mirror of
https://gitee.com/fasiondog/hikyuu.git
synced 2024-11-30 19:08:48 +08:00
368 lines
12 KiB
C++
368 lines
12 KiB
C++
# 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) 2010-2019 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 datetime
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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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class H5Transaction(tb.IsDescription):
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"""分笔数据"""
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datetime = tb.UInt64Col()
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price = tb.UInt64Col()
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vol = tb.UInt64Col()
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buyorsell = tb.UInt8Col()
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class H5TransactionIndex(tb.IsDescription):
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"""分笔数据按天索引"""
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datetime = tb.UInt64Col()
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start = tb.UInt64Col()
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class H5MinuteTime(tb.IsDescription):
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"""分时线"""
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datetime = tb.UInt64Col()
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price = tb.UInt64Col()
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vol = tb.UInt64Col()
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#------------------------------------------------------------------------------
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# K线数据
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#------------------------------------------------------------------------------
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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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def update_hdf5_extern_data(h5file, tablename, data_type):
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"""更新周线、月线、15分钟线等扩展数据索引"""
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def getWeekDate(olddate):
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y = olddate // 100000000
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m = olddate // 1000000 - y * 100
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d = olddate // 10000 - (y * 10000 + m * 100)
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tempdate = datetime.date(y, m, d)
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# python中周一是第0天，周五的第4天
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tempweekdate = tempdate + datetime.timedelta(4 - tempdate.weekday())
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newdate = tempweekdate.year * 100000000 + tempweekdate.month * 1000000 + tempweekdate.day * 10000
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return newdate
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def getMonthDate(olddate):
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y = olddate // 100000000
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m = olddate // 1000000 - y * 100
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import calendar
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_, d = calendar.monthrange(y, m)
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return (y * 100000000 + m * 1000000 + d * 10000)
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def getQuarterDate(olddate):
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quarterDict = {1: 3, 2: 3, 3: 3, 4: 6, 5: 6, 6: 6, 7: 9, 8: 9, 9: 9, 10: 12, 11: 12, 12: 12}
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d_dict = {3: 310000, 6: 300000, 9: 300000, 12: 310000}
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y = olddate // 100000000
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m = olddate // 1000000 - y * 100
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new_m = quarterDict[m]
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return (y * 100000000 + new_m * 1000000 + d_dict[new_m])
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def getHalfyearDate(olddate):
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y = olddate // 100000000
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m = olddate // 1000000 - y * 100
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return y * 100000000 + (6300000 if m < 7 else 12310000)
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def getYearDate(olddate):
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y = olddate // 100000000
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return (y * 100000000 + 12310000)
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def getMin60Date(olddate):
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mint = olddate - olddate // 10000 * 10000
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if mint <= 1030:
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newdate = olddate // 10000 * 10000 + 1030
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elif mint <= 1130:
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newdate = olddate // 10000 * 10000 + 1130
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elif mint <= 1400:
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newdate = olddate // 10000 * 10000 + 1400
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else:
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newdate = olddate // 10000 * 10000 + 1500
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return newdate
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def getMin15Date(olddate):
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mint = olddate - olddate // 10000 * 10000
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if mint <= 945:
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newdate = olddate // 10000 * 10000 + 945
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elif mint <= 1000:
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newdate = olddate // 10000 * 10000 + 1000
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elif mint <= 1015:
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newdate = olddate // 10000 * 10000 + 1015
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elif mint <= 1030:
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newdate = olddate // 10000 * 10000 + 1030
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elif mint <= 1045:
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newdate = olddate // 10000 * 10000 + 1045
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elif mint <= 1100:
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newdate = olddate // 10000 * 10000 + 1100
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elif mint <= 1115:
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newdate = olddate // 10000 * 10000 + 1115
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elif mint <= 1130:
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newdate = olddate // 10000 * 10000 + 1130
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elif mint <= 1315:
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newdate = olddate // 10000 * 10000 + 1315
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elif mint <= 1330:
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newdate = olddate // 10000 * 10000 + 1330
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elif mint <= 1345:
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newdate = olddate // 10000 * 10000 + 1345
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elif mint <= 1400:
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newdate = olddate // 10000 * 10000 + 1400
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elif mint <= 1415:
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newdate = olddate // 10000 * 10000 + 1415
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elif mint <= 1430:
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newdate = olddate // 10000 * 10000 + 1430
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elif mint <= 1445:
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newdate = olddate // 10000 * 10000 + 1445
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else:
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newdate = olddate // 10000 * 10000 + 1500
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return newdate
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def getMin30Date(olddate):
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mint = olddate - olddate // 10000 * 10000
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if mint <= 1000:
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newdate = olddate // 10000 * 10000 + 1000
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elif mint <= 1030:
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newdate = olddate // 10000 * 10000 + 1030
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elif mint <= 1100:
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newdate = olddate // 10000 * 10000 + 1100
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elif mint <= 1130:
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newdate = olddate // 10000 * 10000 + 1130
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elif mint <= 1330:
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newdate = olddate // 10000 * 10000 + 1330
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elif mint <= 1400:
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newdate = olddate // 10000 * 10000 + 1400
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elif mint <= 1430:
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newdate = olddate // 10000 * 10000 + 1430
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else:
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newdate = olddate // 10000 * 10000 + 1500
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return newdate
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def getNewDate(index_type, olddate):
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if index_type == 'week':
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return getWeekDate(olddate)
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elif index_type == 'month':
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return getMonthDate(olddate)
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elif index_type == 'quarter':
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return getQuarterDate(olddate)
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elif index_type == 'halfyear':
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return getHalfyearDate(olddate)
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elif index_type == 'year':
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return getYearDate(olddate)
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elif index_type == 'min15':
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return getMin15Date(olddate)
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elif index_type == 'min30':
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return getMin30Date(olddate)
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elif index_type == 'min60':
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return getMin60Date(olddate)
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else:
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return None
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if data_type == 'DAY':
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index_list = ('week', 'month', 'quarter', 'halfyear', 'year')
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else:
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index_list = ('min15', 'min30', 'min60')
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groupDict = {}
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for index_type in index_list:
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try:
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groupDict[index_type] = h5file.get_node("/", index_type)
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except:
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groupDict[index_type] = h5file.create_group("/", index_type)
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try:
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table = h5file.get_node("/data", tablename)
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except:
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return
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for index_type in index_list:
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try:
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index_table = h5file.get_node(groupDict[index_type], tablename)
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except:
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index_table = h5file.create_table(groupDict[index_type], tablename, H5Index)
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total = table.nrows
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if 0 == total:
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continue
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index_total = index_table.nrows
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index_row = index_table.row
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if index_total:
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index_last_date = int(index_table[-1]['datetime'])
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last_date = getNewDate(index_type, int(table[-1]['datetime']))
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if index_last_date == last_date:
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continue
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startix = int(index_table[-1]['start'])
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pre_index_date = int(index_table[-1]['datetime'])
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else:
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startix = 0
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date = int(table[0]['datetime'])
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pre_index_date = getNewDate(index_type, date)
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index_row['datetime'] = pre_index_date
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index_row['start'] = 0
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index_row.append()
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index = startix
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for row in table[startix:]:
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date = int(row['datetime'])
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cur_index_date = getNewDate(index_type, date)
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if cur_index_date != pre_index_date:
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index_row['datetime'] = cur_index_date
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index_row['start'] = index
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index_row.append()
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pre_index_date = cur_index_date
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index += 1
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index_table.flush()
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#------------------------------------------------------------------------------
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# 分笔数据
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#------------------------------------------------------------------------------
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def open_trans_file(dest_dir, market):
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filename = "{}/{}_trans.h5".format(dest_dir, market.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_trans_table(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, H5Transaction)
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return table
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def update_hdf5_trans_index(h5file, tablename):
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"""更新分笔数据按日索引"""
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try:
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table = h5file.get_node("/data", tablename)
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except:
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return
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total = table.nrows
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if 0 == total:
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return
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try:
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group = h5file.get_node("/", 'index')
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except:
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group = h5file.create_group("/", 'index')
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try:
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index_table = h5file.get_node(group, tablename)
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except:
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index_table = h5file.create_table(group, tablename, H5Index)
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index_total = index_table.nrows
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index_row = index_table.row
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if index_total:
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index_last_date = int(index_table[-1]['datetime'])
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last_date = int(table[-1]['datetime']//1000000 * 10000)
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if index_last_date == last_date:
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return
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startix = int(index_table[-1]['start'])
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pre_index_date = index_last_date
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else:
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startix = 0
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date = int(table[0]['datetime'] // 1000000 * 10000)
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pre_index_date = date
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index_row['datetime'] = pre_index_date
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index_row['start'] = 0
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index_row.append()
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index = startix
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for row in table[startix:]:
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date = int(row['datetime'] // 1000000 * 10000)
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cur_index_date = date
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if cur_index_date != pre_index_date:
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index_row['datetime'] = cur_index_date
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index_row['start'] = index
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index_row.append()
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pre_index_date = cur_index_date
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index += 1
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index_table.flush()
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#------------------------------------------------------------------------------
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# 分时数据
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#------------------------------------------------------------------------------
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def open_time_file(dest_dir, market):
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filename = "{}/{}_time.h5".format(dest_dir, market.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_time_table(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, H5MinuteTime)
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return table |