增加交易策略、交易指标、量化库代码等文件夹

5.课程代码/2.Option_spread_strategy/使用文档/26/get_history_sector.py

@@ -0,0 +1,102 @@
+#encoding:gbk
+
+import re
+
+def init(C):
+
+  option_code_list1 = get_option_code(C,"IF",data_type = 0) # 获取中金所当前可交易期权合约
+
+  option_code_list2 = get_option_code(C,"SHO",data_type = 1) # 获取上交所已退市可交易期权合约
+  option_code_list3 = get_option_code(C,"IF",data_type = 2) # 获取 中金所 所有期权（包含历史）合约
+
+  print(option_code_list1[:5])
+  print("="*20)
+  print(option_code_list2[:5])
+  print("="*20)
+  print(option_code_list3[:5])
+
+  # 可通过C.get_option_detail_data()查看合约具体信息
+
+def hanldbar(C):
+  return
+
+def get_option_code(C,market,data_type = 0):
+
+    '''
+
+    ToDo:取出指定market的期权合约
+
+    Args:
+        market: 目标市场，比如中金所填 IF 
+
+    data_type: 返回数据范围，可返回已退市合约，默认仅返回当前
+
+        0: 仅当前
+        1: 仅历史
+        2: 历史 + 当前
+    
+    '''
+    _history_sector_dict = {
+        "IF":"过期中金所",
+        "SF":"过期上期所",
+        "DF":"过期大商所",
+        "ZF":"过期郑商所",
+        "INE":"过期能源中心",
+        "SHO":"过期上证期权",
+        "SZO":"过期深证期权",
+    }
+
+    # _now_secotr_dict = {
+    #     "IF":"中金所",
+    #     "SF":"上期所",
+    #     "DF":"大商所",
+    #     "ZF":"郑商所",
+    #     "INE":"能源中心",
+    #     "SHO":"上证期权",
+    #     "SZO":"深证期权",
+    # }
+
+    _sector = _history_sector_dict.get(market)
+    # _now_sector = _now_secotr_dict.get(market)
+    if _sector == None:
+        raise KeyError(f"不存在该市场:{market}")
+    _now_sector = _sector[2:]
+    
+    
+    # 过期上证和过期深证有专门的板块，不需要处理
+    if market == "SHO" or market == "SZO":
+        if data_type == 0:
+            _list = C.get_stock_list_in_sector(_now_sector)
+        elif data_type == 1:
+            _list = C.get_stock_list_in_sector(_sector)
+        elif data_type == 2:
+            _list = C.get_stock_list_in_sector(_sector) + C.get_stock_list_in_sector(_now_sector)
+        else:
+            raise KeyError(f"data_type参数错误:{data_type}")
+        return _list
+        
+    # 期货期权需要额外处理
+    if data_type == 0:
+        all_list = C.get_stock_list_in_sector(_now_sector)
+    elif data_type == 1:
+        all_list = C.get_stock_list_in_sector(_sector)
+    elif data_type == 2:
+        all_list = C.get_stock_list_in_sector(_sector) + C.get_stock_list_in_sector(_now_sector)
+    else:
+        raise KeyError(f"data_type参数错误:{data_type}")
+    
+    _list = []
+    pattern1 = r'^[A-Z]{2}\d{4}-[A-Z]-\d{4}\.[A-Z]+$'
+    pattern2 = r'^[a-zA-Z]+\d+[a-zA-Z]\d+\.[A-Z]+$'
+    pattern3 = r'^[a-zA-Z]+\d+-[a-zA-Z]-\d+\.[A-Z]+$'
+    for i in all_list:
+        if re.match(pattern1,i):
+            _list.append(i)
+        elif re.match(pattern2,i):
+            _list.append(i)
+        elif re.match(pattern3,i):
+            _list.append(i)
+    # _list =[i for i in all_list if re.match(pattern, i)]
+    return _list
+
+

5.课程代码/2.Option_spread_strategy/使用文档/26/update_commodity_data.py

@@ -0,0 +1,194 @@
+from multiprocessing import Process
+from datetime import datetime
+
+from vnpy.trader.database import BarOverview
+from vnpy.trader.datafeed import get_datafeed
+from vnpy.trader.object import ContractData, BarData, HistoryRequest
+from vnpy.trader.constant import Exchange, Product, OptionType, Interval
+from vnpy.trader.setting import SETTINGS
+
+from elite_database import EliteDatabase
+
+
+# 配置迅投研数据服务
+SETTINGS["datafeed.name"] = "xt"
+SETTINGS["datafeed.username"] = "token"
+SETTINGS["datafeed.password"] = "4aff6f3b0dcfc990ec9476213ba784e17c34e757"
+
+
+# 交易所映射关系
+EXCHANGE_XT2VT = {
+    "SH": Exchange.SSE,
+    "SZ": Exchange.SZSE,
+    "BJ": Exchange.BSE,
+    "SF": Exchange.SHFE,
+    "IF": Exchange.CFFEX,
+    "INE": Exchange.INE,
+    "DF": Exchange.DCE,
+    "ZF": Exchange.CZCE,
+    "GF": Exchange.GFEX
+}
+
+
+def update_history_data() -> None:
+    """更新历史合约信息"""
+    # 在子进程中加载xtquant
+    from xtquant.xtdata import download_history_data
+
+    # 初始化数据服务
+    datafeed = get_datafeed()
+    datafeed.init()
+
+    # 下载历史合约信息
+    download_history_data("", "historycontract")
+
+    print("xtquant历史合约信息下载完成")
+
+
+def update_contract_data(sector_name: str) -> None:
+    """更新合约数据"""
+    # 在子进程中加载xtquant
+    from xtquant.xtdata import (
+        get_stock_list_in_sector,
+        get_instrument_detail
+    )
+
+    # 初始化数据服务
+    datafeed = get_datafeed()
+    datafeed.init()
+
+    # 查询交易所历史合约代码
+    vt_symbols: list[str] = get_stock_list_in_sector(sector_name)
+
+    # 遍历列表查询合约信息
+    contracts: list[ContractData] = []
+
+    for xt_symbol in vt_symbols:
+        # 筛选期权合约合约
+        data: dict = get_instrument_detail(xt_symbol, True)
+        option_strike: float = data["ExtendInfo"]["OptExercisePrice"]
+        if not option_strike:
+            continue
+
+        # 拆分XT代码
+        symbol, xt_exchange = xt_symbol.split(".")
+
+        # 移除产品前缀
+        for ix, w in enumerate(symbol):
+            if w.isdigit():
+                break
+
+        suffix: str = symbol[ix:]
+
+        # 判断期权类型
+        if "C" in suffix:
+            option_type = OptionType.CALL
+        elif "P" in suffix:
+            option_type = OptionType.PUT
+        else:
+            continue
+
+        contract: ContractData = ContractData(
+            symbol=data["InstrumentID"],
+            exchange=EXCHANGE_XT2VT[xt_exchange.replace("O", "")],
+            name=data["InstrumentName"],
+            product=Product.OPTION,
+            size=data["VolumeMultiple"],
+            pricetick=data["PriceTick"],
+            min_volume=data["MinLimitOrderVolume"],
+            option_strike=data["ExtendInfo"]["OptExercisePrice"],
+            option_listed=datetime.strptime(data["OpenDate"], "%Y%m%d"),
+            option_expiry=datetime.strptime(data["ExpireDate"], "%Y%m%d"),
+            option_portfolio=data["ProductID"],
+            option_index=str(data["ExtendInfo"]["OptExercisePrice"]),
+            option_type=option_type,
+            gateway_name="XT"
+        )
+        contracts.append(contract)
+
+    # 保存合约信息到数据库
+    database: EliteDatabase = EliteDatabase()
+    database.save_contract_data(contracts)
+
+    print("合约信息更新成功", len(contracts))
+
+    return contracts
+
+
+def update_bar_data() -> None:
+    """更新K线数据"""
+    # 初始化数据服务
+    datafeed = get_datafeed()
+    datafeed.init()
+
+    # 获取当前时间戳
+    now: datetime = datetime.now()
+
+    # 获取合约信息
+    database: EliteDatabase = EliteDatabase()
+    contracts: list[ContractData] = database.load_contract_data()
+
+    # 获取数据汇总
+    data: list[BarOverview] = database.get_bar_overview()
+
+    overviews: dict[str, BarOverview] = {}
+    for o in data:
+        # 只保留分钟线数据
+        if o.interval != Interval.MINUTE:
+            continue
+
+        vt_symbol: str = f"{o.symbol}.{o.exchange.value}"
+        overviews[vt_symbol] = o
+
+    # 遍历所有合约信息
+    for contract in contracts:
+        # 如果没有到期时间，则跳过
+        if not contract.option_expiry:
+            continue
+
+        # 查询数据汇总
+        overview: BarOverview = overviews.get(contract.vt_symbol, None)
+
+        # 如果已经到期，则跳过
+        if overview and contract.option_expiry < now:
+            continue
+
+        # 初始化查询开始的时间
+        start: datetime = datetime(2017, 1, 1)
+
+        # 实现增量查询
+        if overview:
+            start = overview.end
+
+        # 执行数据查询和更新入库
+        req: HistoryRequest = HistoryRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            start=start,
+            end=datetime.now(),
+            interval=Interval.MINUTE
+        )
+
+        bars: list[BarData] = datafeed.query_bar_history(req)
+
+        if bars:
+            database.save_bar_data(bars)
+
+            start_dt: datetime = bars[0].datetime
+            end_dt: datetime = bars[-1].datetime
+            msg: str = f"{contract.vt_symbol}数据更新成功，{start_dt} - {end_dt}"
+            print(msg)
+
+
+if __name__ == "__main__":
+    # 使用子进程更新历史合约信息
+    process: Process = Process(target=update_history_data)
+    process.start()
+    process.join()      # 等待子进程执行完成
+
+    # 更新合约信息
+    update_contract_data("郑商所")
+    update_contract_data("过期郑商所")
+
+    # 更新历史数据
+    update_bar_data()