-
Notifications
You must be signed in to change notification settings - Fork 1
/
lynx2cfmmc.py
executable file
·1774 lines (1669 loc) · 112 KB
/
lynx2cfmmc.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
#!/usr/bin/env python
# -*- coding:utf8 -*-
#Version 6.1
import sys
reload(sys)
sys.setdefaultencoding('utf8')
import os.path
import copy
import xlrd
from xlwt import Utils
from string import strip,join
import re
import logging
import logging.handlers
import datetime
import time
import calendar
import base64
import StringIO
import ConfigParser
def timestamp_datetime(value):
format = '%Y-%m-%d %H:%M:%S'
# value为传入的值为时间戳(整形)，如：1332888820
value = time.localtime(value)
## 经过localtime转换后变成
## time.struct_time(tm_year=2012, tm_mon=3, tm_mday=28, tm_hour=6, tm_min=53, tm_sec=40, tm_wday=2, tm_yday=88, tm_isdst=0)
# 最后再经过strftime函数转换为正常日期格式。
dt = time.strftime(format, value)
return dt
def datetime_timestamp(dt):
#dt为字符串
#中间过程，一般都需要将字符串转化为时间数组
time.strptime(dt, '%Y-%m-%d %H:%M:%S')
## time.struct_time(tm_year=2012, tm_mon=3, tm_mday=28, tm_hour=6, tm_min=53, tm_sec=40, tm_wday=2, tm_yday=88, tm_isdst=-1)
#将"2012-03-28 06:53:40"转化为时间戳
s = time.mktime(time.strptime(dt, '%Y-%m-%d %H:%M:%S'))
return int(s)
exch_name = {'CME':('CME','Chicago Mercantile Exchange Group',u'芝加哥商业交易所集团'),
'CBOT':('CBOT','The Chicago Board of Trade',u'芝加哥期货交易所'),
'NYME':('NYMEX','New York Mercantile Exchange',u'纽约商品交易所'),
'NYBO':('NYBOT','New York Board of Trade',u'纽约期货交易所'),
#'NYME':('COMEX','Commerce Exchange',u'美国（纽约）金属交易所'),
'LME':('LME','London Metal Exchange',u'伦敦金属交易所'),
#'NYBO':('ICE','International Exchange',u'洲际交易所'),
'IPE':('IPE','International Petroleum Exchange',u'英国国际石油交易所'),
'TCE':('TOCOM','Tokyo Commodity Exchange',u'东京商品交易所'),
'SIME':('SGX','Singapore Exchange',u'新加坡交易所'),
'MYX':('BMD','Bursa Mayaysia？',u'马来西亚衍生品交易所'),
'CBOE':('CBOE','The Chicago Board of Trade',u'芝加哥期货交易所'), # new added, need check!
'HKFE':('HKEX','Hong Kong Exchanges and Clear Limited',u'香港交易及结算有限公司') }
pil_vtitle = ('CMF_CODE','Market Code','Underlying','Currency','Maintenance Margin','Name','Price Per Ticker','Ticker','Multiplier')
pil_name = {
'LIF' :('','CME','LI','USD',80.0,'1-MONTH LIBOR (CME)',0.0025,6.25,2500.0),
'JPYNF' :('JY','CME','JPYN','USD',91.0,'JAPANESE YEN',1e-06,12.5,12500000.0),
'COILF' :('BRN','IPE','COIL','USD',100.0,'BRENT CRUDE OIL',0.01,10.0,1000.0),
'FDAX' :('FDAX','EURX','FDAX','EUR',100.0,'FDAX',0.5,12.5,25.0),
'PAF' :('PA','NYME','PA','USD',91.0,'PALLADIUM',0.05,5.0,100.0),
'MSBF' :('YK','CBOT','MSB','USD',80.0,'MINI-SIZED SOYBEANS',0.125,1.25,10.0),
'CAC40' :('FCE','LIFF','CAC40','EUR',100.0,'CAC40 10 EURO (FRANCE)',0.5,5.0,10.0),
'RMBF' :('RMB','CME','RMB','USD',91.0,'CME CHINESE RMB/USD CROSS RATE',1e-05,10.0,1000000.0),
'EUDF' :('','CME','EUD','USD',80.0,'3-MONTH EURO DOLLAR',0.005,12.5,2500.0),
'SIN' :('','SIME','SIN','USD',91.0,'CNX NIFTY INDEX',0.5,1.0,2.0),
'MZCF' :('YC','CBOT','MZC','USD',80.0,'MINI-SIZED CORN',0.125,1.25,10.0),
'TNTWF' :('TU','CBOT','TNTW','USD',91.0,'2 YRS US NOTES',0.0078125,15.625,2000.0),
'LMALF' :('AL','LME','AL','USD',100.0,'LME ALUMINIUM HG LME',0.5,12.5,25.0),
'HKS' :('','HKME','HKS','USD',80.0,'HKMEX SILVER',0.01,10.0,1000.0),
'MJNIF' :('','OSE','MJNI','JPY',80.0,'NIKKEI 225 MINI',5.0,500.0,100.0),
'HSIF' :('HSI','HKFE','HSI','HKD',80.0,'HANG SENG INDEX',1.0,50.0,50.0),
'NZDF' :('ND','CME','NZD','USD',91.0,'NEW ZEALAND DOLLAR',0.0001,10.0,100000.0),
'CHH' :('CHH','HKFE','CHH','HKD',80.0,'CSE120 INDEX FUTURES',0.5,25.0,50.0),
'MSCITWF' :('','SIME','MSCI','USD',91.0,'MSCI MSCI TAIWAN INDEX',1.0,100.0,100.0),
'NAIF' :('','CME','NAI','USD',91.0,'NASDAP NDEX',0.25,25.0,100.0),
'SNF' :('SN','LME','SN','USD',100.0,'TIN',5.0,25.0,5.0),
'FCPO' :('','KLSE','FCPO','MYR',100.0,'CRUDE PALM OIL',1.0,25.0,25.0),
'HHIF' :('HHI','HKFE','HHI','HKD',80.0,'H-SHARE INDEX',1.0,50.0,50.0),
'MDJF' :('YM','CBOT','MDJ','USD',91.0,'MINI SIZED DOW JONES IND $5',1.0,5.0,5.0),
'NIF' :('NI','LME','NI','USD',100.0,'PRIMARY NICKEL',5.0,30.0,6.0),
'MDJ10' :('','CBOT','MDJ10','USD',91.0,'MINI DOW $10',1.0,10.0,10.0),
'COFF' :('KC','NYBO','COF','USD',91.0,'COFFEE',0.05,18.75,375.0),
'SIF' :('SL','NYME','SI','USD',91.0,'SILVER',0.005,25.0,5000.0),
'NGF' :('NG','NYME','NG','USD',91.0,'NATURAL GAS',0.001,10.0,10000.0),
'ZLF' :('BO','CBOT','ZL','USD',74.1,'SOYBEANS OIL',0.01,6.0,600.0),
'LMALFMINI' :('','SIME','AHMI','USD',91.0,'MINI-ALUMINUM SGX',0.5,2.5,5.0),
'LSNO' :('','LME','LSNO','USD',80.0,'LME ZN OPTION',0.5,12.5,25.0),
'ZWF' :('W','CBOT','ZW','USD',74.1,'WHEAT',0.25,12.5,50.0),
'IXCA' :('','HKME','IXCA','USD',80.0,'32 TROY OZ GOLD FUTURES',0.1,3.2,32.0),
'UGF' :('RB','NYME','UG','USD',91.0,'UNLEADED GASOLINE',0.0001,4.2,42000.0),
'OJF' :('','NYBO','OJ','USD',91.0,'O.J.FROZEN',0.05,7.5,150.0),
'SHGZNF' :('ZN','LME','SHGZN','USD',100.0,'SHG ZINC',0.5,2.5,5.0),
'FTSE' :('UKX','LIFF','FTSE','GBP',100.0,'FTSE 100',0.5,5.0,10.0),
'EUFXF' :('EUFX','CME','EUFX','USD',91.0,'EURO FX FUTURE',0.0001,12.5,125000.0),
'ZI' :('','CBOT','ZI','USD',80.0,'5000 OZ. SILVER',0.001,5.0,5000.0),
'ZOF' :('','CBOT','ZO','USD',74.1,'OAT',0.25,12.5,50.0),
'COTF' :('CT','NYBO','COT','USD',91.0,'COTTON',0.01,5.0,500.0),
'JRUF' :('JTU','TCE','JRU','JPY',100.0,'TOCOM RUBBER',0.1,500.0,5000.0),
'ZGF' :('','CBOT','ZG','USD',80.0,'CBOT 100 OZ. GOLD',0.1,10.0,100.0),
'KPO' :('FCPO','MYX','KPO','MYR',100.0,'CRUDE PALM OIL',1.0,25.0,25.0),
'MCHF' :('MCH','HKFE','MCH','HKD',80.0,'MINI H-SHARE INDEX',1.0,10.0,10.0),
'SSI' :('NK','SIME','SSI','JPY',91.0,'SIG NIKKEI 225 INDEX',1.0,500.0,500.0),
'COCOF' :('CC','NYBO','COCO','USD',91.0,'COCOA',1.0,10.0,10.0),
'SSG' :('TW','SIME','SSG','SGD',91.0,'MSCI SINGAPORE FREE INDEX',0.1,20.0,200.0),
'MX' :('','','MX','NTD',77.2,'小台指',1.0,50.0,50.0),
'EURO/YEN' :('','CME','RY','JPY',91.0,'EURO FX/YEN IMM',0.01,0.0,0.0),
'TNTEF' :('TY','CBOT','TNTE','USD',91.0,'10 YRS US NOTES',0.015625,15.625,1000.0),
'GLD' :('','HKFE','GLD','USD',80.0,'GOLD HK',1.0,100.0,100.0),
'AUDF' :('AD','CME','AUD','USD',91.0,'AUSTRALIAN DOLLAR',0.0001,10.0,100000.0),
'VX' :('VX','CBOE','VX','USD',91.0,'VX',0.05,50.0,1000.0),
'USTBF' :('','CME','USTB','USD',80.0,'3-MONTH U.S.TREASURY BILL',0.001,2.5,2500.0),
'PEF' :('PB','LME','PE','USD',100.0,'LEAD',0.5,12.5,25.0),
'MYIF' :('','CBOT','MYI','USD',80.0,'MINI-SIZED SILVER',0.001,1.0,1000.0),
'MDJ25' :('','CBOT','MDJ25','USD',91.0,'MINI DOW $25',1.0,25.0,25.0),
'LCOF' :('CL','NYME','LCO','USD',91.0,'LIGHT CRUDE OIL',0.01,10.0,1000.0),
'SWFCF' :('SF','CME','SWFC','USD',91.0,'SWISS FRANC',0.0001,12.5,125000.0),
'QMF' :('QM','NYME','QM','USD',91.0,'MINI CRUDE OIL',0.025,12.5,500.0),
'MSPIF' :('','CME','MSPI','USD',91.0,'S & P MID CAP 400',0.05,25.0,500.0),
'GOLDF' :('GC','NYME','GOLD','USD',91.0,'GOLD NYMEX',0.1,10.0,100.0),
'EMNAIF' :('NQ','CME','EMNAI','USD',91.0,'E-MINI NASDAQ 100 INDEX',0.25,5.0,20.0),
'GOLDO' :('','NYME','OG','USD',80.0,'GOLD OPTIONS',0.1,10.0,100.0),
'SDZN' :('','SIME','ZSMI','USD',80.0,'MINI ZINC SGX',0.5,2.5,5.0),
'NYALF' :('','NYME','NYAL','USD',80.0,'ALUMINIUM COMEX',0.0005,22.0,44000.0),
'CUF' :('CU','LME','CUA','USD',100.0,'COPPER',0.5,12.5,25.0),
'SPIF' :('SP','CME','SPI','USD',80.0,'S & P 500 STOCK PRICE INDEX',0.1,25.0,250.0),
'NYDIF' :('','NYBO','NYDI','USD',90.0,'DOLLAR INDEX',0.005,5.0,1000.0),
'EUR' :('EC','CME','EUR','USD',80.0,'IMM EURO DOLLARS',0.0001,0.25,2500.0),
'XINA50' :('XU','SIME','SA50','USD',91.0,'SGX CHINA A50 FUTURES',5.0,5.0,1.0),
'PLF' :('PL','NYME','PL','USD',91.0,'PLATINUM',0.1,5.0,50.0),
'SO' :('','NYME','SO','USD',80.0,'SILVER OPTION',0.1,5.0,50.0),
'CUFMINI' :('','SIME','CUMI','USD',80.0,'MINI-COPPER SGX',0.5,2.5,5.0),
'AAF' :('AAD','LME','AA','USD',100.0,'ALUMINIUM ALLOY',0.5,10.0,20.0),
'CADF' :('CD','CME','CAD','USD',91.0,'CANADIAN DOLLAR',0.0001,10.0,100000.0),
'SUGF' :('SB','NYBO','SUG','USD',91.0,'WORLD SUGAR NO.11',0.01,11.2,1120.0),
'VHS' :('VHS','HKFE','VHS','HKD',80.0,'HSI VOLATILITY INDEX FUTURES',0.01,50.0,5000.0),
'ZSF' :('S','CBOT','ZS','USD',74.1,'SOYBEANS',0.25,12.5,50.0),
'DX' :('DX','NYBO','DX','USD',91.0,'ICE US DOLLAR INDEX FUTURES',0.005,5.0,1000.0),
'LZNO' :('','LME','SHGZN','USD',100.0,'SHG ZINC OPTIONS',0.5,12.5,25.0),
'CUS' :('CUS','HKFE','CUS','CNY',80.0,'RMB CURRENCY FUTURES',0.0001,10.0,100000.0),
'GAOF' :('GAS','IPE','GAO','USD',100.0,'GAS OIL',0.25,25.0,100.0),
'FGBS' :('FGBS','EURX','FGBS','EUR',100.0,'EURO-SCHATZ FUTURES',0.005,5.0,1000.0),
'LB' :('','CME','LB','USD',80.0,'LUMBER CME',0.1,11.0,110.0),
'TX' :('','TW','TX','NTD',80.0,'TW CAPITALIZATION STOCK INDEX',1.0,200.0,200.0),
'TNFIF' :('FV','CBOT','TNFI','USD',91.0,'5 YRS US NOTES',0.0078125,7.8125,1000.0),
'MYGF' :('','CBOT','MYG','USD',80.0,'MINI-SIZED GOLD',0.1,3.32,33.2),
'TF' :('','TW','TF','NTD',80.0,'TW FINANCE SECTOR INDEX',0.2,200.0,1000.0),
'TE' :('','TW','TE','NTD',80.0,'TW ELECTRONIC SECTOR INDEX',0.05,200.0,4000.0),
'FGBM' :('FGBM','EURX','FGBM','EUR',100.0,'EURO-BOBL FUTURES',0.01,10.0,1000.0),
'FGBL' :('FGBL','EURX','FGBL','EUR',100.0,'EURO-BUND FUTURES',0.01,10.0,1000.0),
'HOF' :('HO','NYME','HO','USD',91.0,'HEATING OIL',0.0001,4.2,42000.0),
'TXO' :('','TW','TXO','NTD',80.0,'臺灣大台指期權',0.1,5.0,50.0),
'ZMF' :('SM','CBOT','ZM','USD',74.1,'SOYBEANS MEAL',0.1,10.0,100.0),
'USTBOF' :('','CBOT','USTBO','USD',91.0,'U.S.TREASURY BOND',0.015625,15.625,1000.0),
'EMSPIF' :('ES','CME','EMSPI','USD',91.0,'E-MINI S & P 500 INDEX FUT',0.25,12.5,50.0),
'ZRF' :('RICE','CBOT','ZR','USD',74.1,'ROUGH RICE',0.005,10.0,2000.0),
'ESO' :('ESO','CME','ESO','USD',80.0,'MINI S&P500',0.05,2.5,50.0),
'FESX' :('','EURX','FESX','EUR',100.0,'FESX',1.0,10.0,10.0),
'ZCF' :('C','CBOT','ZC','USD',74.1,'CORN',0.25,12.5,50.0),
'BPNDF' :('BP','CME','BPND','USD',91.0,'BRITISH POUND',0.0001,6.25,62500.0),
'NIKF' :('','CME','NIK','USD',80.0,'NIKKEI 225 STOCK PRICE INDEX',5.0,25.0,5.0),
'JNIF' :('','OSE','JNI','JPY',80.0,'OSAKA NIKKEI 225',10.0,10000.0,1000.0),
'HGCUF' :('HG','NYME','HGCU','USD',91.0,'HIGH GRADE COPPER',0.05,12.5,250.0),
'MHSIO' :('MHSIO','HKFE','MHSIO','HKD',80.0,'',1.0,10.0,10.0),
'HSIO' :('HSIO','HKFE','HSIO','HKD',80.0,'',1.0,50.0,50.0),
'QI' :('','NYME','QI','USD',91.0,'MINI SILVER',0.0125,31.25,2500.0),
'MHSIF' :('MHU','HKFE','MHSI','HKD',80.0,'MINI-HANG SENG INDEX',1.0,10.0,10.0),
'QO' :('MGC','NYME','QO','USD',91.0,'MINI GOLD',0.25,12.5,50.0),
'undefine01':('ND','CME','ND','USD',100.0,'Nasdaq 100',0.0,0.0,1.0),
#'undefine02':('ES','CME','ES','USD',100.0,'S&P 500',0.0,0.0,1.0),
'undefine03':('DD','CBOT','DD','USD',100.0,'Dow Jones',0.0,0.0,1.0),
#'undefine04':('CHH','HKFE','','',100.0,'CES 120, 中华交易服务中国120指数期货',0.0,0.0,1.0),
'undefine05':('BSE','HKFE','','',100.0,'SENSEX Index, 印度股市指數期貨',0.0,0.0,1.0),
'undefine06':('CHH','HKFE','','',100.0,'CES China 120 Index, 中華120期貨',0.0,0.0,1.0),
'undefine07':('MCX','HKFE','','',100.0,'MICEX Index, 莫斯科貨幣交易所指數期貨',0.0,0.0,1.0),
'undefine08':('SAF','HKFE','','',100.0,'FTSE/JSE Top40, 南非領先40指數',0.0,0.0,1.0),
'undefine09':('BOV','HKFE','','',100.0,'IBOVESPA, 巴西指數期貨',0.0,0.0,1.0),
'undefine10':('KOSPI','KRX','','',100.0,'KOSPI 200, 韩国KOSPI 200股指',0.0,0.0,1.0),
'undefine11':('AP','ASX','','',100.0,'ASX 200 Index Futures, 澳大利亚ASX200指数',0.0,0.0,1.0),
'undefine12':('FESX','EURX','','',100.0,'EURO STOXX 50 Index, 欧元斯托克50',0.0,0.0,1.0),
'undefine13':('E7','CME','','',100.0,'E-mini Euro Currencies, 小型欧元',0.0,0.0,1.0),
'undefine14':('JT','CME','','',100.0,'E-mini Japanese Yen, 小型日元',0.0,0.0,1.0),
'undefine15':('M6A','CME','','',100.0,'Micro AUD/USD, 微澳元/美元',0.0,0.0,1.0),
'undefine16':('M6E','CME','','',100.0,'Micro EUR/USD, 微歐元/美元',0.0,0.0,1.0),
'undefine17':('US','CBOT','','',100.0,'30 YrU.S. Treasury Bond Futures, 美国三十年票据',0.0,0.0,1.0),
'undefine18':('QH','NYME','','',100.0,'E-Mini Heating Oil, 小型取暖油',0.0,0.0,1.0),
'undefine19':('QG','NYME','','',100.0,'E-Mini Natural Gas, 小型天然气',0.0,0.0,1.0),
'undefine20':('OJ','NYBO','','',100.0,'FCOJ, 橙汁',0.0,0.0,1.0),
'undefine21':('YW','CBOT','','',100.0,'Mini Wheat, 小型小麦',0.0,0.0,1.0),
'undefine22':('O','CBOT','','',100.0,'Oats, 燕麦',0.0,0.0,1.0),
'undefine23':('DPPM','DGCX','','',100.0,'DGCX POLYPROPYLENE (PLASTICS), 聚丙烯塑料期货',0.0,0.0,1.0),
'undefine24':('ECO','ENPAR','','',100.0,'RAPESEED, 聚丙烯塑料期货',0.0,0.0,1.0),
'undefine25':('RS','ICE CANADA','','',100.0,'CANOLA, 油菜籽',0.0,0.0,1.0),
'undefine26':('CTC','LCH','','',100.0,'OTC, CAPESIZE TC AVG 4 ROUTES, 航运期货',0.0,0.0,1.0),
'undefine27':('PTC','LCH','','',100.0,'OTC, PANAMAX TC AVG 4 ROUTES, 航运期货',0.0,0.0,1.0),
'undefine28':('FE','SIMEX','','',100.0,'OTC, IRON ORE SWAP, 铁矿石',0.0,0.0,1.0),
'undefine29':('','','','',100.0,'',0.0,0.0,1.0),
'undefine30':('','','','',100.0,'',0.0,0.0,1.0)
}
settlers = {'jp':'J.P. Morgan',
'ba':'Barclays Group',
'rj':'RJO',
'mr':'Marex',
'su':'Sucden',
'pi':'pillip',
'gf':'GFFM',
'MAREX':'mr',
'PHILL':'ph',
'GFFM':'gf',
'BRIEN':'br',
'SUCDN':'su',
'DCASS':'hk' }
banks = {'01':('01',u'中国工商银行'),
'02':('02',u'中国农业银行'),
'03':('03',u'中国银行'),
'04':('04',u'中国建设银行'),
'05':('05',u'交通银行'),
'99':('99',u'其它银行'),
'001':('99','384 TO 269 | COMMISSION ADJUSTMENT'),
'002':('99','CURRENCY TRANSFER'),
'004':('99','ERROR TRADE | INTER CLIENT TRANSFER'),
'005':('99','COMMISSION REBATE | HSBC USD 848162608274'),
'006':('99','FUND ADJUSTMENT | FEE ADJUSTMENT'),
'0210':('99','ICBC HKD 861-520-03021-0'),
'0384':('99','SCB USD T S/A# 447-1-669038-4'),
'1783':('99','SCB HKD T S/A# 447-1-780178-3'),
'1821':('99','SCB USD T S/A# 447-1-780182-1'),
'2193':('99','SCB CNY T S/A# 447-1-778219-3'),
'6269':('99','SCB HKD T S/A# 447-1-669626-9'),
'6667':('99','ICBC USD 861-530-02666-7'),
'9367':('99','SCB HKD T C/A# 447-0-668936-7'),
'9405':('99','SCB USD T C/A# 447-0-668940-5'),
'FIMAT':('99','BROKER ACCOUNT-FIMAT'),
'OTHER':('99','OTHER'),
'SUCDN':('99','BROKER ACCOUNT-SUCDEN'),
'ZAUTO':('99','AUTO BROKER')}
date_pat = r"\d{2} (:?JAN|FEB|MAR|APR|MAY|JUN|JUL|AUG|SEP|OCT|NOV|DEC) \d{4}"
account_pat = r'\d{6}-\d{3}'
sc = { u'Trade Confirmation Summary':{ 'Exchange':('B',),
'Product':('C',),
'No of Lots(buy)':('D',),
'No of Lots(sell)':('E',),
'Average Trading price(buy)':('F',),
'Average Trading price(sell)':('G',)},
u'Open Position Summary' :{ 'Exchange':('H',),
'Product':('I',),
'Prompt Date':('J',),
'No of Lots(buy)':('K',),
'No of Lots(sell)':('L',),
'Average Trading price(buy)':('M',),
'Average Trading price(sell)':('N',)},
u'Unsettled Closed Position Summary' :{ 'Exchange':('O',),
'Product':('P',),
'Prompt Date':('Q',),
'No of Lots(buy)':('R',),
'No of Lots(sell)':('S',),
'Average Trading price(buy)':('T',),
'Average Trading price(sell)':('U',)},
u'Closed Position Summary' :{ 'Exchange':('V',),
'Product':('W',),
'No of Lots Closed':('X',),
'Prompt Date':('Y',),
'Currency':('Z',),
'Average Trading price(buy)':('AA',),
'Average Trading price(sell)':('AB',),
'Net PxlsSheet = self.xlsBook.sheet_by_name(rofit':('AC',)},
u'Fund Movement' :{ 'Currency':('AD',),
'Exchange Rate':('AE',),
'Net Fund Movement':('AF',)},
u'Account Summary' :{ 'Currency':('AG',),
'Exchange Rate':('AH',),
'Open Balance':('AI',),
'Deposit / (Withdrawal)':('AJ',),
'Commission':('AK',),
'Fees & Levy':('AL',),
'Trading P/(L)':('AM',),
'Accrued Interest':('AN',),
'Closing Balance':('AO',),
'Gross Floating P/(L)':('AP',),
'Unapproved P/(L)':('AQ',),
'Equity':('AR',),
'Initial Margin':('AS',),
'Maintenance Margin':('AT',),
'Margin (Call)/Excess':('AU',)},
u'Trade Confirmation Full Details': {
'Trade Date':('AV',),
'Exchange':('AW',),
'Trade Ref.':('AX',), #新增 970-20140828-0000089
'Broker':('AY',),
'Open or Close':('AZ',), #新增 * 开仓 # 平仓
'No of Lots(buy)':('BA',),
'No of Lots(sell)':('BB',),
'Description':('BC',),
'Trade Price/Premium':('BD',),
'Currency1':('BE',),
'Commission':('BF',),
'Currence2':('BG',),
'Market Charges and Fees':('BH',)},
u'Open Position Full Details':{
'Trade Date':('BI',),
'Exchange':('BJ',),
'Trade Ref.':('BK',), #新增 970-20140828-0000089
'Broker':('BL',),
'No of Lots(buy)':('BM',),
'No of Lots(sell)':('BN',),
'Description':('BO',),
'Trade Price/Premium':('BP',),
'Closing Price':('BQ',),
'Currency':('BR',),
'Gross Floating P/(L)':('BS',),
'Unapproved P/(L)':('BT',) },
u'Unsettled Closed Position Full Details':{
'Trade Date':('BU',),
'Exchange':('BV',),
'Trade Ref.':('BW',), #新增 970-20140828-0000089
'Broker':('BX',),
'No of Lots(buy)':('BY',),
'No of Lots(sell)':('BZ',),
'Description':('CA',),
'Trade Price/Premium':('CB',),
'Closing Price':('CC',),
'Currency':('CD',),
'Gross Floating P/(L)':('CE',),
'Unapproved P/(L)':('CF',) },
u'Closed Position Full Details':{
'Open or Close':('CG',), #新增 * 开仓 # 平仓
'Trade Date':('CH',),
'Exchange':('CI',),
'Trade Ref.':('CJ',), #新增 970-20140828-0000089
'No of Lots(buy)':('CK',),
'No of Lots(sell)':('CL',),
'Description':('CM',),
'Trade Price/ Permium (Buy)':('CN',),
'Trade Price/ Permium (Sell)':('CO',),
'Currency':('CP',),
'Gross Profit/(Loss)':('CQ',) },
u'Fund Movement Full Details':{
'Currency':('CR',),
'Transaction Type':('CS',),
'Bank':('CT',),
'Exchange Rate':('CU',),
'Withdrawal':('CV',),
'Deposit':('CW',) } }
cashtype = {
'WITHDRAW MONEY':('O','00001'),
'DEPOSIT IN BANK':('I','00002'),
'BROKER ADJUSTMENT':('I','00003'),
'CCY TRANSFER':('O','00004'),
'INTER CLIENT TRANSFER':('','00005'),
'COMMISSION ADJUSTMENT':('','00006'),
'COMMISSION REBATE':('I','00007'),
'FEE ADJUSTMENT':('','00008'),
'FUND ADJUSTMENT':('I','00009'),
'FUND OUT FOR PHYSICAL DELIVERY':('O','00010'),
'DELIVERY FEE':('O','00011'),
'FUND IN FOR PHYSCIAL DELIVERY':('I','00012'),
'INTER-CURRENCY TRANSFER':('I','00100'),
'ERROR TRADE':('O','00101'),
'SYSTEM TRANSFER B/F':('I','Z0001'),
'AUTO BROKER':('I','ZAUTO'),
}
def setLogger(name=u'cmfchina', rootdir='.',level = logging.INFO):
LOG_FILE = u'cmfchina.log'
handler = logging.handlers.RotatingFileHandler(os.path.join( os.path.realpath(rootdir),LOG_FILE), maxBytes = 1024*1024, backupCount = 5)
fmt = u'%(asctime)s - %(filename)s:%(lineno)s - %(name)s - %(message)s'
formatter = logging.Formatter(fmt)
handler.setFormatter(formatter)
logger = logging.getLogger(name)
self.logger.addHandler(handler)
self.logger.setLevel(level)
return logger
class DealCMFChinaData(object):
def __init__(self,rootDir,mylogger = None): # 带上参数即可只输出单一指定帐户的数据
self.initFlag=False
self.rootDir = rootDir
self.workDir = os.path.join(rootDir,u'cmfchina')
if (mylogger):
self.logger = mylogger
else:
self.logger = setLogger()
cf = ConfigParser.ConfigParser()
try:
cf.read(os.path.join(self.rootDir,"cmfchina.conf"))
self.sendEMail = cf.get("EMAIL", "TO",'')
self.mail_from = cf.get("EMAIL", "FROM")
self.mail_server = cf.get("EMAIL", "SERVER")
self.mail_id = cf.get("EMAIL", "USER")
self.mail_pw = cf.get("EMAIL", "PASSWORD")
self.mail_title = cf.get("EMAIL", "TITLE",'')
if (cf.has_option("EMAIL", "TLS")):
self.mail_tls = cf.getint("EMAIL", "TLS")
else:
self.mail_tls = 0
self.flagCompany = cf.get("SYS", "COMPANYCODE")
self.zipPassword = cf.get("SYS", "ZIPPASSWORD",'')
self.account = cf.get("SYS", "ACCOUNT")
self.xlsFnameT = cf.get("SYS", "XLSFILENAME")
self.logger.info('Begin deal account:! %s' % self.account)
self.initFlag=True
except Exception, e:
self.logger.error('Read conf file error! %s' % e)
def __call__(self,date,xlsfname=None):
self.dateOfFileName = date
if (xlsfname):
self.bookfilename = xlsfname
else:
self.bookfilename = u'AccSum_%s.xlsx' % self.dateOfFileName
if (not os.path.exists(self.bookfilename)):
self.logger.error('Lynx export Xls File:%s not existed!' % self.bookfilename)
self.logger.error('usage: sp2cmf.py [-h] [-d DATE] [-a ACCOUNT] [-f XLSFNAME] [-m EMAIL]')
else:
self.initLIST()
if (self.initXLS()):
self.run(self.account)
def initLIST(self):
self.accountList = []
self.openPositions = []
self.unsettledClosedPositions = []
self.fundMovement = []
self.dailyAccountSummary = []
self.closedPositionSummary = []
self.tradeConfirmationSummary = []
self.currencyRate = []
self.exchangeRecord = []
self.delivtailsRecord = []
self.txtFiles = []
self.tradeConfirmationFullDetails = []
self.openPositionFullDetails = []
self.unsettledClosedPositionFullDetails = []
self.closedPositionFullDetails = []
self.fundMovementFullDetails = []
def initXLS(self):
try:
self.xlsBook = xlrd.open_workbook(self.bookfilename)
self.xlsSheet = self.xlsBook.sheet_by_index(0)
self.lastRow = self.xlsSheet.nrows - 1
self.lastCol = self.xlsSheet.ncols - 1
return True
except Exception, e:
self.logger.error('open xls file error! %s' % e)
return False
def run(self,account=None):
self.readXLS(account)
self.dealCR() #生成汇率表
self.dealExchangRec() #分离汇总记录
self.lmeUCP() # 计算LME平仓未到期合约的总盈亏
self.writeTXT()
self.createZipFile()
self.sendMail()
def writeTXT(self):
self.cusfund()
#帐户资金数据，需要特别计算LME的情况
#按美元计算的账户市值 客户的基础货币多为港币，但也有指定为美元的，经商量，基金帐户的基础货币为美元，所以不存在问题。
self.customer() # 根据新文档增加的，手工填写数据
self.fundchg()
self.exchange()
self.trddata()
self.optdata()
#下一步完善期权部分
self.holddata()
#
self.liquiddetails()
#
self.holddetails()
#LME 平仓未到期合约也填于此
self.delivtails()
#没数据可填
def readXLS(self,account=None):
if (type(account)==int):
self.accountList = self.getAccountList(limit = account)
else:
self.accountList = self.getAccountList(account = account)
for (acc,row) in self.accountList:
self.logger.info('%s --- %s' % (acc,row))
self.openPositions = self.getXlsFields(u'Open Position Summary','H')
self.logger.info('###########openPositions recc:%i ############' % len(self.openPositions))
self.unsettledClosedPositions = self.getXlsFields(u'Unsettled Closed Position Summary','O')
self.logger.info('###########UnsettledClosedPositions recc:%i ############' % len(self.unsettledClosedPositions))
self.fundMovement = self.getXlsFields(u'Fund Movement','AD')
self.logger.info('###########fundMovement recc:%i ############' % len(self.fundMovement))
self.dailyAccountSummary = self.getXlsFields(u'Account Summary','AG')
self.logger.info('###########dailyAccountSummary recc:%i ############' % len(self.dailyAccountSummary))
self.closedPositionSummary = self.getXlsFields(u'Closed Position Summary','V')
self.logger.info('###########closedPositionSummary recc:%i ############' % len(self.closedPositionSummary))
self.tradeConfirmationSummary = self.getXlsFields(u'Trade Confirmation Summary','B')
self.logger.info('###########tradeConfirmationSummary recc:%i ############' % len(self.tradeConfirmationSummary))
self.tradeConfirmationFullDetails = self.getXlsFields(u'Trade Confirmation Full Details','AV')
self.logger.info('###########tradeConfirmationFullDetails recc:%i ############' % len(self.tradeConfirmationFullDetails))
self.openPositionFullDetails = self.getXlsFields(u'Open Position Full Details','BI')
self.logger.info('###########openPositionFullDetails recc:%i ############' % len(self.openPositionFullDetails))
self.unsettledClosedPositionFullDetails = self.getXlsFields(u'Unsettled Closed Position Full Details','BU')
self.logger.info('###########unsettledClosedPositionFullDetails recc:%i ############' % len(self.unsettledClosedPositionFullDetails))
self.closedPositionFullDetails = self.getXlsFields(u'Closed Position Full Details','CH')
self.logger.info('###########closedPositionFullDetails recc:%i ############' % len(self.closedPositionFullDetails))
self.fundMovementFullDetails = self.getXlsFields(u'Fund Movement Full Details','CR')
self.logger.info('###########fundMovementFullDetails recc:%i ############' % len(self.fundMovementFullDetails))
def getAccountList(self,limit=65535,account=None): # 带上参数即可只输出单一指定帐户的数据， 也可以限制只输出多少个帐户的数据（account不指定的情况下）
#accountList = []
#r = self.xlsSheet.col_values(0)
#for f in r:
# mat=re.match(account_pat,str(f.Value))
# if (mat is not None):
# accountList.append(f)
#return accountList
accountList = []
lt = limit
if (account):
lt = 65535
cs = self.xlsSheet.col_values(0)
for r in range(2,self.lastRow):
mat=re.match(account_pat,str(cs[r]))
if (mat is not None):
if (account):
if (account == str(cs[r])):
accountList.append((cs[r],r))
else:
accountList.append((cs[r],r))
lt = lt - 1
if (not lt):
break
return accountList
def getXlsFields(self,p_key,C_NotNull=None): #C_NotNull is Col if not allow NULL
rsss = []
for (acc,row0) in self.accountList:
row = row0
rss = []
ops = sc[p_key]
mk = ops.keys()
while (True):
rs = {}
if (C_NotNull):
if (self.xlsSheet.cell(row,Utils.col_by_name(C_NotNull)).value):
for k in mk:
rs[k]=self.xlsSheet.cell(row,Utils.col_by_name(ops[k][0])).value
rss.append(rs)
else:
for k in mk:
rs[k]=self.xlsSheet.cell(row,Utils.col_by_name(ops[k][0])).value
rss.append(rs)
row = row + 1
if row > self.lastRow:
break
c = self.xlsSheet.cell(row,0).value
if (c):
break
if (rss):
rsss.append((acc,rss))
self.logger.debug('%s\n%s' % (acc,rss))
return rsss
def getCurrencyField(self,currency=None,product=None,exchange=None):
if (currency):
rt = currency
else:
if (product):
rt = self.getProductCurrence(product)
else:
self.logger.error('getCurrencyField error! currency=%s' % (currency,rt))
rt = ''
return rt
'''
def getCurrencyFieldOLD(self,currency=None,product=None,exchange=None): # 表格要求 区分 ＵＳＤ和 USD-LME
if (currency):
rt = currency
if (product):
rt = self.getProductCurrence(product)
else:
if (exchange=='LME'):
rt = "USD-LME"
if (rt == "USD-LME" and currency <> 'USD'):
self.logger.error('getCurrencyField error! currency=%s and result=%s' % (currency,rt))
return rt
'''
def getSettlerName(self,p_v):
m_settler = strip(p_v)
if settlers.has_key(m_settler):
rt = settlers[m_settler]
else:
rt = ''
self.logger.error('SettlerName error! value=%s' % m_settler)
return rt
def getBankCode(self,p_v):
m_bank = strip(p_v)
if banks.has_key(m_bank):
rt = banks[m_bank][0]
else:
rt = '99'
self.logger.error('getBankCode error! value=%s' % m_bank)
return rt
def getSDateField(self,p_date=''):
m_d = self.dateOfFileName
m_date = strip(p_date)
if (m_date):
m_d = m_date
if (len(m_d) > 8): #可能带入的已经是 格式：YYYY-MM-DD
d = m_d
else:
#结算日期 Date N 格式：YYYY-MM-DD
d = '-'.join((m_d[:4],m_d[4:6],m_d[6:]))
return d
def getTradeRefField(self,p_date):
if (p_date):
if (p_date[0] == '*'):
return p_date[1:]
else:
return p_date
else:
self.logger.error('getTradeRefField error! value=None')
return ''
def getDescriptionField(self,p_product,p_date):
m_date = strip(p_date)
if (not m_date):
return ''
if ('-' in m_date):
t_d = m_date.split('-')
elif ('/' in m_date):
t_d = m_date.split('/')
else:
dl = len(m_date)
if ( dl == 6): #格式：YYYYMM
t_d = (int(m_date[:4]),int(m_date[4:]),0)
elif (dl == 8):
#结算日期 Date N 格式：YYYYMMDD
t_d = (int(m_date[:4]),int(m_date[4:6]),int(m_date[6:]))
else:
t_d = (0,0,0)
rt = ''
t_d_s = (("%04i" % t_d[0])[2:],"%02i" % t_d[1],"%02i" % t_d[2])
if (self.getProductExchange(p_product)=='LME'):
rt = t_d_s[0]+t_d_s[1]+t_d_s[2]
else:
rt = t_d_s[0]+t_d_s[1]
#if (t_d[2]):
# rt = t_d_s[0]+t_d_s[1]+t_d_s[2]
#else:
# rt = t_d_s[0]+t_d_s[1]
return self.getProduct(p_product)+rt
def getPromptDateField(self,p_date,p_product=None):
m_dfstr = "%04i-%02i-%02i"
m_date = strip(p_date)
if (not m_date):
return ''
if ('-' in m_date):
t_d = m_date.split('-')
elif ('/' in m_date):
t_d = m_date.split('/')
else:
dl = len(m_date)
if ( dl == 6): #格式：YYYYMM
t_d = (int(m_date[:4]),int(m_date[4:]),0)
elif (dl == 8):
#结算日期 Date N 格式：YYYYMMDD
t_d = (int(m_date[:4]),int(m_date[4:6]),int(m_date[6:]))
else:
t_d = (0,0,0)
rt = ''
if (p_product):
if (self.getProductExchange(p_product)=='LME'):
rt = m_dfstr % t_d
else:
if (t_d[2]):
rt = m_dfstr % t_d
else:
ld = calendar.monthrange(t_d[0],t_d[1])
ldw = (ld[1]-1 + ld[0]) % 7
if (ldw > 4):
rt = m_dfstr % (t_d[0],t_d[1],ld[1]-(ldw - 4))
else:
rt = m_dfstr % (t_d[0],t_d[1],ld[1])
else:
rt = m_dfstr % t_d
return rt
def dealCR(self): # 计算汇率表
self.currencyRate={}
for (c,rs) in self.dailyAccountSummary:
for r in rs:
if (not self.currencyRate.has_key(strip(r['Currency']))):
self.currencyRate[strip(r['Currency'])] = r['Exchange Rate']
def splitDescription(self,p_v): # 新的ＸＬＳ文件定义了Description字段，把合约和到期日合并在一起，需要分开
# 错误修改， 需要考虑 期权的情况，格式为 ESO / 201409 / Put 1,870.00
(prod,prompt)=('','')
try :
rt = p_v.split('/')
if (len(rt)==2):
(prod,prompt)= rt
if (len(rt)==3):
(prod,prompt,price)= rt
(m_type,m_price) = strip(price).split(' ')
except Exception,e:
self.logger.error('splitDescription error! value=%s' % p_v)
return (strip(prod),strip(prompt))
def spliteDateTime(self,p_v): # 新的ＸＬＳ文件定义了TradeDate字段，把日期和时间合并在一起，需要分开
(m_date,m_time) = ('0000-00-00','00:00:00')
if (type(p_v) == float): # 发现新表会出现为linux时间的数据，要转换
m_v_t = xlrd.xldate_as_tuple(p_v, 0)
m_date = "%04i-%02i-%02i" % m_v_t[:3]
m_time = "%02i:%02i:%02i" % m_v_t[3:]
else:
m_v = strip(p_v)
try :
(m_date,m_time)=m_v.split(' ')
except Exception,e:
self.logger.error('spliteDateTime error! value=%s, msg:%s' % (p_v,e))
return (m_date,m_time)
def getTimeUTC8(self,p_v): #得到北京时间
return p_v
def dealExchangRec(self):
m_fmf = self.fundMovementFullDetails
ret=[]
for (c,rs) in m_fmf:
m_er = []
for r in rs:
if ('CCY TRANSFER' == strip(r['Transaction Type'])):
m_er.append(r)
for r2 in m_er:
rs.remove(r2)
ret.append((c,m_er))
self.exchangeRecord = ret
def lmeUCP(self):
ucp = self.unsettledClosedPositions
ret={}
for (c,rs) in ucp:
ucppl = {}
for r in rs:
if (ucppl.has_key(strip(r['Product']))):
ucppl[strip(r['Product'])]= ucppl[strip(r['Product'])] + r['No of Lots(buy)'] * (r['Average Trading price(sell)'] - r['Average Trading price(buy)'])
else:
ucppl[strip(r['Product'])]= r['No of Lots(buy)'] * (r['Average Trading price(sell)'] - r['Average Trading price(buy)'])
ret[c] = ucppl
self.unsettledClosedPositionPL = ret
def getlmeUCPPL(self,acc): #需要完善，确保只有ＬＭＥ的数据
if (self.unsettledClosedPositionPL.has_key(acc)):
pls = self.unsettledClosedPositionPL[acc]
return sum(pls.values())
else:
return 0.00
def getFieldString(self,value,width=4,precision=2):
if (isinstance(value,str)):
return strip(value)
if (isinstance(value,int)):
return "%*.*f" % (width,precision,value)
if (isinstance(value,float)):
return "%*.*f" % (width,precision,value)
return strip(str(value))
def getProductMulti(self,prod):
m_prod = strip(str(prod))
if (pil_name.has_key(m_prod)):
return dict(zip(pil_vtitle,pil_name[m_prod]))['Multiplier']
else:
self.logger.error('ticker_name has no key:%s' % m_prod)
return 1
def getProduct(self,prod):
m_prod = strip(str(prod))
if (pil_name.has_key(m_prod)):
rt = dict(zip(pil_vtitle,pil_name[m_prod]))['CMF_CODE']
if (not rt):
self.logger.error('Products has None key, Please correct it!:%s' % m_prod)
rt = dict(zip(pil_vtitle,pil_name[m_prod]))['Underlying']
return rt
else:
self.logger.error('Products has no key:%s' % m_prod)
return ''
def getProductCurrence(self,prod):
m_prod = strip(str(prod))
if (pil_name.has_key(m_prod)):
#if (pil_name[m_prod][1] == 'LME'):
# return "USD-LME"
#else:
# return pil_name[m_prod][3]
return pil_name[m_prod][3]
else:
self.logger.error('ProductsCurrence has no key:%s' % m_prod)
return ''
'''
def getProductCurrenceOLD(self,prod):
m_prod = strip(str(prod))
if (pil_name.has_key(m_prod)):
if (pil_name[m_prod][1] == 'LME'):
return "USD-LME"
else:
return pil_name[m_prod][3]
else:
self.logger.error('ProductsCurrence has no key:%s' % m_prod)
return ''
'''
def getProductExchange(self,prod):
m_prod = strip(str(prod))
if (pil_name.has_key(m_prod)):
return self.getExchName(pil_name[m_prod][1])
else:
self.logger.error('ProductExchange has no key:%s' % m_prod)
return 'UN'
def getExchName(self,exch):
m_exch = strip(str(exch))
if (exch_name.has_key(m_exch)):
return exch_name[m_exch][0]
else:
self.logger.error('Exchanges has no key:%s' % m_exch)
return ''
def getFileName(self,fnfmt):
fn = '%s%s_f%s.txt' % (self.flagCompany,fnfmt,self.dateOfFileName)
return fn
def getTxtFileWriteHandle(self,fname):
fh=StringIO.StringIO()
self.txtFiles.append((fname,fh))
return fh
def customer(self): #客户基本资料数据文件
#Fees & Levy 不太清楚填哪
fn = self.getFileName('customer')
f = self.getTxtFileWriteHandle(fn)
self.logger.info('begin deal customer')
for (c,rs) in self.dailyAccountSummary:
rs_idx = 1
rs_cc = len(rs)
for r in rs:
fields=[]
fields.append(self.getSDateField()) #结算日期 Date N 格式：YYYY-MM-DD
fields.append('招商基金管理有限公司') #客户名称 char(60) N
fields.append('') #身份证 char(40) Y 自然人客户的身份证号码。如果是法人客户，此字段为空
fields.append(c) #客户内部资金账户 char(18) N
fields.append('') #客户统一开户编码 char(8) N 客户在统一开户系统中的编码
fields.append('深圳') #所在地 char(40) N
fields.append('深圳深南大道7088号') #通讯地址 char(100) N
fields.append('518040') #邮政编码 char(6) N
fields.append('008675583073042') #联系电话 char(60) N
fields.append('a') #开户和销户标志 char N 已开户的客户 a，当日销户的客户 d
fields.append('1') #客户类型 char N 0：自然人；1：法人；9：其它
fields.append('2014-09-01') #客户开户日期 Date N 客户开户并生效的实际日期，（并非预开户日期），格式：YYYY-MM-DD
fields.append('cmfchina0001') #组织机构代码证号 char(40) Y 法人客户的组织机构代码证号。如果是自然人客户，此字段为空
fields.append('I20140001') #营业执照号 char(40) Y 法人客户的营业执照号。如果是自然人客户，此字段为空
fields.append('王立立') #开户授权人名称 char(40) Y 开户授权人的姓名。如果系统中暂时无此字段，可以为空
fields.append('') #开户授权人身份证 char(40) Y 开户授权人的身份证号码。如果系统中暂时无此字段，可以为空
fields.append('a') #客户名称 char(40) N a表示活跃客户，d表示休眠客户
#客户基本资料里面各主要字段（如：客户名称，所在地，通讯地址，联系电话）如果内容出现半角@字符，一律替换为 &at;
#2012-01-04@胜利公司@@0001@12345678@上海市@上海市浦电路700号@200122@02168400901@a@N@1@2011-11-10@710685288@985321456221@王小二@110107196910275011@a
fs = [self.getFieldString(i) for i in fields]
ln = '@'.join(fs)
f.write(ln+'\n')
rs_idx= rs_idx + 1
self.logger.info('end deal cusfund')
def cusfund(self): #客户基本资金数据文件
fn = self.getFileName('cusfund')
f = self.getTxtFileWriteHandle(fn)
self.logger.info('begin deal cusfund')
for (c,rs) in self.dailyAccountSummary:
rs_idx = 1
rs_cc = len(rs)
for r in rs:
fields=[]
fields.append(self.getSDateField()) #结算日期 Date N 格式：YYYY-MM-DD
fields.append(c) #客户内部资金账户 char(18) N
fields.append('') #客户统一开户编码 char(8) Y 客户在统一开户系统中的编码
m_isUSD = r['Currency']=='USD'
fields.append(r['Currency']) #币种 Char(7) N 按照ISO 4217; 例如:USD; JPY，如为LME美元则填写USD-LME
if (rs_idx < rs_cc):
ccc = 'N'
else:
ccc = 'Y'
fields.append(ccc) #是否为基准货币 Char(1) N Y- 该条数据为折合成基准货币的资金数据 N-该条数据为分币种资金数据（含美元）
fields.append(r['Open Balance']) #上日结存（逐笔对冲） Number(14,2) Y
fee = -(r['Commission']+r['Fees & Levy'])
fields.append(fee) #手续费 Number(14,2) N 包括当日所有产生佣金、手续费、协会费用等
fields.append('0.00') #汇兑手续费 Number(14,2) N 当日换汇所产生的手续费
fields.append(r['Trading P/(L)']) #平仓盈亏（逐笔对冲） Number(14,2) N 逐笔对冲下的平仓盈亏包括当日所有平仓合约及LME到期合约的盈亏
fields.append(r['Deposit / (Withdrawal)']) #出入金 Number(14,2) N 当日资金出入、资金调整总额及交割货款
fields.append('0.00') #权利金 Number(14,2) N
fields.append(r['Closing Balance']) #当日结存（逐笔对冲） Number(14,2) N 期末结存=期初结存-手续费-汇兑手续费+平仓盈亏+出入金+权利金
m_pl = r['Gross Floating P/(L)']
if (m_isUSD):
m_pl = m_pl - self.getlmeUCPPL(c)
fields.append(m_pl) #浮动盈亏（逐笔对冲）不包含LME未到账盈亏 Number(14,2) N 逐笔对冲方式计算的浮动盈亏 浮动盈亏=∑（结算价-开仓价）*持仓量*单位
#此处要判断是否美元帐户，是的话再看有没有平仓未到期合约
m_eq = r['Equity']
if (m_isUSD):
m_eq = m_eq - self.getlmeUCPPL(c)
fields.append(m_eq) #期末权益（不含期权、LME） Number(14,2) N 期末权益=期末结存+浮动盈亏
fields.append('0.00') #期权市值 Number(14,2) N 期权市值=∑权利金结算价*持仓量*单位
m_wdzyy = 0.00
if (m_isUSD):
m_wdzyy = self.getlmeUCPPL(c)
fields.append(m_wdzyy) #LME的未到帐盈亏（LME变动保证金） Number(14,2) N LME的未到帐盈亏=∑(结算价-开仓价)*持仓量*单位
fields.append('0.00') #LME贴现后的变动保证金 Number(14,2) N LME贴现后的变动保证金值
fields.append(-r['Initial Margin']) #客户初始保证金 Number(14,2) N
fields.append('0.00') #质押资金 Number(14,2) N 包括所有质押品的市值
fields.append(-r['Maintenance Margin']) #客户维持保证金 Number(14,2) N 一般情况是初始保证金的80%
fields.append(-r['Initial Margin']) #上手维持保证金 Number(14,2) Y 待定
m_kyzj = m_eq + r['Initial Margin']
if (m_isUSD):
m_kyzj = m_kyzj + self.getlmeUCPPL(c)
fields.append(m_kyzj) #可用资金 Number(14,2) N 可用资金=期末权益-初始保证金+ LME的未到帐盈亏
m_mc = 0.00
if (r['Margin (Call)/Excess'] < 0):
m_mc = r['Margin (Call)/Excess']
fields.append(m_mc) #需追加保证金 Number(14,2) N 追加资金=客户维持保证金-期末权益
fields.append('0.00') #风险度 Number(14,2) Y 风险度=客户维持保证金/账户市值 去掉百分号，如46表示46％
fields.append(r['Equity']) #账户市值 Number(14,2) N 账户市值=期末权益+期权市值+LME变动保证金
m_ec = r['Exchange Rate']
#if (not m_isUSD):
# #m_ec = r['Exchange Rate'] #如何计算美元的汇率？
# m_ec = 0.00
fields.append(m_ec) #汇率 Number(14,8) N 各币种转换成美元的汇率, 同王立立商量了，填成换基础货币的汇率
fields.append(r['Equity']) #按美元计算的账户市值 Number(14,2) N 各币种按汇率计算后的账户市值。 同王立立商量了，填成换基础货币的汇率
fields.append('0.00') #其它特殊资金 Number(14,2) Y 例如：交割货款等其他引起资金变动的金额合计值
# 2012-01-04@0001@12345678@JPY@N@2000000.00@0.00@0.00@0.00@0.00@0.00@2000000.00@0.00@200000.00@0.00@0.00@0.00@0.00@0.00@0.00@0.00@2000000.00@0.00@0@2000000.00@0.0121@24200@0.00
fs = [self.getFieldString(i) for i in fields]
ln = '@'.join(fs)
f.write(ln+'\n')
rs_idx= rs_idx + 1
self.logger.info('end deal cusfund')
def fundchg(self): #客户出入金记录文件
# 差一个汇畜率不知填在哪
fn = self.getFileName('fundchg')
f = self.getTxtFileWriteHandle(fn)
self.logger.info('begin deal fundchg')
for (c,rs) in self.fundMovementFullDetails:
for r in rs:
fields=[]
fields.append(self.getSDateField()) #结算日期 Date N 格式：YYYY-MM-DD
fields.append(c) #客户内部资金账户 char(18) N
fields.append('') #客户统一开户编码 char(8) Y 客户在统一开户系统中的编码
fields.append('C') #流水描述 Char(1) N 出入金Debit/Credit-C；汇兑Exchange-E；资金调整Adjustment-A；交割货款Delivery-D
fields.append(r['Withdrawal']) #入金 Number(14,2) N
fields.append(r['Deposit']) #出金 Number(14,2) N
fields.append(r['Currency']) #币种 char(7) N 按照ISO 4217; 例如:USD; JPY，如为LME美元则填写USD-LME
fields.append('99') #客户期货结算账户银行统一标识 char(2) Y 具体见数据字典银行编号部分
fields.append('') #客户期货结算账户 char(22) Y 人民币或外币结算账户
fields.append('W') #客户本外币账户标识 char Y 人民币账户-L 境内外币期货结算账户-W
fields.append(self.getBankCode(r['Bank'])) #公司保证金专用账户银行统一标识 char(2) Y 具体见数据字典银行编号部分
fields.append('') #期货公司在境内结算银行开立境内保证金专户 char(22) Y 人民币保证金专户及外汇专户
fields.append('F') #公司本外币账户标识 char Y 人民币账户-L 境外外币保证金账户-F 境内外币保证金账户-J
#2012-01-04@0001@12345678@C@0.00@500000.00@USD@03@1234567890123@W@03@8888888888888@J
fs = [self.getFieldString(i) for i in fields]
ln = '@'.join(fs)
f.write(ln+'\n')
self.logger.info('end deal fundchg')
'''
def fundchgOLD(self): #客户出入金记录文件 原三个字段的项，弃用