Merge pull request #9 from rainx/master

update

ChangeLog.txt → ChangeLog.md

@@ -1,3 +1,11 @@
+1.24
+------
+* 增加 TdxExHqDailyBarReader ，用于读取扩展行情（如期货，现货，期权等）的盘后日线数据 https://github.com/rainx/pytdx/issues/25
+
+1.23
+------
+* 增加历史分时行情，分时成交，历史分时成交 https://github.com/rainx/pytdx/pull/24 wopalm
+
 1.22
 ------
 * 解决扩展行情，无法指定数据长度的问题 https://github.com/rainx/pytdx/issues/22 wopalm

pytdx/bin/hqreader.py

@@ -9,18 +9,30 @@
 from pytdx.reader import TdxDailyBarReader, TdxFileNotFoundException, TdxNotAssignVipdocPathException
 from pytdx.reader import TdxMinBarReader
 from pytdx.reader import TdxLCMinBarReader
+from pytdx.reader import TdxExHqDailyBarReader
+
+
+Help_Text = '''
+数据文件格式，
+ - daily 代表日K线
+ - ex_daily 代表扩展行情的日线
+ - min 代表5分钟或者1分钟线
+ - lc 代表lc1, lc5格式的分钟线
+'''
 
 @click.command()
 @click.argument("input", type=click.Path(exists=True))
 @click.option("-o", '--output', help="")
-@click.option("-d", "--datatype", default="daily", help="数据文件格式， daily 代表日K线, min 代表5分钟或者1分钟线, lc 代表lc1, lc5格式的分钟线")
+@click.option("-d", "--datatype", default="daily", help=Help_Text)
 def main(input, output, datatype):
     """
     通达信数据文件读取
     """
 
     if datatype == 'daily':
         reader = TdxDailyBarReader()
+    elif datatype == 'ex_daily':
+        reader = TdxExHqDailyBarReader()
     elif datatype == 'lc':
         reader = TdxLCMinBarReader()
     else:

pytdx/exhq.py

@@ -19,13 +19,17 @@
 from pytdx.parser.ex_get_instrument_count import GetInstrumentCount
 from pytdx.parser.ex_get_instrument_quote import GetInstrumentQuote
 from pytdx.parser.ex_get_minute_time_data import GetMinuteTimeData
+from pytdx.parser.ex_get_history_minute_time_data import GetHistoryMinuteTimeData
+from pytdx.parser.ex_get_transaction_data import GetTransactionData
+from pytdx.parser.ex_get_history_transaction_data import GetHistoryTransactionData
 from pytdx.parser.ex_get_instrument_bars import GetInstrumentBars
 from pytdx.parser.ex_get_instrument_info import GetInstrumentInfo
 
 
 from pytdx.params import TDXParams
 
-import threading,datetime
+import threading
+import datetime
 from pytdx.base_socket_client import BaseSocketClient, update_last_ack_time
 
 
@@ -46,12 +50,13 @@
 Out[8]: 64.0
 """
 
+
 class TdxExHq_API(BaseSocketClient):
 
     def setup(self):
         ExSetupCmd1(self.client).call_api()
 
-    ### API LIST
+    # API LIST
 
     @update_last_ack_time
     def get_markets(self):
@@ -81,6 +86,24 @@ def get_minute_time_data(self, market, code):
         cmd.setParams(market, code)
         return cmd.call_api()
 
+    @update_last_ack_time
+    def get_history_minute_time_data(self, market, code, date):
+        cmd = GetHistoryMinuteTimeData(self.client)
+        cmd.setParams(market, code, date=date)
+        return cmd.call_api()
+
+    @update_last_ack_time
+    def get_transaction_data(self, market, code, start=0, count=1800):
+        cmd = GetTransactionData(self.client)
+        cmd.setParams(market, code, start=start, count=count)
+        return cmd.call_api()
+
+    @update_last_ack_time
+    def get_history_transaction_data(self, market, code, date, start=0, count=1800):
+        cmd = GetHistoryTransactionData(self.client)
+        cmd.setParams(market, code, date, start=start, count=count)
+        return cmd.call_api()
+
     @update_last_ack_time
     def get_instrument_info(self, start, count=100):
         cmd = GetInstrumentInfo(self.client)
@@ -90,26 +113,37 @@ def get_instrument_info(self, start, count=100):
     def do_heartbeat(self):
         self.get_instrument_count()
 
+
 if __name__ == '__main__':
     import pprint
 
     api = TdxExHq_API()
     with api.connect('121.14.110.210', 7727):
-        log.info("获取市场代码")
-        #pprint.pprint(api.to_df(api.get_markets()))
-        log.info("查询市场中商品数量")
-        pprint.pprint(api.get_instrument_count())
-        log.info("查询五档行情")
+        # log.info("获取市场代码")
+        # pprint.pprint(api.to_df(api.get_markets()))
+        # log.info("查询市场中商品数量")
+        # pprint.pprint(api.get_instrument_count())
+        # log.info("查询五档行情")
         #pprint.pprint(api.to_df(api.get_instrument_quote(47, "IF1709")))
         #pprint.pprint(api.get_instrument_quote(8, "10000889"))
         #pprint.pprint(api.get_instrument_quote(31, "00020"))
-        log.info("查询分时行情")
-        #pprint.pprint(api.to_df(api.get_minute_time_data(47, "IF1709")))
-        #pprint.pprint(api.get_minute_time_data(8, "10000889"))
+        # log.info("查询分时行情")
+        #api.get_minute_time_data(47, "IFL0")
+        #pprint.pprint(api.to_df(api.get_minute_time_data(47, "IFL0")))
+        #pprint.pprint(api.to_df(api.get_minute_time_data(8, "10000889")).tail())
         #pprint.pprint(api.get_minute_time_data(31, "00020"))
+        log.info("查询历史分时行情")
+        pprint.pprint(api.to_df(api.get_history_minute_time_data(31, "00020", 20170811)).tail())
+        log.info("查询分时成交")
+        pprint.pprint(api.to_df(api.get_transaction_data(31, "00020")).tail())
+
+        log.info("查询历史分时成交")
+        pprint.pprint(api.to_df(api.get_history_transaction_data(31, "00020", 20170811)).tail())
+        #data = api.get_history_minute_time_data(47, 'IFL0', 20170811)
+        # pprint.pprint(data)
 
-        log.info("查询k线")
+        # log.info("查询k线")
         #pprint.pprint(api.to_df(api.get_instrument_bars(TDXParams.KLINE_TYPE_DAILY, 8, "10000843")))
         #pprint.pprint(api.to_df(api.get_instrument_bars(TDXParams.KLINE_TYPE_DAILY, 31, "00700")))
-        log.info("查询代码列表")
-        pprint.pprint(api.to_df(api.get_instrument_info(10000, 98)))
+        # log.info("查询代码列表")
+        #pprint.pprint(api.to_df(api.get_instrument_info(10000, 98)))

pytdx/parser/ex_get_history_minute_time_data.py

@@ -0,0 +1,53 @@
+# coding=utf-8
+
+from pytdx.parser.base import BaseParser
+from pytdx.helper import get_datetime, get_volume, get_price
+from collections import OrderedDict
+import struct
+
+
+class GetHistoryMinuteTimeData(BaseParser):
+
+    def setParams(self, market, code, date):
+        pkg = bytearray.fromhex("01 01 30 00 01 01 10 00 10 00 0c 24")
+        code = code.encode("utf-8")
+        pkg.extend(struct.pack("<IB9s", date, market, code))
+        #pkg = bytearray.fromhex('01 01 30 00 01 01 10 00 10 00 0c 24 3b c8 33 01 2f 49 46 4c 30 00 38 ec 2d 00')
+        self.send_pkg = pkg
+
+    def parseResponse(self, body_buf):
+        #        print('测试', body_buf)
+        #        fileobj = open("//Users//wy//data//a.bin", 'wb')  # make partfile
+        #        fileobj.write(body_buf)  # write data into partfile
+        #        fileobj.close()
+        pos = 0
+        market, code, _, num = struct.unpack('<B9s8sH', body_buf[pos: pos + 20])
+        pos += 20
+#        print(market, code.decode(), num)
+        result = []
+        for i in range(num):
+
+            (raw_time, price, avg_price, volume, amount) = struct.unpack("<HffII", body_buf[pos: pos + 18])
+
+            pos += 18
+            hour = raw_time // 60
+            minute = raw_time % 60
+
+            result.append(OrderedDict([
+                ("hour", hour),
+                ("minute", minute),
+                ("price", price),
+                ("avg_price", avg_price),
+                ("volume", volume),
+                ("open_interest", amount),
+            ]))
+
+        return result
+
+
+if __name__ == '__main__':
+    from pytdx.exhq import TdxExHq_API
+    api = TdxExHq_API()
+    cmd = GetHistoryMinuteTimeData(api)
+    cmd.setParams(8, "10000843", 20180811)
+    print(cmd.send_pkg)

pytdx/parser/ex_get_history_transaction_data.py

@@ -0,0 +1,46 @@
+# coding=utf-8
+
+from pytdx.parser.base import BaseParser
+from pytdx.helper import get_datetime, get_volume, get_price
+from collections import OrderedDict
+import struct
+
+
+class GetHistoryTransactionData(BaseParser):
+
+    def setParams(self, market, code, date, start, count):
+        # if type(code) is six.text_type:
+        code = code.encode("utf-8")
+
+        # if type(date) is (type(date) is six.text_type) or (type(date) is six.binary_type):
+        #     date = int(date)
+
+        # pkg1 = bytearray.fromhex('01 01 30 00 02 01 16 00 16 00 06 24 3b c8 33 01 1f 30 30 30 32 30 00 00 00 01 00 00 00 00 f0 00')
+        pkg = bytearray.fromhex('01 01 30 00 02 01 16 00 16 00 06 24')
+        pkg.extend(struct.pack("<IB9siH", date, market, code, start, count))
+        self.send_pkg = pkg
+
+    def parseResponse(self, body_buf):
+
+        pos = 0
+        market, code, _, num = struct.unpack('<B9s4sH', body_buf[pos: pos + 16])
+        pos += 16
+        result = []
+        for i in range(num):
+
+            (raw_time, price, volume, zengcang, nature) = struct.unpack("<HIIIH", body_buf[pos: pos + 16])
+
+            pos += 16
+            hour = raw_time // 60
+            minute = raw_time % 60
+
+            result.append(OrderedDict([
+                ("hour", hour),
+                ("minute", minute),
+                ("price", price),
+                ("volume", volume),
+                ("zengcang", zengcang),
+                ("nature", nature),
+            ]))
+
+        return result

pytdx/parser/ex_get_transaction_data.py

@@ -0,0 +1,42 @@
+# coding=utf-8
+
+from pytdx.parser.base import BaseParser
+from pytdx.helper import get_datetime, get_volume, get_price, get_time
+from collections import OrderedDict
+import struct
+import six
+
+
+class GetTransactionData(BaseParser):
+
+    def setParams(self, market, code, start, count):
+        if type(code) is six.text_type:
+            code = code.encode("utf-8")
+        pkg = bytearray.fromhex('01 01 08 00 03 01 12 00 12 00 fc 23')
+        pkg.extend(struct.pack("<B9siH", market, code, start, count))
+        self.send_pkg = pkg
+
+    def parseResponse(self, body_buf):
+
+        pos = 0
+        market, code, _, num = struct.unpack('<B9s4sH', body_buf[pos: pos + 16])
+        pos += 16
+        result = []
+        for i in range(num):
+
+            (raw_time, price, volume, zengcang, nature) = struct.unpack("<HIIIH", body_buf[pos: pos + 16])
+
+            pos += 16
+            hour = raw_time // 60
+            minute = raw_time % 60
+
+            result.append(OrderedDict([
+                ("hour", hour),
+                ("minute", minute),
+                ("price", price),
+                ("volume", volume),
+                ("zengcang", zengcang),
+                ("nature", nature),
+            ]))
+
+        return result

pytdx/reader/__init__.py

@@ -1,11 +1,13 @@
 from pytdx.reader.daily_bar_reader import TdxDailyBarReader, TdxFileNotFoundException, TdxNotAssignVipdocPathException
 from pytdx.reader.min_bar_reader import TdxMinBarReader
 from pytdx.reader.lc_min_bar_reader import TdxLCMinBarReader
+from pytdx.reader.exhq_daily_bar_reader import TdxExHqDailyBarReader
 
 __all__ = [
     'TdxDailyBarReader',
     'TdxFileNotFoundException',
     'TdxNotAssignVipdocPathException',
     'TdxMinBarReader',
     'TdxLCMinBarReader',
+    'TdxExHqDailyBarReader',
 ]

pytdx/reader/exhq_daily_bar_reader.py

@@ -0,0 +1,68 @@
+#coding=utf-8
+from __future__ import unicode_literals, division
+
+import pandas as pd
+import os
+
+import struct
+from pytdx.reader.base_reader import TdxFileNotFoundException, TdxNotAssignVipdocPathException
+from pytdx.reader.base_reader import BaseReader
+
+"""
+读取通达信数据
+"""
+
+
+class TdxExHqDailyBarReader(BaseReader):
+
+    def __init__(self, vipdoc_path=None):
+        self.vipdoc_path = vipdoc_path
+
+    def parse_data_by_file(self, fname):
+
+        if not os.path.isfile(fname):
+            raise TdxFileNotFoundException('no tdx kline data, pleaes check path %s', fname)
+
+        with open(fname, 'rb') as f:
+            content = f.read()
+            return self.unpack_records('<IffffIIf', content)
+
+        return []
+
+
+    def get_df(self, code_or_file):
+
+        # 只传入了一个参数
+        data = [self._df_convert(row) for row in self.parse_data_by_file(code_or_file)]
+
+        df =  pd.DataFrame(data=data, columns=('date', 'open', 'high', 'low', 'close', 'amount', 'volume','jiesuan'))
+        df.index = pd.to_datetime(df.date)
+        return df[['open', 'high', 'low', 'close', 'amount', 'volume','jiesuan']]
+
+    def _df_convert(self, row):
+        t_date = str(row[0])
+        datestr = t_date[:4] + "-" + t_date[4:6] + "-" + t_date[6:]
+
+        new_row = (
+            datestr,
+            row[1],
+            row[2],
+            row[3],
+            row[4],
+            row[5],
+            row[6],
+            row[7]
+        )
+
+        return new_row
+
+
+if __name__ == '__main__':
+    tdx_reader = TdxExHqDailyBarReader()
+    try:
+        print(tdx_reader.get_df("/Users/rainx/tmp/vipdoc/ds/29#A1801.day"))
+        #print(tdx_reader.get_df("/Volumes/share/transfer/76#AG200.day"))
+
+    except TdxFileNotFoundException as e:
+        pass
+

setup.py

@@ -4,7 +4,7 @@
 
 setup(
     name='pytdx',
-    version='1.22',
+    version='1.24',
     description='A Python Interface to TDX protocol',
     author='RainX<Jing Xu>',
     author_email='i@rainx.cc',