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