[bug fix] 修复获取商品期货主力合约
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msincenselee
parent
b32ca3b9d5
commit
e230b27e5b
@ -90,6 +90,7 @@ def get_tdx_marketid(symbol):
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class TdxFutureData(object):
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exclude_ips = []
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# ----------------------------------------------------------------------
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def __init__(self, strategy=None, best_ip={}, proxy_ip="", proxy_port=0):
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"""
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@ -108,7 +109,6 @@ class TdxFutureData(object):
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# 所有期货合约的本地缓存
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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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self.strategy.write_log(content)
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@ -152,7 +152,7 @@ class TdxFutureData(object):
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if (datetime.now() - last_datetime).total_seconds() > 60 * 60 * 2:
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self.best_ip = {}
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self.exclude_ips = []
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except Exception as ex: # noqa
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except Exception as ex: # noqa
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self.best_ip = {}
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else:
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self.best_ip = {}
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@ -186,7 +186,7 @@ class TdxFutureData(object):
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# self.qryInstrument()
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except Exception as ex:
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ip = self.best_ip.get('ip', '')
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self.write_log(u'连接服务器tdx:{} 异常:{},{}'.format(ip,str(ex), traceback.format_exc()))
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self.write_log(u'连接服务器tdx:{} 异常:{},{}'.format(ip, str(ex), traceback.format_exc()))
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if ip not in self.exclude_ips:
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self.write_log(f'添加{ip}到异常列表中')
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self.exclude_ips.append(ip)
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@ -550,9 +550,11 @@ 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[0:2] in ['IF', 'IC']:
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a = 1
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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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#self.write_log(f'过滤:{exchange.value}:{code}')
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# self.write_log(f'过滤:{exchange.value}:{code}')
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continue
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short_symbol = get_underlying_symbol(code).upper()
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contract_list = short_contract_dict.get(short_symbol, [])
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@ -567,9 +569,18 @@ class TdxFutureData(object):
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# 缓存的期货合约配置
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cache_info = self.future_contracts.get(k, {})
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# 缓存的所有当前合约清单
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cache_symbols = cache_info.get('symbols', [])
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new_symbols = sorted([c.get('code') for c in v])
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# 缓存的所有当前合约字典
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cache_symbols = cache_info.get('symbols', {})
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if isinstance(cache_symbols, list):
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self.write_log(f'移除旧版symbols列表')
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cache_symbols = {}
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# 获取 {合约:总量}
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new_symbols = {c.get('code'): c.get('ZongLiang') for c in v}
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# 更新字典
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cache_symbols.update(new_symbols)
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# 检查交易所是否一致
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cache_exchange = cache_info.get('exchange', '')
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@ -577,45 +588,41 @@ class TdxFutureData(object):
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if not (cache_exchange == 'INE' and exchange == Exchange.SHFE):
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continue
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# 判断前置条件1：缓存的清单数量，
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if len(cache_symbols) > 0:
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if len(new_symbols) < len(cache_symbols) * 0.8:
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self.write_error(f'查询的期货合约{new_symbols} 总数小于 缓存 {cache_symbols} 的80%数量，不做处理')
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continue
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# 获取短合约
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underlying_symbol = cache_info.get('underlying_symbol', None)
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if not underlying_symbol:
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self.write_error(f'不能获取短合约')
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cache_info.update({'underlying_symbol': k})
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underlying_symbol = k
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# 当前月份的合约
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last_full_symbol = '{}{}'.format(underlying_symbol.upper(), datetime.now().strftime('%y%m'))
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# 排除旧的合约
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cache_symbols = {k: v for k, v in cache_symbols.items() if
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k >= last_full_symbol and len(k) == len(last_full_symbol)}
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# 判断前置条件2：
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cache_mi_symbol = cache_info.get('full_symbol')
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# 之前的主力合约不在当前所有合约清单中
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if cache_mi_symbol and cache_mi_symbol not in new_symbols:
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# 之前的主力合约，必须小于所有的合约
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if not all([cache_mi_symbol<symbol for symbol in new_symbols]):
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self.write_error(f'前期主力合约{cache_mi_symbol}不在当前合约清单{new_symbols}中，又不是早期合约,不做处理')
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continue
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# 判断前置条件3
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cache_oi = cache_info.get('open_interesting', 0)
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# 根据总量排序
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sorted_list = sorted(v, key=lambda c: c['ZongLiang'])
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select_data = sorted_list[-1]
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new_mi_symbol = select_data.get('code')
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new_oi = select_data.get('ZongLiang', 0)
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max_item = max(cache_symbols.items(), key=lambda c: c[1])
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new_mi_symbol = max_item[0]
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new_oi = max_item[1]
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if new_oi <= 0:
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self.write_error(f'{new_mi_symbol}合约总量为0， 不做处理')
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continue
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if 0 < new_oi < cache_oi / 50 and new_mi_symbol != cache_mi_symbol:
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self.write_error(f"新合约{new_mi_symbol}总量:{select_data.get('ZongLiang', 0)} 不到旧合约{cache_mi_symbol}持仓总量:{cache_oi}的一半，不处理")
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continue
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cache_info.update({'open_interesting': new_oi})
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if len(new_symbols) > 0:
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cache_info.update({'symbols': new_symbols})
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cache_info.update({'open_interesting': new_oi})
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self.future_contracts.update({k: cache_info})
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# 更新
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mi_contracts.append(select_data)
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mi_contracts.append({'code': new_mi_symbol, 'ZongLiang': new_oi, "market": Vn_Tdx_Exchange_Map[exchange]})
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return mi_contracts
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@ -649,7 +656,7 @@ class TdxFutureData(object):
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# 每秒 2个， 10小时
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max_data_size = 1000000
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market_id = INIT_TDX_MARKET_MAP.get(tdx_index_symbol, 0)
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self.write_log(u'开始下载{}=>{}, market_id={} 当日分笔数据'.format(symbol,tdx_index_symbol, market_id))
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self.write_log(u'开始下载{}=>{}, market_id={} 当日分笔数据'.format(symbol, tdx_index_symbol, market_id))
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try:
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_datas = []
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@ -882,12 +889,14 @@ class TdxFutureData(object):
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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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# if underlying_symbol == 'IC':
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# debug = 1
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# 更新登记 短合约：真实主力合约
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self.write_log(
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'{},{},{},{},{}'.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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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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