fish
e4d358ccec
- 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>
91 lines
2.8 KiB
Python
91 lines
2.8 KiB
Python
import csv
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import os
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import time
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from datetime import datetime
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import requests
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TOKEN = "76efd8465f9f2591aa42a385268e06acf6b80b7a15be2267ad2281b7"
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API_URL = "https://api.tushare.pro"
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DATA_DIR = os.path.join(os.path.dirname(__file__), "data")
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FUT_DAILY_FIELDS = [
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"ts_code", "trade_date", "pre_close", "pre_settle",
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"open", "high", "low", "close", "settle",
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"change1", "change2", "vol", "amount", "oi", "oi_chg",
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"delv_settle",
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]
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def tushare_query(api_name, params=None, fields=None):
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req = {"api_name": api_name, "token": TOKEN}
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if params:
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req["params"] = params
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if fields:
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req["fields"] = fields
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resp = requests.post(API_URL, json=req)
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data = resp.json()
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if data["code"] != 0:
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raise Exception(f"API error ({data['code']}): {data['msg']}")
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fields_list = data["data"]["fields"]
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items = data["data"]["items"]
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return [dict(zip(fields_list, item)) for item in items]
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def get_active_contracts(exchange, fut_code):
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"""获取指定交易所、品种仍在交易的合约列表"""
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contracts = tushare_query(
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"fut_basic",
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params={"exchange": exchange, "fut_code": fut_code, "fut_type": "1"},
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fields="ts_code,symbol,name,list_date,delist_date",
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)
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today = datetime.now().strftime("%Y%m%d")
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return [c for c in contracts if not c.get("delist_date") or c["delist_date"] > today]
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def save_contract_csv(fut_code, contracts):
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"""对每个活跃合约拉取日线行情并写入 data/{fut_code}/{code}.csv"""
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out_dir = os.path.join(DATA_DIR, fut_code)
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os.makedirs(out_dir, exist_ok=True)
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for c in contracts:
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ts_code = c["ts_code"] # e.g. FG2609.ZCE
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csv_name = ts_code.split(".")[0] + ".csv" # FG2609.csv
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csv_path = os.path.join(out_dir, csv_name)
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rows = tushare_query(
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"fut_daily",
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params={"ts_code": ts_code},
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fields=",".join(FUT_DAILY_FIELDS),
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)
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if not rows:
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print(f" {csv_name:12s} 无数据，跳过")
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continue
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rows.sort(key=lambda r: r["trade_date"])
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with open(csv_path, "w", newline="") as f:
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w = csv.DictWriter(f, fieldnames=FUT_DAILY_FIELDS)
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w.writeheader()
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w.writerows(rows)
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print(f" {csv_name:12s} {len(rows)} 条记录 ({rows[0]['trade_date']} ~ {rows[-1]['trade_date']})")
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time.sleep(0.3) # tushare 频率限制
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if __name__ == "__main__":
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contracts = get_active_contracts("CZCE", "FG")
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print(f"活跃玻璃合约共 {len(contracts)} 个:")
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for c in contracts:
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code = c["ts_code"].split(".")[0]
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print(f" {code:8s} 上市:{c['list_date']} 退市:{c.get('delist_date','-')}")
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print("\n拉取日线行情...")
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save_contract_csv("FG", contracts)
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print("完成")
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