mirror of
https://gitee.com/fasiondog/hikyuu.git
synced 2024-11-30 19:08:48 +08:00
570 lines
20 KiB
C++
570 lines
20 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 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 MARKETID, STOCKTYPE, get_stktype_list
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from .common_sqlite3 import (get_codepre_list, create_database,
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get_marketid, get_last_date,
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get_stock_list, update_last_date)
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from .common_h5 import (H5Record, H5Index,
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open_h5file, get_h5table,
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update_hdf5_extern_data,
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open_trans_file, get_trans_table, update_hdf5_trans_index,
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open_time_file, get_time_table)
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from .weight_to_sqlite import qianlong_import_weight
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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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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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return count
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def guess_day_n_step(last_datetime):
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last_date = int(last_datetime // 10000)
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today = datetime.date.today()
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last_y = last_date // 10000
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n = int((today.year - last_y + 1) * 250 // 800)
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step = 800
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if n < 1:
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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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step = (today - datetime.date(last_y, last_m, last_d)).days
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return (n, step)
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def guess_1min_n_step(last_datetime):
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last_date = int(last_datetime // 10000)
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today = datetime.date.today()
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last_y = last_date // 10000
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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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n = int((today - datetime.date(last_y, last_m, last_d)).days * 240 // 800)
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step = 800
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if n < 1:
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step = (today - datetime.date(last_y, last_m, last_d)).days * 240
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elif n > 99:
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n = 99
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return (n, step)
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def guess_5min_n_step(last_datetime):
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last_date = int(last_datetime // 10000)
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today = datetime.date.today()
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last_y = last_date // 10000
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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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n = int((today - datetime.date(last_y, last_m, last_d)).days * 48 // 800)
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step = 800
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if n < 1:
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step = (today - datetime.date(last_y, last_m, last_d)).days * 48
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elif n > 99:
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n = 99
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return (n, step)
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def import_one_stock_data(connect, api, h5file, market, ktype, stock_record, startDate=199012191500):
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market = market.upper()
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pytdx_market = to_pytdx_market(market)
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stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[2], stock_record[3], \
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stock_record[4]
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table = get_h5table(h5file, market, code)
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last_datetime = table[-1]['datetime'] if table.nrows > 0 else startDate
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today = datetime.date.today()
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if ktype == 'DAY':
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n, step = guess_day_n_step(last_datetime)
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pytdx_kline_type = TDXParams.KLINE_TYPE_RI_K
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today_datetime = (today.year * 10000 + today.month * 100 + today.day) * 10000
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elif ktype == '1MIN':
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n, step = guess_1min_n_step(last_datetime)
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pytdx_kline_type = TDXParams.KLINE_TYPE_1MIN
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today_datetime = (today.year * 10000 + today.month * 100 + today.day) * 10000 + 1500
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elif ktype == '5MIN':
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n, step = guess_5min_n_step(last_datetime)
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pytdx_kline_type = TDXParams.KLINE_TYPE_5MIN
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today_datetime = (today.year * 10000 + today.month * 100 + today.day) * 10000 + 1500
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else:
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return 0
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if today_datetime <= last_datetime:
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return 0
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get_bars = api.get_index_bars if stktype == STOCKTYPE.INDEX else api.get_security_bars
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add_record_count = 0
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row = table.row
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while n >= 0:
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bar_list = get_bars(pytdx_kline_type, pytdx_market, code, n * 800, step)
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n -= 1
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if bar_list is None:
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#print(code, "invalid!!")
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continue
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for bar in bar_list:
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try:
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tmp = datetime.date(bar['year'], bar['month'], bar['day'])
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bar_datetime = (tmp.year * 10000 + tmp.month * 100 + tmp.day) * 10000
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if ktype != 'DAY':
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bar_datetime += bar['hour'] * 100 + bar['minute']
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except:
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continue
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if today_datetime >= bar_datetime > last_datetime \
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and bar['high'] >= bar['open'] >= bar['low'] > 0 \
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and bar['high'] >= bar['close'] >= bar['low'] > 0 \
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and bar['vol'] != 0 and bar['amount'] != 0:
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row['datetime'] = bar_datetime
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row['openPrice'] = bar['open'] * 1000
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row['highPrice'] = bar['high'] * 1000
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row['lowPrice'] = bar['low'] * 1000
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row['closePrice'] = bar['close'] * 1000
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row['transAmount'] = int(bar['amount'] * 0.001)
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row['transCount'] = bar['vol']
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row.append()
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add_record_count += 1
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if add_record_count > 0:
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table.flush()
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#print(market, stock_record)
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if ktype == 'DAY':
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# 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
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if valid == 0:
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cur = connect.cursor()
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cur.execute("update stock set valid=1, startdate=%i, enddate=%i where stockid=%i" %
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(table[0]['datetime'], 99999999, stockid))
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connect.commit()
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cur.close()
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# 记录最新更新日期
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if (code == '000001' and marketid == MARKETID.SH) \
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or (code == '399001' and marketid == MARKETID.SZ):
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update_last_date(connect, marketid, table[-1]['datetime'] / 10000)
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elif table.nrows == 0:
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#print(market, stock_record)
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table.remove()
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pass
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#table.close()
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return add_record_count
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def import_data(connect, market, ktype, quotations, api, dest_dir, startDate=199012190000, 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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if progress:
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progress(i, total)
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continue
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this_count = import_one_stock_data(connect, api, h5file, market, ktype, stock, startDate)
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add_record_count += this_count
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if this_count > 0:
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if ktype == 'DAY':
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update_hdf5_extern_data(h5file, market.upper() + stock[2], 'DAY')
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elif ktype == '5MIN':
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update_hdf5_extern_data(h5file, market.upper() + stock[2], '5MIN')
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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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def pytdx_get_day_trans(api, pymarket, code, date):
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buf = []
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for i in range(21):
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x = api.get_history_transaction_data(pymarket, code, i*2000, 2000, date)
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#x = api.get_transaction_data(TDXParams.MARKET_SZ, '000001', (9-i)*800, 800)
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if not x:
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break
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buf = x + buf
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return buf
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def import_on_stock_trans(connect, api, h5file, market, stock_record, max_days):
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market = market.upper()
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pytdx_market = to_pytdx_market(market)
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stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[2], stock_record[3], \
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stock_record[4]
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table = get_trans_table(h5file, market, code)
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today = datetime.date.today()
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if table.nrows > 0:
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last_datetime = int(table[-1]['datetime']//1000000)
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last_y = int(last_datetime // 10000)
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last_m = int(last_datetime // 100 - last_y * 100)
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last_d = int(last_datetime - (last_y * 10000 + last_m * 100))
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last_date = datetime.date(last_y, last_m, last_d)
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need_days = (today - last_date).days
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else:
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need_days = max_days
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date_list = []
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for i in range(need_days):
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cur_date = today - datetime.timedelta(i)
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if cur_date.weekday() not in (5, 6):
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date_list.append(cur_date.year * 10000 + cur_date.month * 100 + cur_date.day)
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date_list.reverse()
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add_record_count = 0
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row = table.row
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for cur_date in date_list:
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buf = pytdx_get_day_trans(api, pytdx_market, stock_record[2], cur_date)
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if not buf:
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continue
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second = 2
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pre_minute = 900
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for record in buf:
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minute = int(record['time'][0:2])*100 + int(record['time'][3:])
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if minute != pre_minute:
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second = 0 if minute == 1500 else 2
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pre_minute = minute
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else:
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second += 3
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if second > 59:
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continue
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row['datetime'] = cur_date*1000000 + minute * 100 + second
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row['price'] = int(record['price'] * 1000)
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row['vol'] = record['vol']
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row['buyorsell'] = record['buyorsell']
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row.append()
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add_record_count += 1
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if add_record_count > 0:
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table.flush()
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elif table.nrows == 0:
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table.remove
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return add_record_count
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def import_trans(connect, market, quotations, api, dest_dir, max_days=30, progress=ProgressBar):
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add_record_count = 0
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market = market.upper()
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h5file = open_trans_file(dest_dir, market)
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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 or stock[4] not in (STOCKTYPE.A, STOCKTYPE.B, STOCKTYPE.GEM):
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if progress:
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progress(i, total)
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continue
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this_count = import_on_stock_trans(connect, api, h5file, market, stock, max_days)
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add_record_count += this_count
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#if add_record_count > 0:
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# update_hdf5_trans_index(h5file, market.upper() + stock[2])
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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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def import_on_stock_time(connect, api, h5file, market, stock_record, max_days):
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market = market.upper()
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pytdx_market = to_pytdx_market(market)
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stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[2], stock_record[3], \
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stock_record[4]
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table = get_time_table(h5file, market, code)
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today = datetime.date.today()
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if table.nrows > 0:
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last_datetime = int(table[-1]['datetime']//10000)
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last_y = int(last_datetime // 10000)
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last_m = int(last_datetime // 100 - last_y * 100)
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last_d = int(last_datetime - (last_y * 10000 + last_m * 100))
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last_date = datetime.date(last_y, last_m, last_d)
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need_days = (today - last_date).days
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else:
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need_days = max_days
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date_list = []
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for i in range(need_days):
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cur_date = today - datetime.timedelta(i)
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if cur_date.weekday() not in (5, 6):
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date_list.append(cur_date.year * 10000 + cur_date.month * 100 + cur_date.day)
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date_list.reverse()
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add_record_count = 0
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row = table.row
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for cur_date in date_list:
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buf = api.get_history_minute_time_data(pytdx_market, stock_record[2], cur_date)
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if buf is None or len(buf) != 240:
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#print(cur_date, "获取的分时线长度不为240!", stock_record[1], stock_record[2])
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continue
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this_date = cur_date * 10000
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time = 930
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for record in buf:
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if time == 960:
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time = 1000
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elif time == 1060:
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time = 1100
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elif time == 1130:
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time = 1300
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elif time == 1360:
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time = 1400
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row['datetime'] = this_date + time
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row['price'] = int(record['price'] * 1000)
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row['vol'] = record['vol']
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row.append()
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time += 1
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add_record_count += 1
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if add_record_count > 0:
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table.flush()
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elif table.nrows == 0:
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table.remove
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return add_record_count
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|
||
|
||
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))
|