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wind_data.py
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wind_data.py
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import datetime
import csv
import os.path
import mysql.connector
import math
import pandas as pd
from WindPy import w
w.start()
dbconfig = {'user': 'harvey',
'password':'9619252y',
'host':'localhost',
'database': 'blueshale',
}
product_code = {'CFE':['IF','TF'],
'SHF':['cu','al','zn','pb','rb','ru','bu','hc','ag','au'],
'DCE': ['c', 'j', 'jd', 'a', 'm', 'y', 'p', 'l', 'v', 'jm', 'i', 'fb', 'bb', 'pp','cs'],
'CZC': ['WH','CF', 'SR', 'TA', 'OI', 'ME', 'FG', 'RS', 'RM', 'TC', 'PM', 'RI', 'JR', 'LR', 'SM', 'SF'],
'SH': ['510050', '510330', '510300', '510180'],
'SZ': ['159901', '159912', '159919'] }
contMonth = {'IF':range(1,13),
'TF': range(1,13),
'cu':range(1,13),
'al':range(1,13),
'zn':range(1,13),
'pb':range(1,13),
'ru':[1,5,9],
'au':[6,12],
'ag':[6,12],
'rb':[1,5,10],
'bu':[1,5,9],
'hc':[1,5,9],
'c':[1,5,9],
'a':[1,5,9],
'm':[1,5,9],
'y':[1,5,9],
'p':[1,5,9],
'l':[1,5,9],
'v':[1,5,9],
'j':[1,5,9],
'jm':[1,5,9],
'i':[1,5,9],
'jd':[1,5,9],
'fb':[1,5,9],
'bb':[1,5,9],
'pp':[1,5,9],
'WH':[1,5,9],
'CF':[1,5,9],
'SR':[1,5,9],
'OI':[1,5,9],
'TA':[1,5,9],
'TC':[1,5,9],
'ME':[1,5,9],
'FG':[1,5,9],
'RS':[1,5,9],
'RM':[1,5,9],
'PM':[1,5,9],
'RI':[1,5,9],
'JR':[1,5,9],
'LR':[1,5,9],
'SM':[1,5,9],
'SF':[1,5,9],
'cs':[1,5,9]}
def get_min_id(dt):
return math.ceil((((dt.hour+6)%24)*100000+dt.minute*1000+dt.second*10+dt.microsecond/100000)/1000)
def get_hist_cont(endD,contStartFile, outFile):
reader=csv.reader(file(contStartFile,'rb'))
conts = []
for line in reader:
product = line[0]
startD = datetime.datetime.strptime(line[1], "%Y/%m/%d").date()
st_year = startD.year
for yr in range(st_year, endD.year+1):
for mth in range(1,13):
if (mth in contMonth[product]):
curr_mth = datetime.date(yr,mth,1)
if (curr_mth > startD) and (curr_mth <= endD):
if product in product_code['CZC']:
contLabel = product + "%01d" %(yr%10) + "%02d" % mth
else:
contLabel = product + "%02d" %(yr%100) + "%02d" % mth
conts.append(contLabel)
out = {'contract': conts }
dump2csvfile(out,outFile)
return True
def import_csv_data(filename):
reader = csv.reader(file(filename, 'rb'))
contList = []
datapath = 'C:\\dev\\src\\ktlib\\data2\\'
for line in reader:
contList.append(line[0])
cnx = mysql.connector.connect(**dbconfig)
cursor = cnx.cursor()
for cont in contList:
if cont[1].isalpha(): key = cont[:2]
elif cont[0].isalpha(): key = cont[:1]
else: key = cont
ex = 'SH'
for exch in product_code.keys():
if key in product_code[exch]:
ex = exch
if ex == 'SHF':
ex = 'SHFE'
elif ex == 'CZC':
ex = 'CZCE'
elif ex == 'CFE':
ex = 'CFFEX'
minfile = datapath + cont + '_min.csv'
if os.path.isfile(minfile):
dbtable = 'fut_min'
data_reader = csv.reader(file(minfile, 'rb'))
fields = ['instID', 'exch', 'datetime', 'min_id', 'open', 'close', 'high', 'low', 'volume', 'openInterest']
data = []
for idx, line in enumerate(data_reader):
if idx > 0:
if 'nan' in [line[0],line[2],line[3],line[4], line[6]]: continue
vol = int(float(line[0]))
if vol <= 0: continue
dtime = datetime.datetime.strptime(line[1], '%Y-%m-%d %H:%M:%S.%f')
dtime_str = dtime.strftime('%Y-%m-%d %H:%M:%S')
high = float(line[2])
low = float(line[3])
close = float(line[4])
if line[5] == 'nan':
oi = 0
else:
oi = int(float(line[5]))
open = float(line[6])
min_id = get_min_id(dtime)
data.append((cont, ex, dtime_str, min_id, open, close, high, low, vol, oi))
if len(data)>0:
print "inserting minute data for contract %s with total rows %s" % (cont, len(data))
stmt = "REPLACE INTO {table} ({variables}) VALUES (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s)".format(table=dbtable,variables=','.join(fields))
cursor.executemany(stmt, data)
cnx.commit()
else:
print "no minute data for contract %s" % (cont)
else:
print "no minute csv file for contract %s" % (cont)
dayfile = datapath + cont + '_daily.csv'
if os.path.isfile(dayfile):
dbtable = 'fut_daily'
data_reader = csv.reader(file(dayfile, 'rb'))
fields = ['instID', 'exch', 'date', 'open', 'close', 'high', 'low', 'volume', 'openInterest']
data = []
for idx, line in enumerate(data_reader):
if idx > 0 :
if 'nan' in [line[0],line[2],line[3],line[4], line[6]]: continue
vol = int(float(line[0]))
if vol <= 0: continue
dtime = datetime.datetime.strptime(line[1], '%Y-%m-%d %H:%M:%S.%f')
dtime_str = dtime.strftime('%Y-%m-%d')
high = float(line[2])
low = float(line[3])
close = float(line[4])
if line[5] == 'nan':
oi = 0
else:
oi = int(float(line[5]))
open = float(line[6])
data.append((cont, ex, dtime_str, open, close, high, low, vol, oi))
if len(data)>0:
print "inserting daily data for contract %s with total rows %s" % (cont, len(data))
stmt = "REPLACE INTO {table} ({variables}) VALUES (%s,%s,%s,%s,%s,%s,%s,%s,%s)".format(table=dbtable,variables=','.join(fields))
cursor.executemany(stmt, data)
cnx.commit()
else:
print "no daily data for contract %s" % (cont)
else:
print "no daily csv file for contract %s" % (cont)
cursor.close()
cnx.close()
return True
def load_live_cont(d_start, d_end):
cnx = mysql.connector.connect(**dbconfig)
end_adj = d_end + datetime.timedelta(days=1)
stmt = "select instID, start_date, expiry from contract_list where "
stmt = stmt + "expiry >= '%s' " % d_start.strftime('%Y-%m-%d')
stmt = stmt + "and start_date <= '%s' " % end_adj.strftime('%Y-%m-%d')
df = pd.io.sql.read_sql(stmt, cnx, index_col = 'instID')
cnx.close()
return df
def get_min_data(filename):
file_folder = 'C:\\dev\\src\\ktlib\\data3\\'
reader = csv.reader(file(filename, 'rb'))
contList = []
fields = 'open,close,high,low,volume,oi'
contStart = []
contEnd = []
for line in reader:
contList.append(line[0])
contStart.append(line[1])
contEnd.append(line[2])
#w.start()
for cont, startD, endD in zip(contList, contStart, contEnd):
if cont[1].isalpha(): key = cont[:2]
else: key = cont[:1]
ex = 'SH'
for exch in product_code.keys():
if key in product_code[exch]:
ex = exch
ticker = cont + '.' + ex
startmin = ""
endMin = ""
if ex == 'CFE':
startMin = " 09:14:00"
endMin = " 15:15:00"
else:
startMin = " 08:59:00"
endMin = " 15:00:00"
if ex == 'CFE':
startMin = " 09:14:00"
endMin = " 15:15:00"
else:
startMin = " 08:59:00"
endMin = " 15:00:00"
try:
sdate = datetime.datetime.strptime(startD, "%Y/%m/%d")
edate = datetime.datetime.strptime(endD, "%Y/%m/%d")
sMin = datetime.datetime.strptime(startD + startMin, "%Y/%m/%d %H:%M:%S")
eMin = datetime.datetime.strptime(endD + endMin, "%Y/%m/%d %H:%M:%S")
print ticker, sMin, eMin
if edate > datetime.date(2009,1,1):
raw_data = w.wsi(ticker,fields,sMin,eMin)
if len(raw_data.Data)>1:
outfile = file_folder + cont+'_min.csv'
output={'datetime':raw_data.Times,
'open':raw_data.Data[0],
'close':raw_data.Data[1],
'high':raw_data.Data[2],
'low':raw_data.Data[3],
'volume':raw_data.Data[4],
'openInterest':raw_data.Data[5]}
dump2csvfile(output,outfile)
else:
print "no min data obtained for ticker=%s" % ticker
raw_data = w.wsd(ticker,fields,sdate,edate)
if len(raw_data.Data)>1:
outfile = file_folder + cont+'_daily.csv'
output={'datetime':raw_data.Times,
'open':raw_data.Data[0],
'close':raw_data.Data[1],
'high':raw_data.Data[2],
'low':raw_data.Data[3],
'volume':raw_data.Data[4],
'openInterest':raw_data.Data[5]}
dump2csvfile(output,outfile)
else:
print "no daily data obtained for ticker=%s" % ticker
except ValueError:
pass
w.stop()
return True
def import_data_from_wind(d_start, d_end, file_folder='C:\\dev\\src\\ktlib\\data3\\', freq='d', contracts=[]):
df = load_live_cont(d_start, d_end)
contList = [str(inst) for inst in df.index]
startDates = df.start_date
endDates = df.expiry
fields = 'open,close,high,low,volume,oi'
if len(contracts) !=0:
contList = contracts
#w.start()
for cont in contList:
if cont[1].isalpha(): key = cont[:2]
else: key = cont[:1]
ex = 'SH'
for exch in product_code.keys():
if key in product_code[exch]:
ex = exch
ticker = cont + '.' + ex
mth = int(cont[-2:])
if (key not in contMonth):
continue
if mth not in contMonth[key]:
continue
start_d = max(d_start, startDates.ix[cont])
end_d = min(d_end, endDates.ix[cont])
try:
if freq == 'm':
print "loading min data for ticker = %s" % ticker
raw_data = w.wsi(ticker,fields,start_d,end_d)
if len(raw_data.Data)>1:
outfile = file_folder + cont+'_min.csv'
output={'datetime':raw_data.Times,
'open':raw_data.Data[2],
'close':raw_data.Data[3],
'high':raw_data.Data[4],
'low':raw_data.Data[5],
'volume':raw_data.Data[6],
'openInterest':raw_data.Data[7]}
dump2csvfile(output,outfile)
else:
print "no min data obtained for ticker=%s" % ticker
else:
print "loading daily data for ticker = %s" % ticker
raw_data = w.wsd(ticker,fields,start_d,end_d)
if len(raw_data.Data)>1:
outfile = file_folder + cont+'_daily.csv'
output={'datetime':raw_data.Times,
'open':raw_data.Data[0],
'close':raw_data.Data[1],
'high':raw_data.Data[2],
'low':raw_data.Data[3],
'volume':raw_data.Data[4],
'openInterest':raw_data.Data[5]}
dump2csvfile(output,outfile)
else:
print "no daily data obtained for ticker=%s" % ticker
except ValueError:
pass
w.stop()
return True
def load_csv_to_db(d_start, d_end, datapath='C:\\dev\\src\\ktlib\\data3\\'):
df = load_live_cont(d_start, d_end)
contList = [str(inst) for inst in df.index]
cnx = mysql.connector.connect(**dbconfig)
cursor = cnx.cursor()
for cont in contList:
if cont[1].isalpha(): key = cont[:2]
elif cont[0].isalpha(): key = cont[:1]
else: key = cont
ex = 'SH'
for exch in product_code.keys():
if key in product_code[exch]:
ex = exch
if ex == 'SHF':
ex = 'SHFE'
elif ex == 'CZC':
ex = 'CZCE'
elif ex == 'CFE':
ex = 'CFFEX'
mth = int(cont[-2:])
if (key not in contMonth):
continue
if mth not in contMonth[key]:
continue
minfile = datapath + cont + '_min.csv'
if os.path.isfile(minfile):
dbtable = 'fut_min'
data_reader = csv.reader(file(minfile, 'rb'))
fields = ['instID', 'exch', 'datetime', 'min_id', 'open', 'close', 'high', 'low', 'volume', 'openInterest']
data = []
for idx, line in enumerate(data_reader):
if idx > 0:
if 'nan' in [line[0],line[2],line[3],line[4], line[6]]: continue
vol = int(float(line[0]))
if vol <= 0: continue
dtime = datetime.datetime.strptime(line[1], '%Y-%m-%d %H:%M:%S.%f')
dtime_str = dtime.strftime('%Y-%m-%d %H:%M:%S')
high = float(line[2])
low = float(line[3])
close = float(line[4])
if line[5] == 'nan':
oi = 0
else:
oi = int(float(line[5]))
open = float(line[6])
min_id = get_min_id(dtime)
data.append((cont, ex, dtime_str, min_id, open, close, high, low, vol, oi))
if len(data)>0:
print "inserting minute data for contract %s with total rows %s" % (cont, len(data))
stmt = "REPLACE INTO {table} ({variables}) VALUES (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s)".format(table=dbtable,variables=','.join(fields))
cursor.executemany(stmt, data)
cnx.commit()
else:
print "no minute data for contract %s" % (cont)
else:
print "no minute csv file for contract %s" % (cont)
dayfile = datapath + cont + '_daily.csv'
if os.path.isfile(dayfile):
dbtable = 'fut_daily'
data_reader = csv.reader(file(dayfile, 'rb'))
fields = ['instID', 'exch', 'date', 'open', 'close', 'high', 'low', 'volume', 'openInterest']
data = []
for idx, line in enumerate(data_reader):
if idx > 0 :
if 'nan' in [line[0],line[2],line[3],line[4], line[6]]: continue
vol = int(float(line[0]))
if vol <= 0: continue
dtime = datetime.datetime.strptime(line[1], '%Y-%m-%d %H:%M:%S.%f')
dtime_str = dtime.strftime('%Y-%m-%d')
high = float(line[2])
low = float(line[3])
close = float(line[4])
if line[5] == 'nan':
oi = 0
else:
oi = int(float(line[5]))
open = float(line[6])
data.append((cont, ex, dtime_str, open, close, high, low, vol, oi))
if len(data)>0:
print "inserting daily data for contract %s with total rows %s" % (cont, len(data))
stmt = "REPLACE INTO {table} ({variables}) VALUES (%s,%s,%s,%s,%s,%s,%s,%s,%s)".format(table=dbtable,variables=','.join(fields))
cursor.executemany(stmt, data)
cnx.commit()
else:
print "no daily data for contract %s" % (cont)
else:
print "no daily csv file for contract %s" % (cont)
cursor.close()
cnx.close()
return True
def dump2csvfile(data, outfile):
output = [];
for key in data.keys():
x = [key] + data[key];
output.append(x);
item_len = len(output[0]);
with open(outfile,'wb') as test_file:
file_writer = csv.writer(test_file, delimiter=',', quotechar='|', quoting=csv.QUOTE_MINIMAL);
for i in range(item_len):
file_writer.writerow([x[i] for x in output])
return 0
if __name__=="__main__":
file_folder='C:\\dev\\src\\ktlib\\data3\\'
d_start = datetime.date(2014,12,19)
d_end = datetime.date(2014,12,29)
import_data_from_wind(d_start, d_end, file_folder,'m')