symbol] = {}
self.last_bar[symbol] = {}
dt_now = dt.datetime.now()
for k in self.period_key_list:
self.last_dt_bar[symbol][k] = dt.datetime(
dt_now.year, dt_now.month, dt_now.day, dt_now.hour,
dt_now.minute / int(k[1:]) * int(k[1:]), 0)
self.CntBar[symbol][k] = BfBarData()
self.last_bar[symbol][k] = BfBarData()
def OnGotContracts(self, response):
# # 继承基类
DataRecorder.OnGotContracts(self, response)
# # 获取合约
req = BfGetContractReq(symbol="*", exchange="*")
resps = self.GwGetContract(req)
symbol_list = []
for resp in resps:
print resp
self.InsertContract(resp)
symbol_list = symbol_list + [resp.symbol]
print '*' * 60
# # 根据合约初始化
for symbol in symbol_list:
if symbol not in self.symbol_df.index:
sym_df = pd.DataFrame([
re.findall(r'[a-zA-Z]+', symbol),
re.findall(r'[0-9]+', symbol)
],
index=['symN', 'symC'],
columns=[symbol]).T
self.symbol_df = self.symbol_df.append(sym_df)
print self.symbol_df
symN_list = list(set(self.symbol_df['symN']))
for symN in symN_list:
if symN not in self.lastPrice_df.keys():
self.lastPrice_df[symN] = pd.DataFrame(
0,
columns=self.symbol_df[self.symbol_df['symN'] ==
symN].index,
index=[dt.datetime(2016, 1, 1, 0, 0, 0)])
self.openInterest_df[symN] = pd.DataFrame(
0,
columns=self.symbol_df[self.symbol_df['symN'] ==
symN].index,
index=[dt.datetime(2016, 1, 1, 0, 0, 0)])
self.volume_df[symN] = pd.DataFrame(
0,
columns=self.symbol_df[self.symbol_df['symN'] ==
symN].index,
index=[dt.datetime(2016, 1, 1, 0, 0, 0)])
self.last_dt_bar[symN] = {}
self.CntBar[symN] = {}
self.last_bar[symN] = {}
for k in self.period_key_list:
self.last_dt_bar[symN][k] = dt.datetime(
2016, 1, 1, 0, 0, 0)
self.CntBar[symN][k] = BfBarData()
self.last_bar[symN][k] = BfBarData()
