#!/usr/bin/env python # -*- coding:utf-8 -*- ''' Created on 2017年06月04日 @author: debugo @contact: me@debugo.com ''' import json import datetime from bs4 import BeautifulSoup import pandas as pd from tushare.futures import domestic_cons as ct try: from urllib.request import urlopen, Request from urllib.parse import urlencode from urllib.error import HTTPError from http.client import IncompleteRead except ImportError: from urllib import urlencode from urllib2 import urlopen, Request from urllib2 import HTTPError from httplib import IncompleteRead def get_cffex_daily(date = None): """ 获取中金所日交易数据 Parameters ------ date: 日期 format：YYYY-MM-DD 或 YYYYMMDD 或 datetime.date对象 为空时为当天 Return ------- DataFrame 中金所日交易数据(DataFrame): symbol 合约代码 date 日期 open 开盘价 high 最高价 low 最低价 close 收盘价 volume 成交量 open_interest 持仓量 turnover 成交额 settle 结算价 pre_settle 前结算价 variety 合约类别 或 None(给定日期没有交易数据) """ day = ct.convert_date(date) if date is not None else datetime.date.today() try: html = urlopen(Request(ct.CFFEX_DAILY_URL % (day.strftime('%Y%m'), day.strftime('%d'), day.strftime('%Y%m%d')), headers=ct.SIM_HAEDERS)).read().decode('gbk', 'ignore') except HTTPError as reason: if reason.code != 404: print(ct.CFFEX_DAILY_URL % (day.strftime('%Y%m'), day.strftime('%d'), day.strftime('%Y%m%d')), reason) return if html.find(u'网页错误') >= 0: return html = [i.replace(' ','').split(',') for i in html.split('\n')[:-2] if i[0][0] != u'小' ] if html[0][0]!=u'合约代码': return dict_data = list() day_const = day.strftime('%Y%m%d') for row in html[1:]: m = ct.FUTURE_SYMBOL_PATTERN.match(row[0]) if not m: continue row_dict = {'date': day_const, 'symbol': row[0], 'variety': m.group(1)} for i,field in enumerate(ct.CFFEX_COLUMNS): if row[i+1] == u"": row_dict[field] = 0.0 elif field in ['volume', 'open_interest', 'oi_chg']: row_dict[field] = int(row[i+1]) else: row_dict[field] = float(row[i+1]) row_dict['pre_settle'] = row_dict['close'] - row_dict['change1'] dict_data.append(row_dict) return pd.DataFrame(dict_data)[ct.OUTPUT_COLUMNS] def get_czce_daily(date=None, type="future"): """ 获取郑商所日交易数据 Parameters ------ date: 日期 format：YYYY-MM-DD 或 YYYYMMDD 或 datetime.date对象 为空时为当天 type: 数据类型, 为'future'期货 或 'option'期权二者之一 Return ------- DataFrame 郑商所每日期货交易数据: symbol 合约代码 date 日期 open 开盘价 high 最高价 low 最低价 close 收盘价 volume 成交量 open_interest 持仓量 turnover 成交额 settle 结算价 pre_settle 前结算价 variety 合约类别 或 DataFrame 郑商所每日期权交易数据 symbol 合约代码 date 日期 open 开盘价 high 最高价 low 最低价 close 收盘价 pre_settle 前结算价 settle 结算价 delta 对冲值 volume 成交量 open_interest 持仓量 oi_change 持仓变化 turnover 成交额 implied_volatility 隐含波动率 exercise_volume 行权量 variety 合约类别 None(类型错误或给定日期没有交易数据) """ if type == 'future': url = ct.CZCE_DAILY_URL listed_columns = ct.CZCE_COLUMNS output_columns = ct.OUTPUT_COLUMNS elif type == 'option': url = ct.CZCE_OPTION_URL listed_columns = ct.CZCE_OPTION_COLUMNS output_columns = ct.OPTION_OUTPUT_COLUMNS else: print('invalid type :' + type + ',type should be one of "future" or "option"') return day = ct.convert_date(date) if date is not None else datetime.date.today() try: html = urlopen(Request(url % (day.strftime('%Y'), day.strftime('%Y%m%d')), headers=ct.SIM_HAEDERS)).read().decode('gbk', 'ignore') except HTTPError as reason: if reason.code != 404: print(ct.CZCE_DAILY_URL % (day.strftime('%Y'), day.strftime('%Y%m%d')), reason) return if html.find(u'您的访问出错了') >= 0 or html.find(u'无期权每日行情交易记录') >= 0: return html = [i.replace(' ','').split('|') for i in html.split('\n')[:-4] if i[0][0] != u'小'] if html[1][0] not in [u'品种月份', u'品种代码']: return dict_data = list() day_const = int(day.strftime('%Y%m%d')) for row in html[2:]: m = ct.FUTURE_SYMBOL_PATTERN.match(row[0]) if not m: continue row_dict = {'date': day_const, 'symbol': row[0], 'variety': m.group(1)} for i,field in enumerate(listed_columns): if row[i+1] == "\r": row_dict[field] = 0.0 elif field in ['volume', 'open_interest', 'oi_chg', 'exercise_volume']: row[i+1] = row[i+1].replace(',','') row_dict[field] = int(row[i+1]) else: row[i+1] = row[i+1].replace(',','') row_dict[field] = float(row[i+1]) dict_data.append(row_dict) return pd.DataFrame(dict_data)[output_columns] def get_shfe_vwap(date = None): """ 获取上期所日成交均价数据 Parameters ------ date: 日期 format：YYYY-MM-DD 或 YYYYMMDD 或 datetime.date对象 为空时为当天 Return ------- DataFrame 郑商所日交易数据(DataFrame): symbol 合约代码 date 日期 time_range vwap时段，分09:00-10:15和09:00-15:00两类 vwap 加权平均成交均价 或 None(给定日期没有数据) """ day = ct.convert_date(date) if date is not None else datetime.date.today() try: json_data = json.loads(urlopen(Request(ct.SHFE_VWAP_URL % (day.strftime('%Y%m%d')), headers=ct.SIM_HAEDERS)).read().decode('utf8')) except HTTPError as reason: if reason.code != 404: print(ct.SHFE_DAILY_URL % (day.strftime('%Y%m%d')), reason) return if len(json_data['o_currefprice']) == 0: return df = pd.DataFrame(json_data['o_currefprice']) df['INSTRUMENTID'] = df['INSTRUMENTID'].str.strip() df[':B1'].astype('int16') return df.rename(columns=ct.SHFE_VWAP_COLUMNS)[list(ct.SHFE_VWAP_COLUMNS.values())] def get_shfe_daily(date = None): """ 获取上期所日交易数据 Parameters ------ date: 日期 format：YYYY-MM-DD 或 YYYYMMDD 或 datetime.date对象 为空时为当天 Return ------- DataFrame 上期所日交易数据(DataFrame): symbol 合约代码 date 日期 open 开盘价 high 最高价 low 最低价 close 收盘价 volume 成交量 open_interest 持仓量 turnover 成交额 settle 结算价 pre_settle 前结算价 variety 合约类别 或 None(给定日期没有交易数据) """ day = ct.convert_date(date) if date is not None else datetime.date.today() try: json_data = json.loads(urlopen(Request(ct.SHFE_DAILY_URL % (day.strftime('%Y%m%d')), headers=ct.SIM_HAEDERS)).read().decode('utf8')) except HTTPError as reason: if reason.code != 404: print(ct.SHFE_DAILY_URL % (day.strftime('%Y%m%d')), reason) return if len(json_data['o_curinstrument']) == 0: return df = pd.DataFrame([row for row in json_data['o_curinstrument'] if row['DELIVERYMONTH'] != u'小计' and row['DELIVERYMONTH'] != '']) df['variety'] = df.PRODUCTID.str.slice(0, -6).str.upper() df['symbol'] = df['variety'] + df['DELIVERYMONTH'] df['date'] = day.strftime('%Y%m%d') vwap_df = get_shfe_vwap(day) if vwap_df is not None: df = pd.merge(df, vwap_df[vwap_df.time_range == '9:00-15:00'], on=['date', 'symbol'], how='left') df['turnover'] = df.vwap * df.VOLUME else: print('Failed to fetch SHFE vwap.', day.strftime('%Y%m%d')) df['turnover'] = .0 df.rename(columns=ct.SHFE_COLUMNS, inplace=True) return df[ct.OUTPUT_COLUMNS] def get_dce_daily(date = None, type="future", retries=0): """ 获取大连商品交易所日交易数据 Parameters ------ date: 日期 format：YYYY-MM-DD 或 YYYYMMDD 或 datetime.date对象 为空时为当天 type: 数据类型, 为'future'期货 或 'option'期权二者之一 retries: int, 当前重试次数，达到3次则获取数据失败 Return ------- DataFrame 大商所日交易数据(DataFrame): symbol 合约代码 date 日期 open 开盘价 high 最高价 low 最低价 close 收盘价 volume 成交量 open_interest 持仓量 turnover 成交额 settle 结算价 pre_settle 前结算价 variety 合约类别 或 DataFrame 郑商所每日期权交易数据 symbol 合约代码 date 日期 open 开盘价 high 最高价 low 最低价 close 收盘价 pre_settle 前结算价 settle 结算价 delta 对冲值 volume 成交量 open_interest 持仓量 oi_change 持仓变化 turnover 成交额 implied_volatility 隐含波动率 exercise_volume 行权量 variety 合约类别 或 None(给定日期没有交易数据) """ day = ct.convert_date(date) if date is not None else datetime.date.today() if retries > 3: print("maximum retires for DCE market data: ", day.strftime("%Y%m%d")) return if type == 'future': url = ct.DCE_DAILY_URL + '?' + urlencode({"currDate":day.strftime('%Y%m%d'), "year":day.strftime('%Y'), "month": str(int(day.strftime('%m'))-1), "day":day.strftime('%d')}) listed_columns = ct.DCE_COLUMNS output_columns = ct.OUTPUT_COLUMNS elif type == 'option': url = ct.DCE_DAILY_URL + '?' + urlencode({"currDate":day.strftime('%Y%m%d'), "year":day.strftime('%Y'), "month": str(int(day.strftime('%m'))-1), "day":day.strftime('%d'), "dayQuotes.trade_type": "1"}) listed_columns = ct.DCE_OPTION_COLUMNS output_columns = ct.OPTION_OUTPUT_COLUMNS else: print('invalid type :' + type + ', should be one of "future" or "option"') return try: response = urlopen(Request(url, method='POST', headers=ct.DCE_HEADERS)).read().decode('utf8') except IncompleteRead as reason: return get_dce_daily(day, retries=retries+1) except HTTPError as reason: if reason.code == 504: return get_dce_daily(day, retries=retries+1) elif reason.code != 404: print(ct.DCE_DAILY_URL, reason) return if u'错误：您所请求的网址（URL）无法获取' in response: return get_dce_daily(day, retries=retries+1) elif u'暂无数据' in response: return data = BeautifulSoup(response, 'html.parser').find_all('tr') if len(data) == 0: return dict_data = list() implied_data = list() for idata in data[1:]: if u'小计' in idata.text or u'总计' in idata.text: continue x = idata.find_all('td') if type == 'future': row_dict = {'variety': ct.DCE_MAP[x[0].text.strip()]} row_dict['symbol'] = row_dict['variety'] + x[1].text.strip() for i,field in enumerate(listed_columns): field_content = x[i+2].text.strip() if '-' in field_content: row_dict[field] = 0 elif field in ['volume', 'open_interest']: row_dict[field] = int(field_content.replace(',','')) else: row_dict[field] = float(field_content.replace(',','')) dict_data.append(row_dict) elif len(x) == 16: m = ct.FUTURE_SYMBOL_PATTERN.match(x[1].text.strip()) if not m: continue row_dict = {'symbol': x[1].text.strip(), 'variety': m.group(1).upper(), 'contract_id': m.group(0)} for i,field in enumerate(listed_columns): field_content = x[i+2].text.strip() if '-' in field_content: row_dict[field] = 0 elif field in ['volume', 'open_interest']: row_dict[field] = int(field_content.replace(',','')) else: row_dict[field] = float(field_content.replace(',','')) dict_data.append(row_dict) elif len(x) == 2: implied_data.append({'contract_id': x[0].text.strip(), 'implied_volatility': float(x[1].text.strip())}) df = pd.DataFrame(dict_data) df['date'] = day.strftime('%Y%m%d') if type == 'future': return df[output_columns] else: return pd.merge(df, pd.DataFrame(implied_data), on='contract_id', how='left', indicator=False)[output_columns] def get_future_daily(start = None, end = None, market = 'CFFEX'): """ 获取中金所日交易数据 Parameters ------ start: 开始日期 format：YYYY-MM-DD 或 YYYYMMDD 或 datetime.date对象 为空时为当天 end: 结束数据 format：YYYY-MM-DD 或 YYYYMMDD 或 datetime.date对象 为空时为当天 market: 'CFFEX' 中金所, 'CZCE' 郑商所, 'SHFE' 上期所, 'DCE' 大商所 之一。默认为中金所 Return ------- DataFrame 中金所日交易数据(DataFrame): symbol 合约代码 date 日期 open 开盘价 high 最高价 low 最低价 close 收盘价 volume 成交量 open_interest 持仓量 turnover 成交额 settle 结算价 pre_settle 前结算价 variety 合约类别 或 None(给定日期没有交易数据) """ if market.upper() == 'CFFEX': f = get_cffex_daily elif market.upper() == 'CZCE': f = get_czce_daily elif market.upper() == 'SHFE': f = get_shfe_daily elif market.upper() == 'DCE': f = get_dce_daily else: print('Invalid market.') return start = ct.convert_date(start) if start is not None else datetime.date.today() end = ct.convert_date(end) if end is not None else datetime.date.today() df_list = list() while start <= end: df = f(start) if df is not None: df_list.append(df) start += datetime.timedelta(days = 1) if len(df_list) > 0: return pd.concat(df_list)