mirror of
https://gitee.com/fasiondog/hikyuu.git
synced 2024-12-03 20:37:50 +08:00
633 lines
22 KiB
C++
633 lines
22 KiB
C++
#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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import os.path
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import struct
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import sqlite3
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import datetime
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import math
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import sys
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import tables as tb
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from io import SEEK_END, SEEK_SET
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from common import *
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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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class H5Record(tb.IsDescription):
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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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datetime = tb.UInt64Col() #IGNORE:E1101
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start = tb.UInt64Col() #IGNORE:E1101
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def create_database(connect):
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"""创建SQLITE3数据库表"""
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try:
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cur = connect.cursor()
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filename = os.getcwd() + '/sqlite_createdb.sql'
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with open(filename, 'r', encoding='utf8') as sqlfile:
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cur.executescript(sqlfile.read())
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connect.commit()
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cur.close()
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except sqlite3.OperationalError:
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print("相关数据表可能已经存在，放弃创建。如需重建，请手工删除相关数据表。")
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except Exception as e:
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raise(e)
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def get_marketid(connect, market):
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cur = connect.cursor()
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a = cur.execute("select marketid, market from market where market='{}'".format(market))
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marketid = [i for i in a]
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marketid = marketid[0][0]
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cur.close()
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return marketid
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def get_codepre_list(connect, marketid, quotation):
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stktype_list = get_stktype_list(quotation)
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sql = "select codepre, type from coderuletype " \
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"where marketid={marketid} and type in {type_list}"\
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.format(marketid=marketid, type_list=stktype_list)
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cur = connect.cursor()
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a = cur.execute(sql)
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a = a.fetchall()
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cur.close()
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return sorted(a, key=lambda k: len(k[0]), reverse=True)
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def tdx_import_stock_name_from_file(connect, filename, market, quotation=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 filename: 代码表文件名
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:param market: 'SH' | 'SZ'
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:param quotation: 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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with open(filename, 'rb') as f:
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data = f.read(50)
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data = f.read(314)
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while data:
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a = struct.unpack('6s 17s 8s 283s', data)
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stockcode = a[0].decode()
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stockname = a[2].decode(encoding='gbk').encode('utf8')
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pos = stockname.find(0x00)
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if pos >= 0:
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stockname = stockname[:pos]
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newStockDict[stockcode] = stockname.decode(encoding='utf8').strip()
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data = f.read(314)
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a = cur.execute("select marketid from market where market = '%s'" % market.upper())
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marketid = [i for i in a]
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marketid = marketid[0][0]
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a = cur.execute("select stockid, code, name, valid from stock where marketid = %i" % marketid)
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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, quotation)
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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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def tdx_import_day_data_from_file(connect, filename, h5file, market, stock_record):
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"""
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:param connect:
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:param filename:
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:param h5file:
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:param stock_record: (stockid, marketid, code, valid, type)
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:return:
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"""
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add_record_count = 0
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if not os.path.exists(filename):
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return add_record_count
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stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[2], stock_record[3],stock_record[4]
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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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if table.nrows > 0:
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startdate = table[0]['datetime']/10000
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lastdatetime = table[-1]['datetime']/10000
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else:
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startdate = None
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lastdatetime = None
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update_flag = False
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row = table.row
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with open(filename, 'rb') as src_file:
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data = src_file.read(32)
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while data:
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record = struct.unpack('iiiiifii', data)
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if lastdatetime and record[0] <= lastdatetime:
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data = src_file.read(32)
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continue
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if 0 not in record[1:5]:
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if record[2] >= record[1] >= record[3] \
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and record[2] >= record[4] >= record[3]:
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row['datetime'] = record[0] * 10000
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row['openPrice'] = record[1] * 10
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row['highPrice'] = record[2] * 10
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row['lowPrice'] = record[3] * 10
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row['closePrice'] = record[4] * 10
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row['transAmount'] = round(record[5] * 0.001)
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if stktype == 2:
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# 指数
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row['transCount'] = record[6]
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else:
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row['transCount'] = round(record[6] * 0.01)
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row.append()
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add_record_count += 1
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if not update_flag:
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update_flag = True
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data = src_file.read(32)
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if update_flag:
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table.flush()
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if startdate is not None and 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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(startdate, 99999999, stockid))
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connect.commit()
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cur.close()
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return add_record_count
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def tdx_import_day_data(connect, market, quotation, src_dir, dest_dir, progress=ProgressBar):
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"""
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导入通达信日线数据，只导入基础信息数据库中存在的股票
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"""
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add_record_count = 0
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market = market.upper()
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if market == 'SH':
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h5file = tb.open_file(dest_dir + "/sh_day.h5", "a", filters=tb.Filters(complevel=9, complib='zlib', shuffle=True))
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elif market == 'SZ':
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h5file = tb.open_file(dest_dir + "/sz_day.h5", "a", filters=tb.Filters(complevel=9, complib='zlib', shuffle=True))
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else:
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print('Invalid market:', market)
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return add_record_count
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marketid = get_marketid(connect, market)
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stktype_list = get_stktype_list(quotation)
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sql = "select stockid, marketid, code, valid, type from stock where marketid={} and type in {}".format(marketid, stktype_list)
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cur = connect.cursor()
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a = cur.execute(sql)
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a = a.fetchall()
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total = len(a)
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for i, stock in enumerate(a):
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filename = src_dir + "\\" + market.lower() + stock[2]+ ".day"
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#print(i,filename)
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add_record_count += tdx_import_day_data_from_file(connect, filename, h5file, market, stock)
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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 tdx_import_min_data_from_file(connect, filename, h5file, market, stock_record):
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add_record_count = 0
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if not os.path.exists(filename):
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return add_record_count
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stockid, marketid, code, valid, stktype = stock_record[0], stock_record[1], stock_record[2], stock_record[3],stock_record[4]
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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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if table.nrows > 0:
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lastdatetime = table[-1]['datetime']/10000
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else:
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lastdatetime = None
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update_flag = False
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row = table.row
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with open(filename, 'rb') as src_file:
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def trans_date(yymm, hhmm):
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tmp_date = yymm >> 11
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remainder = yymm & 0x7ff
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year = tmp_date + 2004
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month = remainder // 100
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day = remainder % 100
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hh = hhmm // 60
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mm = hhmm % 60
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return year * 100000000 + month * 1000000 + day * 10000 + hh * 100 + mm
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def get_date(pos):
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src_file.seek(pos * 32, SEEK_SET)
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data = src_file.read(4)
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a = struct.unpack('hh', data)
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return trans_date(a[0], a[1])
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def find_pos():
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src_file.seek(0, SEEK_END)
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pos = src_file.tell()
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total = pos // 32
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if lastdatetime is None:
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return total, 0
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low, high = 0, total - 1
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mid = high // 2
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while mid <= high:
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cur_date = get_date(low)
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if cur_date > lastdatetime:
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mid = low
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break
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cur_date = get_date(high)
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if cur_date <= lastdatetime:
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mid = high + 1
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break
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cur_date = get_date(mid)
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if cur_date <= lastdatetime:
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low = mid + 1
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else:
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high = mid - 1
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mid = (low + high) // 2
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return total, mid
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file_total, pos = find_pos()
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if pos < file_total:
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src_file.seek(pos * 32, SEEK_SET)
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data = src_file.read(32)
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while data:
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record = struct.unpack('hhfffffii', data)
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if 0 not in record[2:6]:
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if record[3] >= record[2] >= record[4] \
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and record[3] >= record[5] >= record[4]:
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row['datetime'] = trans_date(record[0], record[1])
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row['openPrice'] = record[2] * 1000
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row['highPrice'] = record[3] * 1000
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row['lowPrice'] = record[4] * 1000
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row['closePrice'] = record[5] * 1000
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row['transAmount'] = round(record[6] * 0.001)
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if stktype == 2:
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# 指数
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row['transCount'] = record[7]
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else:
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row['transCount'] = round(record[6] * 0.01)
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row.append()
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add_record_count += 1
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if not update_flag:
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update_flag = True
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data = src_file.read(32)
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if update_flag:
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table.flush()
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return add_record_count
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def tdx_import_data(connect, market, ktype, quotation, src_dir, dest_dir, progress=ProgressBar):
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"""
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导入通达信日线数据，只导入基础信息数据库中存在的股票
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"""
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add_record_count = 0
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market = market.upper()
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filename = "{}_{}.h5".format(market, ktype)
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filename = "{}/{}".format(dest_dir, filename.lower())
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h5file = tb.open_file(filename, "a", filters=tb.Filters(complevel=9, complib='zlib', shuffle=True))
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if ktype.upper() == "DAY":
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suffix = ".day"
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func_import_from_file = tdx_import_day_data_from_file
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elif ktype.upper() == "1MIN":
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suffix = ".lc1"
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func_import_from_file = tdx_import_min_data_from_file
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elif ktype.upper() == "5MIN":
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suffix = ".lc5"
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func_import_from_file = tdx_import_min_data_from_file
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marketid = get_marketid(connect, market)
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stktype_list = get_stktype_list(quotation)
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sql = "select stockid, marketid, code, valid, type from stock where marketid={} and type in {}".format(marketid, stktype_list)
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cur = connect.cursor()
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a = cur.execute(sql)
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a = a.fetchall()
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total = len(a)
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for i, stock in enumerate(a):
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filename = src_dir + "\\" + market.lower() + stock[2]+ suffix
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#print(i,filename)
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add_record_count += func_import_from_file(connect, filename, h5file, market, stock)
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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 update_hdf5_extern_data(filename, data_type, progress=ProgressBar):
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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(tempdate.weekday()+4)
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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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halfyearDict={1:6,2:6,3:6,4:6,5:6,6:6,7:12,8:12,9:12,10:12,11:12,12:12}
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d_dict = {6:300000, 12:310000}
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y = olddate//100000000
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m = olddate//1000000 - y*100
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return( y*100000000 + halfyearDict[m]*1000000 + 10000 )
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def getYearDate(olddate):
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y = olddate//100000000
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return(y*100000000 + 310000)
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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:
|
||
newdate = olddate//10000*10000 + 1400
|
||
elif mint<=1415:
|
||
newdate = olddate//10000*10000 + 1415
|
||
elif mint<=1430:
|
||
newdate = olddate//10000*10000 + 1430
|
||
elif mint<=1445:
|
||
newdate = olddate//10000*10000 + 1445
|
||
else:
|
||
newdate = olddate//10000*10000 + 1500
|
||
return newdate
|
||
|
||
def getMin30Date(olddate):
|
||
mint = olddate-olddate//10000*10000
|
||
if mint<=1000:
|
||
newdate = olddate//10000*10000 + 1000
|
||
elif mint<=1030:
|
||
newdate = olddate//10000*10000 + 1030
|
||
elif mint<=1100:
|
||
newdate = olddate//10000*10000 + 1100
|
||
elif mint<=1130:
|
||
newdate = olddate//10000*10000 + 1130
|
||
elif mint<=1330:
|
||
newdate = olddate//10000*10000 + 1330
|
||
elif mint<=1400:
|
||
newdate = olddate//10000*10000 + 1400
|
||
elif mint<=1430:
|
||
newdate = olddate//10000*10000 + 1430
|
||
else:
|
||
newdate = olddate//10000*10000 + 1500
|
||
return newdate
|
||
|
||
def getNewDate(index_type, olddate):
|
||
if index_type == 'week':
|
||
return getWeekDate(olddate)
|
||
elif index_type == 'month':
|
||
return getMonthDate(olddate)
|
||
elif index_type == 'quarter':
|
||
return getQuarterDate(olddate)
|
||
elif index_type == 'halfyear':
|
||
return getHalfyearDate(olddate)
|
||
elif index_type == 'year':
|
||
return getYearDate(olddate)
|
||
elif index_type == 'min15':
|
||
return getMin15Date(olddate)
|
||
elif index_type == 'min30':
|
||
return getMin30Date(olddate)
|
||
elif index_type == 'min60':
|
||
return getMin60Date(olddate)
|
||
else:
|
||
return None
|
||
|
||
|
||
if data_type not in ('DAY', '5MIN', 'MIN', '1MIN'):
|
||
print("非法参数值data_type:", data_type)
|
||
return
|
||
|
||
print('更新 %s 扩展线索引' % filename)
|
||
h5file = tb.open_file(filename, "a", filters=tb.Filters(complevel=9,complib='zlib', shuffle=True))
|
||
|
||
if data_type == 'DAY':
|
||
index_list = ('week', 'month', 'quarter', 'halfyear', 'year')
|
||
else:
|
||
index_list = ('min15', 'min30', 'min60')
|
||
|
||
groupDict = {}
|
||
for index_type in index_list:
|
||
try:
|
||
groupDict[index_type] = h5file.get_node("/", index_type)
|
||
except:
|
||
groupDict[index_type] = h5file.create_group("/", index_type)
|
||
|
||
|
||
root_group = h5file.get_node("/data")
|
||
table_total = root_group._v_nchildren
|
||
table_count = 0
|
||
for table in root_group._f_walknodes():
|
||
table_count += 1
|
||
if progress:
|
||
progress(table_count, table_total)
|
||
|
||
for index_type in index_list:
|
||
try:
|
||
index_table = h5file.get_node(groupDict[index_type],table.name)
|
||
except:
|
||
index_table = h5file.create_table(groupDict[index_type],table.name, H5Index)
|
||
|
||
total = table.nrows
|
||
if 0 == total:
|
||
continue
|
||
|
||
index_total = index_table.nrows
|
||
index_row = index_table.row
|
||
if index_total:
|
||
index_last_date = int(index_table[-1]['datetime'])
|
||
last_date = getNewDate(index_type, int(table[-1]['datetime']))
|
||
if index_last_date == last_date:
|
||
continue
|
||
startix = int(index_table[-1]['start'])
|
||
pre_index_date = int(index_table[-1]['datetime'])
|
||
else:
|
||
startix = 0
|
||
date = int(table[0]['datetime'])
|
||
pre_index_date = getNewDate(index_type,date)
|
||
index_row['datetime'] = pre_index_date
|
||
index_row['start'] = 0
|
||
index_row.append()
|
||
#week_table.flush()
|
||
|
||
index = startix
|
||
for row in table[startix:]:
|
||
date = int(row['datetime'])
|
||
cur_index_date = getNewDate(index_type, date)
|
||
if cur_index_date != pre_index_date:
|
||
index_row['datetime'] = cur_index_date
|
||
index_row['start'] = index
|
||
index_row.append()
|
||
pre_index_date = cur_index_date
|
||
index += 1
|
||
index_table.flush()
|
||
|
||
h5file.close()
|
||
#print('\n')
|
||
|
||
if __name__ == '__main__':
|
||
|
||
import time
|
||
starttime = time.time()
|
||
|
||
src_dir = "D:\\TdxW_HuaTai"
|
||
dest_dir = "c:\\stock"
|
||
|
||
connect = sqlite3.connect(dest_dir + "\\hikyuu-stock.db")
|
||
create_database(connect)
|
||
|
||
#tdx_import_stock_name_from_file(connect, src_dir + "\\T0002\\hq_cache\\shm.tnf", 'SH', 'stock')
|
||
#tdx_import_stock_name_from_file(connect, src_dir + "\\T0002\\hq_cache\\szm.tnf", 'SZ', 'stock')
|
||
|
||
#add_count = tdx_import_data(connect, 'SH', 'DAY', 'stock', src_dir + "\\vipdoc\\sh\\lday", dest_dir)
|
||
#add_count = tdx_import_data(connect, 'SH', '1MIN', 'stock', src_dir + "\\vipdoc\\sh\\minline", dest_dir)
|
||
#print("\n",add_count)
|
||
|
||
update_hdf5_extern_data(dest_dir + "\\sh_day.h5", "DAY")
|
||
#update_hdf5_extern_data(dest_dir + "\\sz_day.h5", "DAY")
|
||
update_hdf5_extern_data(dest_dir + "\\sh_5min.h5", '5MIN')
|
||
#update_hdf5_extern_data(dest_dir + "\\sz_5min.h5", '5MIN')
|
||
|
||
connect.close()
|
||
|
||
endtime = time.time()
|
||
print("\nTotal time:")
|
||
print("%.2fs" % (endtime-starttime))
|
||
print("%.2fm" % ((endtime-starttime)/60)) |