量化交易之vnpy篇 - 重构主力合约换月模块 - 更新主力合约数据源部分

最新推荐文章于 2024-08-05 23:18:47 发布

_Erwin_

最新推荐文章于 2024-08-05 23:18:47 发布

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import os
import pandas

from vnpy.trader.tqz_extern.tqz_constant import TQZMainContractsColumnType, TQZMainContractsSheetType
from vnpy.app.tqz_main_contracts_app.main_contracts_data_file_path import TQZMainContractsChangeFilePath
from vnpy.trader.tqz_server_data import TQZServerData


class TQZUpdateMainContractsExcel:
    """
    Load main contracts of current futures market
    """

    @classmethod
    def tqz_update_main_contracts_excel(cls):
        """
        Load main contracts from TqSdk
        """
        main_contracts = TQZServerData().tqz_load_main_contracts()

        cls.__create_main_contracts_excel(
            current_main_vt_symbols=main_contracts
        )


    # --- private part ---
    @classmethod
    def __update_today_main_contracts(cls, market_main_vt_symbols):
        """
        Update main contracts of current day to excel
        """
        TQZMainContractsChangeFilePath.ensure_mainContractsFold_is_exist()

        market_main_vt_symbols = sorted(market_main_vt_symbols)

        if os.path.exists(path=TQZMainContractsChangeFilePath.main_contracts_excel()) is False:
            cls.__create_main_contracts_excel(
                current_main_vt_symbols=market_main_vt_symbols
            )
        else:
            pre_main_contracts_dataframe = cls.__init_pre_main_contracts_dataframe(market_main_vt_symbols=market_main_vt_symbols)

            today_main_contracts_dataframe = cls.__init_today_main_contracts_dataframe(
                market_main_vt_symbols=market_main_vt_symbols,
                pre_main_contracts_dataframe=pre_main_contracts_dataframe
            )

            cls.__to_excel(
                content_dataframe=today_main_contracts_dataframe,
                path=TQZMainContractsChangeFilePath.main_contracts_excel(),
                sheet_name=TQZMainContractsSheetType.CURRENT_FUTURE_MAIN_CONTRACT.value
            )

    @staticmethod
    def __init_today_main_contracts_dataframe(market_main_vt_symbols, pre_main_contracts_dataframe):
        today_main_contracts_dataframe = pandas.DataFrame(
            columns=[
                TQZMainContractsColumnType.MAIN_CONTRACT.value,
                TQZMainContractsColumnType.ENTRY_PRICE.value
            ]
        )
        today_main_contracts_dataframe[TQZMainContractsColumnType.MAIN_CONTRACT.value] = market_main_vt_symbols
        today_main_contracts_dataframe.set_index(TQZMainContractsColumnType.MAIN_CONTRACT.value, inplace=True)
        today_main_contracts_dataframe[TQZMainContractsColumnType.ENTRY_PRICE.value] = pre_main_contracts_dataframe[
            TQZMainContractsColumnType.ENTRY_PRICE.value]
        today_main_contracts_dataframe.reset_index(inplace=True)

        return today_main_contracts_dataframe

    @staticmethod
    def __init_pre_main_contracts_dataframe(market_main_vt_symbols):
        pre_main_contracts_dataframe = pandas.read_excel(
            io=TQZMainContractsChangeFilePath.main_contracts_excel(),
            sheet_name=TQZMainContractsSheetType.CURRENT_FUTURE_MAIN_CONTRACT.value
        )

        not_main_contracts = []
        current_main_contracts = pre_main_contracts_dataframe[
            TQZMainContractsColumnType.MAIN_CONTRACT.value].values.tolist()

        for current_main_contract in current_main_contracts:
            if current_main_contract not in market_main_vt_symbols:
                not_main_contracts.append(current_main_contract)

        pre_main_contracts_dataframe.set_index(TQZMainContractsColumnType.MAIN_CONTRACT.value, inplace=True)
        pre_main_contracts_dataframe.drop(not_main_contracts, inplace=True)  # drop all non_main_contracts

        return pre_main_contracts_dataframe

    @classmethod
    def __create_main_contracts_excel(cls, current_main_vt_symbols):
        """
        Create main-contracts-excel when excel is not exist.
        """

        main_contracts_dataframe = pandas.DataFrame(
            columns=[
                TQZMainContractsColumnType.MAIN_CONTRACT.value,
                TQZMainContractsColumnType.ENTRY_PRICE.value
            ]
        )

        main_contracts_dataframe[TQZMainContractsColumnType.MAIN_CONTRACT.value] = sorted(current_main_vt_symbols)

        cls.__to_excel(
            content_dataframe=main_contracts_dataframe,
            path=TQZMainContractsChangeFilePath.main_contracts_excel(),
            sheet_name=TQZMainContractsSheetType.CURRENT_FUTURE_MAIN_CONTRACT.value
        )

    @staticmethod
    def __to_excel(content_dataframe, path, sheet_name):
        """
        Write content_dataframe to path/excel/sheet_name
        """

        excel_writer = pandas.ExcelWriter(path=path)
        content_dataframe.to_excel(
            excel_writer,
            sheet_name=sheet_name,
            index=False,
            freeze_panes=(1, 0)
        )
        excel_writer.save()


if __name__ == '__main__':
    TQZUpdateMainContractsExcel.tqz_update_main_contracts_excel()