fish/finance-talk
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

新增行情查询、价差图表和 spread 分析表

Browse Source 
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
This commit is contained in:
fish
2026-07-18 17:35:05 +08:00
parent 1b39ad6887
commit ecf4d28961
4 changed files with 434 additions and 49 deletions
Download Patch File Download Diff File Expand all files Collapse all files
update.py
+77 -49
View File
@@ -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")