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import itertools
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from datetime import datetime
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import pandas as pd
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from pprint import pprint
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import pyTSL
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TINYSOFT_HOSTNAME = 'tsl.tinysoft.com.cn'
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TINYSOFT_PORT = 443
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TINYSOFT_USERNAME = 'xunuo2005'
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TINYSOFT_PASSWORD = '20220613'
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class TSLfm:
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def __init__(self):
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self.timeout_default=100000
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def __enter__(self):
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print('entering')
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self.c = pyTSL.Client(TINYSOFT_USERNAME, TINYSOFT_PASSWORD, TINYSOFT_HOSTNAME, 443)
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self.c.login()
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return self
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def __exit__(self, exc_type, exc_val, exc_tb):
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print('logging out')
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self.c.logout()
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del(self.c)
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def get_code_list(self, bk_name='国债期货'):
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scpt = """return getbk('{bk_name}');
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""".format(bk_name=bk_name)
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print(scpt)
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r = self.c.exec(scpt,timeout=self.timeout_default)
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return r.value()
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def get_trade_tick(self, start_date, end_date, code_list):
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"""
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(source: 天软数据字典 ver 2022-05-25)
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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.
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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。
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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。
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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。
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wb: 公式:委买/委卖(w_buy/w_sale)
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lb: 由天软计算:
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1、对于交易明细:
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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)]
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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。
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zmm: 对 tradetable 公式:按下面的前后逻辑优先判定
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没有成交 -> 0
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当前成交价>上一笔买一价 ->主买 1
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当前成交价<上一笔卖一价 ->主卖 2
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否则->3(一般是集合竞价、涨停、跌停)
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对于非交易明细(秒线或分钟线等):没有意义
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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
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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
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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
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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
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w_buy: 一个周期内的委买量
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sectional: 从开盘到当前时间的
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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。
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sectional_vol: 从开盘到当前时间的成交量之和(主买+主卖)
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sectional_amount: 从开盘到当前时间的成交金额之和(主买+主卖)
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sectional_cjbs: 股指期货/期权:市场现有持仓量
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sectional_wb: 当日累计委买/当日累计委卖
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['sectional_open'] as 'm_nAccOpen', //时点当日开盘, 没必要存，取上日2059的即刻
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"""
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code_list_input = ', '.join(['\'%s\'' % code_id for code_id in code_list])
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scpt = """
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stock_list := Array({code_list_input});
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r := select
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['StockID'] as 'code',
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DateTimeToStr(['date']) as 'datetime',
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['price'] as 'm_nPrice',
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['open'] as 'm_nOpen',
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['high'] as 'm_nHigh',
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['low'] as 'm_nLow',
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['close'] as 'm_nClose',
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['sectional_high'] as 'm_nAccHigh',
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['sectional_low'] as 'm_nAccLow',
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['vol'] as 'm_iVolume', //成交量
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['sectional_vol'] as 'm_iAccVolume', //时点当日累计成交量
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['cjbs'] as 'm_nMatchItems', // 成交笔数 周期内的持仓的变动量
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['sectional_cjbs'] as 'm_nAccMatchItems',
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['amount'] as 'm_iTurover', //成交金额
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['sectional_amount'] as 'm_iAccTurover',
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['yclose'] as 'm_nPreClose', //上一周期的收盘价
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['sectional_yclose'] as 'm_nAccPreClose', // 前日收盘
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['buy1'] as 'm_nBidPrice', //买一价？叫卖价?
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['bc1'] as 'm_nBidVolume', //买一量 当前以买一价出价的委买量
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['sale1'] as 'm_nAskPrice',
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['sc1'] as 'm_nAskVolume',
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['zmm'] as 'm_iABFlag', //买卖标识
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['buy_vol'] as 'm_nBidAvVolume', //主买量
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['sectional_buy_vol'] as 'm_nAccBidAvVolume', //时点当日累计主买量
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['buy_amount'] as 'm_nBidAvTurover', //主买金额
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['sectional_buy_amount'] as 'm_nAccBidAvTurover',
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['sale_vol'] as 'm_nAskAvVolume',
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['sectional_sale_vol'] as 'm_nAccAskAvVolume',
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['sale_amount'] as 'm_nAskAvTurover',
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['sectional_sale_amount'] as 'm_nAccAskAvTurover',
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['w_buy'] as 'm_nBidOrder', //委买
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['sectional_w_buy'] as 'm_nAccBidOrder',
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['w_sale'] as 'm_nAskOrder',
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['sectional_w_sale'] as 'm_nAccAskOrder',
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['wb'] as 'm_nABOrderRate', //委比
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['sectional_wb'] as 'm_nAccABOrderRate', //时点当日累计委比
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['lb'] as 'm_nMItemsVolRate'//量比
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from tradetable
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datekey {start_date}T to {end_date}T+0.999
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of stock_list
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end;
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return r;
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""".format(
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code_list_input=code_list_input,
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start_date=start_date,
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end_date=end_date
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)
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print(scpt)
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r = self.c.exec(scpt,timeout=self.timeout_default)
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return r
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def get_mkt_min_k(self, start_date, end_date, code_list):
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code_list_input = ', '.join(['\'%s\'' % code_id for code_id in code_list])
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scpt = """
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SetSysParam(pn_cycle(), cy_1m());
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stock_list := Array({code_list_input});
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r := select
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['StockID'] as 'code',
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DateTimeToStr(['date']) as 'datetime',
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['price'] as 'm_nPrice',
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['open'] as 'm_nOpen',
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['high'] as 'm_nHigh',
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['low'] as 'm_nLow',
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['close'] as 'm_nClose',
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['sectional_open'] as 'm_nAccOpen', //时点当日开盘
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['sectional_high'] as 'm_nAccHigh',
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['sectional_low'] as 'm_nAccLow',
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['vol'] as 'm_iVolume', //成交量
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['sectional_vol'] as 'm_iAccVolume', //时点当日累计成交量
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['cjbs'] as 'm_nMatchItems', // 成交笔数 周期内的持仓的变动量
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['sectional_cjbs'] as 'm_nAccMatchItems',
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['amount'] as 'm_iTurover', //成交金额
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['sectional_amount'] as 'm_iAccTurover',
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['yclose'] as 'm_nPreClose', //上一周期的收盘价
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['sectional_yclose'] as 'm_nAccPreClose', // 前日收盘
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['buy1'] as 'm_nBidPrice', //买一价？叫卖价?
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['bc1'] as 'm_nBidVolume', //买一量 当前以买一价出价的委买量
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['sale1'] as 'm_nAskPrice',
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['sc1'] as 'm_nAskVolume',
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['zmm'] as 'm_iABFlag', //买卖标识
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['buy_vol'] as 'm_nBidAvVolume', //主买量
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['sectional_buy_vol'] as 'm_nAccBidAvVolume', //时点当日累计主买量
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['buy_amount'] as 'm_nBidAvTurover', //主买金额
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['sectional_buy_amount'] as 'm_nAccBidAvTurover',
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['sale_vol'] as 'm_nAskAvVolume',
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['sectional_sale_vol'] as 'm_nAccAskAvVolume',
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['sale_amount'] as 'm_nAskAvTurover',
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['sectional_sale_amount'] as 'm_nAccAskAvTurover',
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['w_buy'] as 'm_nBidOrder', //委买
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['sectional_w_buy'] as 'm_nAccBidOrder',
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['w_sale'] as 'm_nAskOrder',
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['sectional_w_sale'] as 'm_nAccAskOrder',
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['wb'] as 'm_nABOrderRate', //委比
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['sectional_wb'] as 'm_nAccABOrderRate', //时点当日累计委比
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['lb'] as 'm_nMItemsVolRate'//量比
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from markettable
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datekey {start_date}T to {end_date}T+0.999
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of stock_list
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end;
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return r;
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""".format(
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code_list_input=code_list_input,
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start_date=start_date,
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end_date=end_date
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)
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print(scpt)
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r = self.c.exec(scpt,timeout=self.timeout_default)
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return r
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