新增玻璃期货日线数据拉取功能

- 通过 Tushare HTTP API 获取活跃合约列表和日线行情 - 数据按品种分文件夹存储为 CSV - 添加 README 项目说明和字段文档 Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-07-18 15:49:20 +08:00
parent b4b536ae33
commit e4d358ccec
14 changed files with 1478 additions and 0 deletions
@@ -0,0 +1,90 @@
+import csv
+import os
+import time
+from datetime import datetime
+
+import requests
+
+TOKEN = "76efd8465f9f2591aa42a385268e06acf6b80b7a15be2267ad2281b7"
+API_URL = "https://api.tushare.pro"
+DATA_DIR = os.path.join(os.path.dirname(__file__), "data")
+
+FUT_DAILY_FIELDS = [
+    "ts_code", "trade_date", "pre_close", "pre_settle",
+    "open", "high", "low", "close", "settle",
+    "change1", "change2", "vol", "amount", "oi", "oi_chg",
+    "delv_settle",
+]
+
+
+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 get_active_contracts(exchange, fut_code):
+    """获取指定交易所、品种仍在交易的合约列表"""
+    contracts = tushare_query(
+        "fut_basic",
+        params={"exchange": exchange, "fut_code": fut_code, "fut_type": "1"},
+        fields="ts_code,symbol,name,list_date,delist_date",
+    )
+    today = datetime.now().strftime("%Y%m%d")
+    return [c for c in contracts if not c.get("delist_date") or c["delist_date"] > today]
+
+
+def save_contract_csv(fut_code, contracts):
+    """对每个活跃合约拉取日线行情并写入 data/{fut_code}/{code}.csv"""
+    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"]  # e.g. FG2609.ZCE
+        csv_name = ts_code.split(".")[0] + ".csv"  # FG2609.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),
+        )
+        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)} 条记录 ({rows[0]['trade_date']} ~ {rows[-1]['trade_date']})")
+
+        time.sleep(0.3)  # tushare 频率限制
+
+
+if __name__ == "__main__":
+    contracts = get_active_contracts("CZCE", "FG")
+    print(f"活跃玻璃合约共 {len(contracts)} 个:")
+
+    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("\n拉取日线行情...")
+    save_contract_csv("FG", contracts)
+    print("完成")