You can not select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
214 lines
8.9 KiB
214 lines
8.9 KiB
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的即可
|
|
|
|
"""
|
|
|
|
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_nActBidVolume', //主买量
|
|
['sectional_buy_vol'] as 'm_nAccActBidVolume', //时点当日累计主买量
|
|
['buy_amount'] as 'm_nActBidTurover', //主买金额
|
|
['sectional_buy_amount'] as 'm_nAccActBidTurover',
|
|
|
|
['sale_vol'] as 'm_nActAskVolume',
|
|
['sectional_sale_vol'] as 'm_nAccActAskVolume',
|
|
['sale_amount'] as 'm_nActAskTurover',
|
|
['sectional_sale_amount'] as 'm_nAccActAskTurover',
|
|
|
|
['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_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_nActBidVolume', //主买量
|
|
['sectional_buy_vol'] as 'm_nAccActBidVolume', //时点当日累计主买量
|
|
['buy_amount'] as 'm_nActBidTurover', //主买金额
|
|
['sectional_buy_amount'] as 'm_nAccActBidTurover',
|
|
|
|
['sale_vol'] as 'm_nActAskVolume',
|
|
['sectional_sale_vol'] as 'm_nAccActAskVolume',
|
|
['sale_amount'] as 'm_nActAskTurover',
|
|
['sectional_sale_amount'] as 'm_nAccActAskTurover',
|
|
|
|
['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
|
|
|