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Add data retrieval and processing scripts for futures data

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- Implemented a function to fetch futures data from the API with error handling and response validation.
- Added example usage for fetching and saving K-line data to CSV.
- Updated CSV files with new data entries for specified date ranges.
- Enhanced the structure of the data retrieval function to include parameters for depth and adjust type.
This commit is contained in:
zhoujie
2025-11-21 20:24:49 +08:00
parent 7ba84a6dd7
commit 800883b6ec
7 changed files with 1954 additions and 164 deletions
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2.数据下载与处理/ssquant_download/IM888_2025-10-01_2025-10-10_1m - 副本 (2).csv Normal file
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datetime,symbol,open,high,low,close,volume,turnover,open_interest
2025-10-09 09:30:00,IM2512,7444.0,7445.2,7443.8,7445.2,406,604503760,-176
2025-10-09 09:45:00,IM2512,7448.0,7497.8,7430.8,7482.6,20461,30561185000,-6689
1 datetime symbol open high low close volume turnover open_interest
2 2025-10-09 09:30:00 IM2512 7444.0 7445.2 7443.8 7445.2 406 604503760 -176
3 2025-10-09 09:45:00 IM2512 7448.0 7497.8 7430.8 7482.6 20461 30561185000 -6689

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2.数据下载与处理/ssquant_download/IM888_2025-10-01_2025-10-10_1m - 副本.csv Normal file
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datetime,symbol,open,high,low,close,volume,turnover,open_interest
2025/10/9 9:30:00,IM2512,7444,7445.2,7443.8,7445.2,406,604503760,-176
2025/10/9 9:45:00,IM2512,7448,7497.8,7430.8,7482.6,20461,30561185000,-6689
2025/10/9 10:00:00,IM2512,7482.6,7486.6,7413.2,7438.2,16226,24136810440,-3489
2025/10/9 10:15:00,IM2512,7436.6,7495.4,7425,7485,11496,17154464040,-1823
2025/10/9 10:30:00,IM2512,7485.4,7490,7472.2,7488.6,7543,11285654240,-324
2025/10/9 10:45:00,IM2512,7500,7517.8,7481.4,7508.6,9391,14084729600,584
2025/10/9 11:00:00,IM2512,7508,7519,7484,7497.6,7377,11069550680,-184
2025/10/9 11:15:00,IM2512,7498.2,7512.6,7493.2,7509.4,5153,7733800280,330
2025/10/9 11:30:00,IM2512,7511.8,7515,7491.8,7497.8,4425,6640375520,639
2025/10/9 13:00:00,IM2512,7496.2,7496.8,7496.2,7496.8,32,47974960,-1
2025/10/9 13:15:00,IM2512,7497.2,7499.2,7475.2,7485.8,6500,9733899920,589
2025/10/9 13:30:00,IM2512,7486,7490.4,7466.6,7486,5213,7795326120,634
2025/10/9 13:45:00,IM2512,7487.4,7494.4,7477,7477,3671,5497097120,740
2025/10/9 14:00:00,IM2512,7476.2,7489,7456.4,7486.2,7696,11501011000,1633
2025/10/9 14:15:00,IM2512,7485,7502.6,7477,7481.8,5525,8276203640,1217
2025/10/9 14:30:00,IM2512,7481,7492,7447.4,7455.8,7169,10703287880,1738
2025/10/9 14:45:00,IM2512,7455.8,7468,7454.2,7461.6,4891,7299102080,1399
2025/10/9 15:00:00,IM2512,7461,7468,7449.6,7449.6,7203,10744653160,1766
2025/10/10 9:30:00,IM2512,7415,7417.6,7415,7417.4,595,882483920,-241
2025/10/10 9:45:00,IM2512,7416.8,7433,7353.2,7353.2,26824,39698311640,-12378
2025/10/10 10:00:00,IM2512,7352.6,7379.8,7339,7359.8,18742,27579709040,-3461
2025/10/10 10:15:00,IM2512,7357.8,7375.6,7340,7343,9092,13374526160,-296
2025/10/10 10:30:00,IM2512,7343.8,7373,7331.6,7373,8344,12267357720,263
2025/10/10 10:45:00,IM2512,7374,7397.8,7373,7374.4,8100,11962701680,689
2025/10/10 11:00:00,IM2512,7373.8,7391.6,7369.6,7375.8,4499,6640018080,130
2025/10/10 11:15:00,IM2512,7375.6,7379,7357.4,7361.2,5339,7867726520,783
2025/10/10 11:30:00,IM2512,7361.6,7367.2,7337,7349.2,6178,9084385760,679
2025/10/10 13:00:00,IM2512,7350.8,7350.8,7349,7349,37,54391480,7
2025/10/10 13:15:00,IM2512,7349,7366.6,7341.8,7361.2,5066,7453994640,1220
2025/10/10 13:30:00,IM2512,7360.8,7365,7349.8,7358.6,3472,5108998600,1031
2025/10/10 13:45:00,IM2512,7358,7371.4,7335,7345.4,6372,9368157960,1088
2025/10/10 14:00:00,IM2512,7346.4,7380.6,7342,7380.6,7364,10842634240,2320
2025/10/10 14:15:00,IM2512,7381.8,7386.8,7340.6,7340.6,7534,11087884440,2262
2025/10/10 14:30:00,IM2512,7341.4,7353,7330.2,7347.6,6980,10249484440,2363
2025/10/10 14:45:00,IM2512,7348.4,7364.4,7335.4,7342.4,5690,8364008080,2237
2025/10/10 15:00:00,IM2512,7342.4,7348.2,7327.2,7340.4,9841,14443336560,2355
1 datetime symbol open high low close volume turnover open_interest
2 2025/10/9 9:30:00 IM2512 7444 7445.2 7443.8 7445.2 406 604503760 -176
3 2025/10/9 9:45:00 IM2512 7448 7497.8 7430.8 7482.6 20461 30561185000 -6689
4 2025/10/9 10:00:00 IM2512 7482.6 7486.6 7413.2 7438.2 16226 24136810440 -3489
5 2025/10/9 10:15:00 IM2512 7436.6 7495.4 7425 7485 11496 17154464040 -1823
6 2025/10/9 10:30:00 IM2512 7485.4 7490 7472.2 7488.6 7543 11285654240 -324
7 2025/10/9 10:45:00 IM2512 7500 7517.8 7481.4 7508.6 9391 14084729600 584
8 2025/10/9 11:00:00 IM2512 7508 7519 7484 7497.6 7377 11069550680 -184
9 2025/10/9 11:15:00 IM2512 7498.2 7512.6 7493.2 7509.4 5153 7733800280 330
10 2025/10/9 11:30:00 IM2512 7511.8 7515 7491.8 7497.8 4425 6640375520 639
11 2025/10/9 13:00:00 IM2512 7496.2 7496.8 7496.2 7496.8 32 47974960 -1
12 2025/10/9 13:15:00 IM2512 7497.2 7499.2 7475.2 7485.8 6500 9733899920 589
13 2025/10/9 13:30:00 IM2512 7486 7490.4 7466.6 7486 5213 7795326120 634
14 2025/10/9 13:45:00 IM2512 7487.4 7494.4 7477 7477 3671 5497097120 740
15 2025/10/9 14:00:00 IM2512 7476.2 7489 7456.4 7486.2 7696 11501011000 1633
16 2025/10/9 14:15:00 IM2512 7485 7502.6 7477 7481.8 5525 8276203640 1217
17 2025/10/9 14:30:00 IM2512 7481 7492 7447.4 7455.8 7169 10703287880 1738
18 2025/10/9 14:45:00 IM2512 7455.8 7468 7454.2 7461.6 4891 7299102080 1399
19 2025/10/9 15:00:00 IM2512 7461 7468 7449.6 7449.6 7203 10744653160 1766
20 2025/10/10 9:30:00 IM2512 7415 7417.6 7415 7417.4 595 882483920 -241
21 2025/10/10 9:45:00 IM2512 7416.8 7433 7353.2 7353.2 26824 39698311640 -12378
22 2025/10/10 10:00:00 IM2512 7352.6 7379.8 7339 7359.8 18742 27579709040 -3461
23 2025/10/10 10:15:00 IM2512 7357.8 7375.6 7340 7343 9092 13374526160 -296
24 2025/10/10 10:30:00 IM2512 7343.8 7373 7331.6 7373 8344 12267357720 263
25 2025/10/10 10:45:00 IM2512 7374 7397.8 7373 7374.4 8100 11962701680 689
26 2025/10/10 11:00:00 IM2512 7373.8 7391.6 7369.6 7375.8 4499 6640018080 130
27 2025/10/10 11:15:00 IM2512 7375.6 7379 7357.4 7361.2 5339 7867726520 783
28 2025/10/10 11:30:00 IM2512 7361.6 7367.2 7337 7349.2 6178 9084385760 679
29 2025/10/10 13:00:00 IM2512 7350.8 7350.8 7349 7349 37 54391480 7
30 2025/10/10 13:15:00 IM2512 7349 7366.6 7341.8 7361.2 5066 7453994640 1220
31 2025/10/10 13:30:00 IM2512 7360.8 7365 7349.8 7358.6 3472 5108998600 1031
32 2025/10/10 13:45:00 IM2512 7358 7371.4 7335 7345.4 6372 9368157960 1088
33 2025/10/10 14:00:00 IM2512 7346.4 7380.6 7342 7380.6 7364 10842634240 2320
34 2025/10/10 14:15:00 IM2512 7381.8 7386.8 7340.6 7340.6 7534 11087884440 2262
35 2025/10/10 14:30:00 IM2512 7341.4 7353 7330.2 7347.6 6980 10249484440 2363
36 2025/10/10 14:45:00 IM2512 7348.4 7364.4 7335.4 7342.4 5690 8364008080 2237
37 2025/10/10 15:00:00 IM2512 7342.4 7348.2 7327.2 7340.4 9841 14443336560 2355

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2.数据下载与处理/ssquant_download/IM888_2025-10-01_2025-10-10_1m.csv Normal file
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datetime,symbol,open,high,low,close,volume,amount,openint,cumulative_openint,open_askp,open_bidp,close_askp,close_bidp,开仓,平仓,多开,空开,多平,空平,双开,双平,双换,B,S,未知
2025-10-09 09:30:00,IM2512,7444.0,7445.2,7443.8,7445.2,406,604503760,-176,183346,7445.0,7443.2,7448.0,7447.2,0,406,0,0,119,230,0,57,0,230,119,0
2025-10-09 09:45:00,IM2512,7448.0,7497.8,7430.8,7482.6,20461,30561185000,-6689,176657,7448.0,7447.2,7484.0,7482.6,2468,16620,1079,932,6738,7334,457,2548,261,8413,7670,1112
2025-10-09 10:00:00,IM2512,7482.6,7486.6,7413.2,7438.2,16226,24136810440,-3489,173168,7484.8,7482.6,7438.0,7435.6,3309,11270,1281,1356,4765,4298,672,2207,375,5579,6121,1272
2025-10-09 10:15:00,IM2512,7436.6,7495.4,7425.0,7485.0,11496,17154464040,-1823,171345,7436.8,7435.8,7486.2,7485.6,3312,6782,1154,1312,2567,2905,846,1310,322,4059,3879,1080
2025-10-09 10:30:00,IM2512,7485.4,7490.0,7472.2,7488.6,7543,11285654240,-324,171019,7486.4,7485.0,7488.8,7488.6,2875,3611,1184,1271,1454,1468,420,689,218,2652,2725,839
2025-10-09 10:45:00,IM2512,7500.0,7517.8,7481.4,7508.6,9391,14084729600,584,171653,7500.0,7498.8,7509.0,7508.2,4459,3507,1930,1822,1420,1590,707,497,389,3520,3242,1036
2025-10-09 11:00:00,IM2512,7508.0,7519.0,7484.0,7497.6,7377,11069550680,-184,171469,7508.8,7508.0,7498.0,7497.6,2836,3227,1194,1269,1396,1220,373,611,272,2414,2665,1042
2025-10-09 11:15:00,IM2512,7498.2,7512.6,7493.2,7509.4,5153,7733800280,330,171795,7498.8,7498.2,7510.0,7509.4,2393,1709,1180,899,626,763,314,320,224,1943,1525,827
2025-10-09 11:30:00,IM2512,7511.8,7515.0,7491.8,7497.8,4425,6640375520,639,172438,7511.8,7510.8,7497.8,7496.2,2351,1271,991,1046,554,554,314,163,184,1545,1600,619
2025-10-09 13:00:00,IM2512,7496.2,7496.8,7496.2,7496.8,32,47974960,-1,172437,7496.2,7495.6,7497.4,7496.8,0,8,0,0,8,0,0,0,0,0,8,24
2025-10-09 13:15:00,IM2512,7497.2,7499.2,7475.2,7485.8,6500,9733899920,589,173026,7498.6,7497.4,7486.4,7486.0,3293,2109,1341,1403,820,868,549,421,259,2209,2223,839
2025-10-09 13:30:00,IM2512,7486.0,7490.4,7466.6,7486.0,5213,7795326120,634,173660,7486.0,7485.4,7486.6,7486.0,2802,1490,1049,1349,604,712,404,174,156,1761,1953,765
2025-10-09 13:45:00,IM2512,7487.4,7494.4,7477.0,7477.0,3671,5497097120,740,174408,7488.0,7487.6,7476.8,7476.2,2076,864,783,958,361,366,335,137,132,1149,1319,599
2025-10-09 14:00:00,IM2512,7476.2,7489.0,7456.4,7486.2,7696,11501011000,1633,176036,7476.8,7476.2,7486.2,7485.6,4641,1882,1691,2203,647,891,747,344,194,2582,2850,979
2025-10-09 14:15:00,IM2512,7485.0,7502.6,7477.0,7481.8,5525,8276203640,1217,177254,7485.6,7485.2,7481.2,7481.0,3369,1164,1338,1537,476,489,494,199,191,1827,2013,801
2025-10-09 14:30:00,IM2512,7481.0,7492.0,7447.4,7455.8,7169,10703287880,1738,178996,7481.0,7480.8,7456.4,7455.8,4537,1580,1855,2105,789,530,577,261,153,2385,2894,899
2025-10-09 14:45:00,IM2512,7455.8,7468.0,7454.2,7461.6,4891,7299102080,1399,180390,7456.0,7454.6,7462.0,7460.4,3146,881,1400,1315,317,483,431,81,144,1883,1632,720
2025-10-09 15:00:00,IM2512,7461.0,7468.0,7449.6,7449.6,7203,10744653160,1766,182161,7461.8,7461.2,7450.6,7449.6,4603,1573,1749,2375,843,578,479,152,114,2327,3218,913
2025-10-10 09:30:00,IM2512,7415.0,7417.6,7415.0,7417.4,595,882483920,-241,181920,7417.4,7415.0,7416.8,7412.0,91,504,91,0,245,259,0,0,0,350,245,0
2025-10-10 09:45:00,IM2512,7416.8,7433.0,7353.2,7353.2,26824,39698311640,-12378,169542,7416.8,7415.6,7353.4,7353.2,1483,24554,602,488,11019,9562,393,3973,243,10164,11507,544
2025-10-10 10:00:00,IM2512,7352.6,7379.8,7339.0,7359.8,18742,27579709040,-3461,166081,7352.4,7352.0,7359.4,7358.0,4447,12800,1570,1977,5331,5334,900,2135,310,6904,7308,1185
2025-10-10 10:15:00,IM2512,7357.8,7375.6,7340.0,7343.0,9092,13374526160,-296,165785,7357.8,7357.0,7344.0,7343.0,3853,3967,1580,1685,1472,1646,588,849,321,3226,3157,951
2025-10-10 10:30:00,IM2512,7343.8,7373.0,7331.6,7373.0,8344,12267357720,263,166048,7343.8,7342.6,7373.4,7373.0,3821,3190,1545,1627,1183,1435,649,572,333,2980,2810,1000
2025-10-10 10:45:00,IM2512,7374.0,7397.8,7373.0,7374.4,8100,11962701680,689,166772,7374.4,7374.0,7374.2,7373.4,4123,2630,1941,1626,1072,1149,556,409,237,3090,2698,1110
2025-10-10 11:00:00,IM2512,7373.8,7391.6,7369.6,7375.8,4499,6640018080,130,166902,7374.6,7374.4,7376.4,7375.6,2022,1627,927,866,671,684,229,272,179,1611,1537,671
2025-10-10 11:15:00,IM2512,7375.6,7379.0,7357.4,7361.2,5339,7867726520,783,167685,7375.4,7375.2,7363.0,7361.2,2806,1619,1097,1319,821,518,390,280,183,1615,2140,731
2025-10-10 11:30:00,IM2512,7361.6,7367.2,7337.0,7349.2,6178,9084385760,679,168364,7362.8,7361.4,7350.6,7349.0,3068,1943,1295,1218,913,676,555,354,289,1971,2131,878
2025-10-10 13:00:00,IM2512,7350.8,7350.8,7349.0,7349.0,37,54391480,7,168371,7350.2,7349.2,7350.6,7349.0,12,25,12,0,25,0,0,0,0,12,25,0
2025-10-10 13:15:00,IM2512,7349.0,7366.6,7341.8,7361.2,5066,7453994640,1220,169591,7352.2,7349.0,7362.0,7361.2,3031,1103,1280,1195,415,507,556,181,193,1787,1610,739
2025-10-10 13:30:00,IM2512,7360.8,7365.0,7349.8,7358.6,3472,5108998600,1031,170622,7361.2,7360.8,7359.4,7358.6,2205,560,1068,785,245,206,352,109,167,1274,1030,540
2025-10-10 13:45:00,IM2512,7358.0,7371.4,7335.0,7345.4,6372,9368157960,1088,171730,7358.0,7357.4,7346.4,7345.2,3566,1729,1379,1719,798,697,468,234,205,2076,2517,872
2025-10-10 14:00:00,IM2512,7346.4,7380.6,7342.0,7380.6,7364,10842634240,2320,174050,7346.8,7345.6,7380.8,7380.6,5174,1160,2230,2152,413,612,792,135,217,2842,2565,813
2025-10-10 14:15:00,IM2512,7381.8,7386.8,7340.6,7340.6,7534,11087884440,2262,176312,7382.6,7381.8,7341.4,7340.4,5204,1365,2031,2125,638,479,1048,248,172,2510,2763,793
2025-10-10 14:30:00,IM2512,7341.4,7353.0,7330.2,7347.6,6980,10249484440,2363,178675,7341.8,7340.4,7348.4,7347.6,5028,1122,2187,2004,360,632,837,130,131,2819,2364,699
2025-10-10 14:45:00,IM2512,7348.4,7364.4,7335.4,7342.4,5690,8364008080,2237,180909,7349.8,7348.4,7343.6,7342.4,4179,659,1603,1952,338,258,624,63,163,1861,2290,689
2025-10-10 15:00:00,IM2512,7342.4,7348.2,7327.2,7340.4,9841,14443336560,2355,183267,7344.0,7343.2,7341.8,7340.6,6345,2260,2637,2915,1237,836,793,187,154,3473,4152,1082
1 datetime symbol open high low close volume amount openint cumulative_openint open_askp open_bidp close_askp close_bidp 开仓 平仓 多开 空开 多平 空平 双开 双平 双换 B S 未知
2 2025-10-09 09:30:00 IM2512 7444.0 7445.2 7443.8 7445.2 406 604503760 -176 183346 7445.0 7443.2 7448.0 7447.2 0 406 0 0 119 230 0 57 0 230 119 0
3 2025-10-09 09:45:00 IM2512 7448.0 7497.8 7430.8 7482.6 20461 30561185000 -6689 176657 7448.0 7447.2 7484.0 7482.6 2468 16620 1079 932 6738 7334 457 2548 261 8413 7670 1112
4 2025-10-09 10:00:00 IM2512 7482.6 7486.6 7413.2 7438.2 16226 24136810440 -3489 173168 7484.8 7482.6 7438.0 7435.6 3309 11270 1281 1356 4765 4298 672 2207 375 5579 6121 1272
5 2025-10-09 10:15:00 IM2512 7436.6 7495.4 7425.0 7485.0 11496 17154464040 -1823 171345 7436.8 7435.8 7486.2 7485.6 3312 6782 1154 1312 2567 2905 846 1310 322 4059 3879 1080
6 2025-10-09 10:30:00 IM2512 7485.4 7490.0 7472.2 7488.6 7543 11285654240 -324 171019 7486.4 7485.0 7488.8 7488.6 2875 3611 1184 1271 1454 1468 420 689 218 2652 2725 839
7 2025-10-09 10:45:00 IM2512 7500.0 7517.8 7481.4 7508.6 9391 14084729600 584 171653 7500.0 7498.8 7509.0 7508.2 4459 3507 1930 1822 1420 1590 707 497 389 3520 3242 1036
8 2025-10-09 11:00:00 IM2512 7508.0 7519.0 7484.0 7497.6 7377 11069550680 -184 171469 7508.8 7508.0 7498.0 7497.6 2836 3227 1194 1269 1396 1220 373 611 272 2414 2665 1042
9 2025-10-09 11:15:00 IM2512 7498.2 7512.6 7493.2 7509.4 5153 7733800280 330 171795 7498.8 7498.2 7510.0 7509.4 2393 1709 1180 899 626 763 314 320 224 1943 1525 827
10 2025-10-09 11:30:00 IM2512 7511.8 7515.0 7491.8 7497.8 4425 6640375520 639 172438 7511.8 7510.8 7497.8 7496.2 2351 1271 991 1046 554 554 314 163 184 1545 1600 619
11 2025-10-09 13:00:00 IM2512 7496.2 7496.8 7496.2 7496.8 32 47974960 -1 172437 7496.2 7495.6 7497.4 7496.8 0 8 0 0 8 0 0 0 0 0 8 24
12 2025-10-09 13:15:00 IM2512 7497.2 7499.2 7475.2 7485.8 6500 9733899920 589 173026 7498.6 7497.4 7486.4 7486.0 3293 2109 1341 1403 820 868 549 421 259 2209 2223 839
13 2025-10-09 13:30:00 IM2512 7486.0 7490.4 7466.6 7486.0 5213 7795326120 634 173660 7486.0 7485.4 7486.6 7486.0 2802 1490 1049 1349 604 712 404 174 156 1761 1953 765
14 2025-10-09 13:45:00 IM2512 7487.4 7494.4 7477.0 7477.0 3671 5497097120 740 174408 7488.0 7487.6 7476.8 7476.2 2076 864 783 958 361 366 335 137 132 1149 1319 599
15 2025-10-09 14:00:00 IM2512 7476.2 7489.0 7456.4 7486.2 7696 11501011000 1633 176036 7476.8 7476.2 7486.2 7485.6 4641 1882 1691 2203 647 891 747 344 194 2582 2850 979
16 2025-10-09 14:15:00 IM2512 7485.0 7502.6 7477.0 7481.8 5525 8276203640 1217 177254 7485.6 7485.2 7481.2 7481.0 3369 1164 1338 1537 476 489 494 199 191 1827 2013 801
17 2025-10-09 14:30:00 IM2512 7481.0 7492.0 7447.4 7455.8 7169 10703287880 1738 178996 7481.0 7480.8 7456.4 7455.8 4537 1580 1855 2105 789 530 577 261 153 2385 2894 899
18 2025-10-09 14:45:00 IM2512 7455.8 7468.0 7454.2 7461.6 4891 7299102080 1399 180390 7456.0 7454.6 7462.0 7460.4 3146 881 1400 1315 317 483 431 81 144 1883 1632 720
19 2025-10-09 15:00:00 IM2512 7461.0 7468.0 7449.6 7449.6 7203 10744653160 1766 182161 7461.8 7461.2 7450.6 7449.6 4603 1573 1749 2375 843 578 479 152 114 2327 3218 913
20 2025-10-10 09:30:00 IM2512 7415.0 7417.6 7415.0 7417.4 595 882483920 -241 181920 7417.4 7415.0 7416.8 7412.0 91 504 91 0 245 259 0 0 0 350 245 0
21 2025-10-10 09:45:00 IM2512 7416.8 7433.0 7353.2 7353.2 26824 39698311640 -12378 169542 7416.8 7415.6 7353.4 7353.2 1483 24554 602 488 11019 9562 393 3973 243 10164 11507 544
22 2025-10-10 10:00:00 IM2512 7352.6 7379.8 7339.0 7359.8 18742 27579709040 -3461 166081 7352.4 7352.0 7359.4 7358.0 4447 12800 1570 1977 5331 5334 900 2135 310 6904 7308 1185
23 2025-10-10 10:15:00 IM2512 7357.8 7375.6 7340.0 7343.0 9092 13374526160 -296 165785 7357.8 7357.0 7344.0 7343.0 3853 3967 1580 1685 1472 1646 588 849 321 3226 3157 951
24 2025-10-10 10:30:00 IM2512 7343.8 7373.0 7331.6 7373.0 8344 12267357720 263 166048 7343.8 7342.6 7373.4 7373.0 3821 3190 1545 1627 1183 1435 649 572 333 2980 2810 1000
25 2025-10-10 10:45:00 IM2512 7374.0 7397.8 7373.0 7374.4 8100 11962701680 689 166772 7374.4 7374.0 7374.2 7373.4 4123 2630 1941 1626 1072 1149 556 409 237 3090 2698 1110
26 2025-10-10 11:00:00 IM2512 7373.8 7391.6 7369.6 7375.8 4499 6640018080 130 166902 7374.6 7374.4 7376.4 7375.6 2022 1627 927 866 671 684 229 272 179 1611 1537 671
27 2025-10-10 11:15:00 IM2512 7375.6 7379.0 7357.4 7361.2 5339 7867726520 783 167685 7375.4 7375.2 7363.0 7361.2 2806 1619 1097 1319 821 518 390 280 183 1615 2140 731
28 2025-10-10 11:30:00 IM2512 7361.6 7367.2 7337.0 7349.2 6178 9084385760 679 168364 7362.8 7361.4 7350.6 7349.0 3068 1943 1295 1218 913 676 555 354 289 1971 2131 878
29 2025-10-10 13:00:00 IM2512 7350.8 7350.8 7349.0 7349.0 37 54391480 7 168371 7350.2 7349.2 7350.6 7349.0 12 25 12 0 25 0 0 0 0 12 25 0
30 2025-10-10 13:15:00 IM2512 7349.0 7366.6 7341.8 7361.2 5066 7453994640 1220 169591 7352.2 7349.0 7362.0 7361.2 3031 1103 1280 1195 415 507 556 181 193 1787 1610 739
31 2025-10-10 13:30:00 IM2512 7360.8 7365.0 7349.8 7358.6 3472 5108998600 1031 170622 7361.2 7360.8 7359.4 7358.6 2205 560 1068 785 245 206 352 109 167 1274 1030 540
32 2025-10-10 13:45:00 IM2512 7358.0 7371.4 7335.0 7345.4 6372 9368157960 1088 171730 7358.0 7357.4 7346.4 7345.2 3566 1729 1379 1719 798 697 468 234 205 2076 2517 872
33 2025-10-10 14:00:00 IM2512 7346.4 7380.6 7342.0 7380.6 7364 10842634240 2320 174050 7346.8 7345.6 7380.8 7380.6 5174 1160 2230 2152 413 612 792 135 217 2842 2565 813
34 2025-10-10 14:15:00 IM2512 7381.8 7386.8 7340.6 7340.6 7534 11087884440 2262 176312 7382.6 7381.8 7341.4 7340.4 5204 1365 2031 2125 638 479 1048 248 172 2510 2763 793
35 2025-10-10 14:30:00 IM2512 7341.4 7353.0 7330.2 7347.6 6980 10249484440 2363 178675 7341.8 7340.4 7348.4 7347.6 5028 1122 2187 2004 360 632 837 130 131 2819 2364 699
36 2025-10-10 14:45:00 IM2512 7348.4 7364.4 7335.4 7342.4 5690 8364008080 2237 180909 7349.8 7348.4 7343.6 7342.4 4179 659 1603 1952 338 258 624 63 163 1861 2290 689
37 2025-10-10 15:00:00 IM2512 7342.4 7348.2 7327.2 7340.4 9841 14443336560 2355 183267 7344.0 7343.2 7341.8 7340.6 6345 2260 2637 2915 1237 836 793 187 154 3473 4152 1082

177
2.数据下载与处理/ssquant_download/ssquant_download.ipynb
View File

@@ -86,9 +86,21 @@
},
{
"cell_type": "code",
"execution_count": 1,
"execution_count": 3,
"metadata": {},
"outputs": [],
"outputs": [
{
"ename": "ModuleNotFoundError",
"evalue": "No module named 'ssquant.SQDATA'",
"output_type": "error",
"traceback": [
"\u001b[31m---------------------------------------------------------------------------\u001b[39m",
"\u001b[31mModuleNotFoundError\u001b[39m Traceback (most recent call last)",
"\u001b[36mCell\u001b[39m\u001b[36m \u001b[39m\u001b[32mIn[3]\u001b[39m\u001b[32m, line 1\u001b[39m\n\u001b[32m----> \u001b[39m\u001b[32m1\u001b[39m \u001b[38;5;28;01mfrom\u001b[39;00m\u001b[38;5;250m \u001b[39m\u001b[34;01mssquant\u001b[39;00m\u001b[34;01m.\u001b[39;00m\u001b[34;01mSQDATA\u001b[39;00m\u001b[38;5;250m \u001b[39m\u001b[38;5;28;01mimport\u001b[39;00m TakeData\n",
"\u001b[31mModuleNotFoundError\u001b[39m: No module named 'ssquant.SQDATA'"
]
}
],
"source": [
"from ssquant.SQDATA import TakeData"
]
@@ -130,164 +142,9 @@
},
{
"cell_type": "code",
"execution_count": 49,
"execution_count": null,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"头部文件为：--------------------\n"
]
},
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>datetime</th>\n",
" <th>symbol</th>\n",
" <th>open</th>\n",
" <th>high</th>\n",
" <th>low</th>\n",
" <th>close</th>\n",
" <th>volume</th>\n",
" <th>amount</th>\n",
" <th>cumulative_openint</th>\n",
" <th>openint</th>\n",
" <th>open_bidp</th>\n",
" <th>open_askp</th>\n",
" <th>close_bidp</th>\n",
" <th>close_askp</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2019-01-02 09:01:00</td>\n",
" <td>rb1905</td>\n",
" <td>3399</td>\n",
" <td>3405</td>\n",
" <td>3389</td>\n",
" <td>3401</td>\n",
" <td>69562</td>\n",
" <td>2362607160</td>\n",
" <td>2383714</td>\n",
" <td>16864</td>\n",
" <td>3399.0</td>\n",
" <td>3400.0</td>\n",
" <td>3400.0</td>\n",
" <td>3401.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2019-01-02 09:02:00</td>\n",
" <td>rb1905</td>\n",
" <td>3401</td>\n",
" <td>3430</td>\n",
" <td>3401</td>\n",
" <td>3410</td>\n",
" <td>88696</td>\n",
" <td>3034283200</td>\n",
" <td>2399530</td>\n",
" <td>-12248</td>\n",
" <td>3401.0</td>\n",
" <td>3402.0</td>\n",
" <td>3409.0</td>\n",
" <td>3410.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2019-01-02 09:03:00</td>\n",
" <td>rb1905</td>\n",
" <td>3409</td>\n",
" <td>3414</td>\n",
" <td>3409</td>\n",
" <td>3412</td>\n",
" <td>22828</td>\n",
" <td>778740580</td>\n",
" <td>2387356</td>\n",
" <td>1180</td>\n",
" <td>3409.0</td>\n",
" <td>3410.0</td>\n",
" <td>3411.0</td>\n",
" <td>3412.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2019-01-02 09:04:00</td>\n",
" <td>rb1905</td>\n",
" <td>3412</td>\n",
" <td>3413</td>\n",
" <td>3403</td>\n",
" <td>3404</td>\n",
" <td>17378</td>\n",
" <td>592413220</td>\n",
" <td>2388158</td>\n",
" <td>54</td>\n",
" <td>3411.0</td>\n",
" <td>3412.0</td>\n",
" <td>3404.0</td>\n",
" <td>3405.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2019-01-02 09:05:00</td>\n",
" <td>rb1905</td>\n",
" <td>3405</td>\n",
" <td>3409</td>\n",
" <td>3405</td>\n",
" <td>3405</td>\n",
" <td>15770</td>\n",
" <td>537276980</td>\n",
" <td>2388190</td>\n",
" <td>1674</td>\n",
" <td>3405.0</td>\n",
" <td>3406.0</td>\n",
" <td>3405.0</td>\n",
" <td>3406.0</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" datetime symbol open high low close volume amount \\\n",
"0 2019-01-02 09:01:00 rb1905 3399 3405 3389 3401 69562 2362607160 \n",
"1 2019-01-02 09:02:00 rb1905 3401 3430 3401 3410 88696 3034283200 \n",
"2 2019-01-02 09:03:00 rb1905 3409 3414 3409 3412 22828 778740580 \n",
"3 2019-01-02 09:04:00 rb1905 3412 3413 3403 3404 17378 592413220 \n",
"4 2019-01-02 09:05:00 rb1905 3405 3409 3405 3405 15770 537276980 \n",
"\n",
" cumulative_openint openint open_bidp open_askp close_bidp close_askp \n",
"0 2383714 16864 3399.0 3400.0 3400.0 3401.0 \n",
"1 2399530 -12248 3401.0 3402.0 3409.0 3410.0 \n",
"2 2387356 1180 3409.0 3410.0 3411.0 3412.0 \n",
"3 2388158 54 3411.0 3412.0 3404.0 3405.0 \n",
"4 2388190 1674 3405.0 3406.0 3405.0 3406.0 "
]
},
"execution_count": 49,
"metadata": {},
"output_type": "execute_result"
}
],
"outputs": [],
"source": [
"print('头部文件为：--------------------')\n",
"data.head()"
@@ -363,7 +220,7 @@
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.10.9"
"version": "3.13.2"
}
},
"nbformat": 4,

109
2.数据下载与处理/ssquant_download/专属数据库请求数据API示例.py Normal file
View File

@@ -0,0 +1,109 @@
import requests
import pandas as pd
from datetime import datetime, timedelta
from io import StringIO
def get_futures_data(symbol, start_date, end_date, kline_period='1m', adjust_type='0', depth='no'):
"""
获取期货数据
"""
# 构建请求参数
params = {
'username': username,
'password': password,
'symbol': symbol,
'start_date': start_date,
'end_date': end_date,
'kline_period': kline_period,
'adjust_type': adjust_type
}
if depth:
params['Depth'] = depth
print("请求参数：", params) # 打印请求参数，便于调试
try:
# 发送请求，设置超时时间为30秒
response = requests.get(base_url, params=params, timeout=300)
# 检查响应状态
if response.status_code == 200:
# 检查响应是否为JSON格式
if 'application/json' in response.headers.get('Content-Type', ''):
data = pd.read_json(StringIO(response.text), orient='records')
data=data.reset_index()
#列名排序
if depth=='yes':
columns=['datetime','symbol','open','high','low','close','volume','amount','openint','cumulative_openint','open_askp','open_bidp','close_askp','close_bidp','开仓','平仓','多开','空开','多平','空平','双开','双平','双换','B','S','未知']
else:
columns=['datetime','symbol','open','high','low','close','volume','amount','openint','cumulative_openint','open_askp','open_bidp','close_askp','close_bidp']
# 重新排列列名
data = data.reindex(columns=columns)
data['datetime'] = pd.to_datetime(data['datetime'])
# 更改时间显示的格式，例如 "YYYY-MM-DD HH:MM:SS"
# 将 UTC 时间转换为本地时区，例如 'Asia/Shanghai'
data['datetime'] = data['datetime'].dt.tz_convert('Asia/Shanghai')
data['datetime'] = data['datetime'].dt.strftime('%Y-%m-%d %H:%M:%S')
return data
else:
print("响应不是JSON格式：", response.text[:1000])
return None
elif response.status_code == 401:
print("认证失败：用户名和密码不能为空")
return None
elif response.status_code == 402:
print("认证失败：账号不存在，请检查账号后重新输入......如还有问题联系管理员微信：viquant01")
return None
elif response.status_code == 405:
print("认证失败：账号已过期,请联系管理员微信：viquant01")
return None
elif response.status_code == 406:
print("认证失败：密码错误,请检查密码后重新输入......如还有问题联系管理员微信：viquant01")
return None
else:
print(f"请求失败，状态码：{response.status_code}")
print(f"错误信息：{response.json().get('error', '未知错误')}")
return None
except Exception as e:
print(f"发生错误：{e}")
print("请求URL：", response.url)
print("响应内容：", response.text[:1000]) # 打印前1000个字符
return None
# 使用示例
if __name__ == "__main__":
# API配置
base_url = 'http://kanpan789.com:8086/ftdata'
# 用户认证信息
username = '240884432@qq.com' # 替换为你的手机号或者邮箱
password = 'Zj123!@#' # 替换为你的密码
# 示例参数
symbol = "IM888" #
start_date = "2025-10-01" #start_date ： 开始时间
end_date = "2025-10-10" #end_date(包含当天)：结束时间
kline_period="15M" #周期:1M..5M..NM(分钟),1D(天),1W(周),1Y(月)
adjust_type= 0 #复权开关 ：0(不复权)1(后复权)
depth='yes' # 获取交易数据统计: yes(获取)，no（不获取）
# 获取K线数据
df_data = get_futures_data(
symbol=symbol,
start_date=start_date,
end_date=end_date,
kline_period=kline_period,
adjust_type=adjust_type,
depth=depth
)
if df_data is not None:
print("\nK线数据示例：")
print(df_data)
print(f"\n数据条数：{len(df_data)}")
# 保存到CSV文件（可选）
csv_filename = f"{symbol}_{start_date}_{end_date}_1m.csv"
df_data.to_csv(csv_filename, index=False)
print(f"\n数据已保存到文件：{csv_filename}")

20
2.数据下载与处理/ssquant_download/松鼠数据下载脚本.ipynb
View File

@@ -88,10 +88,22 @@
},
{
"cell_type": "code",
"execution_count": 9,
"execution_count": 1,
"id": "65b4b7aa",
"metadata": {},
"outputs": [],
"outputs": [
{
"ename": "ModuleNotFoundError",
"evalue": "No module named 'ssquant.SQDATA'",
"output_type": "error",
"traceback": [
"\u001b[31m---------------------------------------------------------------------------\u001b[39m",
"\u001b[31mModuleNotFoundError\u001b[39m Traceback (most recent call last)",
"\u001b[36mCell\u001b[39m\u001b[36m \u001b[39m\u001b[32mIn[1]\u001b[39m\u001b[32m, line 1\u001b[39m\n\u001b[32m----> \u001b[39m\u001b[32m1\u001b[39m \u001b[38;5;28;01mfrom\u001b[39;00m\u001b[38;5;250m \u001b[39m\u001b[34;01mssquant\u001b[39;00m\u001b[34;01m.\u001b[39;00m\u001b[34;01mSQDATA\u001b[39;00m\u001b[38;5;250m \u001b[39m\u001b[38;5;28;01mimport\u001b[39;00m TakeData\n\u001b[32m 2\u001b[39m \u001b[38;5;28;01mimport\u001b[39;00m\u001b[38;5;250m \u001b[39m\u001b[34;01mpandas\u001b[39;00m\u001b[38;5;250m \u001b[39m\u001b[38;5;28;01mas\u001b[39;00m\u001b[38;5;250m \u001b[39m\u001b[34;01mpd\u001b[39;00m\n",
"\u001b[31mModuleNotFoundError\u001b[39m: No module named 'ssquant.SQDATA'"
]
}
],
"source": [
"from ssquant.SQDATA import TakeData\n",
"import pandas as pd"
@@ -227,7 +239,7 @@
],
"metadata": {
"kernelspec": {
"display_name": "Python 3 (ipykernel)",
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
@@ -241,7 +253,7 @@
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.10.9"
"version": "3.13.2"
}
},
"nbformat": 4,