76 lines
2.3 KiB
Python
76 lines
2.3 KiB
Python
#!/usr/bin/env python
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# coding=utf8
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"""
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上交所，市场代码 SHSE
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深交所，市场代码 SZSE
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中金所，市场代码 CFFEX
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上期所，市场代码 SHFE
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大商所，市场代码 DCE
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郑商所，市场代码 CZCE
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纽约商品交易所， 市场代码 CMX (GLN, SLN)
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伦敦国际石油交易所， 市场代码 IPE (OIL, GAL)
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纽约商业交易所， 市场代码 NYM (CON, HON)
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芝加哥商品期货交易所，市场代码 CBT (SOC, SBC, SMC, CRC)
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纽约期货交易所，市场代码 NYB (SGN)
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"""
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from gmsdk.api import md
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from vtGateway import VtTickData
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ret = md.init(
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username='171322809@qq.com',
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password='88888888',
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mode=2
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)
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import arrow
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def to_local(utc):
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return arrow.get(utc).to('local')
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def gm_to_vt(exchange, sym, tick):
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obj = VtTickData()
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obj.symbol = sym # 合约代码
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obj.exchange = exchange # 交易所代码
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obj.vtSymbol = sym # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
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local_time = to_local(tick.utc_time)
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# 成交数据
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obj.lastPrice = round(tick.last_price, 2) # 最新成交价
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obj.lastVolume = tick.last_volume # 最新成交量
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obj.volume = tick.cum_volume # 今天总成交量
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obj.openInterest = tick.cum_position # 持仓量
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obj.time = local_time.strftime('%H:%M:%S') # 时间 11:20:56.5
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obj.date = local_time.strftime('%Y%m%d') # 日期 20151009
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# 常规行情
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obj.openPrice = tick.open # 今日开盘价
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obj.highPrice = tick.high # 今日最高价
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obj.lowPrice = tick.low # 今日最低价
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obj.preClosePrice = tick.pre_close
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obj.upperLimit = tick.upper_limit # 涨停价
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obj.lowerLimit = tick.lower_limit # 跌停价
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# 一档行情
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obj.bidPrice1, obj.bidVolume1 = tick.bids[0]
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obj.askPrice1, obj.askVolume1 = tick.asks[0]
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return obj
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def get_last_n_ticks(exchange, sym, n):
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ticks = md.get_last_n_ticks('%s.%s' % (exchange, sym), 10)
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res = []
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for tick in ticks:
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res.append(gm_to_vt(exchange, sym, tick))
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return res[::-1]
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if __name__ == '__main__':
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for tick in get_last_n_ticks('SHFE', 'ag1606', 10):
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print tick.date, tick.time, tick
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