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data maintain tool(continue)
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fasiondog
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hikyuu_python/tools/maintain/hdf5_common.py
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63
hikyuu_python/tools/maintain/hdf5_common.py
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@ -0,0 +1,63 @@
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# coding:utf-8
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog/hikyuu
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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import tables as tb
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HDF5_COMPRESS_LEVEL = 9
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class H5Record(tb.IsDescription):
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"""HDF5基础K线数据格式（日线、分钟线、5分钟线"""
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datetime = tb.UInt64Col() #IGNORE:E1101
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openPrice = tb.UInt32Col() #IGNORE:E1101
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highPrice = tb.UInt32Col() #IGNORE:E1101
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lowPrice = tb.UInt32Col() #IGNORE:E1101
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closePrice = tb.UInt32Col() #IGNORE:E1101
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transAmount = tb.UInt64Col() #IGNORE:E1101
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transCount = tb.UInt64Col() #IGNORE:E1101
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class H5Index(tb.IsDescription):
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"""HDF5扩展K线数据格式（周线、月线、季线、半年线、年线、15分钟线、30分钟线、60分钟线"""
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datetime = tb.UInt64Col() #IGNORE:E1101
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start = tb.UInt64Col() #IGNORE:E1101
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def open_h5file(dest_dir, market, ktype):
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filename = "{}/{}_{}.h5".format(dest_dir, market.lower(), ktype.lower())
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h5file = tb.open_file(filename, "a", filters=tb.Filters(complevel=HDF5_COMPRESS_LEVEL, complib='zlib', shuffle=True))
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return h5file
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def get_h5table(h5file, market, code):
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try:
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group = h5file.get_node("/", "data")
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except:
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group = h5file.create_group("/", "data")
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tablename = market.upper() + code
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try:
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table = h5file.get_node(group, tablename)
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except:
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table = h5file.create_table(group, tablename, H5Record)
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return table
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@ -15,10 +15,11 @@ import tables as tb
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from io import SEEK_END, SEEK_SET
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from common import get_stktype_list, MARKETID
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from sqlite3_baseinfo import (create_database, get_marketid,
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get_codepre_list, update_last_date)
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from sqlite3_common import (create_database, get_marketid,
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get_codepre_list, update_last_date)
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from hdf5_common import (H5Record, H5Index,
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open_h5file, get_h5table)
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HDF5_COMPRESS_LEVEL = 9
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def ProgressBar(cur, total):
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percent = '{:.0%}'.format(cur / total)
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@ -27,23 +28,6 @@ def ProgressBar(cur, total):
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sys.stdout.flush()
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class H5Record(tb.IsDescription):
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"""HDF5基础K线数据格式（日线、分钟线、5分钟线"""
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datetime = tb.UInt64Col() #IGNORE:E1101
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openPrice = tb.UInt32Col() #IGNORE:E1101
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highPrice = tb.UInt32Col() #IGNORE:E1101
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lowPrice = tb.UInt32Col() #IGNORE:E1101
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closePrice = tb.UInt32Col() #IGNORE:E1101
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transAmount = tb.UInt64Col() #IGNORE:E1101
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transCount = tb.UInt64Col() #IGNORE:E1101
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class H5Index(tb.IsDescription):
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"""HDF5扩展K线数据格式（周线、月线、季线、半年线、年线、15分钟线、30分钟线、60分钟线"""
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datetime = tb.UInt64Col() #IGNORE:E1101
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start = tb.UInt64Col() #IGNORE:E1101
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def tdx_import_stock_name_from_file(connect, filename, market, quotations=None):
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"""更新每只股票的名称、当前是否有效性、起始日期及结束日期
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如果导入的代码表中不存在对应的代码，则认为该股已失效
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@ -51,7 +35,7 @@ def tdx_import_stock_name_from_file(connect, filename, market, quotations=None):
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:param connect: sqlite3实例
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:param filename: 代码表文件名
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:param market: 'SH' | 'SZ'
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:param quotation: 待导入的行情类别，空为导入全部 'stock' | 'fund' | 'bond' | None
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:param quotations: 待导入的行情类别列表，空为导入全部 'stock' | 'fund' | 'bond' | None
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"""
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cur = connect.cursor()
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@ -133,17 +117,7 @@ def tdx_import_day_data_from_file(connect, filename, h5file, market, stock_recor
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stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[2], stock_record[3],stock_record[4]
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try:
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group = h5file.get_node("/", "data")
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except:
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group = h5file.create_group("/", "data")
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tablename = market.upper() + code
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try:
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table = h5file.get_node(group, tablename)
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except:
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table = h5file.create_table(group, tablename, H5Record)
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table = get_h5table(h5file, market, code)
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if table.nrows > 0:
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startdate = table[0]['datetime']/10000
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lastdatetime = table[-1]['datetime']/10000
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@ -214,17 +188,7 @@ def tdx_import_min_data_from_file(connect, filename, h5file, market, stock_recor
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stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[2], stock_record[3],stock_record[4]
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try:
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group = h5file.get_node("/", "data")
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except:
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group = h5file.create_group("/", "data")
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tablename = market.upper() + code
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try:
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table = h5file.get_node(group, tablename)
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except:
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table = h5file.create_table(group, tablename, H5Record)
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table = get_h5table(h5file, market, code)
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if table.nrows > 0:
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lastdatetime = table[-1]['datetime']
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else:
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@ -325,9 +289,7 @@ def tdx_import_data(connect, market, ktype, quotations, src_dir, dest_dir, progr
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"""
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add_record_count = 0
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market = market.upper()
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filename = "{}_{}.h5".format(market, ktype)
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filename = "{}/{}".format(dest_dir, filename.lower())
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h5file = tb.open_file(filename, "a", filters=tb.Filters(complevel=HDF5_COMPRESS_LEVEL, complib='zlib', shuffle=True))
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h5file = open_h5file(dest_dir, market, ktype)
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if ktype.upper() == "DAY":
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suffix = ".day"
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@ -349,6 +311,9 @@ def tdx_import_data(connect, market, ktype, quotations, src_dir, dest_dir, progr
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total = len(a)
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for i, stock in enumerate(a):
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if stock[3] == 0:
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continue
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filename = src_dir + "\\" + market.lower() + stock[2]+ suffix
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this_count = func_import_from_file(connect, filename, h5file, market, stock)
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add_record_count += this_count
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@ -598,13 +563,14 @@ if __name__ == '__main__':
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src_dir = "D:\\TdxW_HuaTai"
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dest_dir = "c:\\stock"
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quotations = ['stock', 'fund'] #通达信盘后数据没有债券
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connect = sqlite3.connect(dest_dir + "\\stock.db")
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create_database(connect)
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print("导入股票代码表")
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tdx_import_stock_name_from_file(connect, src_dir + "\\T0002\\hq_cache\\shm.tnf", 'SH', ['stock', 'fund'])
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tdx_import_stock_name_from_file(connect, src_dir + "\\T0002\\hq_cache\\szm.tnf", 'SZ', ['stock', 'fund'])
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tdx_import_stock_name_from_file(connect, src_dir + "\\T0002\\hq_cache\\shm.tnf", 'SH', quotations)
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tdx_import_stock_name_from_file(connect, src_dir + "\\T0002\\hq_cache\\szm.tnf", 'SZ', quotations)
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print("\n导入上证日线数据")
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add_count = 0
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256
hikyuu_python/tools/maintain/pytdx_to_hdf5.py
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256
hikyuu_python/tools/maintain/pytdx_to_hdf5.py
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# coding:utf-8
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog/hikyuu
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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import sys
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import math
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import datetime
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import sqlite3
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from pytdx.hq import TDXParams
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from common import get_stktype_list
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from sqlite3_common import (get_codepre_list, create_database,
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get_marketid, get_last_date, get_stock_list)
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from hdf5_common import (H5Record, H5Index,
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open_h5file, get_h5table)
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def ProgressBar(cur, total):
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percent = '{:.0%}'.format(cur / total)
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sys.stdout.write('\r')
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sys.stdout.write("[%-50s] %s" % ('=' * int(math.floor(cur * 50 / total)),percent))
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sys.stdout.flush()
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def to_pytdx_market(market):
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"""转换为pytdx的market"""
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pytdx_market = {'SH': TDXParams.MARKET_SH, 'SZ': TDXParams.MARKET_SZ}
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return pytdx_market[market.upper()]
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pytdx_market = {'SH': TDXParams.MARKET_SH, 'SZ': TDXParams.MARKET_SZ}
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def import_stock_name(connect, api, market, quotations=None):
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"""更新每只股票的名称、当前是否有效性、起始日期及结束日期
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如果导入的代码表中不存在对应的代码，则认为该股已失效
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:param connect: sqlite3实例
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:param api: pytdx接口，必须在函数外进行连接
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:param market: 'SH' | 'SZ'
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:param quotations: 待导入的行情类别，空为导入全部 'stock' | 'fund' | 'bond' | None
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"""
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cur = connect.cursor()
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newStockDict = {}
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pytdx_market = to_pytdx_market(market.upper())
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stk_count = api.get_security_count(pytdx_market)
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for i in range(int(stk_count/1000)+1):
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stock_list = api.get_security_list(pytdx_market, i * 1000)
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for stock in stock_list:
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newStockDict[stock['code']] = stock['name']
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marketid = get_marketid(connect, market)
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stktype_list = get_stktype_list(quotations)
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a = cur.execute("select stockid, code, name, valid from stock where marketid={} and type in {}"
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.format(marketid, stktype_list))
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a = a.fetchall()
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oldStockDict = {}
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for oldstock in a:
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oldstockid, oldcode, oldname, oldvalid = oldstock[0], oldstock[1], oldstock[2], int(oldstock[3])
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oldStockDict[oldcode] = oldstockid
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# 新的代码表中无此股票，则置为无效
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if (oldvalid == 1) and (oldcode not in newStockDict):
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cur.execute("update stock set valid=0 where stockid=%i" % oldstockid)
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# 股票名称发生变化，更新股票名称;如果原无效，则置为有效
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if oldcode in newStockDict:
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if oldname != newStockDict[oldcode]:
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cur.execute("update stock set name='%s' where stockid=%i" %
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(newStockDict[oldcode], oldstockid))
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if oldvalid == 0:
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cur.execute("update stock set valid=1, endDate=99999999 where stockid=%i" % oldstockid)
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# 处理新出现的股票
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codepre_list = get_codepre_list(connect, marketid, quotations)
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today = datetime.date.today()
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today = today.year * 10000 + today.month * 100 + today.day
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count = 0
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for code in newStockDict:
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if code not in oldStockDict:
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for codepre in codepre_list:
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length = len(codepre[0])
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if code[:length] == codepre[0]:
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count += 1
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#print(market, code, newStockDict[code], codepre)
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sql = "insert into Stock(marketid, code, name, type, valid, startDate, endDate) \
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values (%s, '%s', '%s', %s, %s, %s, %s)" \
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% (marketid, code, newStockDict[code], codepre[1], 1, today, 99999999)
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cur.execute(sql)
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break
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#print('%s新增股票数：%i' % (market.upper(), count))
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connect.commit()
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cur.close()
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def import_one_stock_day_data(connect, api, h5file, market, code):
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market = market.upper()
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table = get_h5table(h5file, market, code)
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if table.nrows > 0:
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start_date = table[0]['datetime'] // 10000
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last_date = table[-1]['datetime'] // 10000
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else:
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start_date = None
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last_date = 19901219
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today = datetime.date.today()
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last_y = last_date // 10000
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ny = today.year - last_y
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days = (ny + 1) * 250
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step = 800
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if days < step:
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last_m = last_date // 100 - last_y * 100
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last_d = last_date - (last_y * 10000 + last_m * 100)
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days = (today - datetime.date(int(last_y), int(last_m), int(last_d))).days
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step = days
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print(code, days)
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add_record_count = 0
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while days > 0:
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x = api.get_security_bars(9, to_pytdx_market(market), '000001', days, step)
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days -= step
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if x is not None:
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add_record_count += len(x)
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return add_record_count
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def import_data(connect, market, ktype, quotations, api, dest_dir, progress=ProgressBar):
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"""导入通达信指定盘后数据路径中的K线数据。注：只导入基础信息数据库中存在的股票。
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:param connect : sqlit3链接
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:param market : 'SH' | 'SZ'
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:param ktype : 'DAY' | '1MIN' | '5MIN'
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:param quotations: 'stock' | 'fund' | 'bond'
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:param src_dir : 盘后K线数据路径，如上证5分钟线：D:\\Tdx\\vipdoc\\sh\\fzline
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:param dest_dir : HDF5数据文件所在目录
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:param progress : 进度显示函数
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:return: 导入记录数
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"""
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add_record_count = 0
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market = market.upper()
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h5file = open_h5file(dest_dir, market, ktype)
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stock_list = get_stock_list(connect, market, quotations)
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total = len(stock_list)
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for i, stock in enumerate(stock_list):
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if stock[3] == 0:
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print(stock[2], 'invalid!!!!')
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continue
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this_count = import_one_stock_day_data(connect, api, h5file, market, stock[2])
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add_record_count += this_count
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if progress:
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progress(i, total)
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connect.commit()
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h5file.close()
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return add_record_count
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if __name__ == '__main__':
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import time
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starttime = time.time()
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dest_dir = "c:\\stock"
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tdx_server = '119.147.212.81'
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tdx_port = 7709
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quotations = ['stock', 'fund', 'bond']
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connect = sqlite3.connect(dest_dir + "\\stock.db")
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create_database(connect)
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from pytdx.hq import TdxHq_API, TDXParams
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api = TdxHq_API()
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api.connect(tdx_server, tdx_port)
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print("导入股票代码表")
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#import_stock_name(connect, api, 'SH', quotations)
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#import_stock_name(connect, api, 'SZ', quotations)
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print("\n导入上证日线数据")
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add_count = 0
|
||||
add_count = import_data(connect, 'SH', 'DAY', ['stock'], api, dest_dir, progress=None)
|
||||
print(add_count)
|
||||
|
||||
"""x = get_last_date(connect, 1)
|
||||
print(x)
|
||||
today = datetime.date.today()
|
||||
y = x // 10000
|
||||
m = x // 100 - y * 100
|
||||
d = x - (y*10000+m*100)
|
||||
ny = today.year - y
|
||||
#days = (today - datetime.date(y, m, d)).days
|
||||
days = (ny+1)*250
|
||||
i = 0
|
||||
x = []
|
||||
step = 800
|
||||
if days <= step:
|
||||
days = (today - datetime.date(2018, 10, 29)).days
|
||||
step =days
|
||||
#print(days)
|
||||
#x = api.get_security_bars(9, 0, '000001', 0, days)
|
||||
#print(len(x))
|
||||
#print(x[0])
|
||||
#print(x[-1])
|
||||
while days > 0:
|
||||
x += api.get_security_bars(9, 0, '000001', days, step)
|
||||
days -= 800
|
||||
i+=1
|
||||
print(i ,len(x))
|
||||
|
||||
#for i in x:
|
||||
# print(i)
|
||||
|
||||
"""
|
||||
#x = api.get_security_bars(9, 1, '000001', 6500, 800)
|
||||
#print(len(x))
|
||||
#print(x[0])
|
||||
|
||||
#print(api.get_security_list(1, 0))
|
||||
|
||||
api.disconnect()
|
||||
|
||||
connect.close()
|
||||
|
||||
endtime = time.time()
|
||||
print("\nTotal time:")
|
||||
print("%.2fs" % (endtime - starttime))
|
||||
print("%.2fm" % ((endtime - starttime) / 60))
|
||||
|
||||
@ -1,54 +0,0 @@
|
||||
#!/usr/bin/python
|
||||
# -*- coding: utf8 -*-
|
||||
# cp936
|
||||
|
||||
import datetime
|
||||
from pytdx.hq import TDXParams
|
||||
|
||||
def to_pytdx_market(market):
|
||||
"""转换为pytdx的market"""
|
||||
pytdx_market = {'SH': TDXParams.MARKET_SH, 'SZ': TDXParams.MARKET_SZ}
|
||||
return pytdx_market[market.upper()]
|
||||
|
||||
pytdx_market = {'SH': TDXParams.MARKET_SH, 'SZ': TDXParams.MARKET_SZ}
|
||||
|
||||
def pytdx_get_weights(connect, market, code, lastdatetime=None):
|
||||
xdxr_list = connect.get_xdxr_info(pytdx_market[market.upper()], code)
|
||||
weight_dict = {}
|
||||
for xdxr in xdxr_list:
|
||||
this_date = xdxr['year'] * 100000000 + xdxr['month'] * 1000000 + xdxr['day'] * 10000
|
||||
if lastdatetime is not None and this_date <= lastdatetime:
|
||||
continue
|
||||
|
||||
if this_date in weight_dict:
|
||||
pass
|
||||
else:
|
||||
weight = {'countAsGift' : 0, #每10股送X股
|
||||
'countForSell': 0, #每10股配X股
|
||||
'priceForSell': 0, #配股价
|
||||
'bonus' : 0, #每10股红利
|
||||
'increasement': 0, #每10股转增X股
|
||||
'totalCount' : 0, #总股本（万股）
|
||||
'freeCount' : 0 #流通股（万股）
|
||||
}
|
||||
weight['bonus'] = 0 if xdxr['fenhong'] is None or xdxr['fenhong'] == 0 else int(round(xdxr['fenhong'], 3) * 1000)
|
||||
|
||||
weight['freeCount'] = 0 if xdxr['panhouliutong'] is None or xdxr['panhouliutong'] == 0 else int(xdxr['panhouliutong'])
|
||||
weight['totalCount'] = 0 if xdxr['houzongguben'] is None or xdxr['houzongguben'] == 0 else int(xdxr['houzongguben'])
|
||||
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
from pytdx.hq import TdxHq_API, TDXParams
|
||||
api = TdxHq_API()
|
||||
api.connect('119.147.212.81', 7709)
|
||||
|
||||
market = to_pytdx_market('SZ')
|
||||
stk_count = api.get_security_count(market)
|
||||
print(stk_count, int(stk_count/1000))
|
||||
x = []
|
||||
for i in range(int(stk_count/1000)+1):
|
||||
x += api.get_security_list(market, i * 1000)
|
||||
|
||||
print(len(x))
|
||||
api.disconnect()
|
||||
@ -27,6 +27,7 @@ import sqlite3
|
||||
|
||||
from common import MARKETID, get_stktype_list
|
||||
|
||||
|
||||
def create_database(connect):
|
||||
"""创建SQLITE3数据库表"""
|
||||
try:
|
||||
@ -44,7 +45,7 @@ def create_database(connect):
|
||||
|
||||
def get_marketid(connect, market):
|
||||
cur = connect.cursor()
|
||||
a = cur.execute("select marketid, market from market where market='{}'".format(market))
|
||||
a = cur.execute("select marketid, market from market where market='{}'".format(market.upper()))
|
||||
marketid = [i for i in a]
|
||||
marketid = marketid[0][0]
|
||||
cur.close()
|
||||
@ -71,3 +72,24 @@ def update_last_date(connect, marketid, lastdate):
|
||||
cur.execute("update LastDate set date={}".format(lastdate))
|
||||
connect.commit()
|
||||
cur.close()
|
||||
|
||||
|
||||
def get_last_date(connect, marketid):
|
||||
cur = connect.cursor()
|
||||
a = cur.execute("select lastDate from market where marketid='{}'".format(marketid))
|
||||
last_date = [x[0] for x in a][0]
|
||||
connect.commit()
|
||||
cur.close()
|
||||
return last_date
|
||||
|
||||
|
||||
def get_stock_list(connect, market, quotations):
|
||||
marketid = get_marketid(connect, market)
|
||||
stktype_list = get_stktype_list(quotations)
|
||||
sql = "select stockid, marketid, code, valid, type from stock where marketid={} and type in {}"\
|
||||
.format(marketid, stktype_list)
|
||||
cur = connect.cursor()
|
||||
a = cur.execute(sql).fetchall()
|
||||
connect.commit()
|
||||
cur.close()
|
||||
return a
|
||||
Loading…
Reference in New Issue
Block a user