def get_calendar(exchange, start_time, end_time):
var = md.get_calendar(exchange, start_time, end_time)
ret = []
for i in var:
Date = datetime.datetime.utcfromtimestamp(i.utc_time)
ret.append (Date)
return ret
def get_calendar(exchange, start_time, end_time):
var = md.get_calendar(exchange, start_time, end_time)
ret = []
for i in var:
Date = datetime.datetime.utcfromtimestamp(i.utc_time)
ret.append(Date)
return ret
def FillVolumnMatrix(stockId, startDay, endDay, timeSpan):
global AmountMatrix
global VolumeMatrix
TradeDayList = []
calendar = md.get_calendar(Market, startDay, endDay)
# print('len(calender)', len(calendar))
index = len(calendar) - 1
for i in range(0, timeSpan):
# print('index', index)
timeOri = calendar[index].strtime
strIndex = timeOri.index('T')
timeAft = timeOri[0:strIndex]
TradeDayList.insert(0, timeAft)
index -= 1
for day in TradeDayList:
dayIndex = TradeDayList.index(day)
startTime = day + ' ' + '9:30:00'
endTime = day + ' ' + '15:00:00'
bars = md.get_bars(stockId, IntervalWid, startTime, endTime)
for interval in range(len(bars)):
VolumeMatrix[dayIndex][interval] = bars[interval].volume
AmountMatrix[dayIndex][interval] = bars[interval].amount
FiveMinOpenPriceMatrix[dayIndex][interval] = bars[interval].open
print("AmountMatrix", AmountMatrix)
print("VolumeMatrix", VolumeMatrix)
def FillVolumnMatrix(stockId, startDay, endDay, timeSpan):
global AmountMatrix
global VolumeMatrix
global FiveMinOpenPriceMatrix
TradeDayList = []
calendar = md.get_calendar(Market, startDay, endDay)
index = len(calendar) - 1
for i in range(0, timeSpan):
#print('index', index)
timeOri = calendar[index].strtime
strIndex = timeOri.index('T')
timeAft = timeOri[0:strIndex]
TradeDayList.insert(0, timeAft)
index -= 1
print("TradeDayList", TradeDayList)
for day in TradeDayList:
print("day:", day)
dayIndex = TradeDayList.index(day)
startTime = day + ' ' + '9:30:00'
endTime = day + ' ' + '15:00:00'
print("stockId", stockId)
print("IntervalWid", IntervalWid)
print("startTime", startTime)
print("endTime", endTime)
bars = md.get_bars(stockId, IntervalWid, startTime, endTime)
print("bar:", bars)
for interval in range(len(bars)):
VolumeMatrix[dayIndex][interval] = bars[interval].volume
AmountMatrix[dayIndex][interval] = bars[interval].amount
FiveMinOpenPriceMatrix[dayIndex][interval] = bars[interval].open
def GetLastOpenPrice(stockId, startDay, endDay, timeSpan):
calender = md.get_calendar(Market, startDay, endDay)
index = len(calender) - timeSpan + 1
timeOri = calender[index].strtime
strIndex = timeOri.index('T')
lastDay = timeOri[0:strIndex]
startTime = lastDay + ' ' + '14:55:00'
endTime = lastDay + ' ' + '15:00:00'
bars = md.get_bars(stockId, 300, startTime, endTime)
result = bars[0].open
return result
def GetHistoryIntervalOpenPrice(stockId, startDay, endDay, timeSpan):
fiveMinOpenPriceMatrix = [[0 for col in range(48)] for row in range(timeSpan)]
global FiveMinOpenPriceMatrix
TradeDayList = []
calendar = md.get_calendar(Market, startDay, endDay)
index = len(calendar) - 1
for i in range(0, timeSpan):
timeOri = calendar[index].strtime
strIndex = timeOri.index('T')
timeAft = timeOri[0:strIndex]
TradeDayList.insert(0, timeAft)
index -= 1
for day in TradeDayList:
dayIndex = TradeDayList.index(day)
startTime = day + ' ' + '9:30:00'
endTime = day + ' ' + '15:00:00'
bars = md.get_bars(stockId, 300, startTime, endTime)
for interval in range(len(bars)):
fiveMinOpenPriceMatrix[dayIndex][interval] = bars[interval].open
return fiveMinOpenPriceMatrix
#按时间周期提取ShareIndex
r = md.get_share_index('SHSE.600000', '2015-12-01 09:30:00', '2016-01-08 12:00:00')
print('get_share_index', len(r))
#提取快照, 即最新的ShareIndex
r = md.get_last_share_index('SHSE.600000,SZSE.000001')
print('get_last_share_index', len(r))
#提取最近n条ShareIndex
r = md.get_last_n_share_index('SHSE.600000', 5)
print('get_last_n_share_index', len(r))
#按时间周期提取MarketIndex
r = md.get_market_index('SHSE.600000', '2015-12-01 09:30:00', '2016-01-08 12:00:00')
print('get_market_index', len(r))
#提取快照, 即最新的MarketIndex
r = md.get_last_market_index('SHSE.600000,SZSE.000001')
print('get_last_market_index', len(r))
#提取最近n条MarketIndex
r = md.get_last_n_market_index('SHSE.600000', 5)
print('get_last_n_market_index', len(r))
#提取交易日历
r = md.get_calendar('SHSE', '2016-01-00', '2016-03-16')
print('get_calendar', len(r))
input()
def updatePal(palPath=None):
start = time.time()
md.init('18201141877', 'Wqxl7309')
if not w.isconnected():
w.start()
palPath = r'E:\bqfcts\bqfcts\data\Paltest' if palPath is None else palPath
tempFilePath = os.path.join(palPath,'temp_files')
if not os.path.exists(tempFilePath):
os.mkdir(tempFilePath)
matName = 'data_20150701_now.mat'
savedPal = h5py.File(os.path.join(palPath,matName))
# print(read_cell(savedPal,'sec_names'))
nextTrd = dt.datetime.strptime(str(int(savedPal['nexttrd'][0][0])),'%Y%m%d')
nextTrdStr = nextTrd.strftime('%Y-%m-%d')
updateTime = dt.datetime(nextTrd.year,nextTrd.month,nextTrd.day,15,30,0)
if updateTime > dt.datetime.now():
print('not update time yet')
return
else:
availableDateStr = md.get_last_dailybars('SHSE.000001')[0].strtime[:10]
if int(availableDateStr.replace('-','')) <= int(nextTrdStr.replace('-','')):
print('new data not avaliable yet')
return
else:
print('will update from {0} to {1}'.format(nextTrdStr,availableDateStr))
betweenDays = [tdt.strtime[:10] for tdt in md.get_calendar('SHSE',nextTrdStr,availableDateStr)]
if nextTrdStr!=availableDateStr: # 避免同一日期重复
betweenDays.append(availableDateStr)
betweenDaysNumber = [int(tdt.replace('-','')) for tdt in betweenDays]
newDateNum = len(betweenDaysNumber)
# 更新前 先备份数据
backupPath = os.path.join(palPath,'backup')
cpResult = os.system(r'COPY {0} {1} /Y'.format(os.path.join(palPath,matName),os.path.join(backupPath,matName)))
assert cpResult==0,'backup failed'
gmDateFmt = 'yyyy-mm-dd'
# update indice
indiceNames = ['sh','hs300','zz500','sz50']
indiceCodes = ['000001','000300','000905','000016']
symbols = ','.join(['SHSE.{}'.format(sbl) for sbl in indiceCodes])
indiceBars = md.get_dailybars(symbols,nextTrdStr,availableDateStr)
for dumi,idx in enumerate(indiceNames):
bars = indiceBars[dumi::4]
idxret = np.array([bar.close for bar in bars])/np.array([bar.pre_close for bar in bars]) - 1
idxArray = np.array([betweenDaysNumber,
[bar.open for bar in bars],
[bar.high for bar in bars],
[bar.low for bar in bars],
[bar.close for bar in bars],
[bar.volume for bar in bars],
[bar.amount for bar in bars],
idxret
])
# newIndex = np.column_stack([savedPal['index_{}'.format(idx)][:], idxArray])
pd.DataFrame(np.transpose(idxArray)).to_csv(os.path.join(tempFilePath,'index_{}.csv'.format(idx)),index=False,header=False)
# update stock info
nCut = savedPal['N_cut'][0][0] # 6000
nEnd = savedPal['N_end'][0][0] # last end date id ex.6732
stockNames = read_cell(savedPal, 'stockname')
savedStkcdsGM = ['.'.join([stk[-2:]+'SE',stk[:6]]) for stk in stockNames]
savedStkNum = len(stockNames)
listedStkcdsWind = w.wset('sectorconstituent','date={};sectorid=a001010100000000'.format(availableDateStr)).Data[1]
newStkcdsWind = sorted(list(set(listedStkcdsWind) - set(stockNames)))
if newStkcdsWind:
stockNames.extend( newStkcdsWind )
newStkIpos = [int(tdt.strftime('%Y%m%d')) for tdt in w.wss(newStkcdsWind, 'ipo_date').Data[0]]
newIpoIds = [(w.tdayscount(nextTrd,str(ipo)).Data[0][0]+nEnd) for ipo in newStkIpos]
newStockip = pd.DataFrame([[int(newStkcdsWind[dumi][:6]), newStkIpos[dumi], newIpoIds[dumi],0,0,0,0,0] for dumi in range(len(newStkcdsWind))])
newStockip.to_csv( os.path.join(tempFilePath,'stockip.csv'),index=False,header=False )
else:
pd.DataFrame([]).to_csv(os.path.join(tempFilePath, 'stockip.csv'), index=False, header=False)
newStkcdsGm = ['.'.join([stk[-2:]+'SE',stk[:6]]) for stk in newStkcdsWind]
allStkcdsGM = savedStkcdsGM + newStkcdsGm # 全体股票包含已退市 与pal行数相同
# allSecNames = pd.DataFrame(w.wss(stockNames,'sec_name').Data[0])
allInstruments = md.get_instruments('SZSE', 1, 0) + md.get_instruments('SHSE', 1, 0)
allInstrumentsDF = pd.DataFrame([[inds.symbol, inds.sec_name] for inds in allInstruments],columns=['symbol','sec_name']).set_index('symbol')
allSecNames = allInstrumentsDF.loc[allStkcdsGM,'sec_name']
allSecNames.to_csv( os.path.join(tempFilePath, 'sec_names.csv'), index=False, header=False )
pd.DataFrame(newStkcdsWind).to_csv( os.path.join(tempFilePath, 'stockname.csv'), index=False, header=False )
# update trade info
pages = ['date','open','high','low','close','volume','amount','pctchg','flow_a_share','total_share','adjfct','adjprc','isst']
newPal = {}
for page in pages:
newPal[page] = pd.DataFrame(np.zeros([len(allStkcdsGM), newDateNum]),index=allStkcdsGM,columns=betweenDays)
lastPal = pd.DataFrame(savedPal['Pal'][:,-1,:],columns=savedStkcdsGM)
barsDaily = md.get_dailybars(','.join(allStkcdsGM), nextTrdStr, availableDateStr)
for bar in barsDaily:
tdt = bar.strtime[:10]
stk = '.'.join([bar.exchange,bar.sec_id])
newPal['date'].loc[stk, tdt] = int(tdt.replace('-',''))
newPal['open'].loc[stk, tdt] = bar.open
newPal['high'].loc[stk, tdt] = bar.high
newPal['low'].loc[stk, tdt] = bar.low
newPal['close'].loc[stk, tdt] = bar.close
newPal['volume'].loc[stk, tdt] = bar.volume
newPal['amount'].loc[stk, tdt] = bar.amount
newPal['pctchg'].loc[stk, tdt] = bar.close/bar.pre_close - 1
# 计算自算复权因子 ： 前一日收盘价*(1+当日收益率)/当日收盘价 s.t. （当日收盘价*当日复权因子）/前一日收盘价 = 1+ret
# 若当日没有交易 ： 沿用前一日 复权因子 循环外处理
# 若前一日没有交易 前一日收盘价 特殊处理：
# 当日有交易 ： 取停牌前最后一个交易日的 收盘价
# 当日没交易 没有退市 ： 沿用前一日复权因子 循环外处理
# 当日没交易 已经退市 ： 沿用前一日复权因子 循环外处理
# 若新股上市第一天 ： 复权因子为1
if stk in newStkcdsGm:
newPal['adjfct'].loc[stk, tdt] = 1
else:
noTrdLast = (lastPal.loc[0, stk] == 0) if tdt == nextTrdStr else (newPal['date'].loc[stk, betweenDays[betweenDays.index(tdt) - 1]] == 0)
if noTrdLast: # 前一日没交易 今日有交易（否则不应出现在bars里面）
lastBar = md.get_last_n_dailybars(stk, 2, end_time=tdt)[-1]
newPal['adjfct'].loc[stk, tdt] = lastPal.loc[15, stk] * lastBar.close * (1 + newPal['pctchg'].loc[stk, tdt]) / bar.close
else:
preClose = lastPal.loc[4,stk] if tdt==nextTrdStr else newPal['close'].loc[stk,betweenDays[betweenDays.index(tdt)-1]]
newPal['adjfct'].loc[stk, tdt] = lastPal.loc[15, stk] * preClose * (1 + newPal['pctchg'].loc[stk, tdt]) / bar.close
for dumi,tdt in enumerate(betweenDays):
idx = newPal['adjfct'].loc[:,tdt]==0
idx = idx.values
if tdt==nextTrdStr:
newPal['adjfct'].loc[idx[:savedStkNum], tdt] = lastPal.loc[15,:].values[idx[:savedStkNum]]
else:
newPal['adjfct'].loc[idx, tdt] = newPal['adjfct'].loc[idx, betweenDays[dumi-1]]
newPal['adjprc'] = newPal['adjfct']*newPal['close']
shareBar = md.get_share_index(','.join(allStkcdsGM), nextTrdStr, availableDateStr)
for bar in shareBar:
tdt = bar.pub_date
stk = bar.symbol
newPal['flow_a_share'].loc[stk, tdt] = bar.flow_a_share
newPal['total_share'].loc[stk, tdt] = bar.total_share
isST = np.array([int('ST' in sn) for sn in allSecNames.values])
newPal['isst'] = pd.DataFrame(np.repeat(np.reshape(isST,(isST.shape[0],1)),len(betweenDays),axis=1), index=allStkcdsGM, columns=betweenDays)
for page in newPal:
newPal[page].to_csv(os.path.join(tempFilePath,'{}.csv'.format(page)),index=False,header=False )
print('Pal temp files update finished with {0} stocks and {1} days in {2} seconds '.format(len(newStkcdsWind),len(betweenDays),time.time() - start))
