增加交易策略、交易指标、量化库代码等文件夹
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92
5.课程代码/2.Option_spread_strategy/使用文档/25/test.ipynb
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92
5.课程代码/2.Option_spread_strategy/使用文档/25/test.ipynb
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{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {},
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"outputs": [],
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"source": [
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"from update_etf_data import *"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"xtquant历史合约信息下载完成\n"
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]
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}
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],
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"source": [
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"update_history_data()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"合约信息更新成功 446\n"
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]
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}
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],
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"source": [
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"update_contract_data(\"深证期权\")"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"合约信息更新成功 2681\n"
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]
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}
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],
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"source": [
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"update_contract_data(\"过期深证期权\")"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": []
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3 (ipykernel)",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.10.9"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 4
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}
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186
5.课程代码/2.Option_spread_strategy/使用文档/25/update_etf_data.py
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186
5.课程代码/2.Option_spread_strategy/使用文档/25/update_etf_data.py
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from multiprocessing import Process
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from datetime import datetime
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from vnpy.trader.database import BarOverview
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from vnpy.trader.datafeed import get_datafeed
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from vnpy.trader.object import ContractData, BarData, HistoryRequest
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from vnpy.trader.constant import Exchange, Product, OptionType, Interval
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from vnpy.trader.setting import SETTINGS
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from elite_database import EliteDatabase
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# 配置迅投研数据服务
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SETTINGS["datafeed.name"] = "xt"
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SETTINGS["datafeed.username"] = "token"
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SETTINGS["datafeed.password"] = "37b023f6623f9ddcb474dd210c70582d1b1e67d2"
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# 交易所映射关系
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EXCHANGE_XT2VT = {
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"SH": Exchange.SSE,
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"SZ": Exchange.SZSE,
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"BJ": Exchange.BSE,
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"SF": Exchange.SHFE,
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"IF": Exchange.CFFEX,
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"INE": Exchange.INE,
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"DF": Exchange.DCE,
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"ZF": Exchange.CZCE,
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"GF": Exchange.GFEX
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}
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def update_history_data() -> None:
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"""更新历史合约信息"""
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# 在子进程中加载xtquant
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from xtquant.xtdata import download_history_data
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# 初始化数据服务
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datafeed = get_datafeed()
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datafeed.init()
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# 下载历史合约信息
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download_history_data("", "historycontract")
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print("xtquant历史合约信息下载完成")
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def update_contract_data(sector_name: str) -> None:
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"""更新合约数据"""
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# 在子进程中加载xtquant
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from xtquant.xtdata import (
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get_stock_list_in_sector,
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get_instrument_detail
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)
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# 初始化数据服务
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datafeed = get_datafeed()
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datafeed.init()
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# 查询历史合约代码
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vt_symbols: list[str] = get_stock_list_in_sector(sector_name)
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# 遍历列表查询合约信息
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contracts: list[ContractData] = []
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for xt_symbol in vt_symbols:
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# 拆分XT代码
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symbol, xt_exchange = xt_symbol.split(".")
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# 筛选期权合约合约（ETF期权代码为8位）
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if len(symbol) == 8:
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data: dict = get_instrument_detail(xt_symbol, True)
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name: str = data["InstrumentName"]
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if "购" in name:
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option_type = OptionType.CALL
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elif "沽" in name:
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option_type = OptionType.PUT
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else:
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continue
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contract: ContractData = ContractData(
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symbol=data["InstrumentID"],
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exchange=EXCHANGE_XT2VT[xt_exchange.replace("O", "")],
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name=data["InstrumentName"],
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product=Product.OPTION,
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size=data["VolumeMultiple"],
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pricetick=data["PriceTick"],
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min_volume=data["MinLimitOrderVolume"],
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option_strike=data["ExtendInfo"]["OptExercisePrice"],
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option_listed=datetime.strptime(data["OpenDate"], "%Y%m%d"),
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option_expiry=datetime.strptime(data["ExpireDate"], "%Y%m%d"),
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option_portfolio=data["ProductID"],
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option_index=str(data["ExtendInfo"]["OptExercisePrice"]),
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option_type=option_type,
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gateway_name="XT"
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)
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contracts.append(contract)
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# 保存合约信息到数据库
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database: EliteDatabase = EliteDatabase()
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database.save_contract_data(contracts)
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print("合约信息更新成功", len(contracts))
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def update_bar_data() -> None:
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"""更新K线数据"""
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# 初始化数据服务
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datafeed = get_datafeed()
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datafeed.init()
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# 获取当前时间戳
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now: datetime = datetime.now()
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# 获取合约信息
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database: EliteDatabase = EliteDatabase()
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contracts: list[ContractData] = database.load_contract_data()
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# 获取数据汇总
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data: list[BarOverview] = database.get_bar_overview()
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overviews: dict[str, BarOverview] = {}
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for o in data:
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# 只保留分钟线数据
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if o.interval != Interval.MINUTE:
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continue
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vt_symbol: str = f"{o.symbol}.{o.exchange.value}"
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overviews[vt_symbol] = o
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# 遍历所有合约信息
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for contract in contracts:
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# 如果没有到期时间，则跳过
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if not contract.option_expiry:
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continue
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# 查询数据汇总
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overview: BarOverview = overviews.get(contract.vt_symbol, None)
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# 如果已经到期，则跳过
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if overview and contract.option_expiry < now:
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continue
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# 初始化查询开始的时间
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start: datetime = datetime(2018, 1, 1)
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# 实现增量查询
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if overview:
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start = overview.end
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# 执行数据查询和更新入库
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req: HistoryRequest = HistoryRequest(
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symbol=contract.symbol,
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exchange=contract.exchange,
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start=start,
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end=datetime.now(),
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interval=Interval.MINUTE
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)
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bars: list[BarData] = datafeed.query_bar_history(req)
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if bars:
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database.save_bar_data(bars)
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start_dt: datetime = bars[0].datetime
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end_dt: datetime = bars[-1].datetime
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msg: str = f"{contract.vt_symbol}数据更新成功，{start_dt} - {end_dt}"
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print(msg)
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if __name__ == "__main__":
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# 使用子进程更新历史合约信息
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process: Process = Process(target=update_history_data)
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process.start()
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process.join() # 等待子进程执行完成
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# 更新合约信息
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update_contract_data("上证期权")
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update_contract_data("过期上证期权")
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update_contract_data("深证期权")
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update_contract_data("过期深证期权")
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# 更新历史数据
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update_bar_data()
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