[增强] 增加主力合约查询/更新本地缓存
This commit is contained in:
msincenselee
parent
301326453a
commit
3912b31e83
@ -6,6 +6,7 @@ import pickle
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import bz2
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from functools import lru_cache
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from logging import INFO, ERROR
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from vnpy.trader.utility import load_json, save_json
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@lru_cache()
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@ -65,6 +66,15 @@ TDX_FUTURE_HOSTS = [
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{'ip': '58.246.109.27', 'port': 7721, "name": "备用服务器3"}]
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def get_future_contracts():
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"""获取期货合约信息"""
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return get_cache_json('future_contracts.json')
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def save_future_contracts(future_contracts_dict: dict):
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"""保存期货合约信息"""
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save_cache_json(future_contracts_dict, 'future_contracts.json')
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def get_cache_config(config_file_name):
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"""获取本地缓存的配置地址信息"""
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config_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), config_file_name))
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@ -74,9 +84,9 @@ def get_cache_config(config_file_name):
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with bz2.BZ2File(config_file_name, 'rb') as f:
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config = pickle.load(f)
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return config
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return config
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def save_cache_config(data: dict, config_file_name ):
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def save_cache_config(data: dict, config_file_name):
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"""保存本地缓存的配置地址信息"""
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config_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), config_file_name))
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@ -84,13 +94,27 @@ def save_cache_config(data: dict, config_file_name ):
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pickle.dump(data, f)
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def get_cache_json(json_file_name: str):
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"""获取本地缓存的json配置信息"""
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config_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), json_file_name))
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return load_json(config_file_name)
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def save_cache_json(data_dict: dict, json_file_name: str):
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"""保存本地缓存的JSON配置信息"""
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config_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), json_file_name))
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save_json(filename=config_file_name, data=data_dict)
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class FakeStrategy(object):
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"""制作一个假得策略，用于测试"""
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def write_log(self, content, level=INFO):
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if level == INFO:
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print(content)
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else:
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print(content, file=sys.stderr)
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def write_error(self, content):
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self.write_log(content, level=ERROR)
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@ -25,9 +25,19 @@ from pytdx.exhq import TdxExHq_API
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from vnpy.trader.constant import Exchange
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from vnpy.trader.object import BarData
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from vnpy.trader.utility import (get_underlying_symbol, get_full_symbol, get_trading_date, load_json, save_json)
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from vnpy.data.tdx.tdx_common import (lru_cache, TDX_FUTURE_HOSTS, PERIOD_MAPPING)
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from vnpy.trader.utility import (
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get_underlying_symbol,
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get_full_symbol,
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get_trading_date,
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get_real_symbol_by_exchange)
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from vnpy.data.tdx.tdx_common import (
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lru_cache,
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TDX_FUTURE_HOSTS,
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PERIOD_MAPPING,
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get_future_contracts,
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save_future_contracts,
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get_cache_json,
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save_cache_json)
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# 每个周期包含多少分钟 (估算值, 没考虑夜盘和10:15的影响)
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NUM_MINUTE_MAPPING: Dict[str, int] = {}
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@ -66,17 +76,7 @@ QSIZE = 500
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ALL_MARKET_BEGIN_HOUR = 8
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ALL_MARKET_END_HOUR = 16
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def get_cache_ip():
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"""获取本地缓存的最快IP地址信息"""
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config_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), 'tdx_config.json'))
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return load_json(config_file_name)
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def save_cache_ip(best_ip: dict):
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"""保存本地缓存的最快IP地址信息"""
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config_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), 'tdx_config.json'))
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save_json(filename=config_file_name, data=best_ip)
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TDX_FUTURE_CONFIG = 'tdx_future_config.json'
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@lru_cache()
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def get_tdx_marketid(symbol):
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@ -103,6 +103,7 @@ class TdxFutureData(object):
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self.symbol_exchange_dict = {} # tdx合约与vn交易所的字典
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self.symbol_market_dict = copy.copy(INIT_TDX_MARKET_MAP) # tdx合约与tdx市场的字典
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self.strategy = strategy
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self.future_contracts = get_future_contracts()
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def write_log(self, content):
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if self.strategy:
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@ -130,7 +131,7 @@ class TdxFutureData(object):
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# 选取最佳服务器
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if is_reconnect or len(self.best_ip) == 0:
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self.best_ip = get_cache_ip()
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self.best_ip = get_cache_json(TDX_FUTURE_CONFIG)
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if len(self.best_ip) == 0:
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self.best_ip = self.select_best_ip()
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@ -192,7 +193,7 @@ class TdxFutureData(object):
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self.write_log(u'选取 {}:{}'.format(best_future_ip['ip'], best_future_ip['port']))
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# print(u'选取 {}:{}'.format(best_future_ip['ip'], best_future_ip['port']))
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save_cache_ip(best_future_ip)
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save_cache_json(best_future_ip, TDX_FUTURE_CONFIG)
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return best_future_ip
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# ----------------------------------------------------------------------
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@ -207,7 +208,8 @@ class TdxFutureData(object):
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if not isinstance(num, int):
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return
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all_contacts = sum([self.api.get_instrument_info((int(num / 500) - i) * 500, 500) for i in range(int(num / 500) + 1)], [])
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all_contacts = sum(
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[self.api.get_instrument_info((int(num / 500) - i) * 500, 500) for i in range(int(num / 500) + 1)], [])
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# [{"category":category,"market": int,"code":sting,"name":string,"desc":string},{}]
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# 对所有合约处理，更新字典 指数合约-tdx市场，指数合约-交易所
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@ -348,7 +350,8 @@ class TdxFutureData(object):
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add_bar.volume = float(row['volume'])
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add_bar.openInterest = float(row['open_interest'])
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except Exception as ex:
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self.write_error('error when convert bar:{},ex:{},t:{}'.format(row, str(ex), traceback.format_exc()))
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self.write_error(
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'error when convert bar:{},ex:{},t:{}'.format(row, str(ex), traceback.format_exc()))
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# print('error when convert bar:{},ex:{},t:{}'.format(row, str(ex), traceback.format_exc()))
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return False
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@ -434,7 +437,7 @@ class TdxFutureData(object):
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index = 0
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count = 100
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results = []
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while(True):
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while (True):
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print(u'查询{}下：{}~{}个合约'.format(exchange, index, index + count))
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result = self.api.get_instrument_quote_list(int(market_id), 3, index, count)
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results.extend(result)
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@ -466,7 +469,7 @@ class TdxFutureData(object):
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for contract in contracts:
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# 排除指数合约
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code = contract.get('code')
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if code[-2:] in ['L9', 'L8', 'L0', 'L1', 'L2', 'L3', '50'] or\
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if code[-2:] in ['L9', 'L8', 'L0', 'L1', 'L2', 'L3', '50'] or \
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(exchange == Exchange.CFFEX and code[-3:] in ['300', '500']):
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continue
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short_symbol = get_underlying_symbol(code).upper()
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@ -561,7 +564,8 @@ class TdxFutureData(object):
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return True, _datas
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except Exception as ex:
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self.write_error('exception in get_transaction_data:{},{},{}'.format(symbol, str(ex), traceback.format_exc()))
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self.write_error(
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'exception in get_transaction_data:{},{},{}'.format(symbol, str(ex), traceback.format_exc()))
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self.write_error(u'当前异常服务器信息:{}'.format(self.best_ip))
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self.write_log(u'重置连接')
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self.api = None
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@ -611,7 +615,7 @@ class TdxFutureData(object):
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def get_history_transaction_data(self,
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symbol: str,
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trading_date,
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cache_folder:str = None):
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cache_folder: str = None):
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"""获取当某一交易日的历史成交记录"""
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ret_datas = []
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# trading_date, 转换为数字类型得日期
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@ -656,7 +660,7 @@ class TdxFutureData(object):
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while True:
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_res = self.api.get_history_transaction_data(
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market=self.symbol_market_dict.get(tdx_index_symbol, 0),
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trading_date=trading_date,
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date=trading_date,
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code=symbol,
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start=_pos,
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count=q_size)
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@ -718,67 +722,47 @@ class TdxFutureData(object):
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self.connect(is_reconnect=True)
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return False, ret_datas
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def update_mi_contracts(self):
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# 连接通达信，获取主力合约
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if not self.api:
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self.connect()
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if __name__ == "__main__":
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from .tdx_common import FakeStrategy
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t1 = FakeStrategy()
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t2 = FakeStrategy()
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# 创建API对象
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api_01 = TdxFutureData(t1)
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mi_contract_quote_list = self.get_mi_contracts2()
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markets = api_01.get_markets()
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str_markets = json.dumps(markets, indent=1, ensure_ascii=False)
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print(u'{}'.format(str_markets))
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self.write_log(u'一共获取:{}个主力合约:{}'.format(len(mi_contract_quote_list), [c.get('code') for c in mi_contract_quote_list]))
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should_save = False
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# 逐一更新主力合约数据
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for mi_contract in mi_contract_quote_list:
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tdx_market_id = mi_contract.get('market')
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full_symbol = mi_contract.get('code')
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underlying_symbol = get_underlying_symbol(full_symbol).upper()
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if underlying_symbol in ['SC', 'NR']:
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vn_exchange = Exchange.INE
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else:
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vn_exchange = Tdx_Vn_Exchange_Map.get(str(tdx_market_id))
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mi_symbol = get_real_symbol_by_exchange(full_symbol, vn_exchange)
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# 获取所有的期货合约明细
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api_01.qryInstrument()
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# 更新登记 短合约：真实主力合约
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self.write_log('{},{},{},{},{}'.format(tdx_market_id, full_symbol, underlying_symbol, mi_symbol, vn_exchange))
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if underlying_symbol in self.future_contracts:
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info = self.future_contracts.get(underlying_symbol)
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if mi_symbol > info.get('mi_symbol') :
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self.write_log(u'主力合约变化:{} =>{}'.format(info.get('mi_symbol'), mi_symbol))
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info.update({'mi_symbol': mi_symbol, 'full_symbol': full_symbol})
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self.future_contracts.update({underlying_symbol: info})
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should_save = True
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else:
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# 添加到新合约中
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# todo 这里缺少size和price_tick
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info = {
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"underlying_symbol": underlying_symbol,
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"mi_symbol": mi_symbol,
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"full_symbol": full_symbol,
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"exchange": vn_exchange.value
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}
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self.write_log(u'新合约:{}'.format(info))
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self.future_contracts.update({underlying_symbol: info})
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should_save = True
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# 获取某个合约得最新价
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price = api_01.get_price('rb2005')
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print('price={}'.format(price))
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exit(0)
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# 获取主力合约
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# result = api_01.get_mi_contracts()
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# str_result = json.dumps(result,indent=1, ensure_ascii=False)
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# print(str_result)
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# 获取某个板块的合约
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# result = api_01.get_contracts(exchange=EXCHANGE_CZCE)
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# 获取某个板块的主力合约
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# result = api_01.get_mi_contracts_from_exchange(exchange=EXCHANGE_CZCE)
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# 获取主力合约（从各个板块组合获取）
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# result = api_01.get_mi_contracts2()
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# print(u'一共{}个记录:{}'.format(len(result), [c.get('code') for c in result]))
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# str_result = json.dumps(result,indent=1, ensure_ascii=False)
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# print(str_result)
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# all_99_ticks= api_01.get_99_contracts()
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# str_99_ticks = json.dumps(all_99_ticks, indent=1, ensure_ascii=False)
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# print(u'{}'.format(str_99_ticks))
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# 获取历史分钟线
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"""
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ret,bars = api_01.get_bars('I2001', period='1min', callback=t1.display_bar, start_dt=datetime.now().replace(hour=0,minute=0,second=0,microsecond=0))
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line_close_oi = [{'close':x.close,'oi':x.openInterest} for x in bars]
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import pandas as pd
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df = pd.DataFrame(line_close_oi)
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corr = df.corr()
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print(corr)
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corr_rate = round(abs(corr.iloc[0, 1]) * 100, 2)
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"""
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# api.get_bars(symbol, period='5min', callback=display_bar)
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# api_01.get_bars('IF99', period='1day', callback=t1.display_bar)
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# result,datas = api_01.get_transaction_data(symbol='ni1905')
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# api_02 = TdxFutureData(t2)
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# api_02.get_bars('IF99', period='1min', callback=t1.display_bar)
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# 获取当前交易日分时数据
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# ret,result = api_01.get_transaction_data('RB99')
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# for r in result[0:10] + result[-10:]:
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# print(r)
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# 获取历史分时数据
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ret, result = api_01.get_history_transaction_data('rb1905', '20190109')
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for r in result[0:10] + result[-10:]:
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print(r)
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if should_save:
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save_future_contracts(self.future_contracts)
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@ -41,7 +41,6 @@ NUM_MINUTE_MAPPING['1day'] = 60 * 5.5 # 股票，收盘时间是15：00，开
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# 常量
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QSIZE = 800
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STOCK_CONFIG_FILE = 'tdx_stock_config.pkb2'
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# 通达信 <=> 交易所代码 映射
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@ -61,8 +60,6 @@ RQ_TDX_STOCK_MARKET_MAP = {v: k for k, v in TDX_RQ_STOCK_MARKET_MAP.items()}
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class TdxStockData(object):
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# ----------------------------------------------------------------------
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def __init__(self, strategy=None):
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"""
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构造函数
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@ -172,6 +169,7 @@ class TdxStockData(object):
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results.extend(result)
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return results
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# ----------------------------------------------------------------------
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def get_bars(self,
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symbol: str,
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@ -184,7 +182,7 @@ class TdxStockData(object):
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symbol：股票 000001.XG
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period: 周期: 1min,5min,15min,30min,1hour,1day,
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"""
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if self.api is None:
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if not self.api:
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self.connect()
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ret_bars = []
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if self.api is None:
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@ -375,7 +373,11 @@ class TdxStockData(object):
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:param cache_folder:
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:return:
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"""
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if not self.api:
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self.connect()
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ret_datas = []
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# trading_date ，转为为查询数字类型
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if isinstance(trading_date, datetime):
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trading_date = trading_date.strftime('%Y%m%d')
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@ -429,7 +431,7 @@ class TdxStockData(object):
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# 获取历史交易记录
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_res = self.api.get_history_transaction_data(
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market=self.symbol_market_dict[symbol],
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trading_date=trading_date,
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date=trading_date,
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code=symbol,
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start=_pos,
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count=q_size)
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@ -474,45 +476,3 @@ class TdxStockData(object):
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self.write_error(
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'exception in get_transaction_data:{},{},{}'.format(symbol, str(ex), traceback.format_exc()))
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return False, ret_datas
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if __name__ == "__main__":
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from tdx_common import FakeStrategy
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import json
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t1 = FakeStrategy()
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t2 = FakeStrategy()
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# 创建API对象
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api_01 = TdxStockData(t1)
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# 获取市场下股票
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for market_id in range(2):
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print('get market_id:{}'.format(market_id))
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security_list = api_01.get_security_list(market_id)
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if len(security_list) == 0:
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continue
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for security in security_list:
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if security.get('code', '').startswith('12') or u'转债' in security.get('name', ''):
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str_security = json.dumps(security, indent=1, ensure_ascii=False)
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print('market_id:{},{}'.format(market_id, str_security))
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# str_markets = json.dumps(security_list, indent=1, ensure_ascii=False)
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# print(u'{}'.format(str_markets))
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# 获取历史分钟线
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# api_01.get_bars('002024', period='1hour', callback=t1.display_bar)
|
||||
|
||||
# api.get_bars(symbol, period='5min', callback=display_bar)
|
||||
# api.get_bars(symbol, period='1day', callback=display_bar)
|
||||
# api_02 = TdxData(t2)
|
||||
# api_02.get_bars('601390', period='1day', callback=t1.display_bar)
|
||||
|
||||
# 获取历史分时数据
|
||||
# ret,result = api_01.get_history_transaction_data('RB99', '20190909')
|
||||
# for r in result[0:10] + result[-10:]:
|
||||
# print(r)
|
||||
|
||||
# 获取历史分时数据
|
||||
ret, result = api_01.get_history_transaction_data('600410', '20190925')
|
||||
for r in result[0:10] + result[-10:]:
|
||||
print(r)
|
||||
|
||||
79
vnpy/data/tdx/test_tdx_future.py
Normal file
79
vnpy/data/tdx/test_tdx_future.py
Normal file
@ -0,0 +1,79 @@
|
||||
# flake8: noqa
|
||||
import os
|
||||
import sys
|
||||
|
||||
vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
|
||||
if vnpy_root not in sys.path:
|
||||
sys.path.append(vnpy_root)
|
||||
|
||||
os.environ["VNPY_TESTING"] = "1"
|
||||
|
||||
from vnpy.data.tdx.tdx_common import FakeStrategy
|
||||
from vnpy.data.tdx.tdx_future_data import *
|
||||
|
||||
t1 = FakeStrategy()
|
||||
t2 = FakeStrategy()
|
||||
# 创建API对象
|
||||
api_01 = TdxFutureData(t1)
|
||||
|
||||
# 获取所有市场信息
|
||||
markets = api_01.get_markets()
|
||||
str_markets = json.dumps(markets, indent=1, ensure_ascii=False)
|
||||
print(u'{}'.format(str_markets))
|
||||
|
||||
# 获取所有的期货合约明细
|
||||
api_01.qryInstrument()
|
||||
|
||||
# 获取某个合约得最新价
|
||||
# price = api_01.get_price('rb2005')
|
||||
# print('price={}'.format(price))
|
||||
|
||||
|
||||
# 获取主力合约
|
||||
# result = api_01.get_mi_contracts()
|
||||
# str_result = json.dumps(result,indent=1, ensure_ascii=False)
|
||||
# print(str_result)
|
||||
|
||||
# 获取某个板块的合约
|
||||
# result = api_01.get_contracts(exchange=Exchange.CZCE)
|
||||
|
||||
# 获取某个板块的主力合约
|
||||
# result = api_01.get_mi_contracts_from_exchange(exchange=Exchange.CZCE)
|
||||
# 获取主力合约（从各个板块组合获取）
|
||||
# result = api_01.get_mi_contracts2()
|
||||
# print(u'一共{}个记录:{}'.format(len(result), [c.get('code') for c in result]))
|
||||
# str_result = json.dumps(result,indent=1, ensure_ascii=False)
|
||||
# print(str_result)
|
||||
|
||||
# all_99_ticks= api_01.get_99_contracts()
|
||||
# str_99_ticks = json.dumps(all_99_ticks, indent=1, ensure_ascii=False)
|
||||
# print(u'{}'.format(str_99_ticks))
|
||||
|
||||
# 获取历史分钟线
|
||||
"""
|
||||
ret,bars = api_01.get_bars('I2001', period='1min', callback=t1.display_bar, start_dt=datetime.now().replace(hour=0,minute=0,second=0,microsecond=0))
|
||||
line_close_oi = [{'close':x.close,'oi':x.openInterest} for x in bars]
|
||||
import pandas as pd
|
||||
df = pd.DataFrame(line_close_oi)
|
||||
corr = df.corr()
|
||||
print(corr)
|
||||
corr_rate = round(abs(corr.iloc[0, 1]) * 100, 2)
|
||||
"""
|
||||
# api.get_bars(symbol, period='5min', callback=display_bar)
|
||||
# api_01.get_bars('IF99', period='1day', callback=t1.display_bar)
|
||||
# result,datas = api_01.get_transaction_data(symbol='ni1905')
|
||||
# api_02 = TdxFutureData(t2)
|
||||
# api_02.get_bars('IF99', period='1min', callback=t1.display_bar)
|
||||
|
||||
# 获取当前交易日分时数据
|
||||
# ret,result = api_01.get_transaction_data('RB99')
|
||||
# for r in result[0:10] + result[-10:]:
|
||||
# print(r)
|
||||
|
||||
# 获取历史分时数据
|
||||
# ret, result = api_01.get_history_transaction_data('RB99', '20190109')
|
||||
# for r in result[0:10] + result[-10:]:
|
||||
# print(r)
|
||||
|
||||
# 更新本地合约缓存信息
|
||||
api_01.update_mi_contracts()
|
||||
53
vnpy/data/tdx/test_tdx_stock.py
Normal file
53
vnpy/data/tdx/test_tdx_stock.py
Normal file
@ -0,0 +1,53 @@
|
||||
# flake8: noqa
|
||||
import os
|
||||
import sys
|
||||
|
||||
vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
|
||||
if vnpy_root not in sys.path:
|
||||
sys.path.append(vnpy_root)
|
||||
|
||||
os.environ["VNPY_TESTING"] = "1"
|
||||
|
||||
from vnpy.data.tdx.tdx_common import FakeStrategy
|
||||
from vnpy.data.tdx.tdx_stock_data import *
|
||||
|
||||
os.environ["VNPY_TESTING"] = "1"
|
||||
|
||||
import json
|
||||
|
||||
t1 = FakeStrategy()
|
||||
t2 = FakeStrategy()
|
||||
# 创建API对象
|
||||
api_01 = TdxStockData(t1)
|
||||
|
||||
# 获取市场下股票
|
||||
for market_id in range(2):
|
||||
print('get market_id:{}'.format(market_id))
|
||||
security_list = api_01.get_security_list(market_id)
|
||||
if len(security_list) == 0:
|
||||
continue
|
||||
for security in security_list:
|
||||
if security.get('code', '').startswith('12') or u'转债' in security.get('name', ''):
|
||||
str_security = json.dumps(security, indent=1, ensure_ascii=False)
|
||||
print('market_id:{},{}'.format(market_id, str_security))
|
||||
|
||||
# str_markets = json.dumps(security_list, indent=1, ensure_ascii=False)
|
||||
# print(u'{}'.format(str_markets))
|
||||
|
||||
# 获取历史分钟线
|
||||
# api_01.get_bars('002024', period='1hour', callback=t1.display_bar)
|
||||
|
||||
# api.get_bars(symbol, period='5min', callback=display_bar)
|
||||
# api.get_bars(symbol, period='1day', callback=display_bar)
|
||||
# api_02 = TdxData(t2)
|
||||
# api_02.get_bars('601390', period='1day', callback=t1.display_bar)
|
||||
|
||||
# 获取历史分时数据
|
||||
# ret,result = api_01.get_history_transaction_data('RB99', '20190909')
|
||||
# for r in result[0:10] + result[-10:]:
|
||||
# print(r)
|
||||
|
||||
# 获取历史分时数据
|
||||
ret, result = api_01.get_history_transaction_data('600410', '20190925')
|
||||
for r in result[0:10] + result[-10:]:
|
||||
print(r)
|
||||
Loading…
Reference in New Issue
Block a user