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TSLfm.py

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+import itertools
+from datetime import datetime
+
+import pandas as pd
+from pprint import pprint
+
+import pyTSL
+
+TINYSOFT_HOSTNAME = 'tsl.tinysoft.com.cn'
+TINYSOFT_PORT = 443
+TINYSOFT_USERNAME = 'xunuo2005'
+TINYSOFT_PASSWORD = '20220613'
+
+class TSLfm:
+
+    def __init__(self):
+        self.timeout_default=100000
+
+    def __enter__(self):
+        print('entering')
+        self.c = pyTSL.Client(TINYSOFT_USERNAME, TINYSOFT_PASSWORD, TINYSOFT_HOSTNAME, 443)
+        self.c.login()
+        return self
+        
+    def __exit__(self, exc_type, exc_val, exc_tb):
+        print('logging out')
+        self.c.logout()
+        del(self.c)
+
+    def get_code_list(self, bk_name='国债期货'):
+        
+        scpt = """return getbk('{bk_name}');
+        """.format(bk_name=bk_name)
+        print(scpt)
+        r = self.c.exec(scpt,timeout=self.timeout_default)
+        return r.value()
+
+    def get_trade_tick(self, start_date, end_date, code_list):
+        """
+        (source: 天软数据字典 ver 2022-05-25)
+        vol: 周期内的成交量。如果周期为分钟，则表示这分钟的成 交量，并非从开盘累计.
+             对于期货，高频和日线的单位都是合约数量，如果要建立成交量和成交金额之间的关系，还需考虑合约乘数。
+        amount: 周期内的成交金额。如果周期为分钟，则表示这分钟的成交金额，并非从开盘累计。
+        cjbs: 对于期货/期权而言，是周期内的持仓的变动量，日线的话表示当日持仓量，单位为:手。
+        wb: 公式:委买/委卖(w_buy/w_sale)
+        lb: 由天软计算:
+            1、对于交易明细:
+            量比=现成交总手/[(过去 5 个交易日平均每分钟成交 量)×当日累计开市时间(分)]
+            2、对于秒线/1 分钟线: 量比取周期内最后一条交易明细的数据。
+        zmm: 对 tradetable 公式:按下面的前后逻辑优先判定
+            没有成交 -> 0
+            当前成交价>上一笔买一价 ->主买 1 
+            当前成交价<上一笔卖一价 ->主卖 2 
+            否则->3(一般是集合竞价、涨停、跌停) 
+            对于非交易明细(秒线或分钟线等):没有意义
+        buy_vol: 主动性买盘成交量:周期内买卖标识为 1 的成交量+买 卖标识为 3 的成交量/2
+        buy_amount: 主动性买盘成交金额:周期内买卖标识为 1 的成交金额 +买卖标识为 3 的成交金额/2
+        sale_vol: 主动性卖盘成交量:周期内买卖标识为 2 的成交量之和 +买卖标识为 3 的成交量/2
+        sale_amount: 主动性卖盘成交金额:周期内买卖标识为 2 的成交金额 +买卖标识为 3 的成交金额/2
+        w_buy: 一个周期内的委买量
+        sectional: 从开盘到当前时间的
+        sectional_yclose: 上一交易日(周期是日)的收盘价，与‘上次价’不一 样。‘上次价’表示前一个周期的收盘价。
+        sectional_vol: 从开盘到当前时间的成交量之和(主买+主卖)
+        sectional_amount: 从开盘到当前时间的成交金额之和(主买+主卖)
+        sectional_cjbs: 股指期货/期权:市场现有持仓量
+        sectional_wb: 当日累计委买/当日累计委卖
+
+        ['sectional_open'] as 'm_nAccOpen', //时点当日开盘, 没必要存，取上日2059的即刻
+
+        """
+
+        code_list_input = ', '.join(['\'%s\'' % code_id for code_id in code_list])
+        scpt = """
+            stock_list := Array({code_list_input});
+            r := select 
+                ['StockID'] as 'code',
+                DateTimeToStr(['date']) as 'datetime',
+
+                ['price'] as 'm_nPrice',
+                ['open'] as 'm_nOpen',
+                ['high'] as 'm_nHigh',
+                ['low'] as 'm_nLow',
+                ['close'] as 'm_nClose',
+
+                ['sectional_high'] as 'm_nAccHigh',
+                ['sectional_low'] as 'm_nAccLow',
+
+                ['vol'] as 'm_iVolume', //成交量
+                ['sectional_vol'] as 'm_iAccVolume', //时点当日累计成交量
+
+                ['cjbs'] as 'm_nMatchItems', // 成交笔数 周期内的持仓的变动量
+                ['sectional_cjbs'] as 'm_nAccMatchItems',
+
+                ['amount'] as 'm_iTurover', //成交金额
+                ['sectional_amount'] as 'm_iAccTurover', 
+
+                ['yclose'] as 'm_nPreClose', //上一周期的收盘价
+                ['sectional_yclose'] as 'm_nAccPreClose', // 前日收盘
+                
+                ['buy1'] as 'm_nBidPrice', //买一价？叫卖价?
+                ['bc1'] as 'm_nBidVolume', //买一量 当前以买一价出价的委买量
+                ['sale1'] as 'm_nAskPrice', 
+                ['sc1'] as 'm_nAskVolume', 
+
+                ['zmm'] as 'm_iABFlag', //买卖标识
+
+                ['buy_vol'] as 'm_nBidAvVolume', //主买量
+                ['sectional_buy_vol'] as 'm_nAccBidAvVolume', //时点当日累计主买量
+                ['buy_amount'] as 'm_nBidAvTurover', //主买金额
+                ['sectional_buy_amount'] as 'm_nAccBidAvTurover', 
+
+                ['sale_vol'] as 'm_nAskAvVolume', 
+                ['sectional_sale_vol'] as 'm_nAccAskAvVolume', 
+                ['sale_amount'] as 'm_nAskAvTurover',
+                ['sectional_sale_amount'] as 'm_nAccAskAvTurover', 
+
+                ['w_buy'] as 'm_nBidOrder', //委买
+                ['sectional_w_buy'] as 'm_nAccBidOrder', 
+                ['w_sale'] as 'm_nAskOrder',
+                ['sectional_w_sale'] as 'm_nAccAskOrder',
+
+                ['wb'] as 'm_nABOrderRate', //委比
+                ['sectional_wb'] as 'm_nAccABOrderRate', //时点当日累计委比
+                ['lb'] as 'm_nMItemsVolRate'//量比
+
+                from tradetable
+                datekey {start_date}T to {end_date}T+0.999 
+                of stock_list
+            end;
+            
+            return r;        
+        """.format(
+            code_list_input=code_list_input,
+            start_date=start_date,
+            end_date=end_date
+        )
+        print(scpt)
+        r = self.c.exec(scpt,timeout=self.timeout_default)
+        return r
+    
+    def get_mkt_min_k(self, start_date, end_date, code_list):
+
+        code_list_input = ', '.join(['\'%s\'' % code_id for code_id in code_list])
+        scpt = """
+            SetSysParam(pn_cycle(), cy_1m());
+            stock_list := Array({code_list_input});
+            r := select 
+                ['StockID'] as 'code',
+                DateTimeToStr(['date']) as 'datetime',
+
+                ['price'] as 'm_nPrice',
+                ['open'] as 'm_nOpen',
+                ['high'] as 'm_nHigh',
+                ['low'] as 'm_nLow',
+                ['close'] as 'm_nClose',
+
+                ['sectional_open'] as 'm_nAccOpen', //时点当日开盘
+                ['sectional_high'] as 'm_nAccHigh',
+                ['sectional_low'] as 'm_nAccLow',
+
+                ['vol'] as 'm_iVolume', //成交量
+                ['sectional_vol'] as 'm_iAccVolume', //时点当日累计成交量
+
+                ['cjbs'] as 'm_nMatchItems', // 成交笔数 周期内的持仓的变动量
+                ['sectional_cjbs'] as 'm_nAccMatchItems',
+
+                ['amount'] as 'm_iTurover', //成交金额
+                ['sectional_amount'] as 'm_iAccTurover', 
+
+                ['yclose'] as 'm_nPreClose', //上一周期的收盘价
+                ['sectional_yclose'] as 'm_nAccPreClose', // 前日收盘
+                
+                ['buy1'] as 'm_nBidPrice', //买一价？叫卖价?
+                ['bc1'] as 'm_nBidVolume', //买一量 当前以买一价出价的委买量
+                ['sale1'] as 'm_nAskPrice', 
+                ['sc1'] as 'm_nAskVolume', 
+
+                ['zmm'] as 'm_iABFlag', //买卖标识
+
+                ['buy_vol'] as 'm_nBidAvVolume', //主买量
+                ['sectional_buy_vol'] as 'm_nAccBidAvVolume', //时点当日累计主买量
+                ['buy_amount'] as 'm_nBidAvTurover', //主买金额
+                ['sectional_buy_amount'] as 'm_nAccBidAvTurover', 
+
+                ['sale_vol'] as 'm_nAskAvVolume', 
+                ['sectional_sale_vol'] as 'm_nAccAskAvVolume', 
+                ['sale_amount'] as 'm_nAskAvTurover',
+                ['sectional_sale_amount'] as 'm_nAccAskAvTurover', 
+
+                ['w_buy'] as 'm_nBidOrder', //委买
+                ['sectional_w_buy'] as 'm_nAccBidOrder', 
+                ['w_sale'] as 'm_nAskOrder',
+                ['sectional_w_sale'] as 'm_nAccAskOrder',
+
+                ['wb'] as 'm_nABOrderRate', //委比
+                ['sectional_wb'] as 'm_nAccABOrderRate', //时点当日累计委比
+                ['lb'] as 'm_nMItemsVolRate'//量比
+
+
+                from markettable
+                datekey {start_date}T to {end_date}T+0.999 
+                of stock_list
+            end;
+            
+            return r;        
+        """.format(
+            code_list_input=code_list_input,
+            start_date=start_date,
+            end_date=end_date
+        )
+        print(scpt)
+        r = self.c.exec(scpt,timeout=self.timeout_default)
+        return r
+