diff --git a/requirements.txt b/requirements.txt index c4392d9c..49ffd9c6 100644 --- a/requirements.txt +++ b/requirements.txt @@ -9,4 +9,5 @@ psutil fastapi uvicorn itsdangerous -websockets>=9.1 \ No newline at end of file +websockets>=9.1 +xlrd \ No newline at end of file diff --git a/wtpy/apps/WtBtAnalyst.py b/wtpy/apps/WtBtAnalyst.py index a9290320..f68b84a1 100644 --- a/wtpy/apps/WtBtAnalyst.py +++ b/wtpy/apps/WtBtAnalyst.py @@ -894,29 +894,13 @@ def strategy_analyze(workbook:Workbook, df_closes, df_trades,df_funds, capital, 策略分析 ''' - # 截取开仓明细 - data1_open = df_trades[df_trades['action'].apply(lambda x: 'OPEN' in x)].reset_index() - data1_open = data1_open.drop(columns=['index']) - # 截取平仓明细 - data1_close = df_trades[df_trades['action'].apply(lambda x: 'CLOSE' in x)].reset_index() - data1_close = data1_close.drop(columns=['index']) - - # 将平仓明细字段重命名，并跟开仓明细合并成一个大表 - data1_close = data1_close.rename(columns={'code': 'code_1', 'time': 'time_1', 'direct': 'direct_1', - 'action': 'action_1', 'price': 'price_1', 'qty': 'qty_1', 'tag': 'tag_1', - 'fee': 'fee_1'}) - - new_data = pd.concat([data1_open, data1_close], axis=1) - new_data = new_data.dropna() - new_data = new_data.drop(columns=['code_1', 'qty_1']) - - # 计算开仓平仓手续费 - new_data['transaction_fee'] = new_data['fee'] + new_data['fee_1'] - clean_data = new_data[['time', 'transaction_fee']] - clean_data = clean_data.rename(columns={'time': 'opentime'}) - - # 合并数据 - after_merge = pd.merge(df_closes, clean_data, how='inner', on='opentime') + # 合并开仓手续费 + after_merge = pd.merge(df_closes, df_trades[df_trades['action'].apply(lambda x: 'OPEN' in x)][['code', 'time', 'fee', 'qty']], how='left', left_on=['code', 'opentime'], right_on=['code', 'time'], suffixes=('', '_open')).rename(columns={'fee': 'openfee'}) + # 合并平仓手续费 + after_merge = pd.merge(after_merge, df_trades[df_trades['action'].apply(lambda x: 'CLOSE' in x)][['code', 'time', 'fee', 'qty']], how='left', left_on=['code', 'closetime'], right_on=['code', 'time'], suffixes=('','_close')).rename(columns={'fee': 'closefee'}) + # 去重 + after_merge = after_merge.drop_duplicates(['code', 'opentime', 'closetime', 'qty']) + after_merge['transaction_fee'] = (after_merge['openfee']/after_merge['qty_open'] + after_merge['closefee']/after_merge['qty_close']) * after_merge['qty'] data_long = df_closes[df_closes['direct'].apply(lambda x:'LONG' in x )].reset_index() after_merge_long = after_merge[after_merge['direct'].apply(lambda x: 'LONG' in x)].reset_index() diff --git a/wtpy/apps/WtHotPicker.py b/wtpy/apps/WtHotPicker.py index cda6baf7..5ac726fb 100644 --- a/wtpy/apps/WtHotPicker.py +++ b/wtpy/apps/WtHotPicker.py @@ -1,16 +1,18 @@ import datetime -import time +import gzip +import io import json -import os import logging - +import os +import re +import time import urllib.request -import io -import gzip import xml.dom.minidom + +import pandas as pd from pyquery import PyQuery as pq -import re + class DayData: ''' @@ -181,7 +183,7 @@ def getShfeData(curDT:datetime.datetime) -> dict: ''' dtStr = curDT.strftime('%Y%m%d') - content = httpGet("http://www.shfe.com.cn/data/dailydata/kx/kx%s.dat" % (dtStr)) + content = httpGet("http://tsite.shfe.com.cn/data/dailydata/kx/kx%s.dat" % (dtStr)) if len(content) == 0: return None @@ -218,63 +220,47 @@ def getCzceData(curDT:datetime.datetime) -> dict: @curDT 指定的日期 ''' - dtStr = curDT.strftime('%Y%m%d') - url = 'http://www.czce.com.cn/cn/DFSStaticFiles/Future/%s/%s/FutureDataDaily.htm' % (dtStr[0:4], dtStr) - try: - html = httpGet(url).strip() - except urllib.error.HTTPError as httperror: - print(httperror) - return None + def correct_code(query_date, contract_code): + from dateutil.relativedelta import relativedelta - if len(html) == 0: - return None + # 提取品种代码和月份代码 + pid = re.findall('[A-Za-z]+', contract_code)[0] + month_code = contract_code[len(pid):] + + # 在给定`query_date`的情况下, 合约的月份只能是当前到九年之后 + for i in range(10): + year_full = (query_date + relativedelta(years=i)).year + if str(year_full)[-1] == month_code[0]: + return f"{pid}{str(year_full)[-2:]}{month_code[-2:]}" dataitems = {} - doc = pq(html) - # print(doc(#senfe .table table)) - items = doc('#tab1') - # 去掉第一行标题 - items.remove('tr.tr0') - # 获取tr items.find('tr') - lis = items('tbody>tr') - # print(lis) - # tr行数 - trcount = len(lis) - # 遍历行 - for tr in range(0, trcount-1): + dtStr = curDT.strftime('%Y%m%d') + try: + url = 'http://www.czce.com.cn/cn/DFSStaticFiles/Future/%s/%s/FutureDataDaily.xls' % (dtStr[0:4], dtStr) + df = pd.read_excel(url, skiprows=1) + except Exception as e: + return None + df.dropna(subset=['今收盘', '成交量(手)', ], inplace=True) + for _, row in df.iterrows(): item = DayData() - tdlis = doc(lis[tr])('td') - - item.code = doc(tdlis[0]).text() - ay = re.compile('[A-Za-z]+').findall(item.code) - if len(ay) == 0: - continue - - item.pid = ay[0] - - close = doc(tdlis[5]).text() - if close != '': - item.close = float(close.replace(",","")) - - volume = doc(tdlis[9]).text() - if volume != '': - item.volume = int(volume.replace(",","")) - - hold = doc(tdlis[10]).text() - if hold != '': - item.hold = int(hold.replace(",","")) - - item.month = item.code[len(item.pid):] - # 这个逻辑是有点问题的，但是没好的办法 - # 因为郑商所只有3位数字，必须自动补全，不然后面处理会有问题 - # By Wesley @ 2021.12.15 - if int(item.month[0]) < 5: - item.month = "2" + item.month - else: - item.month = "1" + item.month + # 郑商所的xls表格, 列名不统一 + if '合约代码' in df.columns: + item.code = row['合约代码'] + elif '品种月份' in df.columns: + item.code = row['品种月份'] + + if '持仓量' in df.columns: + item.hold = int(row['持仓量'].replace(',', '')) + elif '空盘量' in df.columns: + item.hold = int(row['空盘量'].replace(',', '')) + + item.pid = re.findall('[A-Za-z]+', item.code)[0] + item.month = correct_code(curDT, item.code)[len(item.pid):] + item.close = float(row['今收盘'].replace(',', '')) + item.volume = int(row['成交量(手)'].replace(',', '')) dataitems[item.code] = item - # print(dataitems) + return dataitems @staticmethod