知微
fa45d8aa5f
- health_checklist.json: 192.168.1.122→node122
- ocr_client.py: docstring IP→node122
- docs/market-data-requirements.md: IP→node122
- 所有API调用通过ProxyHandler({})绕过系统代理
Privoxy对node122:18003返回500，直连正常
341 lines
13 KiB
Python
341 lines
13 KiB
Python
#!/usr/bin/env python
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# -*- coding:utf-8 -*-
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"""
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Date: 2024/1/22 20:30
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Desc: 期货-期转现-交割
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"""
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from io import StringIO, BytesIO
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import pandas as pd
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import requests
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def futures_to_spot_shfe(date: str = "202312") -> pd.DataFrame:
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"""
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上海期货交易所-期转现
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https://tsite.shfe.com.cn/statements/dataview.html?paramid=kx
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1、铜、铜(BC)、铝、锌、铅、镍、锡、螺纹钢、线材、热轧卷板、天然橡胶、20号胶、低硫燃料油、燃料油、石油沥青、纸浆、不锈钢的数量单位为：吨；黄金的数量单位为：克；白银的数量单位为：千克；原油的数量单位为：桶。
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2、交割量、期转现量为单向计算。
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:param date: 年月
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:type date: str
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:return: 上海期货交易所期转现
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:rtype: pandas.DataFrame
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"""
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url = f"https://tsite.shfe.com.cn/data/instrument/ExchangeDelivery{date}.dat"
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headers = {
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"User-Agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) "
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"Chrome/100.0.4896.127 Safari/537.36",
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}
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r = requests.get(url, headers=headers)
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data_json = r.json()
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temp_df = pd.DataFrame(data_json["ExchangeDelivery"])
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temp_df.columns = [
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"_",
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"日期",
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"交割量",
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"_",
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"期转现量",
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"合约",
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"_",
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"_",
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]
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temp_df = temp_df[
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[
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"日期",
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"合约",
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"交割量",
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"期转现量",
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]
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]
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temp_df["日期"] = pd.to_datetime(temp_df["日期"], errors="coerce").dt.date
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temp_df["交割量"] = pd.to_numeric(temp_df["交割量"], errors="coerce")
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temp_df["期转现量"] = pd.to_numeric(temp_df["期转现量"], errors="coerce")
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return temp_df
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def futures_delivery_dce(date: str = "202312") -> pd.DataFrame:
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"""
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大连商品交易所-交割统计
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http://www.dce.com.cn/dalianshangpin/xqsj/tjsj26/jgtj/jgsj/index.html
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:param date: 交割日期
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:type date: str
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:return: 大连商品交易所-交割统计
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:rtype: pandas.DataFrame
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"""
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url = "http://www.dce.com.cn/publicweb/quotesdata/delivery.html"
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params = {
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"deliveryQuotes.variety": "all",
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"year": "",
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"month": "",
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"deliveryQuotes.begin_month": date,
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"deliveryQuotes.end_month": str(int(date) + 1),
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}
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headers = {
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"Accept": "text/html,application/xhtml+xml,application/xml;q=0.9,image/avif,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.9",
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"Accept-Encoding": "gzip, deflate",
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"Accept-Language": "zh-CN,zh;q=0.9,en;q=0.8",
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"Cache-Control": "no-cache",
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"Connection": "keep-alive",
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"Pragma": "no-cache",
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"Upgrade-Insecure-Requests": "1",
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"User-Agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/100.0.4896.127 Safari/537.36",
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}
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r = requests.post(url, params=params, headers=headers)
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temp_df = pd.read_html(StringIO(r.text))[0]
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temp_df["交割日期"] = (
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temp_df["交割日期"].astype(str).str.split(".", expand=True).iloc[:, 0]
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)
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temp_df = temp_df[~temp_df["品种"].str.contains("小计|总计")]
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temp_df.reset_index(inplace=True, drop=True)
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temp_df["交割日期"] = pd.to_datetime(temp_df["交割日期"], errors="coerce").dt.date
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temp_df["交割量"] = pd.to_numeric(temp_df["交割量"], errors="coerce")
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temp_df["交割金额"] = pd.to_numeric(temp_df["交割金额"], errors="coerce")
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return temp_df
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def futures_to_spot_dce(date: str = "202312") -> pd.DataFrame:
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"""
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大连商品交易所-期转现
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http://www.dce.com.cn/dalianshangpin/xqsj/tjsj26/jgtj/qzxcx/index.html
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:param date: 期转现日期
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:type date: str
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:return: 大连商品交易所-期转现
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:rtype: pandas.DataFrame
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"""
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url = "http://www.dce.com.cn/publicweb/quotesdata/ftsDeal.html"
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params = {
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"ftsDealQuotes.variety": "all",
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"year": "",
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"month": "",
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"ftsDealQuotes.begin_month": date,
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"ftsDealQuotes.end_month": date,
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}
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r = requests.post(url, params=params)
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temp_df = pd.read_html(StringIO(r.text))[0]
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temp_df["期转现发生日期"] = (
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temp_df["期转现发生日期"].astype(str).str.split(".", expand=True).iloc[:, 0]
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)
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temp_df = temp_df[~temp_df["合约代码"].str.contains("小计|总计")]
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temp_df.reset_index(inplace=True, drop=True)
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temp_df["期转现发生日期"] = pd.to_datetime(
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temp_df["期转现发生日期"], errors="coerce"
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).dt.date
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temp_df["期转现数量"] = pd.to_numeric(temp_df["期转现数量"], errors="coerce")
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return temp_df
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def futures_delivery_match_dce(symbol: str = "a") -> pd.DataFrame:
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"""
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大连商品交易所-交割配对表
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http://www.dce.com.cn/dalianshangpin/xqsj/tjsj26/jgtj/jgsj/index.html
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:param symbol: 交割品种
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:type symbol: str
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:return: 大连商品交易所-交割配对表
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:rtype: pandas.DataFrame
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"""
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url = "http://www.dce.com.cn/publicweb/quotesdata/deliveryMatch.html"
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params = {
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"deliveryMatchQuotes.variety": symbol,
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"contract.contract_id": "all",
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"contract.variety_id": symbol,
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}
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r = requests.post(url, params=params)
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temp_df = pd.read_html(StringIO(r.text))[0]
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temp_df["配对日期"] = (
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temp_df["配对日期"].astype(str).str.split(".", expand=True).iloc[:, 0]
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)
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temp_df = temp_df.iloc[:-1, :]
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temp_df["配对日期"] = pd.to_datetime(temp_df["配对日期"], errors="coerce").dt.date
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temp_df["配对手数"] = pd.to_numeric(temp_df["配对手数"], errors="coerce")
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temp_df["交割结算价"] = pd.to_numeric(temp_df["交割结算价"], errors="coerce")
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return temp_df
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def futures_to_spot_czce(date: str = "20231228") -> pd.DataFrame:
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"""
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郑州商品交易所-期转现统计
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http://www.czce.com.cn/cn/jysj/qzxtj/H770311index_1.htm
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:param date: 年月日
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:type date: str
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:return: 郑州商品交易所-期转现统计
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:rtype: pandas.DataFrame
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"""
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url = f"http://www.czce.com.cn/cn/DFSStaticFiles/Future/{date[:4]}/{date}/FutureDataTrdtrades.xls"
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headers = {
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"Accept": "text/html,application/xhtml+xml,application/xml;q=0.9,image/avif,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.9",
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"Accept-Encoding": "gzip, deflate",
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"Accept-Language": "zh-CN,zh;q=0.9,en;q=0.8",
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"Cache-Control": "no-cache",
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"Connection": "keep-alive",
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"Host": "www.czce.com.cn",
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"Pragma": "no-cache",
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"Referer": "http://www.czce.com.cn/",
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"Upgrade-Insecure-Requests": "1",
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"User-Agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/100.0.4896.127 Safari/537.36",
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}
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r = requests.get(url, headers=headers)
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r.encoding = "utf-8"
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temp_df = pd.read_excel(BytesIO(r.content), skiprows=1)
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temp_df.columns = [
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"合约代码",
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"合约数量",
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]
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temp_df = temp_df[
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[
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"合约代码",
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"合约数量",
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]
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]
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temp_df["合约数量"] = temp_df["合约数量"].astype(str).str.replace(",", "")
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temp_df["合约数量"] = pd.to_numeric(temp_df["合约数量"], errors="coerce")
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temp_df = temp_df[~temp_df["合约代码"].str.contains("小计|合计")]
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temp_df.reset_index(inplace=True, drop=True)
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return temp_df
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def futures_delivery_match_czce(date: str = "20210106") -> pd.DataFrame:
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"""
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郑州商品交易所-交割配对
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http://www.czce.com.cn/cn/jysj/jgpd/H770308index_1.htm
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:param date: 年月日
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:type date: str
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:return: 郑州商品交易所-交割配对
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:rtype: pandas.DataFrame
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"""
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url = f"http://www.czce.com.cn/cn/DFSStaticFiles/Future/{date[:4]}/{date}/FutureDataDelsettle.xls"
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r = requests.get(url)
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r.encoding = "utf-8"
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temp_df = pd.read_excel(BytesIO(r.content), skiprows=0)
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index_flag = temp_df[temp_df.iloc[:, 0].str.contains("配对日期")].index.values
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big_df = pd.DataFrame()
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for i, item in enumerate(index_flag):
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try:
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temp_inner_df = temp_df[index_flag[i] + 1 : index_flag[i + 1]]
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except: # noqa: E722
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temp_inner_df = temp_df[index_flag[i] + 1 :]
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temp_inner_df.columns = temp_inner_df.iloc[0, :]
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temp_inner_df = temp_inner_df.iloc[1:-1, :]
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temp_inner_df.reset_index(drop=True, inplace=True)
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date_contract_str = (
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temp_df[temp_df.iloc[:, 0].str.contains("配对日期")].iloc[:, 0].values[i]
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)
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inner_date = date_contract_str.split("：")[1].split(" ")[0]
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symbol = date_contract_str.split("：")[-1]
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temp_inner_df["配对日期"] = inner_date
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temp_inner_df["合约代码"] = symbol
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big_df = pd.concat([big_df, temp_inner_df], ignore_index=True)
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big_df.columns = [
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"卖方会员",
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"卖方会员-会员简称",
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"买方会员",
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"买方会员-会员简称",
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"交割量",
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"配对日期",
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"合约代码",
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]
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big_df["交割量"] = big_df["交割量"].str.replace(",", "")
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big_df["交割量"] = pd.to_numeric(big_df["交割量"])
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return big_df
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def futures_delivery_czce(date: str = "20210112") -> pd.DataFrame:
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"""
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郑州商品交易所-月度交割查询
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http://www.czce.com.cn/cn/jysj/ydjgcx/H770316index_1.htm
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:param date: 年月日
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:type date: str
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:return: 郑州商品交易所-月度交割查询
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:rtype: pandas.DataFrame
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"""
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url = f"http://www.czce.com.cn/cn/DFSStaticFiles/Future/{date[:4]}/{date}/FutureDataSettlematched.xls"
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r = requests.get(url)
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r.encoding = "utf-8"
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temp_df = pd.read_excel(BytesIO(r.content), skiprows=1)
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temp_df.columns = [
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"品种",
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"交割数量",
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"交割额",
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]
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temp_df["交割数量"] = temp_df["交割数量"].astype(str).str.replace(",", "")
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temp_df["交割额"] = temp_df["交割额"].astype(str).str.replace(",", "")
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temp_df["交割数量"] = pd.to_numeric(temp_df["交割数量"], errors="coerce")
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temp_df["交割额"] = pd.to_numeric(temp_df["交割额"], errors="coerce")
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return temp_df
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def futures_delivery_shfe(date: str = "202312") -> pd.DataFrame:
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"""
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上海期货交易所-交割情况表
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https://tsite.shfe.com.cn/statements/dataview.html?paramid=kx
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注意: 日期 -> 月度统计 -> 下拉到交割情况表
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:param date: 年月日
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:type date: str
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:return: 上海期货交易所-交割情况表
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:rtype: pandas.DataFrame
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"""
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url = f"https://tsite.shfe.com.cn/data/dailydata/{date}monthvarietystatistics.dat"
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headers = {
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"User-Agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) "
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"Chrome/100.0.4896.127 Safari/537.36",
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}
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r = requests.get(url, headers=headers)
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r.encoding = "utf-8"
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data_json = r.json()
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temp_df = pd.DataFrame(data_json["o_curdelivery"])
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temp_df.columns = [
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"品种",
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"品种代码",
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"_",
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"交割量-本月",
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"交割量-比重",
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"交割量-本年累计",
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"交割量-累计同比",
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]
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temp_df = temp_df[
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[
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"品种",
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"交割量-本月",
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"交割量-比重",
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"交割量-本年累计",
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"交割量-累计同比",
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]
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]
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temp_df["交割量-本月"] = pd.to_numeric(temp_df["交割量-本月"], errors="coerce")
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temp_df["交割量-比重"] = pd.to_numeric(temp_df["交割量-比重"], errors="coerce")
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temp_df["交割量-本年累计"] = pd.to_numeric(
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temp_df["交割量-本年累计"], errors="coerce"
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)
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temp_df["交割量-累计同比"] = pd.to_numeric(
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temp_df["交割量-累计同比"], errors="coerce"
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)
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return temp_df
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if __name__ == "__main__":
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futures_to_spot_dce_df = futures_to_spot_dce(date="202312")
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print(futures_to_spot_dce_df)
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futures_to_spot_shfe_df = futures_to_spot_shfe(date="202312")
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print(futures_to_spot_shfe_df)
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futures_to_spot_czce_df = futures_to_spot_czce(date="20210112")
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print(futures_to_spot_czce_df)
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futures_delivery_dce_df = futures_delivery_dce(date="202101")
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print(futures_delivery_dce_df)
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futures_delivery_monthly_czce_df = futures_delivery_czce(date="20251014")
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print(futures_delivery_monthly_czce_df)
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futures_delivery_shfe_df = futures_delivery_shfe(date="202312")
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print(futures_delivery_shfe_df)
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futures_delivery_match_dce_df = futures_delivery_match_dce(symbol="a")
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print(futures_delivery_match_dce_df)
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futures_delivery_match_czce_df = futures_delivery_match_czce(date="20210106")
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print(futures_delivery_match_czce_df)
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