From 010d65504a6118f34fdbccd2786b2fb3c243307a Mon Sep 17 00:00:00 2001 From: vipg Date: Sat, 18 Jul 2026 17:35:05 +0800 Subject: [PATCH] =?UTF-8?q?=E6=96=B0=E5=A2=9E=E8=A1=8C=E6=83=85=E6=9F=A5?= =?UTF-8?q?=E8=AF=A2=E3=80=81=E4=BB=B7=E5=B7=AE=E5=9B=BE=E8=A1=A8=E5=92=8C?= =?UTF-8?q?=20spread=20=E5=88=86=E6=9E=90=E8=A1=A8?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit Co-Authored-By: Claude Opus 4.7 --- chart.html | 121 +++++++++++++++++++++++++++++++++++++++++++ chart.py | 149 +++++++++++++++++++++++++++++++++++++++++++++++++++++ quote.py | 87 +++++++++++++++++++++++++++++++ update.py | 126 ++++++++++++++++++++++++++------------------ 4 files changed, 434 insertions(+), 49 deletions(-) create mode 100644 chart.html create mode 100644 chart.py create mode 100644 quote.py diff --git a/chart.html b/chart.html new file mode 100644 index 0000000..4cb0bc7 --- /dev/null +++ b/chart.html @@ -0,0 +1,121 @@ + + + + + +玻璃期货 spread 走势 + + + + +

玻璃期货 — 合约链差价 & 主力合约日内涨跌

+ +
+ +
+ +
+ + + + \ No newline at end of file diff --git a/chart.py b/chart.py new file mode 100644 index 0000000..62d4cd1 --- /dev/null +++ b/chart.py @@ -0,0 +1,149 @@ +""" +生成 spread 数据图表（HTML）。 +用法: python3 chart.py +""" +import sqlite3 +import json + +DB_PATH = "/Users/vipg/Documents/futures-data-warehouse/db/futures.db" + +def main(): + conn = sqlite3.connect(DB_PATH) + rows = conn.execute( + "SELECT trade_date, spread, main_chg FROM spread ORDER BY trade_date" + ).fetchall() + conn.close() + + dates = [r[0] for r in rows] + spreads = [r[1] for r in rows] + chgs = [r[2] if r[2] is not None else None for r in rows] + + html = f""" + + + + +玻璃期货 spread 走势 + + + + +

玻璃期货 — 合约链差价 & 主力合约日内涨跌

+ +
+ +
+ +
+ + + +""" + + out_path = "/Users/vipg/Documents/futures-data-warehouse/chart.html" + with open(out_path, "w") as f: + f.write(html) + print(f"已生成: {out_path}") + +if __name__ == "__main__": + main() diff --git a/quote.py b/quote.py new file mode 100644 index 0000000..1e28ac4 --- /dev/null +++ b/quote.py @@ -0,0 +1,87 @@ +""" +查询指定交易日玻璃期货主力合约行情。 +用法: python3 quote.py 20260717 +""" +import sqlite3 +import sys +from datetime import datetime + +DB_PATH = "/Users/vipg/Documents/futures-data-warehouse/db/futures.db" + +def main(): + if len(sys.argv) < 2: + print("用法: python3 quote.py YYYYMMDD") + sys.exit(1) + + date_str = sys.argv[1] + try: + datetime.strptime(date_str, "%Y%m%d") + except ValueError: + print(f"日期格式错误: {date_str}，应为 YYYYMMDD") + sys.exit(1) + + conn = sqlite3.connect(DB_PATH) + + count = conn.execute( + "SELECT COUNT(*) FROM daily WHERE trade_date=?", (date_str,) + ).fetchone()[0] + if count == 0: + import urllib.request, json + req_data = json.dumps({ + "api_name": "trade_cal", + "token": "76efd8465f9f2591aa42a385268e06acf6b80b7a15be2267ad2281b7", + "params": {"exchange": "CZCE", "start_date": date_str, "end_date": date_str}, + "fields": "cal_date,is_open", + }).encode() + resp = json.loads(urllib.request.urlopen( + urllib.request.Request("https://api.tushare.pro", data=req_data, + headers={"Content-Type": "application/json"}) + ).read()) + is_open = resp.get("data", {}).get("items", [[None, None]])[0][1] + if is_open == 1: + print(f"{date_str} 是交易日，但数据库尚无数据（需先运行 update.py 拉取）") + elif is_open == 0: + print(f"{date_str} 非交易日") + else: + print(f"{date_str} 无数据") + conn.close() + sys.exit(1) + + rows = conn.execute(""" + SELECT d.ts_code, d.open, d.high, d.low, d.close + FROM daily d + JOIN contracts c ON d.ts_code = c.ts_code + WHERE d.trade_date = ? + AND c.delist_date > ? + AND d.oi > 0 + ORDER BY c.delist_date + """, (date_str, date_str)).fetchall() + + if not rows: + print(f"{date_str} 无活跃合约数据") + conn.close() + sys.exit(1) + + print(f"\n{date_str} 玻璃期货") + print(f"{'合约':>12} 收盘价 差价") + print("-" * 34) + prev = None + total_diff = 0.0 + for r in rows: + close = float(r[4]) if r[4] is not None and r[4] != "" else None + close_str = f"{close:.1f}" if close else "-" + diff = "" + if close is not None and prev is not None: + d = close - prev + diff = f"{d:+.1f}" + total_diff += d + print(f"{r[0]:>12} {close_str:>7} {diff:>6}") + if close is not None: + prev = close + print("-" * 34) + print(f"{'差价合计':>20} {total_diff:+.1f}") + + conn.close() + +if __name__ == "__main__": + main() diff --git a/update.py b/update.py index d150b6c..1902089 100644 --- a/update.py +++ b/update.py @@ -20,40 +20,22 @@ FUT_DAILY_FIELDS = [ ] -def is_trading_day(exchange="CZCE"): - """检查指定交易所今天是否开市""" - today = datetime.now().strftime("%Y%m%d") - rows = tushare_query( - "trade_cal", - params={"exchange": exchange, "start_date": today, "end_date": today}, - fields="cal_date,is_open", - ) - if rows: - return rows[0]["is_open"] == "1" - # 查不到（未来日期未更新）时保守放行 - return True - - def tushare_query(api_name, params=None, fields=None): req = {"api_name": api_name, "token": TOKEN} if params: req["params"] = params if fields: req["fields"] = fields - resp = requests.post(API_URL, json=req) data = resp.json() - if data["code"] != 0: raise Exception(f"API error ({data['code']}): {data['msg']}") - fields_list = data["data"]["fields"] items = data["data"]["items"] return [dict(zip(fields_list, item)) for item in items] def is_trading_day(exchange="CZCE"): - """检查指定交易所今天是否开市""" today = datetime.now().strftime("%Y%m%d") rows = tushare_query( "trade_cal", @@ -62,7 +44,7 @@ def is_trading_day(exchange="CZCE"): ) if rows: return rows[0]["is_open"] == "1" - return True # 查不到时保守放行 + return True # ── 合约列表 ────────────────────────────────── @@ -88,18 +70,12 @@ def get_all_contracts(exchange, fut_code): # ── 增量更新 CSV ────────────────────────────── def update_contract_csv(fut_code, contract): - """ - 增量更新单份合约 CSV。 - 从已有数据的最后交易日重新拉取（含该日），实现补漏 + 修正。 - 返回新增/修改的行，或 None（无变化）。 - """ ts_code = contract["ts_code"] csv_name = ts_code.split(".")[0] + ".csv" out_dir = os.path.join(DATA_DIR, fut_code) csv_path = os.path.join(out_dir, csv_name) os.makedirs(out_dir, exist_ok=True) - # 读取已有数据，获取最后交易日 existing = [] if os.path.exists(csv_path): with open(csv_path) as f: @@ -108,7 +84,6 @@ def update_contract_csv(fut_code, contract): last_date = existing[-1]["trade_date"] if existing else None - # 从最后交易日开始拉取（包含该日，以便修正） params = {"ts_code": ts_code} if last_date: params["start_date"] = last_date @@ -120,7 +95,6 @@ def update_contract_csv(fut_code, contract): rows.sort(key=lambda r: r["trade_date"]) if not existing: - # 全新合约 with open(csv_path, "w", newline="") as f: w = csv.DictWriter(f, fieldnames=FUT_DAILY_FIELDS) w.writeheader() @@ -128,14 +102,10 @@ def update_contract_csv(fut_code, contract): return rows if rows[0]["trade_date"] == last_date: - # 最后交易日可能有修正 → 替换最后一行再追加 existing = existing[:-1] merged = existing + rows - elif rows[0]["trade_date"] > last_date: - # 纯新增数据 - merged = existing + rows else: - merged = existing + rows # 安全兜底 + merged = existing + rows with open(csv_path, "w", newline="") as f: w = csv.DictWriter(f, fieldnames=FUT_DAILY_FIELDS) @@ -146,7 +116,6 @@ def update_contract_csv(fut_code, contract): def update_all_contracts(fut_code, contracts): - """批量增量更新，返回所有有变化的行""" all_new = [] for c in contracts: code = c["ts_code"].split(".")[0] @@ -165,27 +134,21 @@ def update_all_contracts(fut_code, contracts): def fetch_all_csv(fut_code, contracts): out_dir = os.path.join(DATA_DIR, fut_code) os.makedirs(out_dir, exist_ok=True) - for c in contracts: ts_code = c["ts_code"] csv_name = ts_code.split(".")[0] + ".csv" csv_path = os.path.join(out_dir, csv_name) - rows = tushare_query( - "fut_daily", - params={"ts_code": ts_code}, - fields=",".join(FUT_DAILY_FIELDS), + "fut_daily", params={"ts_code": ts_code}, fields=",".join(FUT_DAILY_FIELDS), ) if not rows: print(f" {csv_name:12s} 无数据，跳过") continue - rows.sort(key=lambda r: r["trade_date"]) with open(csv_path, "w", newline="") as f: w = csv.DictWriter(f, fieldnames=FUT_DAILY_FIELDS) w.writeheader() w.writerows(rows) - print(f" {csv_name:12s} {len(rows)} 条 ({rows[0]['trade_date']} ~ {rows[-1]['trade_date']})") time.sleep(0.3) @@ -196,9 +159,8 @@ def init_db(): conn = sqlite3.connect(DB_PATH) conn.execute(""" CREATE TABLE IF NOT EXISTS daily ( - ts_code TEXT NOT NULL, - trade_date TEXT NOT NULL, - pre_close REAL, pre_settle REAL, + ts_code TEXT NOT NULL, trade_date TEXT NOT NULL, + pre_close REAL, pre_settle REAL, open REAL, high REAL, low REAL, close REAL, settle REAL, change1 REAL, change2 REAL, vol REAL, amount REAL, oi REAL, oi_chg REAL, @@ -213,6 +175,18 @@ def init_db(): fut_code TEXT, list_date TEXT, delist_date TEXT ) """) + conn.execute(""" + CREATE TABLE IF NOT EXISTS spread ( + trade_date TEXT PRIMARY KEY, + spread REAL, + main_ts_code TEXT, + main_chg REAL + ) + """) + try: + conn.execute("ALTER TABLE spread ADD COLUMN main_chg REAL") + except sqlite3.OperationalError: + pass conn.commit() conn.close() @@ -232,7 +206,6 @@ def sync_contracts_to_db(fut_code, exchange, contracts): def sync_rows_to_db(rows): - """只同步有变化的行到 daily 表（增量更新用）""" if not rows: return conn = sqlite3.connect(DB_PATH) @@ -247,7 +220,6 @@ def sync_rows_to_db(rows): def sync_all_csv_to_db(): - """全量同步所有 CSV 到 daily 表（初始化用）""" conn = sqlite3.connect(DB_PATH) cursor = conn.cursor() for root, _, files in os.walk(DATA_DIR): @@ -270,6 +242,63 @@ def sync_all_csv_to_db(): conn.close() +def sync_spread(): + conn = sqlite3.connect(DB_PATH) + conn.row_factory = sqlite3.Row + dates = conn.execute("SELECT DISTINCT trade_date FROM daily ORDER BY trade_date").fetchall() + + count = 0 + for d in dates: + date_str = d["trade_date"] + rows = conn.execute(""" + SELECT d.ts_code, d.close, d.open, d.vol + FROM daily d + JOIN contracts c ON d.ts_code = c.ts_code + WHERE d.trade_date = ? + AND c.delist_date > ? + AND d.oi > 0 + ORDER BY c.delist_date + """, (date_str, date_str)).fetchall() + if len(rows) < 2: + continue + + closes = [] + main_ts = None + main_vol = -1 + main_chg = None + for r in rows: + try: + closes.append(float(r["close"])) + except (TypeError, ValueError): + closes.append(None) + if r["ts_code"][4:6] in ("01", "05", "09"): + v = r["vol"] + if v is not None and v > main_vol: + main_vol = v + main_ts = r["ts_code"] + try: + c = float(r["close"]) + o = float(r["open"]) + main_chg = c - o + except (TypeError, ValueError): + main_chg = None + + closes = [c for c in closes if c is not None] + if len(closes) < 2: + continue + + spread = closes[-1] - closes[0] + conn.execute( + "INSERT OR REPLACE INTO spread VALUES (?, ?, ?, ?)", + (date_str, spread, main_ts, main_chg), + ) + count += 1 + + conn.commit() + conn.close() + print(f" spread 表更新 {count} 个交易日") + + # ── 主入口 ──────────────────────────────────── FG_EXTRA_CODES = {f"FG{suffix}.ZCE" for suffix in @@ -290,7 +319,6 @@ FG_EXTRA_CODES = {f"FG{suffix}.ZCE" for suffix in if __name__ == "__main__": full_init = "--init" in sys.argv - init_db() active = get_active_contracts("CZCE", "FG") @@ -301,17 +329,16 @@ if __name__ == "__main__": contracts = active + extra print(f"全量初始化: {len(contracts)} 个合约") for c in contracts: - code = c["ts_code"].split(".")[0] - print(f" {code:8s} 上市:{c['list_date']} 退市:{c.get('delist_date','-')}") + print(f" {c['ts_code'].split('.')[0]:8s} 上市:{c['list_date']} 退市:{c.get('delist_date','-')}") fetch_all_csv("FG", contracts) sync_contracts_to_db("FG", "CZCE", contracts) sync_all_csv_to_db() + sync_spread() else: if not is_trading_day(): print("今天非交易日，无需更新") print("完成") sys.exit(0) - print(f"增量更新: {len(active)} 个活跃合约") new_rows = update_all_contracts("FG", active) if new_rows: @@ -320,4 +347,5 @@ if __name__ == "__main__": else: print(" 无新数据") + sync_spread() print("完成")