def __init__(self):
# # 继承基类
DataRecorder.__init__(self)
# # --------------------------------------------------
# self.symbol = "rb1610"
# self.exchange = "SHFE"
self.period_key_list = ['M01', 'M03', 'M05', 'M10', 'M15', 'M30']
self.PERIOD = {}
self.PERIOD['M01'] = PERIOD_M01
self.PERIOD['M03'] = PERIOD_M03
self.PERIOD['M05'] = PERIOD_M05
self.PERIOD['M10'] = PERIOD_M10
self.PERIOD['M15'] = PERIOD_M15
self.PERIOD['M30'] = PERIOD_M30
# Bar的时间戳
self.last_dt_bar = {}
# 当前累积的Bar
self.CntBar = {}
# 上一个Bar
self.last_bar = {}
# # 有效的时间段
self.Section = {}
self.Section['S10_beg'] = dt.time(9, 0, 0)
self.Section['S10_end'] = dt.time(10, 15, 0)
self.Section['S20_beg'] = dt.time(10, 30, 0)
self.Section['S20_end'] = dt.time(11, 30, 0)
self.Section['S30_beg'] = dt.time(13, 30, 0)
self.Section['S30_end'] = dt.time(15, 0, 0)
self.Section['S01_beg'] = dt.time(21, 0, 0)
self.Section['S01_end'] = dt.time(23, 0, 0)
self.Section['S02_beg'] = dt.time(0, 0, 0)
self.Section['S02_end'] = dt.time(2, 30, 0)
def __init__(self):
# # 继承基类
DataRecorder.__init__(self)
# # --------------------------------------------------
# self.symbol = "rb1610"
# self.exchange = "SHFE"
self.period_key_list = ['M01', 'M03', 'M05', 'M10', 'M15', 'M30']
self.PERIOD = {}
self.PERIOD['M01'] = PERIOD_M01
self.PERIOD['M03'] = PERIOD_M03
self.PERIOD['M05'] = PERIOD_M05
self.PERIOD['M10'] = PERIOD_M10
self.PERIOD['M15'] = PERIOD_M15
self.PERIOD['M30'] = PERIOD_M30
# Bar的时间戳
self.last_dt_bar = {}
# 当前累积的Bar
self.CntBar = {}
# 上一个Bar
self.last_bar = {}
# # 有效的时间段
self.Section = {}
self.Section['S10_beg'] = dt.time(9, 0, 0)
self.Section['S10_end'] = dt.time(10, 15, 0)
self.Section['S20_beg'] = dt.time(10, 30, 0)
self.Section['S20_end'] = dt.time(11, 30, 0)
self.Section['S30_beg'] = dt.time(13, 30, 0)
self.Section['S30_end'] = dt.time(15, 0, 0)
self.Section['S01_beg'] = dt.time(21, 0, 0)
self.Section['S01_end'] = dt.time(23, 0, 0)
self.Section['S02_beg'] = dt.time(0, 0, 0)
self.Section['S02_end'] = dt.time(2, 30, 0)
def __init__(self):
# # 继承基类
DataRecorder.__init__(self)
# # --------------------------------------------------
self.tickfilter = False
self.period_key_list = [
'M01', 'M03', 'M05', 'M10', 'M15', 'M30', 'H01', 'D01', 'W01'
]
self.PERIOD = {}
self.PERIOD['M01'] = PERIOD_M01
self.PERIOD['M03'] = PERIOD_M03
self.PERIOD['M05'] = PERIOD_M05
self.PERIOD['M10'] = PERIOD_M10
self.PERIOD['M15'] = PERIOD_M15
self.PERIOD['M30'] = PERIOD_M30
self.PERIOD['H01'] = PERIOD_H01
self.PERIOD['D01'] = PERIOD_D01
self.PERIOD['W01'] = PERIOD_W01
# Bar的时间戳
self.last_dt_bar = {}
# 当前累积的Bar
self.CntBar = {}
# 上一个Bar
self.last_bar = {}
# # 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 __init__(self):
# # 继承基类
DataRecorder.__init__(self)
# # --------------------------------------------------
self.tickfilter = False
self.period_key_list = ['M01', 'M03', 'M05', 'M10', 'M15', 'M30', 'H01', 'D01', 'W01']
self.PERIOD = {}
self.PERIOD['M01'] = PERIOD_M01
self.PERIOD['M03'] = PERIOD_M03
self.PERIOD['M05'] = PERIOD_M05
self.PERIOD['M10'] = PERIOD_M10
self.PERIOD['M15'] = PERIOD_M15
self.PERIOD['M30'] = PERIOD_M30
self.PERIOD['H01'] = PERIOD_H01
self.PERIOD['D01'] = PERIOD_D01
self.PERIOD['W01'] = PERIOD_W01
# Bar的时间戳
self.last_dt_bar = {}
# 当前累积的Bar
self.CntBar = {}
# 上一个Bar
self.last_bar = {}
# # 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 __init__(self):
# # 继承基类
DataRecorder.__init__(self)
# # --------------------------------------------------
self.tickfilter = False
self.period_key_list = [
'M01', 'M03', 'M05', 'M10', 'M15', 'M30', 'H01', 'D01', 'W01'
]
self.PERIOD = {}
self.PERIOD['M01'] = PERIOD_M01
self.PERIOD['M03'] = PERIOD_M03
self.PERIOD['M05'] = PERIOD_M05
self.PERIOD['M10'] = PERIOD_M10
self.PERIOD['M15'] = PERIOD_M15
self.PERIOD['M30'] = PERIOD_M30
self.PERIOD['H01'] = PERIOD_H01
self.PERIOD['D01'] = PERIOD_D01
self.PERIOD['W01'] = PERIOD_W01
# Bar的时间戳
self.last_dt_bar = {}
# 当前累积的Bar
self.CntBar = {}
# 上一个Bar
self.last_bar = {}
# 用于储存一个M01之内的DataFrame
self.lastPrice_df = {}
self.openInterest_df = {}
self.volume_df = {}
# # 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
self.symbol_df = pd.DataFrame(columns=['symN', 'symC'])
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()
def __init__(self):
# # 继承基类
DataRecorder.__init__(self)
# # --------------------------------------------------
self.tickfilter = False
self.period_key_list = ['M01', 'M03', 'M05', 'M10', 'M15', 'M30', 'H01', 'D01', 'W01']
self.PERIOD = {}
self.PERIOD['M01'] = PERIOD_M01
self.PERIOD['M03'] = PERIOD_M03
self.PERIOD['M05'] = PERIOD_M05
self.PERIOD['M10'] = PERIOD_M10
self.PERIOD['M15'] = PERIOD_M15
self.PERIOD['M30'] = PERIOD_M30
self.PERIOD['H01'] = PERIOD_H01
self.PERIOD['D01'] = PERIOD_D01
self.PERIOD['W01'] = PERIOD_W01
# Bar的时间戳
self.last_dt_bar = {}
# 当前累积的Bar
self.CntBar = {}
# 上一个Bar
self.last_bar = {}
# 用于储存一个M01之内的DataFrame
self.lastPrice_df = {}
self.openInterest_df = {}
self.volume_df = {}
# # 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
self.symbol_df = pd.DataFrame(columns=['symN','symC'])
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()
