fish
204 lines
6.6 KiB
Python
204 lines
6.6 KiB
Python
import csv
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import os
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import sqlite3
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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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DB_PATH = os.path.join(os.path.dirname(__file__), "db", "futures.db")
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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 get_all_contracts(exchange, fut_code):
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"""获取指定交易所、品种的全部合约（含已退市）"""
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return 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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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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def init_db():
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conn = sqlite3.connect(DB_PATH)
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conn.execute("""
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CREATE TABLE IF NOT EXISTS daily (
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ts_code TEXT NOT NULL,
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trade_date TEXT NOT NULL,
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pre_close REAL,
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pre_settle REAL,
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open REAL,
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high REAL,
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low REAL,
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close REAL,
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settle REAL,
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change1 REAL,
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change2 REAL,
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vol REAL,
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amount REAL,
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oi REAL,
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oi_chg REAL,
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delv_settle REAL,
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PRIMARY KEY (ts_code, trade_date)
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)
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""")
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conn.execute("""
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CREATE TABLE IF NOT EXISTS contracts (
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ts_code TEXT PRIMARY KEY,
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symbol TEXT,
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name TEXT,
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exchange TEXT,
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fut_code TEXT,
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list_date TEXT,
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delist_date TEXT
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)
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""")
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conn.commit()
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conn.close()
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def sync_contracts_to_db(fut_code, exchange, contracts):
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conn = sqlite3.connect(DB_PATH)
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cursor = conn.cursor()
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for c in contracts:
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cursor.execute(
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"INSERT OR REPLACE INTO contracts (ts_code, symbol, name, exchange, fut_code, list_date, delist_date) "
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"VALUES (?, ?, ?, ?, ?, ?, ?)",
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(c["ts_code"], c["symbol"], c["name"], exchange, fut_code, c["list_date"], c.get("delist_date")),
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)
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conn.commit()
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conn.close()
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print(f" contracts 表写入 {len(contracts)} 条")
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def sync_csv_to_db():
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conn = sqlite3.connect(DB_PATH)
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cursor = conn.cursor()
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for root, _, files in os.walk(DATA_DIR):
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for fname in sorted(files):
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if not fname.endswith(".csv"):
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continue
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fpath = os.path.join(root, fname)
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with open(fpath) as f:
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reader = csv.DictReader(f)
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rows = list(reader)
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if not rows:
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continue
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placeholders = ",".join("?" for _ in FUT_DAILY_FIELDS)
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cols = ",".join(FUT_DAILY_FIELDS)
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sql = f"INSERT OR REPLACE INTO daily ({cols}) VALUES ({placeholders})"
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vals = [[r.get(c) for c in FUT_DAILY_FIELDS] for r in rows]
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cursor.executemany(sql, vals)
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print(f" {fname:12s} {len(rows)} 条 -> daily 表")
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conn.commit()
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conn.close()
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if __name__ == "__main__":
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# 活跃合约
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active = get_active_contracts("CZCE", "FG")
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# 已退市合约：FG1901-FG1912、FG2001-FG2012、FG2101-FG2112、FG2201-FG2212、FG2301-FG2312、FG2401-FG2412、FG2501-FG2512、FG2601-FG2607
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extra_codes = {f"FG{suffix}.ZCE" for suffix in
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[f"19{i:02d}" for i in range(1, 13)] +
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[f"20{i:02d}" for i in range(1, 13)] +
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[f"21{i:02d}" for i in range(1, 13)] +
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[f"22{i:02d}" for i in range(1, 13)] +
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[f"23{i:02d}" for i in range(1, 13)] +
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[f"24{i:02d}" for i in range(1, 13)] +
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[f"25{i:02d}" for i in range(1, 13)] +
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[f"26{i:02d}" for i in range(1, 8)]}
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all_fg = get_all_contracts("CZCE", "FG")
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active_codes = {c["ts_code"] for c in active}
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extra = [c for c in all_fg if c["ts_code"] in extra_codes and c["ts_code"] not in active_codes]
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contracts = active + extra
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print(f"玻璃合约共 {len(contracts)} 个（含 {len(extra)} 个已退市）:")
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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("\n写入数据库...")
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init_db()
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sync_contracts_to_db("FG", "CZCE", contracts)
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sync_csv_to_db()
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print("完成")
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