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新增行情查询、价差图表和 spread 分析表

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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
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chart.html
+121
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File diff suppressed because one or more lines are too long
chart.py
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@@ -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"""<!DOCTYPE html>
<html lang="zh-CN">
<head>
<meta charset="UTF-8">
<meta name="viewport" content="width=device-width, initial-scale=1">
<title>玻璃期货 spread 走势</title>
<script src="https://cdn.jsdelivr.net/npm/chart.js@4"></script>
<style>
* {{ margin: 0; padding: 0; box-sizing: border-box; }}
body {{ background: #0f172a; color: #e2e8f0; font-family: system-ui, sans-serif; padding: 24px; }}
h1 {{ font-size: 20px; margin-bottom: 24px; color: #f1f5f9; }}
.chart-box {{ background: #1e293b; border-radius: 12px; padding: 20px; }}
canvas {{ width: 100% !important; height: auto !important; }}
.stats {{ display: flex; gap: 24px; flex-wrap: wrap; margin-top: 24px; }}
.stat {{ background: #1e293b; border-radius: 12px; padding: 16px 20px; min-width: 130px; }}
.stat-label {{ font-size: 12px; color: #94a3b8; }}
.stat-value {{ font-size: 22px; font-weight: 600; margin-top: 4px; }}
.stat-value.pos {{ color: #22c55e; }}
.stat-value.neg {{ color: #ef4444; }}
</style>
</head>
<body>
<h1>玻璃期货 — 合约链差价 &amp; 主力合约日内涨跌</h1>
<div class="chart-box">
<canvas id="chart"></canvas>
</div>
<div class="stats" id="stats"></div>
<script>
const dates = {json.dumps(dates)};
const spreads = {json.dumps(spreads)};
const chgs = {json.dumps(chgs)};
new Chart(document.getElementById('chart'), {{
type: 'bar',
data: {{
labels: dates,
datasets: [
{{
label: '主力日内涨跌',
data: chgs,
yAxisID: 'y1',
backgroundColor: chgs.map(v => v === null ? 'transparent' : v >= 0 ? 'rgba(34,197,94,0.35)' : 'rgba(239,68,68,0.35)'),
borderColor: chgs.map(v => v === null ? 'transparent' : v >= 0 ? '#22c55e' : '#ef4444'),
borderWidth: 0.3,
order: 2,
}},
{{
label: '差价合计',
data: spreads,
yAxisID: 'y',
type: 'line',
borderColor: '#facc15',
backgroundColor: 'rgba(250,204,21,0.06)',
borderWidth: 1.5,
pointRadius: 0,
fill: true,
tension: 0.1,
order: 1,
}},
]
}},
options: {{
responsive: true,
interaction: {{ mode: 'index', intersect: false }},
plugins: {{
legend: {{ labels: {{ color: '#94a3b8', boxWidth: 14, padding: 16 }} }},
tooltip: {{
backgroundColor: '#0f172a',
titleColor: '#f1f5f9',
bodyColor: '#e2e8f0',
borderColor: '#334155',
borderWidth: 1,
callbacks: {{
label: ctx => ctx.parsed.y !== null && ctx.parsed.y !== undefined
? `${{ctx.dataset.label}}: ${{ctx.parsed.y.toFixed(1)}}` : ''
}}
}}
}},
scales: {{
x: {{ ticks: {{ color: '#64748b', maxTicksLimit: 20, font: {{ size: 10 }} }}, grid: {{ color: '#1e293b' }} }},
y: {{
position: 'left',
ticks: {{ color: '#facc15' }},
grid: {{ color: '#334155' }},
title: {{ display: true, text: '差价合计（元/吨）', color: '#facc15' }}
}},
y1: {{
position: 'right',
ticks: {{ color: '#94a3b8' }},
grid: {{ drawOnChartArea: false }},
title: {{ display: true, text: '主力日内涨跌（元/吨）', color: '#94a3b8' }}
}}
}}
}}
}});
// 统计
const pos = spreads.filter(v => v > 0).length;
const neg = spreads.filter(v => v < 0).length;
const avg = spreads.reduce((a,b) => a+b, 0) / spreads.length;
const maxV = Math.max(...spreads);
const minV = Math.min(...spreads);
const totalChg = chgs.filter(v => v !== null).reduce((a,b) => a+b, 0);
const avgChg = totalChg / chgs.filter(v => v !== null).length;
const statsHtml = `
<div class="stat"><div class="stat-label">数据天数</div><div class="stat-value">${{spreads.length}}</div></div>
<div class="stat"><div class="stat-label">平均差价</div><div class="stat-value ${{avg>=0?'pos':'neg'}}">${{avg.toFixed(1)}}</div></div>
<div class="stat"><div class="stat-label">升水天数</div><div class="stat-value pos">${{pos}}</div></div>
<div class="stat"><div class="stat-label">贴水天数</div><div class="stat-value neg">${{neg}}</div></div>
<div class="stat"><div class="stat-label">最大升水</div><div class="stat-value pos">+${{maxV.toFixed(1)}}</div></div>
<div class="stat"><div class="stat-label">最大贴水</div><div class="stat-value neg">${{minV.toFixed(1)}}</div></div>
<div class="stat"><div class="stat-label">主力日均涨跌</div><div class="stat-value ${{avgChg>=0?'pos':'neg'}}">${{avgChg.toFixed(2)}}</div></div>
`;
document.getElementById('stats').innerHTML = statsHtml;
</script>
</body>
</html>"""
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()
quote.py
+87
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@@ -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()
update.py
+76 -48
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@@ -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): def tushare_query(api_name, params=None, fields=None):
req = {"api_name": api_name, "token": TOKEN} req = {"api_name": api_name, "token": TOKEN}
if params: if params:
req["params"] = params req["params"] = params
if fields: if fields:
req["fields"] = fields req["fields"] = fields
resp = requests.post(API_URL, json=req) resp = requests.post(API_URL, json=req)
data = resp.json() data = resp.json()
if data["code"] != 0: if data["code"] != 0:
raise Exception(f"API error ({data['code']}): {data['msg']}") raise Exception(f"API error ({data['code']}): {data['msg']}")
fields_list = data["data"]["fields"] fields_list = data["data"]["fields"]
items = data["data"]["items"] items = data["data"]["items"]
return [dict(zip(fields_list, item)) for item in items] return [dict(zip(fields_list, item)) for item in items]
def is_trading_day(exchange="CZCE"): 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") today = datetime.now().strftime("%Y%m%d")
rows = tushare_query( rows = tushare_query(
"trade_cal", "trade_cal",
@@ -62,7 +44,7 @@ def is_trading_day(exchange="CZCE"):
) )
if rows: if rows:
return rows[0]["is_open"] == "1" return rows[0]["is_open"] == "1"
return True # 查不到时保守放行 return True
# ── 合约列表 ────────────────────────────────── # ── 合约列表 ──────────────────────────────────
@@ -88,18 +70,12 @@ def get_all_contracts(exchange, fut_code):
# ── 增量更新 CSV ────────────────────────────── # ── 增量更新 CSV ──────────────────────────────
def update_contract_csv(fut_code, contract): 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"] ts_code = contract["ts_code"]
csv_name = ts_code.split(".")[0] + ".csv" csv_name = ts_code.split(".")[0] + ".csv"
out_dir = os.path.join(DATA_DIR, fut_code) out_dir = os.path.join(DATA_DIR, fut_code)
csv_path = os.path.join(out_dir, csv_name) csv_path = os.path.join(out_dir, csv_name)
os.makedirs(out_dir, exist_ok=True) os.makedirs(out_dir, exist_ok=True)
# 读取已有数据，获取最后交易日
existing = [] existing = []
if os.path.exists(csv_path): if os.path.exists(csv_path):
with open(csv_path) as f: 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 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} params = {"ts_code": ts_code}
if last_date: if last_date:
params["start_date"] = 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"]) rows.sort(key=lambda r: r["trade_date"])
if not existing: if not existing:
# 全新合约
with open(csv_path, "w", newline="") as f: with open(csv_path, "w", newline="") as f:
w = csv.DictWriter(f, fieldnames=FUT_DAILY_FIELDS) w = csv.DictWriter(f, fieldnames=FUT_DAILY_FIELDS)
w.writeheader() w.writeheader()
@@ -128,14 +102,10 @@ def update_contract_csv(fut_code, contract):
return rows return rows
if rows[0]["trade_date"] == last_date: 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] existing = existing[:-1]
merged = existing + rows merged = existing + rows
elif rows[0]["trade_date"] > last_date:
# 纯新增数据
merged = existing + rows
else: else:
merged = existing + rows # 安全兜底 merged = existing + rows
with open(csv_path, "w", newline="") as f: with open(csv_path, "w", newline="") as f:
w = csv.DictWriter(f, fieldnames=FUT_DAILY_FIELDS) 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): def update_all_contracts(fut_code, contracts):
"""批量增量更新，返回所有有变化的行"""
all_new = [] all_new = []
for c in contracts: for c in contracts:
code = c["ts_code"].split(".")[0] code = c["ts_code"].split(".")[0]
@@ -165,27 +134,21 @@ def update_all_contracts(fut_code, contracts):
def fetch_all_csv(fut_code, contracts): def fetch_all_csv(fut_code, contracts):
out_dir = os.path.join(DATA_DIR, fut_code) out_dir = os.path.join(DATA_DIR, fut_code)
os.makedirs(out_dir, exist_ok=True) os.makedirs(out_dir, exist_ok=True)
for c in contracts: for c in contracts:
ts_code = c["ts_code"] ts_code = c["ts_code"]
csv_name = ts_code.split(".")[0] + ".csv" csv_name = ts_code.split(".")[0] + ".csv"
csv_path = os.path.join(out_dir, csv_name) csv_path = os.path.join(out_dir, csv_name)
rows = tushare_query( rows = tushare_query(
"fut_daily", "fut_daily", params={"ts_code": ts_code}, fields=",".join(FUT_DAILY_FIELDS),
params={"ts_code": ts_code},
fields=",".join(FUT_DAILY_FIELDS),
) )
if not rows: if not rows:
print(f" {csv_name:12s} 无数据，跳过") print(f" {csv_name:12s} 无数据，跳过")
continue continue
rows.sort(key=lambda r: r["trade_date"]) rows.sort(key=lambda r: r["trade_date"])
with open(csv_path, "w", newline="") as f: with open(csv_path, "w", newline="") as f:
w = csv.DictWriter(f, fieldnames=FUT_DAILY_FIELDS) w = csv.DictWriter(f, fieldnames=FUT_DAILY_FIELDS)
w.writeheader() w.writeheader()
w.writerows(rows) w.writerows(rows)
print(f" {csv_name:12s} {len(rows)} 条 ({rows[0]['trade_date']} ~ {rows[-1]['trade_date']})") print(f" {csv_name:12s} {len(rows)} 条 ({rows[0]['trade_date']} ~ {rows[-1]['trade_date']})")
time.sleep(0.3) time.sleep(0.3)
@@ -196,8 +159,7 @@ def init_db():
conn = sqlite3.connect(DB_PATH) conn = sqlite3.connect(DB_PATH)
conn.execute(""" conn.execute("""
CREATE TABLE IF NOT EXISTS daily ( CREATE TABLE IF NOT EXISTS daily (
ts_code TEXT NOT NULL, ts_code TEXT NOT NULL, trade_date TEXT NOT NULL,
trade_date TEXT NOT NULL,
pre_close REAL, pre_settle REAL, pre_close REAL, pre_settle REAL,
open REAL, high REAL, low REAL, close REAL, settle REAL, open REAL, high REAL, low REAL, close REAL, settle REAL,
change1 REAL, change2 REAL, change1 REAL, change2 REAL,
@@ -213,6 +175,18 @@ def init_db():
fut_code TEXT, list_date TEXT, delist_date TEXT 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.commit()
conn.close() conn.close()
@@ -232,7 +206,6 @@ def sync_contracts_to_db(fut_code, exchange, contracts):
def sync_rows_to_db(rows): 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: if not rows:
return return
conn = sqlite3.connect(DB_PATH) conn = sqlite3.connect(DB_PATH)
@@ -247,7 +220,6 @@ def sync_rows_to_db(rows):
def sync_all_csv_to_db(): 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) conn = sqlite3.connect(DB_PATH)
cursor = conn.cursor() cursor = conn.cursor()
for root, _, files in os.walk(DATA_DIR): for root, _, files in os.walk(DATA_DIR):
@@ -270,6 +242,63 @@ def sync_all_csv_to_db():
conn.close() 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 ──────────────────────────────────── # ── 主入口 ────────────────────────────────────
FG_EXTRA_CODES = {f"FG{suffix}.ZCE" for suffix in 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__": if __name__ == "__main__":
full_init = "--init" in sys.argv full_init = "--init" in sys.argv
init_db() init_db()
active = get_active_contracts("CZCE", "FG") active = get_active_contracts("CZCE", "FG")
@@ -301,17 +329,16 @@ if __name__ == "__main__":
contracts = active + extra contracts = active + extra
print(f"全量初始化: {len(contracts)} 个合约") print(f"全量初始化: {len(contracts)} 个合约")
for c in contracts: for c in contracts:
code = c["ts_code"].split(".")[0] print(f" {c['ts_code'].split('.')[0]:8s} 上市:{c['list_date']} 退市:{c.get('delist_date','-')}")
print(f" {code:8s} 上市:{c['list_date']} 退市:{c.get('delist_date','-')}")
fetch_all_csv("FG", contracts) fetch_all_csv("FG", contracts)
sync_contracts_to_db("FG", "CZCE", contracts) sync_contracts_to_db("FG", "CZCE", contracts)
sync_all_csv_to_db() sync_all_csv_to_db()
sync_spread()
else: else:
if not is_trading_day(): if not is_trading_day():
print("今天非交易日，无需更新") print("今天非交易日，无需更新")
print("完成") print("完成")
sys.exit(0) sys.exit(0)
print(f"增量更新: {len(active)} 个活跃合约") print(f"增量更新: {len(active)} 个活跃合约")
new_rows = update_all_contracts("FG", active) new_rows = update_all_contracts("FG", active)
if new_rows: if new_rows:
@@ -320,4 +347,5 @@ if __name__ == "__main__":
else: else:
print(" 无新数据") print(" 无新数据")
sync_spread()
print("完成") print("完成")