增加交易策略、交易指标、量化库代码等文件夹
This commit is contained in:
Win_home
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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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"合约信息更新成功 642\n"
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]
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}
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],
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"source": [
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"contracts = update_contract_data(\"上证期权\")"
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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": 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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"ContractData(gateway_name='XT', extra=None, symbol='10005765', exchange=<Exchange.SSE: 'SSE'>, name='50ETF购3月2411A', product=<Product.OPTION: '期权'>, size=10161, pricetick=0.0001, min_volume=1, stop_supported=False, net_position=False, history_data=False, option_strike=2.411, option_underlying='510050-2403', option_type=<OptionType.CALL: '看涨期权'>, option_listed=datetime.datetime(2023, 7, 27, 0, 0), option_expiry=datetime.datetime(2024, 3, 27, 0, 0), option_portfolio='510050', option_index='2.411')\n",
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"ContractData(gateway_name='XT', extra=None, symbol='10006712', exchange=<Exchange.SSE: 'SSE'>, name='300ETF沽6月3700', product=<Product.OPTION: '期权'>, size=10000, pricetick=0.0001, min_volume=1, stop_supported=False, net_position=False, history_data=False, option_strike=3.7, option_underlying='510300-2406', option_type=<OptionType.PUT: '看跌期权'>, option_listed=datetime.datetime(2024, 1, 19, 0, 0), option_expiry=datetime.datetime(2024, 6, 26, 0, 0), option_portfolio='510300', option_index='3.7')\n"
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]
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}
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],
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"source": [
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"print(contracts[0])\n",
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"print(contracts[-1])"
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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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"update_bar_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": 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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@@ -0,0 +1,86 @@
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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_rqdata_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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"合约信息更新成功 4808\n"
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]
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}
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],
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"source": [
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"contracts = update_contract_data(Exchange.CFFEX)"
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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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"ContractData(gateway_name='RQ', extra=None, symbol='HO2301-C-2325', exchange=<Exchange.CFFEX: 'CFFEX'>, name='HO2301-C-2325', product=<Product.OPTION: '期权'>, size=100.0, pricetick=0.2, min_volume=1.0, stop_supported=False, net_position=False, history_data=False, option_strike=2325.0, option_underlying='HO2301', option_type=<OptionType.CALL: '看涨期权'>, option_listed=datetime.datetime(2022, 12, 21, 0, 0), option_expiry=datetime.datetime(2023, 1, 20, 0, 0), option_portfolio='HO', option_index='2325.0')\n",
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"ContractData(gateway_name='RQ', extra=None, symbol='MO2412-P-6600', exchange=<Exchange.CFFEX: 'CFFEX'>, name='MO2412-P-6600', product=<Product.OPTION: '期权'>, size=100.0, pricetick=0.2, min_volume=1.0, stop_supported=False, net_position=False, history_data=False, option_strike=6600.0, option_underlying='MO2412', option_type=<OptionType.PUT: '看跌期权'>, option_listed=datetime.datetime(2023, 12, 18, 0, 0), option_expiry=datetime.datetime(2024, 12, 20, 0, 0), option_portfolio='MO', option_index='6600.0')\n"
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]
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}
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],
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"source": [
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"print(contracts[0])\n",
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"print(contracts[-1])"
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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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"update_bar_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": 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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@@ -0,0 +1,198 @@
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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"] = ""
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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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#print(data)
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#raise Exception("fuck")
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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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# 获取期权组合
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option_portfolio = data["ExtendInfo"]["OptUndlCode"]
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# 获取期权链（标的）
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option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d")
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option_underlying = option_portfolio + "-" + option_expiry.strftime("%y%m")
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# 生成合约对象
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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=option_portfolio,
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option_underlying=option_underlying,
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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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return 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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@@ -0,0 +1,163 @@
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from datetime import datetime
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import rqdatac
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import pandas as pd
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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 elite_database import EliteDatabase
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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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# 交易所映射关系
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EXCHANGE_RQ2VT = {
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"XSHG": Exchange.SSE,
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"XSHE": Exchange.SZSE,
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"SHFE": Exchange.SHFE,
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"CFFEX": Exchange.CFFEX,
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"INE": Exchange.INE,
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"DCE": Exchange.DCE,
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"CZCE": Exchange.CZCE,
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"GFEX": Exchange.GFEX
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}
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def update_contract_data(exchange: Exchange) -> None:
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"""更新合约数据"""
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# 查询期权信息
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df: pd.DataFrame = rqdatac.all_instruments(type="Option")
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# 转换合约对象
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contracts: list[ContractData] = []
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for tp in df.itertuples():
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# 交易所过滤
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if exchange != EXCHANGE_RQ2VT[tp.exchange]:
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continue
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# 确认期权类型
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if tp.option_type == "C":
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option_type = OptionType.CALL
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else:
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option_type = OptionType.PUT
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# 获取最小价格变动
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pricetick: float = rqdatac.instruments(tp.order_book_id).tick_size()
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# 获取期权链（标的）
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if "-" in tp.trading_code:
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option_underlying = tp.trading_code.split("-")[0]
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else:
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suffix = tp.trading_code.replace(tp.underlying_symbol, "")
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ix = suffix.index(tp.option_type)
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time_str = suffix[:ix]
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option_underlying = tp.underlying_symbol + time_str
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# 创建期权对象
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contract = ContractData(
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symbol=tp.trading_code,
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exchange=exchange,
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name=tp.trading_code,
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product=Product.OPTION,
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size=tp.contract_multiplier,
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pricetick=pricetick,
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min_volume=tp.round_lot,
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option_strike=tp.strike_price,
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option_listed=datetime.strptime(tp.listed_date, "%Y-%m-%d"),
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option_expiry=datetime.strptime(tp.maturity_date, "%Y-%m-%d"),
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option_portfolio=tp.underlying_symbol,
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option_index=str(tp.strike_price),
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option_underlying=option_underlying,
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option_type=option_type,
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gateway_name="RQ"
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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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return 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()
|
||||
|
||||
# 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(2018, 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__":
|
||||
# 更新合约信息
|
||||
update_contract_data(Exchange.CFFEX)
|
||||
|
||||
# 更新历史数据
|
||||
update_bar_data()
|
||||
Reference in New Issue
Block a user