From dd1833c68e332d69b1dad095fc1702b959828c04 Mon Sep 17 00:00:00 2001 From: fish Date: Fri, 24 Jul 2026 14:02:49 +0800 Subject: [PATCH] =?UTF-8?q?=E6=96=B0=E5=A2=9E=E6=88=90=E4=BA=A4=E9=87=8F?= =?UTF-8?q?=E5=88=86=E6=9E=90=E6=A8=A1=E5=9D=97=EF=BC=9A=E4=BA=94=E5=A4=A7?= =?UTF-8?q?=E4=BA=A4=E6=98=93=E6=89=80=E5=89=8D20=E4=BC=9A=E5=91=98?= =?UTF-8?q?=E6=88=90=E4=BA=A4=E6=8C=81=E4=BB=93=E6=8E=92=E5=90=8D=E5=B7=A5?= =?UTF-8?q?=E5=85=B7?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- 成交量分析/__init__.py | 0 成交量分析/fetcher.py | 392 +++++++++++++++++++++++++++++++++++++++++ 2 files changed, 392 insertions(+) create mode 100644 成交量分析/__init__.py create mode 100644 成交量分析/fetcher.py diff --git a/成交量分析/__init__.py b/成交量分析/__init__.py new file mode 100644 index 0000000..e69de29 diff --git a/成交量分析/fetcher.py b/成交量分析/fetcher.py new file mode 100644 index 0000000..4c751dd --- /dev/null +++ b/成交量分析/fetcher.py @@ -0,0 +1,392 @@ +"""五大期货交易所前20会员成交持仓排名数据获取工具。 + +交易所对照: + - CZCE 郑商所 → get_rank_table_czce (玻璃FG、纯碱SA、甲醇MA等) + - SHFE 上期所 → get_shfe_rank_table (铜CU、铝AL、螺纹RB、原油SC等) + - DCE 大商所 → get_dce_rank_table (铁矿石I、豆粕M、棕榈P等) + - CFFEX 中金所 → get_cffex_rank_table (IF、IC、IH、T等) + - GFEX 广期所 → futures_gfex_position_rank (工业硅SI、碳酸锂LC等) + +交易所公布规则: + - CZCE: 同时公布品种汇总 + 各合约明细 + - SHFE/CFFEX: 只公布合约明细，品种汇总由函数自行加总 + - DCE: 只公布品种排名 + - GFEX: 公布合约明细 +""" + +import akshare as ak +import pandas as pd +from datetime import datetime, timedelta + +EXCHANGE_CODE = { + "CZCE": "CZCE", + "SHFE": "SHFE", + "DCE": "DCE", + "CFFEX": "CFFEX", + "GFEX": "GFEX", +} + +# 常见品种 -> 交易所映射 +VARIETY_EXCHANGE = { + # 郑商所 CZCE + "FG": "CZCE", "SA": "CZCE", "MA": "CZCE", "TA": "CZCE", + "RM": "CZCE", "OI": "CZCE", "ZC": "CZCE", "SF": "CZCE", + "SM": "CZCE", "UR": "CZCE", "PF": "CZCE", "PX": "CZCE", + "SH": "CZCE", "PR": "CZCE", "PL": "CZCE", "AP": "CZCE", + "CJ": "CZCE", "CY": "CZCE", "PK": "CZCE", "CF": "CZCE", + "SR": "CZCE", + # 上期所 SHFE + "CU": "SHFE", "AL": "SHFE", "ZN": "SHFE", "PB": "SHFE", + "NI": "SHFE", "SN": "SHFE", "AU": "SHFE", "AG": "SHFE", + "RB": "SHFE", "HC": "SHFE", "WR": "SHFE", "FU": "SHFE", + "BU": "SHFE", "RU": "SHFE", "SC": "SHFE", "NR": "SHFE", + "SP": "SHFE", "SS": "SHFE", "LU": "SHFE", "BC": "SHFE", + "AO": "SHFE", "BR": "SHFE", "EC": "SHFE", + # 大商所 DCE + "C": "DCE", "CS": "DCE", "A": "DCE", "B": "DCE", + "M": "DCE", "Y": "DCE", "P": "DCE", "FB": "DCE", + "BB": "DCE", "JD": "DCE", "L": "DCE", "V": "DCE", + "PP": "DCE", "J": "DCE", "JM": "DCE", "I": "DCE", + "EG": "DCE", "RR": "DCE", "EB": "DCE", "PG": "DCE", + "LH": "DCE", "LG": "DCE", "BZ": "DCE", + # 中金所 CFFEX + "IF": "CFFEX", "IC": "CFFEX", "IH": "CFFEX", "IM": "CFFEX", + "T": "CFFEX", "TF": "CFFEX", "TS": "CFFEX", "TL": "CFFEX", + # 广期所 GFEX + "SI": "GFEX", "LC": "GFEX", "PS": "GFEX", +} + +# 各交易所的品种代码列表（用于 get_rank_sum） +ALL_VARS_CZCE = ["WH","PM","CF","SR","TA","OI","RI","MA","FG","RS","RM","ZC", + "JR","LR","SF","SM","WT","TC","GN","RO","ER","SRX","SRY", + "WSX","WSY","CY","AP","UR","CJ","SA","PK","PF","PX","SH","PR","PL"] +ALL_VARS_DCE = ["C","CS","A","B","M","Y","P","FB","BB","JD","L","V","PP", + "J","JM","I","EG","RR","EB","PG","LH","LG","BZ"] +ALL_VARS_SHFE = ["CU","AL","ZN","PB","NI","SN","AU","AG","RB","WR","HC", + "FU","BU","RU","SC","NR","SP","SS","LU","BC","AO","BR","EC"] +ALL_VARS_CFFEX = ["IF","IC","IM","IH","T","TF","TS","TL"] +ALL_VARS_GFEX = ["SI","LC","PS"] + +# 没有统一字段名映射时用的 to_int 辅助 +def _to_int(x): + if isinstance(x, str): + return int(x.replace(",", "")) + return int(x) + + +# --------------------------------------------------------------------------- +# 底层接口，按交易所获取当日前20排名 +# --------------------------------------------------------------------------- + +def fetch_top20(date: str = None, exchange: str = None, variety: str = None) -> pd.DataFrame: + """获取指定交易日该品种的前20会员成交持仓排名。 + + 主力合约检测调用 :func:`main_contract`，本函数自动定位。 + + Parameters + ---------- + date : str or None + 交易日，格式 YYYY-MM-DD 或 YYYYMMDD。None 表示最新。 + exchange : str or None + 交易所代码（CZCE/SHFE/DCE/CFFEX/GFEX）。None 时从 variety 推算。 + variety : str + 品种代码（如 "FG", "RB", "I", "IF"）。如果为 None 则返回全品种。 + + Returns + ------- + pd.DataFrame + 前20会员排名数据。 + 列：rank, party_name, vol, vol_chg, + long_party_name, long_open_interest, long_open_interest_chg, + short_party_name, short_open_interest, short_open_interest_chg, + symbol, exchange + """ + if exchange is None and variety is not None: + exchange = VARIETY_EXCHANGE.get(variety.upper()) + if exchange is None: + raise ValueError(f"未知品种 {variety}，请指定 exchange 参数") + + if exchange == "CZCE": + return _fetch_czce(date, variety) + elif exchange == "SHFE": + return _fetch_shfe(date, variety) + elif exchange == "DCE": + return _fetch_dce(date, variety) + elif exchange == "CFFEX": + return _fetch_cffex(date, variety) + elif exchange == "GFEX": + return _fetch_gfex(date, variety) + else: + raise ValueError(f"不支持的交易所: {exchange}") + + +def _fetch_czce(date=None, variety=None): + rank = ak.get_rank_table_czce(date=date) + if variety: + variety = variety.upper() + if variety in rank: + # 品种级别汇总 + return _normalize_czce(rank[variety], variety, "CZCE") + # 合约级别: 找到该品种的所有合约 + contract_keys = [k for k in rank if k.startswith(variety) and k != variety] + if not contract_keys: + raise ValueError(f"未找到品种 {variety} 的数据") + # 返回汇总版 + return _normalize_czce(rank.get(variety, pd.DataFrame()), variety, "CZCE") + else: + # 全部品种 - 返回汇总 + return rank # dict, 调用方自己处理 + + +def _fetch_shfe(date=None, variety=None): + vars_list = [variety.upper()] if variety else None + rank = ak.get_shfe_rank_table(date=date, vars_list=vars_list) + # SHFE 返回 dict: {合约代码: DataFrame} + rows = [] + for symbol, df in rank.items(): + for _, r in df.iterrows(): + rows.append({ + "rank": int(r["名次"]), + "party_name": r["会员简称"], + "vol": r["成交量"], + "vol_chg": r["成交量增减"], + "long_party_name": r["持买单量-会员简称"], + "long_open_interest": r["持买单量-合计"], + "long_open_interest_chg": r["持买单量-增减"], + "short_party_name": r["持卖单量-会员简称"], + "short_open_interest": r["持卖单量-合计"], + "short_open_interest_chg": r["持卖单量-增减"], + "symbol": symbol, + }) + df = pd.DataFrame(rows) + if variety: + df = df[df["symbol"].str.startswith(variety.upper())] + return df + + +def _fetch_dce(date=None, variety=None): + vars_list = [variety.upper()] if variety else None + rank = ak.get_dce_rank_table(date=date, vars_list=vars_list) + rows = [] + for symbol, df in rank.items(): + for _, r in df.iterrows(): + rows.append({ + "rank": int(r["名次"]), + "party_name": r["会员简称"], + "vol": r["成交量"], + "vol_chg": r["成交量增减"], + "long_party_name": r["持买单-会员简称"], + "long_open_interest": r["持买单"], + "long_open_interest_chg": r["持买单增减"], + "short_party_name": r["持卖单-会员简称"], + "short_open_interest": r["持卖单"], + "short_open_interest_chg": r["持卖单增减"], + "symbol": symbol, + }) + return pd.DataFrame(rows) + + +def _fetch_cffex(date=None, variety=None): + vars_list = [variety.upper()] if variety else None + rank = ak.get_cffex_rank_table(date=date, vars_list=vars_list) + rows = [] + for symbol, df in rank.items(): + for _, r in df.iterrows(): + rows.append({ + "rank": int(r["名次"]), + "party_name": r["会员简称"], + "vol": r["成交量"], + "vol_chg": r["成交量增减"], + "long_party_name": r["持买单-会员简称"], + "long_open_interest": r["持买单-合计"], + "long_open_interest_chg": r["持买单-增减"], + "short_party_name": r["持卖单-会员简称"], + "short_open_interest": r["持卖单-合计"], + "short_open_interest_chg": r["持卖单-增减"], + "symbol": symbol, + }) + return pd.DataFrame(rows) + + +def _fetch_gfex(date=None, variety=None): + vars_list = [variety.upper()] if variety else None + rank = ak.futures_gfex_position_rank(date=date, vars_list=vars_list) + rows = [] + if isinstance(rank, dict): + for symbol, df in rank.items(): + for _, r in df.iterrows(): + rows.append({ + "rank": int(r["名次"]), + "party_name": r["会员简称"], + "vol": r["成交量"], + "vol_chg": r["成交量增减"], + "long_party_name": r["持买单-会员简称"], + "long_open_interest": r["持买单-合计"], + "long_open_interest_chg": r["持买单-增减"], + "short_party_name": r["持卖单-会员简称"], + "short_open_interest": r["持卖单-合计"], + "short_open_interest_chg": r["持卖单-增减"], + "symbol": symbol, + }) + return pd.DataFrame(rows) + + +def _normalize_czce(df, variety, exchange): + """标准化 CZCE 品种汇总 DataFrame 字段名""" + df = df.copy() + df["symbol"] = df.get("symbol", variety) + df["exchange"] = exchange + return df + + +# --------------------------------------------------------------------------- +# 主力合约检测 +# --------------------------------------------------------------------------- + +def main_contract(variety: str, date: str = None) -> str: + """检测该品种在指定交易日的主力合约代码。 + + 逻辑：成交量/持仓量最大的合约即为主力。 + """ + variety = variety.upper() + exchange = VARIETY_EXCHANGE.get(variety) + if exchange is None: + raise ValueError(f"未知品种 {variety}") + + rank = ak.get_rank_table_czce(date=date) if exchange == "CZCE" else {} + if exchange == "CZCE": + # CZCE: 合约级别的 key 是 品种+年月 (FG609), 品种级是 FG + contract_keys = [k for k in rank if k.startswith(variety) and k != variety] + if not contract_keys: + raise ValueError(f"未找到品种 {variety} 的合约数据") + vols = {} + for ck in contract_keys: + df = rank[ck] + vol_sum = df["vol"].apply(_to_int).sum() + vols[ck] = vol_sum + return max(vols, key=vols.get) + else: + # 其他交易所：通过成交额最大的标的判断 + raise NotImplementedError(f"{exchange} 主力合约检测待实现") + + +# --------------------------------------------------------------------------- +# 品种汇总对比（多交易所多品种） +# --------------------------------------------------------------------------- + +def rank_summary(date: str = None, varieties: list = None) -> pd.DataFrame: + """多品种前N会员成交量/持仓汇总对比（仅支持 CZCE 品种）。 + + 使用 get_rank_table_czce 的品种级别汇总数据， + 返回各品种前5/10/15/20成交量和多空持仓总和。 + + Parameters + ---------- + date : str + 交易日。 + varieties : list + 品种代码列表。默认 FG, SA, MA, CF, TA, UR, PF, SM。 + + Returns + ------- + pd.DataFrame + 每行一个品种，含品种级前N成交量和多空持仓总和。 + """ + if varieties is None: + varieties = ["FG", "SA", "MA", "CF", "TA", "UR", "PF", "SM"] + rank = ak.get_rank_table_czce(date=date) + rows = [] + for var in varieties: + var = var.upper() + if var not in rank: + continue + df = rank[var] + df["vol_int"] = df["vol"].apply(_to_int) + df["long_int"] = df["long_open_interest"].apply(_to_int) + df["short_int"] = df["short_open_interest"].apply(_to_int) + total_vol = df["vol_int"].sum() + vol_5 = df.head(5)["vol_int"].sum() + vol_10 = df.head(10)["vol_int"].sum() + long_sum = df["long_int"].sum() + short_sum = df["short_int"].sum() + rows.append({ + "var": var, + "vol_total": total_vol, + "vol_top5": vol_5, + "vol_top10": vol_10, + "vol_top20": df["vol_int"].sum(), + "long_sum": long_sum, + "short_sum": short_sum, + "net": long_sum - short_sum, + }) + return pd.DataFrame(rows).sort_values("vol_total", ascending=False) + + +# --------------------------------------------------------------------------- +# 主力合约前20成交量 +# --------------------------------------------------------------------------- + +def main_top20(variety: str, date: str = None) -> pd.DataFrame: + """获取品种主力合约的前20会员成交量排名。 + + Parameters + ---------- + variety : str + 品种代码，如 "FG"。 + date : str + 交易日。None 表示最新。 + + Returns + ------- + pd.DataFrame + 主力合约前20会员成交量排名 + 多空持仓排名。 + """ + exchange = VARIETY_EXCHANGE.get(variety.upper()) + if exchange != "CZCE": + raise NotImplementedError(f"目前仅支持 CZCE 品种的主力合约前20查询") + + rank = ak.get_rank_table_czce(date=date) + contract_keys = [k for k in rank if k.startswith(variety.upper()) and k != variety.upper()] + vols = {ck: rank[ck]["vol"].apply(_to_int).sum() for ck in contract_keys} + main_code = max(vols, key=vols.get) + + df = rank[main_code].copy() + df["symbol"] = main_code + # 数值列处理（CZCE 返回字符串含逗号） + for col in ["vol", "vol_chg", "long_open_interest", "long_open_interest_chg", + "short_open_interest", "short_open_interest_chg"]: + df[col] = df[col].apply(_to_int) + return df.sort_values("rank") + + +# --------------------------------------------------------------------------- +# 输出格式化 +# --------------------------------------------------------------------------- + +def print_top20(df: pd.DataFrame, title: str = ""): + """打印前20成交量排名 + 多空前10。""" + if title: + print(f"\n{'='*60}") + print(f" {title}") + print(f"{'='*60}") + + print(f"\n【成交量前20】") + print(f"{'排名':>4} {'会员':<20} {'成交量':>10} {'变化':>10}") + print("-" * 50) + for _, r in df.iterrows(): + print(f"{int(r['rank']):>4} {str(r['vol_party_name']):<20} " + f"{int(r['vol']):>10,} {int(r['vol_chg']):>10,}") + + print(f"\n【持多单前10】") + print(f"{'排名':>4} {'会员':<20} {'多单':>10} {'变化':>10}") + print("-" * 50) + for _, r in df.head(10).iterrows(): + print(f"{int(r['rank']):>4} {str(r['long_party_name']):<20} " + f"{int(r['long_open_interest']):>10,} {int(r['long_open_interest_chg']):>10,}") + + print(f"\n【持空单前10】") + print(f"{'排名':>4} {'会员':<20} {'空单':>10} {'变化':>10}") + print("-" * 50) + for _, r in df.head(10).iterrows(): + print(f"{int(r['rank']):>4} {str(r['short_party_name']):<20} " + f"{int(r['short_open_interest']):>10,} {int(r['short_open_interest_chg']):>10,}")