init

Author: easyQuant

README.md

@@ -1,2 +1,5 @@
-# real_trader
-python版本A股实时交易 实时tick数据 + 实盘接口
+# 简单的tick级别实时交易 支持聚宽代码完美迁移
+##### 依赖 以下类库
+##### trade_order 开源的python实盘交易接口
+##### trade_bundle 开源的python实时tick行情 以及策略运行框架
+##### jqdatasdk 聚宽提供的历史行情

index.py

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+# 简单的tick级别实时交易 支持聚宽语法 
+# 依赖 以下类库
+
+# jqdatasdk 聚宽提供的历史行情
+# trade_bundle 开源的python实时tick行情 以及策略运行框架 [后续会提供历史tick数据的接口调用]
+# trade_order 开源的python实盘交易接口
+from jqdatasdk import *
+from trade_bundle.live_trade import *
+from trade_order.order_api import *
+
+def initialize(context):
+    print('##### initialize #####')
+
+    # 订阅多个标的
+    subscribe('600519.XSHG', 'tick')
+    subscribe('000858.XSHE', 'tick')
+
+    # 测试jqdata数据
+    print(get_price('000001.XSHE', start_date='2015-12-01 14:00:00', end_date='2015-12-02 12:00:00', frequency='1m'))
+
+def before_trading_start(context):
+    print('##### before_trading_start #####')
+
+def handle_tick(context, tick):
+    print('##### handle_tick #####')
+    print(tick.current)
+    # order('600519.XSHG', 100)
+
+def after_trading_end(context):
+    print('##### after_trading_end #####')
+    unsubscribe_all()
+
+# 初始化jqdatasdk
+auth('聚宽账号','聚宽密码')
+
+# 初始化实盘模块
+init_trader(g, context, '资金账号', '资金密码', r'E:\中泰证券独立下单\xiadan.exe')
+
+# 初始化实时tick行情
+init_current_bundle(initialize, before_trading_start, after_trading_end, handle_tick)

requirements.txt

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+numpy==1.17.4
+pandas==0.25.3
+requests==2.22.0
+apscheduler==3.6.3
+easyutils==0.1.7
+jqdatasdk==1.7.8
+Pillow==6.2.1
+pyautogui==0.9.48
+pytesseract==0.3.1
+pywinauto==0.6.8

trade_bundle/.DS_Store

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+import requests
+import time
+import datetime
+import json
+import pandas as pd
+import numpy as np
+from apscheduler.schedulers.background import BackgroundScheduler
+from apscheduler.schedulers.blocking import BlockingScheduler
+
+# 订阅的标的列表
+stock_list = []
+session = None
+cookies = None
+headers = {
+	'Accept':'*/*',
+	'Origin':'https://xueqiu.com',
+	'Referer':'https://xueqiu.com/S/SH600519',
+	'Sec-Fetch-Mode':'cors',
+	'User-Agent':'Mozilla/5.0 (Macintosh; Intel Mac OS X 10_12_4) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/77.0.3865.90 Safari/537.36'
+}
+
+NAN_DT = datetime.datetime(2200, 1, 1)
+
+class _Global(object):
+
+    def __init__(self, **kwargs):
+        
+        for name, value in kwargs.items():
+            setattr(self, name, value)
+
+# 通用对象转化
+class _Context(object):
+
+    def __init__(self, **kwargs):
+        
+        for name, value in kwargs.items():
+            setattr(self, name, value)
+
+class Tick(object):
+	def __init__(self, security, tick):
+		self._security = parse_xq_code(security)
+		self._tick = tick
+
+	@property
+	def code(self):
+		return self._security
+
+	@property
+	def time(self):
+		try:
+			return self._tick['time']
+		except:
+			return NAN_DT
+
+	@property
+	def current(self):
+		try:
+			return self._tick['current']
+		except:
+			return np.nan
+
+	@property
+	def high(self):
+		try:
+			return self._tick['high']
+		except:
+			return np.nan
+
+	@property
+	def low(self):
+		try:
+			return self._tick['low']
+		except:
+			return np.nan
+
+	@property
+	def trade_volume(self):
+		try:
+			return self._tick['trade_volume']
+		except:
+			return np.nan
+
+	@property
+	def volume(self):
+		try:
+			return self._tick['volume']
+		except:
+			return np.nan
+
+	@property
+	def money(self):
+		try:
+			return self._tick['money']
+		except:
+			return np.nan
+
+# 通用对象转化
+class CurrentDict(object):
+
+	def __init__(self, **kwargs):
+		
+		for name, value in kwargs.items():
+			setattr(self, name, value)
+
+# 当前行情对象
+class _CurrentDic(dict):
+
+	def __init__(self, date):
+		pass
+
+	def __missing__(self, code):
+		info = _global['session'].get('https://stock.xueqiu.com/v5/stock/quote.json?extend=detail&symbol=' + parse_code(code), cookies = _global['cookies'], headers = headers).json()
+		quote = info['data']['quote']
+		stock = quote['symbol']
+		result = {
+			'name': quote['name'],
+			'time': time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(quote['timestamp'] / 1000)),
+			'current': quote['current'],
+			'high': quote['high'],
+			'low': quote['low'],
+			'volume': quote['volume'],
+			'money': quote['amount'],
+			'day_open': quote['open'],
+			'high_limit': quote['limit_up'],
+			'low_limit': quote['limit_down'],
+			'industry_code': quote['type'],
+			'is_st': quote['status'] == 2
+		}
+
+		return parse(result)
+
+# 初始化实时行情模块
+# 主要工作是 初始化爬虫cookie 初始化tick定时器 完善全局对象
+def init_current_bundle(initialize, before_trading_start, after_trading_end, handle_tick):
+	_global['initialize'] = initialize
+	_global['before_trading_start'] = before_trading_start
+	_global['after_trading_end'] = after_trading_end
+	_global['handle_tick'] = handle_tick
+	cookies = get_cookie()
+
+	# 执行初始化函数
+	initialize(_global['context'])
+
+	# 初始化tick定时器
+	init_schedudler()
+
+# 创建定时器 
+# 完成开盘 收盘 盘中3秒批量查询一次最新tick数据 等默认事件
+def init_schedudler():
+	schedudler = BlockingScheduler()
+	schedudler.add_job(func = _global['before_trading_start'], args = [_global['context']], trigger = 'cron', hour = 9, minute = 9, day_of_week = 'mon-fri')
+	schedudler.add_job(func = _global['after_trading_end'], args = [_global['context']], trigger = 'cron', hour = 15, minute=30, day_of_week = 'mon-fri')
+	schedudler.add_job(_get_current_tick, 'cron', second = '*/3')
+	schedudler.start()
+
+def get_cookie():
+	cookies = requests.cookies.RequestsCookieJar()
+	_global['session'] = requests.session()
+	r = _global['session'].get('https://xueqiu.com/k?q=SZ131810', headers = headers)
+	_global['cookies'] = r.cookies
+	return cookies
+
+# 抓取当日历史tick数据
+def get_ticks(security, end_dt, count, start_dt = None):
+	print('### 自定义 get_ticks ###')
+	result = []
+
+	# 大于100取东方财富的 稍后实现
+	if count > 100:
+		pass
+	else:
+		info = _global['session'].get('https://stock.xueqiu.com/v5/stock/history/trade.json?symbol=' + parse_code(security) + '&count=' + str(count), cookies = _global['cookies'], headers = headers).json()
+		ticks = info['data']['items']
+
+		for tick in ticks:
+			result.append({
+				'time': time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(tick['timestamp'] / 1000)),
+				'current': tick['current'],
+				'trade_volume': tick['trade_volume'],
+			})
+
+	return result
+
+# 获取最新tick数据
+def get_current_tick(stock, df = False):
+	info = _global['session'].get('https://stock.xueqiu.com/v5/stock/realtime/quotec.json?symbol=' + parse_code(stock), cookies = _global['cookies'], headers = headers).json()
+	quote = info['data'][0]
+	stock = quote['symbol']
+	result = {
+		'time': time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(quote['timestamp'] / 1000)),
+		'current': quote['current'],
+		'high': quote['high'],
+		'low': quote['low'],
+		'trade_volume': quote['trade_volume'],
+		'volume': quote['volume'],
+		'money': quote['amount']
+	}
+
+	return Tick(stock, result)
+
+# 获取当日最新数据 包含涨停跌停等
+def get_current_data():
+	print('### 自定义 get_current_data ###')
+	current = _CurrentDic({})
+	return current
+
+# 获取最新tick数据
+def _get_current_tick():
+	stocks = []
+
+	if len(stock_list):
+
+		for stock in stock_list:
+			stocks.append(parse_code(stock))
+
+		info = _global['session'].get('https://stock.xueqiu.com/v5/stock/realtime/quotec.json?symbol=' + ','.join(stocks), cookies = _global['cookies'], headers = headers).json()
+		quotes = info['data']
+
+		for quote in quotes:
+			stock = quote['symbol']
+			result = {
+				'time': time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(quote['timestamp'] / 1000)),
+				'current': quote['current'],
+				'high': quote['high'],
+				'low': quote['low'],
+				'trade_volume': quote['trade_volume'],
+				'volume': quote['volume'],
+				'money': quote['amount']
+			}
+			_global['handle_tick'](_global['context'], Tick(stock, result))
+
+def parse_code(code):
+	
+	if code.endswith('XSHE'):
+		return 'SZ' + code.split('.')[0]
+	elif code.endswith('XSHG'):
+		return 'SH' + code.split('.')[0]
+
+def parse_xq_code(code):
+	
+	if code.startswith('SZ'):
+		return code[2:8] + '.XSHE'
+	elif code.startswith('SH'):
+		return code[2:8] + '.XSHG'
+
+# 要暴露的函数
+def subscribe(security, frequency):
+	print('### 自定义 subscribe ###')
+
+	# 加入队列
+	stock_list.append(security)
+	print('添加标的到队列 => ', security)
+	# print('当前订阅的标的队列 => ', stock_list)
+
+# 取消订阅标的的 tick 事件
+def unsubcribe(security, frequency):
+	print('### 自定义 unsubcribe ###')
+
+	if security in stock_list:
+		stock_list.remove(security)
+
+# 取消订阅所有 tick 事件
+def unsubscribe_all():
+	print('### 自定义 unsubscribe_all ###')
+	stock_list = []
+
+# 定时执行任务
+def run_daily(event, time):
+	_time = time.split(':')
+	hour = int(_time[0])
+	minute = int(_time[1])
+	schedudler = BackgroundScheduler()
+	schedudler.add_job(func = event, args = [_global['context']], trigger = 'cron', hour = hour, minute = minute, day_of_week = 'mon-fri')
+	schedudler.start()
+
+## 格式化返回的数据
+def parse(data):
+	result = json.loads(json.dumps(data), object_hook=lambda d: CurrentDict(**d))
+	return result
+
+## 格式化返回的数据
+def _parse_global(data):
+    result = json.loads(json.dumps(data), object_hook=lambda d: _Global(**d))
+    return result
+
+## 格式化返回的数据
+def _parse_context(data):
+    result = json.loads(json.dumps(data), object_hook=lambda d: _Context(**d))
+    return result
+
+# 暴露的全局变量
+g = _parse_global({})
+context = _parse_context({})
+
+# 保存一些内容
+_global = {
+	'session': None,
+	'cookies': None,
+	'context': context,
+	'g': g
+}