# coding:utf-8 # # The MIT License (MIT) # # Copyright (c) 2010-2019 fasiondog/hikyuu # # Permission is hereby granted, free of charge, to any person obtaining a copy # of this software and associated documentation files (the "Software"), to deal # in the Software without restriction, including without limitation the rights # to use, copy, modify, merge, publish, distribute, sublicense, and/or sell # copies of the Software, and to permit persons to whom the Software is # furnished to do so, subject to the following conditions: # # The above copyright notice and this permission notice shall be included in all # copies or substantial portions of the Software. # # THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR # IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, # FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE # AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER # LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, # OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE # SOFTWARE. import os.path import struct import sqlite3 import datetime import math import sys import tables as tb from io import SEEK_END, SEEK_SET from hikyuu.data.common import get_stktype_list, MARKETID from hikyuu.data.common_sqlite3 import ( create_database, get_marketid, get_codepre_list, update_last_date ) from hikyuu.data.common_h5 import ( H5Record, H5Index, open_h5file, get_h5table, update_hdf5_extern_data ) from hikyuu.data.weight_to_sqlite import qianlong_import_weight def ProgressBar(cur, total): percent = '{:.0%}'.format(cur / total) sys.stdout.write('\r') sys.stdout.write("[%-50s] %s" % ('=' * int(math.floor(cur * 50 / total)), percent)) sys.stdout.flush() def tdx_import_stock_name_from_file(connect, filename, market, quotations=None): """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 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 :param connect: sqlite3实例 :param filename: 代码表文件名 :param market: 'SH' | 'SZ' :param quotations: 待导入的行情类别列表,空为导入全部 'stock' | 'fund' | 'bond' | None """ cur = connect.cursor() newStockDict = {} with open(filename, 'rb') as f: data = f.read(50) data = f.read(314) while data: a = struct.unpack('6s 17s 8s 283s', data) try: stockcode = a[0].decode() stockname = a[2].decode(encoding='gbk').encode('utf8') pos = stockname.find(0x00) if pos >= 0: stockname = stockname[:pos] newStockDict[stockcode] = stockname.decode(encoding='utf8').strip() except: pass data = f.read(314) a = cur.execute("select marketid from market where market = '%s'" % market.upper()) marketid = [i for i in a] marketid = marketid[0][0] stktype_list = get_stktype_list(quotations) a = cur.execute( "select stockid, code, name, valid from stock where marketid={} and type in {}".format( marketid, stktype_list ) ) a = a.fetchall() oldStockDict = {} for oldstock in a: oldstockid, oldcode, oldname, oldvalid = oldstock[0], oldstock[1], oldstock[2], int( oldstock[3] ) oldStockDict[oldcode] = oldstockid # 新的代码表中无此股票,则置为无效 if (oldvalid == 1) and (oldcode not in newStockDict): cur.execute("update stock set valid=0 where stockid=%i" % oldstockid) # 股票名称发生变化,更新股票名称;如果原无效,则置为有效 if oldcode in newStockDict: if oldname != newStockDict[oldcode]: cur.execute( "update stock set name='%s' where stockid=%i" % (newStockDict[oldcode], oldstockid) ) if oldvalid == 0: cur.execute( "update stock set valid=1, endDate=99999999 where stockid=%i" % oldstockid ) # 处理新出现的股票 codepre_list = get_codepre_list(connect, marketid, quotations) today = datetime.date.today() today = today.year * 10000 + today.month * 100 + today.day count = 0 for code in newStockDict: if code not in oldStockDict: for codepre in codepre_list: length = len(codepre[0]) if code[:length] == codepre[0]: count += 1 #print(market, code, newStockDict[code], codepre) sql = "insert into Stock(marketid, code, name, type, valid, startDate, endDate) \ values (%s, '%s', '%s', %s, %s, %s, %s)" \ % (marketid, code, newStockDict[code], codepre[1], 1, today, 99999999) cur.execute(sql) break #print('%s新增股票数:%i' % (market.upper(), count)) connect.commit() cur.close() return count def tdx_import_day_data_from_file(connect, filename, h5file, market, stock_record): """从通达信盘后数据导入日K线 :param connect : sqlite3连接实例 :param filename: 通达信日线数据文件名 :param h5file : HDF5 file :param stock_record: 股票的相关数据 (stockid, marketid, code, valid, type) :return: 导入的记录数 """ add_record_count = 0 if not os.path.exists(filename): return add_record_count stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[ 2], stock_record[3], stock_record[4] table = get_h5table(h5file, market, code) if table.nrows > 0: lastdatetime = table[-1]['datetime'] / 10000 else: lastdatetime = None row = table.row with open(filename, 'rb') as src_file: data = src_file.read(32) while data: record = struct.unpack('iiiiifii', data) if lastdatetime and record[0] <= lastdatetime: data = src_file.read(32) continue if 0 not in record[1:5]: if record[2] >= record[1] >= record[3] \ and record[2] >= record[4] >= record[3]: row['datetime'] = record[0] * 10000 row['openPrice'] = record[1] * 10 row['highPrice'] = record[2] * 10 row['lowPrice'] = record[3] * 10 row['closePrice'] = record[4] * 10 row['transAmount'] = round(record[5] * 0.001) if stktype == 2: # 指数 row['transCount'] = record[6] else: row['transCount'] = round(record[6] * 0.01) row.append() add_record_count += 1 data = src_file.read(32) if add_record_count > 0: table.flush() #更新基础信息数据库中股票对应的起止日期及其有效标志 #if valid == 0: cur = connect.cursor() cur.execute( "update stock set valid=1, startdate=%i, enddate=%i where stockid=%i" % (table[0]['datetime']//10000, 99999999, stockid) ) connect.commit() cur.close() #记录最新更新日期 if (code == '000001' and marketid == MARKETID.SH) \ or (code == '399001' and marketid == MARKETID.SZ) : update_last_date(connect, marketid, table[-1]['datetime'] / 10000) elif table.nrows == 0: #print(market, stock_record) table.remove() return add_record_count def tdx_import_min_data_from_file(connect, filename, h5file, market, stock_record): """从通达信盘后数据导入1分钟或5分钟K线 :param connect : sqlite3连接实例 :param filename: 通达信K线数据文件名 :param h5file : HDF5 file :param stock_record: 股票的相关数据 (stockid, marketid, code, valid, type) :return: 导入的记录数 """ add_record_count = 0 if not os.path.exists(filename): return add_record_count stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[ 2], stock_record[3], stock_record[4] table = get_h5table(h5file, market, code) if table.nrows > 0: lastdatetime = table[-1]['datetime'] else: lastdatetime = None row = table.row with open(filename, 'rb') as src_file: def trans_date(yymm, hhmm): tmp_date = yymm >> 11 remainder = yymm & 0x7ff year = tmp_date + 2004 month = remainder // 100 day = remainder % 100 hh = hhmm // 60 mm = hhmm % 60 return year * 100000000 + month * 1000000 + day * 10000 + hh * 100 + mm def get_date(pos): src_file.seek(pos * 32, SEEK_SET) data = src_file.read(4) a = struct.unpack('HH', data) return trans_date(a[0], a[1]) def find_pos(): src_file.seek(0, SEEK_END) pos = src_file.tell() total = pos // 32 if lastdatetime is None: return total, 0 low, high = 0, total - 1 mid = high // 2 while mid <= high: cur_date = get_date(low) if cur_date > lastdatetime: mid = low break cur_date = get_date(high) if cur_date <= lastdatetime: mid = high + 1 break cur_date = get_date(mid) if cur_date <= lastdatetime: low = mid + 1 else: high = mid - 1 mid = (low + high) // 2 return total, mid file_total, pos = find_pos() if pos < file_total: src_file.seek(pos * 32, SEEK_SET) data = src_file.read(32) while data: record = struct.unpack('HHfffffii', data) if 0 not in record[2:6]: if record[3] >= record[2] >= record[4] \ and record[3] >= record[5] >= record[4]: row['datetime'] = trans_date(record[0], record[1]) row['openPrice'] = record[2] * 1000 row['highPrice'] = record[3] * 1000 row['lowPrice'] = record[4] * 1000 row['closePrice'] = record[5] * 1000 row['transAmount'] = round(record[6] * 0.001) if stktype == 2: # 指数 row['transCount'] = record[7] else: row['transCount'] = round(record[7] * 0.01) row.append() add_record_count += 1 data = src_file.read(32) if add_record_count > 0: table.flush() elif table.nrows == 0: #print(market, stock_record) table.remove() return add_record_count def tdx_import_data(connect, market, ktype, quotations, src_dir, dest_dir, progress=ProgressBar): """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。 :param connect : sqlit3链接 :param market : 'SH' | 'SZ' :param ktype : 'DAY' | '1MIN' | '5MIN' :param quotations: 'stock' | 'fund' | 'bond' :param src_dir : 盘后K线数据路径,如上证5分钟线:D:\\Tdx\\vipdoc\\sh\\fzline :param dest_dir : HDF5数据文件所在目录 :param progress : 进度显示函数 :return: 导入记录数 """ add_record_count = 0 market = market.upper() h5file = open_h5file(dest_dir, market, ktype) if ktype.upper() == "DAY": suffix = ".day" func_import_from_file = tdx_import_day_data_from_file elif ktype.upper() == "1MIN": suffix = ".lc1" func_import_from_file = tdx_import_min_data_from_file elif ktype.upper() == "5MIN": suffix = ".lc5" func_import_from_file = tdx_import_min_data_from_file 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) a = a.fetchall() total = len(a) for i, stock in enumerate(a): if stock[3] == 0: if progress: progress(i, total) continue filename = src_dir + "\\" + market.lower() + stock[2] + suffix this_count = func_import_from_file(connect, filename, h5file, market, stock) add_record_count += this_count if this_count > 0: if ktype == 'DAY': update_hdf5_extern_data(h5file, market.upper() + stock[2], 'DAY') elif ktype == '5MIN': update_hdf5_extern_data(h5file, market.upper() + stock[2], '5MIN') if progress: progress(i, total) connect.commit() h5file.close() return add_record_count if __name__ == '__main__': import time starttime = time.time() src_dir = "D:\\TdxW_HuaTai" dest_dir = "c:\\stock" quotations = ['stock', 'fund'] #通达信盘后数据没有债券 connect = sqlite3.connect(dest_dir + "\\stock.db") create_database(connect) add_count = 0 print("导入股票代码表") add_count = tdx_import_stock_name_from_file( connect, src_dir + "\\T0002\\hq_cache\\shm.tnf", 'SH', quotations ) add_count += tdx_import_stock_name_from_file( connect, src_dir + "\\T0002\\hq_cache\\szm.tnf", 'SZ', quotations ) print("新增股票数:", add_count) print("\n导入上证日线数据") add_count = tdx_import_data( connect, 'SH', 'DAY', quotations, src_dir + "\\vipdoc\\sh\\lday", dest_dir ) print("\n导入数量:", add_count) print("\n导入深证日线数据") add_count = tdx_import_data( connect, 'SZ', 'DAY', quotations, src_dir + "\\vipdoc\\sz\\lday", dest_dir ) print("\n导入数量:", add_count) print("\n导入上证5分钟数据") add_count = tdx_import_data( connect, 'SH', '5MIN', quotations, src_dir + "\\vipdoc\\sh\\fzline", dest_dir ) print("\n导入数量:", add_count) print("\n导入深证5分钟数据") add_count = tdx_import_data( connect, 'SZ', '5MIN', quotations, src_dir + "\\vipdoc\\sz\\fzline", dest_dir ) print("\n导入数量:", add_count) print("\n导入上证1分钟数据") add_count = tdx_import_data( connect, 'SH', '1MIN', quotations, src_dir + "\\vipdoc\\sh\\minline", dest_dir ) print("\n导入数量:", add_count) print("\n导入深证1分钟数据") add_count = tdx_import_data( connect, 'SZ', '1MIN', quotations, src_dir + "\\vipdoc\\sz\\minline", dest_dir ) print("\n导入数量:", add_count) print("\n导入权息数据") print("正在下载权息数据...") import urllib.request net_file = urllib.request.urlopen( 'http://www.qianlong.com.cn/download/history/weight.rar', timeout=60 ) dest_filename = dest_dir + '/weight.rar' with open(dest_filename, 'wb') as file: file.write(net_file.read()) print("下载完成,正在解压...") os.system('unrar x -o+ -inul {} {}'.format(dest_filename, dest_dir)) print("解压完成,正在导入...") add_count = qianlong_import_weight(connect, dest_dir + '/weight', 'SH') add_count += qianlong_import_weight(connect, dest_dir + '/weight', 'SZ') print("导入数量:", add_count) connect.close() endtime = time.time() print("\nTotal time:") print("%.2fs" % (endtime - starttime)) print("%.2fm" % ((endtime - starttime) / 60))