#!/usr/bin/python # -*- coding: utf8 -*- # cp936 # # The MIT License (MIT) # # Copyright (c) 2010-2017 fasiondog # # 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 if sys.version > '3': IS_PY3 = True else: IS_PY3 = False from .core_doc import * from hikyuu.util.mylog import escapetime from hikyuu.util.slice import list_getitem from hikyuu.util.unicode import (unicodeFunc, reprFunc) from datetime import date, datetime #------------------------------------------------------------------ # 常量定义，各种C++中Null值 #------------------------------------------------------------------ constant = Constant() #------------------------------------------------------------------ # 支持Python的__unicode__、__repr #------------------------------------------------------------------ MarketInfo.__unicode__ = unicodeFunc MarketInfo.__repr__ = reprFunc StockTypeInfo.__unicode__ = unicodeFunc StockTypeInfo.__repr__ = reprFunc KQuery.__unicode__ = unicodeFunc KQuery.__repr__ = reprFunc KRecord.__unicode__ = unicodeFunc KRecord.__repr__ = reprFunc KData.__unicode__ = unicodeFunc KData.__repr__ = reprFunc TimeLineRecord.__unicode__ = unicodeFunc TimeLineRecord.__repr__ = reprFunc TimeLineList.__unicode__ = unicodeFunc TimeLineList.__repr__ = reprFunc TransRecord.__unicode__ = unicodeFunc TransRecord.__repr__ = reprFunc TransList.__unicode__ = unicodeFunc TransList.__repr__ = reprFunc Stock.__unicode__ = unicodeFunc Stock.__repr__ = reprFunc Block.__unicode__ = unicodeFunc Block.__repr__ = reprFunc Datetime.__unicode__ = unicodeFunc Datetime.__repr__ = reprFunc Parameter.__unicode__ = unicodeFunc Parameter.__repr__ = reprFunc #------------------------------------------------------------------ # 增加Datetime、Stock的hash支持，以便可做为dict的key #------------------------------------------------------------------ def datetime_hash(self): return self.number def stock_hash(self): return self.id Datetime.__hash__ = datetime_hash Stock.__hash__ = stock_hash #------------------------------------------------------------------ # 增强 Datetime #------------------------------------------------------------------ __old_Datetime_init__ = Datetime.__init__ def __new_Datetime_init__(self, var = None): """ 日期时间类（精确到秒），通过以下方式构建： - 通过字符串：Datetime("2010-1-1 10:00:00") - 通过 Python 的date：Datetime(date(2010,1,1)) - 通过 Python 的datetime：Datetime(datetime(2010,1,1,10) - 通过 YYYYMMDDHHMM 形式的整数：Datetime(201001011000) 获取日期列表参见： :py:func:`getDateRange` 获取交易日日期参见： :py:meth:`StockManager.getTradingCalendar` """ if var is None: __old_Datetime_init__(self) #datetime实例同时也是date的实例，判断必须放在date之前 elif isinstance(var, datetime): __old_Datetime_init__(self, str(var)) elif isinstance(var, date): __old_Datetime_init__(self, "{} 00".format(var)) elif isinstance(var, str): if var.find(' ') == -1: __old_Datetime_init__(self, "{} 00".format(var)) else: __old_Datetime_init__(self, var) else: __old_Datetime_init__(self, var) def Datetime_date(self): """转化生成 python 的 date""" return date(self.year, self.month, self.day) def Datetime_datetime(self): """转化生成 python 的 datetime""" return datetime(self.year, self.month, self.day, self.hour, self.minute, self.second) def Datetime_isNull(self): """是否是Null值, 即是否等于 constant.null_datetime""" return True if self == constant.null_datetime else False Datetime.__init__ = __new_Datetime_init__ Datetime.date = Datetime_date Datetime.datetime = Datetime_datetime Datetime.isNull = Datetime_isNull #------------------------------------------------------------------ #重定义KQuery #------------------------------------------------------------------ KQuery.INDEX = KQuery.QueryType.INDEX KQuery.DATE = KQuery.QueryType.DATE KQuery.DAY = "DAY" KQuery.WEEK = "WEEK" KQuery.MONTH = "MONTH" KQuery.QUARTER = "QUARTER" KQuery.HALFYEAR = "HALFYEAR" KQuery.YEAR = "YEAR" KQuery.MIN = "MIN" KQuery.MIN5 = "MIN5" KQuery.MIN15 = "MIN15" KQuery.MIN30 = "MIN30" KQuery.MIN60 = "MIN60" KQuery.HOUR2 = "HOUR2" KQuery.HOUR4 = "HOUR4" KQuery.HOUR6 = "HOUR6" KQuery.HOUR12 = "HOUR12" KQuery.NO_RECOVER = KQuery.RecoverType.NO_RECOVER KQuery.FORWARD = KQuery.RecoverType.FORWARD KQuery.BACKWARD = KQuery.RecoverType.BACKWARD KQuery.EQUAL_FORWARD = KQuery.RecoverType.EQUAL_FORWARD KQuery.EQUAL_BACKWARD = KQuery.RecoverType.EQUAL_BACKWARD class Query(KQuery): """重新定义KQuery，目的如下： 1、使用短类名 2、使用短枚举类型 3、利用Python命名参数优点 """ INDEX = KQuery.QueryType.INDEX DATE = KQuery.QueryType.DATE #DAY = KQuery.KType.DAY #WEEK = KQuery.KType.WEEK #MONTH = KQuery.KType.MONTH #QUARTER = KQuery.KType.QUARTER #HALFYEAR = KQuery.KType.HALFYEAR #YEAR = KQuery.KType.YEAR #MIN = KQuery.KType.MIN #MIN3 = KQuery.KType.MIN3 #MIN5 = KQuery.KType.MIN5 #MIN15 = KQuery.KType.MIN15 #MIN30 = KQuery.KType.MIN30 #MIN60 = KQuery.KType.MIN60 #HOUR2 = KQuery.KType.HOUR2 #HOUR4 = KQuery.KType.HOUR4 #HOUR6 = KQuery.KType.HOUR6 #HOUR12 = KQuery.KType.HOUR12 NO_RECOVER = KQuery.RecoverType.NO_RECOVER FORWARD = KQuery.RecoverType.FORWARD BACKWARD = KQuery.RecoverType.BACKWARD EQUAL_FORWARD = KQuery.RecoverType.EQUAL_FORWARD EQUAL_BACKWARD = KQuery.RecoverType.EQUAL_BACKWARD def __init__(self, start = 0, end = None, kType = KQuery.DAY, recoverType = KQuery.RecoverType.NO_RECOVER): """ 构建按索引 [start, end) 方式获取K线数据条件 :param ind start: 起始日期 :param ind end: 结束日期 :param KQuery.KType kType: K线数据类型（如日线、分钟线等） :param KQuery.RecoverType recoverType: 复权类型 :return: 查询条件 :rtype: KQuery """ end_pos = constant.null_int64 if end is None else end super(Query, self).__init__(start, end_pos, kType, recoverType) QueryByIndex = Query def QueryByDate(start=None, end=None, kType=Query.DAY, recoverType=Query.NO_RECOVER): """ 构建按日期 [start, end) 方式获取K线数据条件 :param Datetime start: 起始日期 :param Datetime end: 结束日期 :param KQuery.KType kType: K线数据类型（如日线、分钟线等） :param KQuery.RecoverType recoverType: 复权类型 :return: 查询条件 :rtype: KQuery """ start_date = Datetime.min() if start is None else start end_date = Datetime.max() if end is None else end return KQueryByDate(start_date, end_date, kType, recoverType) #------------------------------------------------------------------ # 增强 KData 的遍历 #------------------------------------------------------------------ def KData_getitem(kdata, i): if isinstance(i, int): length = len(kdata) index = length + i if i < 0 else i if index < 0 or index >= length: raise IndexError("index out of range: %d" % i) return kdata.getKRecord(index) elif isinstance(i, Datetime): return kdata.getKRecordByDate(i) elif isinstance(i, slice): return [kdata.getKRecord(x) for x in range(*i.indices(len(kdata)))] else: raise IndexError("Error index type") return KRecord() def KData_iter(kdata): for i in range(len(kdata)): yield kdata[i] def KData_getPos(kdata, datetime): """ 获取指定时间对应的索引位置 :param Datetime datetime: 指定的时间 :return: 对应的索引位置，如果不在数据范围内，则返回 None """ pos = kdata._getPos(datetime) return pos if pos != constant.null_size else None KData.__getitem__ = KData_getitem KData.__iter__ = KData_iter KData.getPos = KData_getPos #------------------------------------------------------------------ # 封装增强其他C++ vector类型的遍历 #------------------------------------------------------------------ PriceList.__getitem__ = list_getitem DatetimeList.__getitem__ = list_getitem StringList.__getitem__ = list_getitem BlockList.__getitem__ = list_getitem TimeLineList.__getitem__ = list_getitem TransList.__getitem__ = list_getitem #------------------------------------------------------------------ # 增加转化为 np.array、pandas.DataFrame 的功能 #------------------------------------------------------------------ try: import numpy as np import pandas as pd def KData_to_np(kdata): """转化为numpy结构数组""" if kdata.getQuery().kType in ('DAY', 'WEEK', 'MONTH', 'QUARTER', 'HALFYEAR', 'YEAR'): k_type = np.dtype({'names':['datetime','open', 'high', 'low','close', 'amount', 'volume'], 'formats':['datetime64[D]','d','d','d','d','d','d']}) else: k_type = np.dtype({'names':['datetime','open', 'high', 'low','close', 'amount', 'volume'], 'formats':['datetime64[ms]','d','d','d','d','d','d']}) return np.array([(k.datetime.datetime(), k.openPrice, k.highPrice, k.lowPrice, k.closePrice, k.transAmount, k.transCount) for k in kdata], dtype=k_type) def KData_to_df(kdata): """转化为pandas的DataFrame""" return pd.DataFrame.from_records(KData_to_np(kdata), index='datetime') KData.to_np = KData_to_np KData.to_df = KData_to_df def PriceList_to_np(data): """仅在安装了numpy模块时生效，转换为numpy.array""" return np.array(data, dtype='d') def PriceList_to_df(data): """仅在安装了pandas模块时生效，转换为pandas.DataFrame""" return pd.DataFrame(data.to_np(), columns=('Value',)) PriceList.to_np = PriceList_to_np PriceList.to_df = PriceList_to_df def DatetimeList_to_np(data): """仅在安装了numpy模块时生效，转换为numpy.array""" return np.array(data, dtype='datetime64[D]') def DatetimeList_to_df(data): """仅在安装了pandas模块时生效，转换为pandas.DataFrame""" return pd.DataFrame(data.to_np(), columns=('Datetime',)) DatetimeList.to_np = DatetimeList_to_np DatetimeList.to_df = DatetimeList_to_df def TimeLine_to_np(data): """转化为numpy结构数组""" t_type = np.dtype({'names':['datetime','price', 'vol'], 'formats':['datetime64[ms]','d','d']}) return np.array([(t.datetime.datetime(), t.price, t.vol) for t in data], dtype=t_type) def TimeLine_to_df(kdata): """转化为pandas的DataFrame""" return pd.DataFrame.from_records(TimeLine_to_np(kdata), index='datetime') TimeLineList.to_np = TimeLine_to_np TimeLineList.to_df = TimeLine_to_df def TransList_to_np(data): """转化为numpy结构数组""" t_type = np.dtype({'names':['datetime','price', 'vol', 'direct'], 'formats':['datetime64[ms]','d','d', 'd']}) return np.array([(t.datetime.datetime(), t.price, t.vol, t.direct) for t in data], dtype=t_type) def TransList_to_df(kdata): """转化为pandas的DataFrame""" return pd.DataFrame.from_records(TransList_to_np(kdata), index='datetime') TransList.to_np = TransList_to_np TransList.to_df = TransList_to_df except: pass #------------------------------------------------------------------ # 净化命名空间 #------------------------------------------------------------------ __all__ = [#类 'Block', 'BlockList', 'Datetime', 'DatetimeList', 'KData', 'KQuery', 'KQueryByDate', 'KQueryByIndex', 'KRecord', 'KRecordList', 'LOG_LEVEL', 'MarketInfo', 'OstreamRedirect', 'Parameter', 'PriceList', 'Query', 'QueryByDate', 'QueryByIndex', 'Stock', 'StockManager', 'StockTypeInfo', 'StockWeight', 'StockWeightList', 'StringList', 'TimeLineRecord', 'TimeLineList', 'TransRecord', 'TransList', #变量 'constant', 'IS_PY3', #函数 'getVersion', 'getDateRange', 'getStock', 'hikyuu_init', 'hku_load', 'hku_save', 'roundDown', 'roundUp', 'get_log_level', 'set_log_level', 'toPriceList', #包 #'util' ]