[增强功能] 股票数据
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vnpy/data/stock/README.md
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vnpy/data/stock/README.md
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股票类相关数据接口
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基础数据
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获取/更新股票的基本资料
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参考/下载: http://baostock.com/baostock/index.php/%E8%AF%81%E5%88%B8%E5%9F%BA%E6%9C%AC%E8%B5%84%E6%96%99
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python stock_base.py
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保存二进制对象dict{vt_symbol: dict} => stock_base.pkb2
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除权除息
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更新股票除权除息信息 (2006年)
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参考/下载: http://baostock.com/baostock/index.php/%E9%99%A4%E6%9D%83%E9%99%A4%E6%81%AF%E4%BF%A1%E6%81%AF
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python stock_dividend.py
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保存csv文件=> stock_dividend.csv
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复权因子
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获取/更新股票复权因子(2006年开始)
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参考/下载: http://baostock.com/baostock/index.php/%E5%A4%8D%E6%9D%83%E5%9B%A0%E5%AD%90%E4%BF%A1%E6%81%AF
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python adjust_factor.py
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保存二进制对象 dict {vt_symbol, []} => stock_adjust_factor.pkb2
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5分钟K线数据
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vnpy/data/stock/adjust_factor.py
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vnpy/data/stock/adjust_factor.py
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# flake8: noqa
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"""
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# 追加/更新股票复权因子
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"""
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import os
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import sys
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import json
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from typing import Any
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from collections import OrderedDict
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import pandas as pd
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
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if vnpy_root not in sys.path:
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sys.path.append(vnpy_root)
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os.environ["VNPY_TESTING"] = "1"
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import baostock as bs
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from vnpy.trader.constant import Exchange
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from vnpy.trader.utility import load_json, load_data_from_pkb2, save_data_to_pkb2, extract_vt_symbol
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from vnpy.data.tdx.tdx_common import get_stock_type
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from vnpy.data.stock.stock_base import get_stock_base
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import baostock as bs
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import pandas as pd
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ADJUST_FACTOR_FILE = 'stock_adjust_factor.pkb2'
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def get_all_adjust_factor():
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""" 获取所有股票复权因子"""
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cache_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), ADJUST_FACTOR_FILE))
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data = load_data_from_pkb2(cache_file_name)
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if data is None:
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return download_adjust_factor()
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else:
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return data
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def get_adjust_factor(vt_symbol: str, stock_name: str = '', need_login: bool = True):
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"""
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通过baostock，获取复权因子
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:param vt_symbol:
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:param stock_name:
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:param need_login:
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:return:
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"""
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if need_login:
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login_msg = bs.login()
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if login_msg.error_code != '0':
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print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
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return []
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symbol, exchange = extract_vt_symbol(vt_symbol)
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bs_code = '.'.join(['sh' if exchange == Exchange.SSE else 'sz', symbol])
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print(f'开始获取{stock_name} {bs_code}得复权因子')
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rs = bs.query_adjust_factor(
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code=bs_code,
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start_date='2006-01-01'
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)
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if rs.error_code != '0':
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print(f'证券宝获取沪深A股复权因子数据，错误代码:{rs.error_code}, 错误信息:{rs.error_msg}')
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return []
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# [dict] => dataframe
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print(f'返回字段:{rs.fields}')
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result_list = []
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while (rs.error_code == '0') and rs.next():
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row = rs.get_row_data()
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exchange_code, stock_code = row[0].split('.')
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d = {
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'exchange': exchange.value, # 证券交易所
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'code': stock_code, # 证券代码
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'name': stock_name, # 证券中文名称
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'dividOperateDate': row[1], # 除权除息日期
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'foreAdjustFactor': float(row[2]), # 向前复权因子 除权除息日前一个交易日的收盘价/除权除息日最近的一个交易日的前收盘价
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'backAdjustFactor': float(row[3]), # 向后复权因子 除权除息日最近的一个交易日的前收盘价/除权除息日前一个交易日的收盘价
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'adjustFactor': float(row[4]) # 本次复权因子
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}
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result_list.append(d)
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print(f'{d}')
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return result_list
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def download_adjust_factor():
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"""
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下载更新股票复权因子
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:return:
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"""
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# 获取所有股票基础信息
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base_dict = get_stock_base()
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# 尝试从本地缓存获取
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cache_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), ADJUST_FACTOR_FILE))
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factor_dict = load_data_from_pkb2(cache_file_name)
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if factor_dict is None:
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factor_dict = dict()
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login_msg = bs.login()
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if login_msg.error_code != '0':
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print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
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return
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for k, v in base_dict.items():
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if v.get('类型') != '股票':
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continue
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factor_list = get_adjust_factor(vt_symbol=k, stock_name=v.get('name'), need_login=False)
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if len(factor_list) > 0:
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factor_dict.update({k: factor_list})
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if len(factor_dict) > 0:
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save_data_to_pkb2(factor_dict, cache_file_name)
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print(f'保存除权除息至文件:{cache_file_name}')
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if __name__ == '__main__':
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download_adjust_factor()
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vnpy/data/stock/stock_base.py
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vnpy/data/stock/stock_base.py
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# flake8: noqa
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"""
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# 追加/更新股票基础信息
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"""
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import os
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import sys
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import json
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from typing import Any
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from collections import OrderedDict
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import pandas as pd
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
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if vnpy_root not in sys.path:
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sys.path.append(vnpy_root)
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os.environ["VNPY_TESTING"] = "1"
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import baostock as bs
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from vnpy.trader.constant import Exchange
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from vnpy.trader.utility import load_json, load_data_from_pkb2, save_data_to_pkb2
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from vnpy.data.tdx.tdx_common import get_stock_type
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import baostock as bs
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stock_type_map = {
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"1": '股票', "2": "指数", "3": "其他"
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}
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STOCK_BASE_FILE = 'stock_base.pkb2'
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def get_stock_base():
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""" 获取股票基础信息"""
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base_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), STOCK_BASE_FILE))
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base_data = load_data_from_pkb2(base_file_name)
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if base_data is None:
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return update_stock_base()
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else:
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return base_data
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def update_stock_base():
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"""
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更新股票基础信息
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:return:
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"""
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base_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), STOCK_BASE_FILE))
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base_data = load_data_from_pkb2(base_file_name)
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if base_data is None:
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base_data = dict()
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login_msg = bs.login()
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if login_msg.error_code != '0':
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print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
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return base_data
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rs = bs.query_stock_basic()
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if rs.error_code != '0':
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print(f'证券宝获取沪深A股历史K线数据错误代码:{rs.error_code}, 错误信息:{rs.error_msg}')
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return
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# [dict] => dataframe
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print(f'返回字段:{rs.fields}')
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while (rs.error_code == '0') and rs.next():
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row = rs.get_row_data()
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exchange_code, stock_code = row[0].split('.')
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exchange = Exchange.SSE if exchange_code == 'sh' else Exchange.SZSE
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d = {
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'exchange': exchange.value,
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'code': stock_code,
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'name': row[1],
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'ipo_date': row[2],
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'out_date': row[3],
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'类型': stock_type_map.get(row[4], '其他'),
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'type': get_stock_type(stock_code),
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'status': '上市' if row[5] == '1' else '退市'
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}
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base_data.update({f'{stock_code}.{exchange.value}': d})
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# print(f'{d}')
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save_data_to_pkb2(base_data, base_file_name)
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print(f'更新完毕')
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return base_data
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if __name__ == '__main__':
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update_stock_base()
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101
vnpy/data/stock/stock_dividend.py
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vnpy/data/stock/stock_dividend.py
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# flake8: noqa
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"""
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# 追加/更新股票除权除息
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"""
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import os
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import sys
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import json
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from typing import Any
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from collections import OrderedDict
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import pandas as pd
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
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if vnpy_root not in sys.path:
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sys.path.append(vnpy_root)
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os.environ["VNPY_TESTING"] = "1"
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import baostock as bs
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from vnpy.trader.constant import Exchange
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from vnpy.trader.utility import load_json, load_data_from_pkb2, save_data_to_pkb2, extract_vt_symbol
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from vnpy.data.tdx.tdx_common import get_stock_type
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from vnpy.data.stock.stock_base import get_stock_base
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import baostock as bs
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import pandas as pd
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STOCK_DIVIDEND_FILE = 'stock_dividend.csv'
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years = [str(y) for y in range(2006, 2020)]
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def update_stock_devidend():
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"""
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更新股票除权除息信息
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:return:
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"""
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stocks_data = get_stock_base()
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login_msg = bs.login()
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if login_msg.error_code != '0':
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print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
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return
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result_list = []
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for k, v in stocks_data.items():
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if v.get('类型') != '股票':
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continue
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symbol, exchange = extract_vt_symbol(k)
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bs_code = '.'.join(['sh' if exchange == Exchange.SSE else 'sz', symbol])
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stock_name = v.get('name')
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print(f'开始获取{stock_name} {bs_code}得除权除息')
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for year in years:
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rs = bs.query_dividend_data(
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code=bs_code,
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year=year
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)
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if rs.error_code != '0':
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print(f'证券宝获取沪深A股除权除息数据，错误代码:{rs.error_code}, 错误信息:{rs.error_msg}')
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continue
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# [dict] => dataframe
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#print(f'返回字段:{rs.fields}')
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while (rs.error_code == '0') and rs.next():
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row = rs.get_row_data()
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exchange_code, stock_code = row[0].split('.')
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exchange = Exchange.SSE if exchange_code == 'sh' else Exchange.SZSE
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d = {
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'exchange': exchange.value,
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'code': stock_code,
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'name': stock_name,
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'dividPreNoticeDate': row[1], # 预批露公告日
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'dividAgmPumDate': row[2], # 股东大会公告日期
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'dividPlanAnnounceDate': row[3], # 预案公告日
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'dividPlanDate': row[4], # 分红实施公告日
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'dividRegistDate': row[5], # 股权登记告日
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'dividOperateDate': row[6], # 除权除息日期
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'dividPayDate': row[7], # 派息日
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'dividStockMarketDate': row[8], # 红股上市交易日
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'dividCashPsBeforeTax': row[9], # 每股股利税前
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'dividCashPsAfterTax': row[10], # 每股股利税后
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'dividStocksPs': row[11], # 每股红股
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'dividCashStock': row[12], # 分红送转
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'dividReserveToStockPs': row[13] # 每股转增资本
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}
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result_list.append(d)
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print(f'{d}')
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if len(result_list) > 0:
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df = pd.DataFrame(result_list)
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export_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), STOCK_DIVIDEND_FILE))
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df.to_csv(export_file_name)
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print(f'保存除权除息至文件:{export_file_name}')
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if __name__ == '__main__':
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update_stock_devidend()
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