# 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 sys import math import datetime import sqlite3 from pytdx.hq import TDXParams from .common import MARKETID, STOCKTYPE, get_stktype_list from .common_sqlite3 import (get_codepre_list, create_database, get_marketid, get_last_date, get_stock_list, update_last_date) from .common_h5 import (H5Record, H5Index, open_h5file, get_h5table, update_hdf5_extern_data, open_trans_file, get_trans_table, update_hdf5_trans_index, open_time_file, get_time_table) from .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 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()] def import_stock_name(connect, api, 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 api: pytdx接口，必须在函数外进行连接 :param market: 'SH' | 'SZ' :param quotations: 待导入的行情类别，空为导入全部 'stock' | 'fund' | 'bond' | None """ cur = connect.cursor() newStockDict = {} pytdx_market = to_pytdx_market(market.upper()) stk_count = api.get_security_count(pytdx_market) for i in range(int(stk_count/1000)+1): stock_list = api.get_security_list(pytdx_market, i * 1000) for stock in stock_list: newStockDict[stock['code']] = stock['name'] marketid = get_marketid(connect, market) 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 guess_day_n_step(last_datetime): last_date = int(last_datetime // 10000) today = datetime.date.today() last_y = last_date // 10000 n = int((today.year - last_y + 1) * 250 // 800) step = 800 if n < 1: last_m = last_date // 100 - last_y * 100 last_d = last_date - (last_y * 10000 + last_m * 100) step = (today - datetime.date(last_y, last_m, last_d)).days return (n, step) def guess_1min_n_step(last_datetime): last_date = int(last_datetime // 10000) today = datetime.date.today() last_y = last_date // 10000 last_m = last_date // 100 - last_y * 100 last_d = last_date - (last_y * 10000 + last_m * 100) n = int((today - datetime.date(last_y, last_m, last_d)).days * 240 // 800) step = 800 if n < 1: step = (today - datetime.date(last_y, last_m, last_d)).days * 240 elif n > 99: n = 99 return (n, step) def guess_5min_n_step(last_datetime): last_date = int(last_datetime // 10000) today = datetime.date.today() last_y = last_date // 10000 last_m = last_date // 100 - last_y * 100 last_d = last_date - (last_y * 10000 + last_m * 100) n = int((today - datetime.date(last_y, last_m, last_d)).days * 48 // 800) step = 800 if n < 1: step = (today - datetime.date(last_y, last_m, last_d)).days * 48 elif n > 99: n = 99 return (n, step) def import_one_stock_data(connect, api, h5file, market, ktype, stock_record, startDate=199012191500): market = market.upper() pytdx_market = to_pytdx_market(market) 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) last_datetime = table[-1]['datetime'] if table.nrows > 0 else startDate today = datetime.date.today() if ktype == 'DAY': n, step = guess_day_n_step(last_datetime) pytdx_kline_type = TDXParams.KLINE_TYPE_RI_K today_datetime = (today.year * 10000 + today.month * 100 + today.day) * 10000 elif ktype == '1MIN': n, step = guess_1min_n_step(last_datetime) pytdx_kline_type = TDXParams.KLINE_TYPE_1MIN today_datetime = (today.year * 10000 + today.month * 100 + today.day) * 10000 + 1500 elif ktype == '5MIN': n, step = guess_5min_n_step(last_datetime) pytdx_kline_type = TDXParams.KLINE_TYPE_5MIN today_datetime = (today.year * 10000 + today.month * 100 + today.day) * 10000 + 1500 else: return 0 if today_datetime <= last_datetime: return 0 get_bars = api.get_index_bars if stktype == STOCKTYPE.INDEX else api.get_security_bars add_record_count = 0 row = table.row while n >= 0: bar_list = get_bars(pytdx_kline_type, pytdx_market, code, n * 800, step) n -= 1 if bar_list is None: #print(code, "invalid!!") continue for bar in bar_list: try: tmp = datetime.date(bar['year'], bar['month'], bar['day']) bar_datetime = (tmp.year * 10000 + tmp.month * 100 + tmp.day) * 10000 if ktype != 'DAY': bar_datetime += bar['hour'] * 100 + bar['minute'] except: continue if today_datetime >= bar_datetime > last_datetime \ and bar['high'] >= bar['open'] >= bar['low'] > 0 \ and bar['high'] >= bar['close'] >= bar['low'] > 0 \ and bar['vol'] != 0 and bar['amount'] != 0: row['datetime'] = bar_datetime row['openPrice'] = bar['open'] * 1000 row['highPrice'] = bar['high'] * 1000 row['lowPrice'] = bar['low'] * 1000 row['closePrice'] = bar['close'] * 1000 row['transAmount'] = int(bar['amount'] * 0.001) row['transCount'] = bar['vol'] row.append() add_record_count += 1 if add_record_count > 0: table.flush() #print(market, stock_record) if ktype == 'DAY': # 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'], 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() pass #table.close() return add_record_count def import_data(connect, market, ktype, quotations, api, dest_dir, startDate=199012190000, 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) stock_list = get_stock_list(connect, market, quotations) total = len(stock_list) for i, stock in enumerate(stock_list): if stock[3] == 0: if progress: progress(i, total) continue this_count = import_one_stock_data(connect, api, h5file, market, ktype, stock, startDate) 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 def pytdx_get_day_trans(api, pymarket, code, date): buf = [] for i in range(21): x = api.get_history_transaction_data(pymarket, code, i*2000, 2000, date) #x = api.get_transaction_data(TDXParams.MARKET_SZ, '000001', (9-i)*800, 800) if not x: break buf = x + buf return buf def import_on_stock_trans(connect, api, h5file, market, stock_record, max_days): market = market.upper() pytdx_market = to_pytdx_market(market) stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[2], stock_record[3], \ stock_record[4] table = get_trans_table(h5file, market, code) today = datetime.date.today() if table.nrows > 0: last_datetime = int(table[-1]['datetime']//1000000) last_y = int(last_datetime // 10000) last_m = int(last_datetime // 100 - last_y * 100) last_d = int(last_datetime - (last_y * 10000 + last_m * 100)) last_date = datetime.date(last_y, last_m, last_d) need_days = (today - last_date).days else: need_days = max_days date_list = [] for i in range(need_days): cur_date = today - datetime.timedelta(i) if cur_date.weekday() not in (5, 6): date_list.append(cur_date.year * 10000 + cur_date.month * 100 + cur_date.day) date_list.reverse() add_record_count = 0 row = table.row for cur_date in date_list: buf = pytdx_get_day_trans(api, pytdx_market, stock_record[2], cur_date) if not buf: continue second = 2 pre_minute = 900 for record in buf: minute = int(record['time'][0:2])*100 + int(record['time'][3:]) if minute != pre_minute: second = 0 if minute == 1500 else 2 pre_minute = minute else: second += 3 if second > 59: continue row['datetime'] = cur_date*1000000 + minute * 100 + second row['price'] = int(record['price'] * 1000) row['vol'] = record['vol'] row['buyorsell'] = record['buyorsell'] row.append() add_record_count += 1 if add_record_count > 0: table.flush() elif table.nrows == 0: table.remove return add_record_count def import_trans(connect, market, quotations, api, dest_dir, max_days=30, progress=ProgressBar): add_record_count = 0 market = market.upper() h5file = open_trans_file(dest_dir, market) stock_list = get_stock_list(connect, market, quotations) total = len(stock_list) for i, stock in enumerate(stock_list): if stock[3] == 0 or stock[4] not in (STOCKTYPE.A, STOCKTYPE.B, STOCKTYPE.GEM): if progress: progress(i, total) continue this_count = import_on_stock_trans(connect, api, h5file, market, stock, max_days) add_record_count += this_count #if add_record_count > 0: # update_hdf5_trans_index(h5file, market.upper() + stock[2]) if progress: progress(i, total) connect.commit() h5file.close() return add_record_count def import_on_stock_time(connect, api, h5file, market, stock_record, max_days): market = market.upper() pytdx_market = to_pytdx_market(market) stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[2], stock_record[3], \ stock_record[4] table = get_time_table(h5file, market, code) today = datetime.date.today() if table.nrows > 0: last_datetime = int(table[-1]['datetime']//10000) last_y = int(last_datetime // 10000) last_m = int(last_datetime // 100 - last_y * 100) last_d = int(last_datetime - (last_y * 10000 + last_m * 100)) last_date = datetime.date(last_y, last_m, last_d) need_days = (today - last_date).days else: need_days = max_days date_list = [] for i in range(need_days): cur_date = today - datetime.timedelta(i) if cur_date.weekday() not in (5, 6): date_list.append(cur_date.year * 10000 + cur_date.month * 100 + cur_date.day) date_list.reverse() add_record_count = 0 row = table.row for cur_date in date_list: buf = api.get_history_minute_time_data(pytdx_market, stock_record[2], cur_date) if buf is None or len(buf) != 240: #print(cur_date, "获取的分时线长度不为240!", stock_record[1], stock_record[2]) continue this_date = cur_date * 10000 time = 930 for record in buf: if time == 960: time = 1000 elif time == 1060: time = 1100 elif time == 1130: time = 1300 elif time == 1360: time = 1400 row['datetime'] = this_date + time row['price'] = int(record['price'] * 1000) row['vol'] = record['vol'] row.append() time += 1 add_record_count += 1 if add_record_count > 0: table.flush() elif table.nrows == 0: table.remove return add_record_count def import_time(connect, market, quotations, api, dest_dir, max_days=9000, progress=ProgressBar): add_record_count = 0 market = market.upper() h5file = open_time_file(dest_dir, market) stock_list = get_stock_list(connect, market, quotations) total = len(stock_list) for i, stock in enumerate(stock_list): if stock[3] == 0: if progress: progress(i, total) continue this_count = import_on_stock_time(connect, api, h5file, market, stock, max_days) add_record_count += this_count if progress: progress(i, total) connect.commit() h5file.close() return add_record_count if __name__ == '__main__': import os import time starttime = time.time() dest_dir = "c:\\stock" tdx_server = '119.147.212.81' tdx_port = 7709 quotations = ['stock', 'fund'] connect = sqlite3.connect(dest_dir + "\\stock.db") create_database(connect) from pytdx.hq import TdxHq_API, TDXParams api = TdxHq_API() api.connect(tdx_server, tdx_port) add_count = 0 """ print("导入股票代码表") add_count = import_stock_name(connect, api, 'SH', quotations) add_count += import_stock_name(connect, api, 'SZ', quotations) print("新增股票数：", add_count) print("\n导入上证日线数据") add_count = import_data(connect, 'SH', 'DAY', quotations, api, dest_dir, progress=ProgressBar) print("\n导入数量：", add_count) print("\n导入深证日线数据") add_count = import_data(connect, 'SZ', 'DAY', quotations, api, dest_dir, progress=ProgressBar) print("\n导入数量：", add_count) print("\n导入上证5分钟线数据") add_count = import_data(connect, 'SH', '5MIN', quotations, api, dest_dir, progress=ProgressBar) print("\n导入数量：", add_count) print("\n导入深证5分钟线数据") add_count = import_data(connect, 'SZ', '5MIN', quotations, api, dest_dir, progress=ProgressBar) print("\n导入数量：", add_count) print("\n导入上证分钟线数据") add_count = import_data(connect, 'SH', '1MIN', quotations, api, dest_dir, progress=ProgressBar) print("\n导入数量：", add_count) print("\n导入深证分钟线数据") add_count = import_data(connect, 'SZ', '1MIN', quotations, api, dest_dir, progress=ProgressBar) 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) """ print("\n导入上证分笔数据") #add_count = import_trans(connect, 'SH', quotations, api, dest_dir, max_days=2, progress=ProgressBar) print("\n导入数量：", add_count) print("\n导入上证分时数据") add_count = import_time(connect, 'SZ', quotations, api, dest_dir, max_days=3, progress=ProgressBar) print("\n导入数量：", add_count) api.disconnect() connect.close() endtime = time.time() print("\nTotal time:") print("%.2fs" % (endtime - starttime)) print("%.2fm" % ((endtime - starttime) / 60))