# 策略中必须有init方法
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import json
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import threading
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import time
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import gm.api as gmapi
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import xlwt
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import setting
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from utils import tool
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def init(context):
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global gpCodeManager
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gpCodeManager = GPCodeManager()
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# 订阅股票代码
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subscript()
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# t1 = threading.Thread(target=lambda: __run_schedule())
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# # 后台运行
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# t1.setDaemon(True)
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# t1.start()
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#
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# def __run_schedule():
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# while True:
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# st = __pipe.recv()
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# if st:
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# print("读取到内容", st)
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# if st == "resub":
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# subscript()
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def subscript():
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# 清除收盘价
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GPCodeManager.pre_prices.clear()
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# __get_latest_price()
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# t1 = threading.Thread(target=lambda: __get_latest_price())
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# # 后台运行
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# t1.setDaemon(True)
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# t1.start()
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# # 读取订阅代码
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codes = gpCodeManager.get_codes()
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gpcode_list = GPCodeManager.get_gp_list_with_prefix(codes)
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if gpcode_list:
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codes_str = ",".join(gpcode_list)
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print("订阅：", codes_str)
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gmapi.subscribe(symbols=codes_str, frequency='tick', count=2, wait_group=False, wait_group_timeout='10s',
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unsubscribe_previous=True)
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# 获取最新的现价
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def __get_latest_price():
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_last_create_time_dict = {}
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# strategy_id, token = setting.get_juejin_params()
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# gmapi.set_token(token)
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gpCodeManager = GPCodeManager()
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while True:
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try:
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if tool.is_trade_time():
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codes = gpCodeManager.get_codes()
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gpcode_list = GPCodeManager.get_gp_list_with_prefix(codes)
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if gpcode_list:
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codes_str = ",".join(gpcode_list)
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datas = gmapi.current(symbols=codes_str, fields="symbol,price,cum_amount,cum_volume,created_at")
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for data in datas:
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if _last_create_time_dict.get(data['symbol']) == data['created_at']:
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print("重复数据")
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continue
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_last_create_time_dict[data['symbol']] = data['created_at']
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on_tick(None, data)
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except:
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pass
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time.sleep(15)
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def parse_tick(tick):
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symbol = tick['symbol']
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price = tick['price']
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# 保存最新价
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symbol = symbol.split(".")[1]
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pre_price = GPCodeManager().get_pre_prices(symbol)
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average_price = round(tick["cum_amount"] / tick["cum_volume"], 2) if tick["cum_volume"] > 0 else pre_price
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rate = round((price - pre_price) / pre_price, 4)
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average_rate = round((average_price - pre_price) / pre_price, 4)
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data = {"code": symbol, "rate": rate, "created_at": tick["created_at"], "price": price,
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"average_price": average_price, "average_rate": average_rate}
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return data
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def on_tick(context, tick):
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print(tick)
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if int(tick['created_at'].strftime("%H:%M:%S").replace(":", "")) < int("092500"):
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return
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data = parse_tick(tick)
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data = {"type": 0, "data": data}
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__pipe.send(data)
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def run(pipe):
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global __pipe, token
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__pipe = pipe
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strategy_id, token = setting.get_juejin_params()
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gmapi.set_token(token)
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gmapi.run(strategy_id=strategy_id,
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filename='juejin_core.py',
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mode=gmapi.MODE_LIVE,
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token=token)
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# 测试订阅
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# gmapi.run(strategy_id=strategy_id,
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# filename='juejin_core.py',
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# mode=gmapi.MODE_BACKTEST,
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# backtest_start_time="2023-10-09 09:25:00",
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# backtest_end_time="2023-10-09 09:40:00",
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# backtest_initial_cash=1000000,
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# backtest_transaction_ratio=1, backtest_commission_ratio=0,
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# backtest_slippage_ratio=0, backtest_adjust=gmapi.ADJUST_NONE, backtest_check_cache=0,
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# serv_addr='', backtest_match_mode=0,
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# token=token)
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subscript()
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class GPCodeManager:
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pre_prices = {}
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def __init__(self):
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strategy_id, token = setting.get_juejin_params()
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self.strategy_id = strategy_id
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self.token = token
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@classmethod
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def get_gp_list_with_prefix(cls, data):
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list = []
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for d in data:
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if d[0:2] == '00':
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list.append("SZSE.{}".format(d))
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elif d[0:2] == '60':
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list.append("SHSE.{}".format(d))
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return list
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def __get_pre_prices(self, code):
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symbols = self.get_gp_list_with_prefix([code])
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gmapi.set_token(self.token)
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datas = gmapi.get_instruments(symbols=",".join(symbols))
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for data in datas:
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symbol = data['symbol']
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symbol = symbol.split(".")[1]
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price = round(data['pre_close'], 2)
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if symbol == code:
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return price
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return None
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def __get_codes_names(self, codes):
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codes_names = []
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if not codes:
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return codes_names
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symbols = self.get_gp_list_with_prefix(codes)
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gmapi.set_token(self.token)
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datas = gmapi.get_instruments(symbols=",".join(symbols))
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for data in datas:
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symbol = data['symbol']
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symbol = symbol.split(".")[1]
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code_name = data['sec_name']
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price = round(data['pre_close'], 2)
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codes_names.append((symbol, code_name, price))
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# 根据codes排序
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codes_index = {}
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for i in range(0, len(codes)):
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codes_index[codes[i]] = i
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codes_names.sort(key=lambda x: codes_index.get(x[0]))
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return codes_names
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# 获取昨日收盘价
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def get_pre_prices(self, code):
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if code in self.pre_prices:
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return self.pre_prices[code]
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# 获取昨日收盘价
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price = self.__get_pre_prices(code)
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if price:
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self.pre_prices[code] = price
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return price
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def get_history_tick_n(self, code, count, frequency="1d", end_time=None):
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symbols = self.get_gp_list_with_prefix([code])
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gmapi.set_token(self.token)
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results = gmapi.history_n(symbol=symbols[0], frequency=frequency, count=count, end_time=end_time)
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last_data = None
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for result in results:
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try:
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rate = None
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if last_data is None:
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rate = round(result["last_amount"] / result["last_volume"], 2)
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else:
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rate = round((result["last_amount"] - last_data["last_amount"]) / (
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result["last_volume"] - last_data["last_volume"]), 2)
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except:
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pass
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last_data = result
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return results
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def get_lowest_price_rate(self, code, count):
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datas = self.get_history_tick_n(code, count)
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low_price = datas[0]["close"]
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for data in datas:
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if low_price > data["close"]:
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low_price = data["close"]
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return (datas[-1]["close"] - low_price) / low_price
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def get_history_tick(self, code, start_time_str, end_time_str):
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symbols = self.get_gp_list_with_prefix([code])
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gmapi.set_token(self.token)
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results = gmapi.history(symbol=symbols[0], frequency="tick", start_time=start_time_str, end_time=end_time_str)
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last_data = None
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for result in results:
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try:
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rate = None
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if last_data is None:
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rate = round(result["last_amount"] / result["last_volume"], 2)
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else:
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rate = round((result["last_amount"] - last_data["last_amount"]) / (
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result["last_volume"] - last_data["last_volume"]), 2)
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except:
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pass
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# print(result["created_at"], rate, result["price"],result["open"],result["high"],result["low"])
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last_data = result
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return results
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def get_min_and_max_price(self, codes):
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symbols = self.get_gp_list_with_prefix(codes)
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gmapi.set_token(self.token)
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results = gmapi.current(symbols)
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fresults = []
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for result in results:
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fresults.append((result["symbol"].split(".")[1], result["low"], result["high"]))
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return fresults
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def get_current_price(self, code):
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symbols = self.get_gp_list_with_prefix([code])
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gmapi.set_token(self.token)
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results = gmapi.current(symbols)
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return results
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# 获取代码
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def get_codes(self):
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codes = []
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with open("res/codes.txt", "r") as f:
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while True:
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line = f.readline()
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if not line:
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break
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codes.append(line.strip())
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return codes
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def get_codes_with_names(self):
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codes = self.get_codes()
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return self.__get_codes_names(codes)
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# 设置代码
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def set_codes(self, codes):
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with open("res/codes.txt", "w") as f:
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for code in codes:
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f.write(code)
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f.write("\n")
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class JueJinApi:
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__previous_trading_date_cache = {}
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# 获取掘金参数
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@classmethod
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def getJueJinAccountInfo(cls):
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strategy_id, token = setting.get_juejin_params()
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return "", strategy_id, token
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@classmethod
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def get_juejin_code_list_with_prefix(cls, codes):
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list = []
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for d in codes:
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if d[0:2] == '00':
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list.append("SZSE.{}".format(d))
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elif d[0:2] == '60':
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list.append("SHSE.{}".format(d))
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return list
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@classmethod
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def get_gp_latest_info(cls, codes, fields=None):
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if not codes:
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return []
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symbols = cls.get_juejin_code_list_with_prefix(codes)
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account_id, s_id, token = cls.getJueJinAccountInfo()
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gmapi.set_token(token)
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data = gmapi.get_instruments(symbols=",".join(symbols), fields=fields)
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return data
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@classmethod
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def get_history_tick_n(cls, code, count, fields=None):
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symbols = cls.get_juejin_code_list_with_prefix([code])
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account_id, s_id, token = cls.getJueJinAccountInfo()
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gmapi.set_token(token)
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# 前除权
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results = gmapi.history_n(symbol=symbols[0], frequency="1d", count=count, adjust=1, fields=fields)
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return results
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@classmethod
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def get_gp_current_info(cls, codes, fields=''):
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if not codes:
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return []
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symbols = cls.get_juejin_code_list_with_prefix(codes)
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account_id, s_id, token = cls.getJueJinAccountInfo()
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gmapi.set_token(token)
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data = gmapi.current(symbols=",".join(symbols), fields=fields)
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return data
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# 获取交易所的代码
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@classmethod
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def get_exchanges_codes(cls, exchanges):
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account_id, s_id, token = cls.getJueJinAccountInfo()
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gmapi.set_token(token)
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return gmapi.get_instruments(exchanges=exchanges, sec_types=[1], skip_suspended=True, skip_st=True,
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fields="symbol,sec_type,sec_id,sec_name,listed_date,sec_level,is_suspended,pre_close")
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@classmethod
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def get_previous_trading_date(cls, date):
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account_id, s_id, token = cls.getJueJinAccountInfo()
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gmapi.set_token(token)
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return gmapi.get_previous_trading_date("SHSE", date)
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@classmethod
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def get_previous_trading_date_cache(cls, date):
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if date not in cls.__previous_trading_date_cache:
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pre_date = cls.get_previous_trading_date(date)
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if pre_date:
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cls.__previous_trading_date_cache[date] = pre_date
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return cls.__previous_trading_date_cache.get(date)
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# 返回指定日期的下个交易日
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@classmethod
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def get_next_trading_date(cls, date):
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account_id, s_id, token = cls.getJueJinAccountInfo()
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gmapi.set_token(token)
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return gmapi.get_next_trading_date("SHSE", date)
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@classmethod
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def get_trading_dates(cls, start_date, end_date):
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account_id, s_id, token = cls.getJueJinAccountInfo()
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gmapi.set_token(token)
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return gmapi.get_trading_dates("SHSE", start_date, end_date)
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