怎么样才能得到 07年08年的1分钟线数据呢，python 和通达信可以帮你

2010-12-09 17:42

最近在学习一种理论，真TMD的难啊，又没有多少图可以看，说到的以前的分钟线数据，在网上找了很久，都不容易看到。

不过利用通达信可以帮我们做到。通达信可以下载每天的分笔数据，就利用这个文本文件去产生以前的分时图！

用到的工具是著名的python，也是我最喜欢的语言。

需要说明的是，我安装的是国信，路径是e:\cwork\guosen ， 为了方便看历史分时线我我是将产生的5分钟数据文件和1分钟数据文件拷贝到英大的目录下看的。由于我不知道通达信的1分钟数据文件到底是如何命名的，所以我也把它取成lc5的文件名，真正看1分钟图时切换到5分钟图下看即可。当然可能与真正的1分钟图、5分钟图有些许差异，但这并无大碍，况且同花顺的1分钟图就和通达信的也存在细微的差异！

以下是CODE(注意：PYTHON 对缩进式敏感的,空格不要随意删除！另外我用的python 2.5 的2.6应该可以运行，3.0及以上应该不可以！ )

#!/usr/bin/python
#-*- encoding: gbk -*-
from __future__ import division
from  struct  import   *
import os,time ,datetime,string,sys,math,re,shutil,glob
import zipfile,StringIO,getopt
#from readths2 import *
# 2010-09-02 by wanghp

basedir = r'e:\cwork\guosen' #如果你的安装路径不同,请改这里

exp_dir    =basedir + r'\T0002\export'
#exp_dir    =basedir + r'\T0002\export_back'
lc5_dir_sh = basedir + r'\Vipdoc\sh\fzline'
#lc5_dir_sh = r'D:\2965\ydzqwsjy\Vipdoc\sh\fzline'
lc5_dir_sz = basedir + r'\Vipdoc\sz\fzline'
day_dir_sh = basedir + r'\Vipdoc\sh\lday'
day_dir_sz = basedir + r'\Vipdoc\sz\lday'

stkdict = {} #存储股票ID和上海市、深圳市的对照

#############################################################
# read 通达信分笔数据
# example readfbtxt(readlines(),'20100831-600000.TXT')
# 返回的data格式为
# (stkid,datetime,price,amount,vol(股数),笔数,buy or sale) 的list
#############################################################
def readfbtxt(p_lines,p_name):
    """读通达信分笔数据"""
    data =[]
    shortname =os.path.split(p_name)[1]
    shortname =os.path.splitext(shortname)[0]
    sDay,stkID =shortname.split('-')
    if len(sDay)!= 8 : return data
    stky =int(sDay[0:4])
    stkm =int(sDay[4:6])
    stkd =int(sDay[6:8])
    line_no =0

    for l inp_lines:
       line_no += 1
       if line_no <=3: continue
       l = l.strip()
       t = re.split('\s+',l)
       k = datetime.datetime(stky,stkm,stkd,int(t[0][0:2]),int(t[0][3:5]))
       p =float(t[1])     #price
       vol = int(t[2])*100  #股数
       amt = p *vol       #成交量
       bscnt =0           #笔数
       bstag =''          #buy or sale
       try:
           bscnt =int(t[3])   #笔数
           bstag =t[4]        #buy or sale
       except IndexError,e:
           pass
       data.append((stkID,k,p,amt,vol,bscnt,bstag))
    returndata

#############################################################
# 将分笔数据转化为分笔数据
# p_data:传入参数 为readfbtxt所返回
# data:  返回的数据格式为
# [stkid,datetime,open,high,low,close,amt,vol(股)]
#############################################################
def fbtxt2lc0(p_data):
   """分笔数据转化为1分钟数据"""
    data =[]
    for i inp_data:
       t =i[1]    #datetime
       p =i[2]    #price
       data.append([i[0],t,p,p,p,p,i[3],i[4]])
    returndata

#############################################################
# 将分笔数据转化为1分钟数据
# p_data:传入参数 为readfbtxt所返回
# data:  返回的数据格式为
# [stkid,datetime,open,high,low,close,amt,vol(股)]
#############################################################
def fbtxt2lc1(p_data):
   """分笔数据转化为1分钟数据"""
    data =[]
    for i inp_data:
       t =i[1]    #datetime
       p =i[2]    #price
       lend = len(data)
       j = lend - 1
       while j >= 0:
           if data[j][1] == t:break
           j -= 1
       if j < 0:  #没有找到该时间
           data.append([i[0],t,p,p,p,p,i[3],i[4]])
       else:         #找到该时间
           if p > data[j][3]:  #high
               data[j][3] = p
           if p < data[j][4]:  #low
               data[j][4] = p
           data[j][5] =p     #close
           data[j][6] += i[3]  #amout
           data[j][7] += i[4]  #vol
   #data.sort(key = lambda x:x[1])  #以datetime排序
    returndata

#############################################################
# 一个时间对应的5分钟区间段
# dt 传入参数 为一个datetime.datetime or datetime.time
# 返回datetime 或time
#############################################################
def which5min(dt):
    """5 分钟时间划分"""
    if type(dt)!= datetime.datetime and  type(dt) !=datetime.time:
       return None
    t = dt
    ret =None
    if type(dt)== datetime.datetime:
       t = datetime.time(dt.hour,dt.minute,dt.second)

    if t< datetime.time(9,30) : return None
   if   t <datetime.time(9,35): ret = datetime.time(9,35)
    elif t< datetime.time(9,40): ret =datetime.time(9,40)
    elif t< datetime.time(9,45): ret =datetime.time(9,45)
    elif t< datetime.time(9,50): ret =datetime.time(9,50)
    elif t< datetime.time(9,55): ret =datetime.time(9,55)
    elif t< datetime.time(10,0): ret =datetime.time(10,0)
    elif t< datetime.time(10,5): ret =datetime.time(10,5)
    elif t< datetime.time(10,10): ret =datetime.time(10,10)
    elif t< datetime.time(10,15): ret =datetime.time(10,15)
    elif t< datetime.time(10,20): ret =datetime.time(10,20)
    elif t< datetime.time(10,25): ret =datetime.time(10,25)
    elif t< datetime.time(10,30): ret =datetime.time(10,30)
    elif t< datetime.time(10,35): ret =datetime.time(10,35)
    elif t< datetime.time(10,40): ret =datetime.time(10,40)
    elif t< datetime.time(10,45): ret =datetime.time(10,45)
    elif t< datetime.time(10,50): ret =datetime.time(10,50)
    elif t< datetime.time(10,55): ret =datetime.time(10,55)
    elif t< datetime.time(11,0): ret =datetime.time(11,0)
    elif t< datetime.time(11,5): ret =datetime.time(11,5)
    elif t< datetime.time(11,10): ret =datetime.time(11,10)
    elif t< datetime.time(11,15): ret =datetime.time(11,15)
    elif t< datetime.time(11,20): ret =datetime.time(11,20)
    elif t< datetime.time(11,25): ret =datetime.time(11,25)
    elif t<= datetime.time(11,30): ret =datetime.time(11,30)
#    elif t< datetime.time(13,0): ret =datetime.time(13,0)
    elif t< datetime.time(13,5): ret =datetime.time(13,5)
    elif t< datetime.time(13,10): ret =datetime.time(13,10)
    elif t< datetime.time(13,15): ret =datetime.time(13,15)
    elif t< datetime.time(13,20): ret =datetime.time(13,20)
    elif t< datetime.time(13,25): ret =datetime.time(13,25)
    elif t< datetime.time(13,30): ret =datetime.time(13,30)
    elif t< datetime.time(13,35): ret =datetime.time(13,35)
    elif t< datetime.time(13,40): ret =datetime.time(13,40)
    elif t< datetime.time(13,45): ret =datetime.time(13,45)
    elif t< datetime.time(13,50): ret =datetime.time(13,50)
    elif t< datetime.time(13,55): ret =datetime.time(13,55)
    elif t< datetime.time(14,0): ret =datetime.time(14,0)
    elif t< datetime.time(14,5): ret =datetime.time(14,5)
    elif t< datetime.time(14,10): ret =datetime.time(14,10)
    elif t< datetime.time(14,15): ret =datetime.time(14,15)
    elif t< datetime.time(14,20): ret =datetime.time(14,20)
    elif t< datetime.time(14,25): ret =datetime.time(14,25)
    elif t< datetime.time(14,30): ret =datetime.time(14,30)
    elif t< datetime.time(14,35): ret =datetime.time(14,35)
    elif t< datetime.time(14,40): ret =datetime.time(14,40)
    elif t< datetime.time(14,45): ret =datetime.time(14,45)
    elif t< datetime.time(14,50): ret =datetime.time(14,50)
    elif t< datetime.time(14,55): ret =datetime.time(14,55)
    elif t<= datetime.time(15,0):  ret =datetime.time(15,0)
    else :return None
    if type(dt)== datetime.datetime:
       returndatetime.datetime(dt.year,dt.month,dt.day,ret.hour,ret.minute,ret.second)
    else: returnret

#############################################################
# 将1分钟数据转为5分钟数据
# p_data:传入参数 为fbtxt2lc1所返回
# data:  返回的数据格式为
# [stkid,datetime,open,high,low,close,amt,vol(股)]
#############################################################
def lc1tolc5(p_data):
   """1分钟数据转化为5分钟数据 """
    iflen(p_data) <= 0: return None
    data =[]
    for i inp_data:
       t = which5min(i[1])  #找对应5分钟的区段
       if t == None:
           raise ValueError,'time out of range: %s' % i[1]
       lend = len(data)
       j = lend - 1
       while j >= 0:
           if data[j][1] == t:break
           j -= 1
       if j < 0:  #没有找到该时间
           data.append([i[0],t,i[2],i[3],i[4],i[5],i[6],i[7]])
       else:         #找到该时间
           if i[3] > data[j][3]:  #high
               data[j][3] = i[3]
           if i[4] < data[j][4]:  #low
               data[j][4] = i[4]
           data[j][5] =i[5]     #close
           data[j][6] +=i[6]    #amout
           data[j][7] +=i[7]    #vol
   #data.sort(key = lambda x:x[1])  #以datetime排序
    returndata

#############################################################
# read 5分钟数据
# examplereadlc5(r'E:\new_gxzq_v6\Vipdoc\sh\fzline\sh600000.lc5')
#############################################################
def readlc5(p_name):
       """tdx 5min 数据
          日期上低16位表示月日，高16位表示分钟
          这个结构个人感觉就不如同花顺做的巧妙
              在一个4字节中把 年 月 日 时 分 都记录下来了
       """
       f = open(p_name,'rb')
       stkID = os.path.split(p_name)[1]
       stkID = os.path.splitext(stkID)[0]
       if string.lower(stkID[0:2]) == 'sh' or string.lower(stkID[0:2]) =='sz':
           stkID = stkID[2:]
       icnt = 0
       data = []
       while 1:
           raw = f.read(4*8)
           if len(raw) <= 0 : break
           t = unpack('IfffffII',raw)
           mins = (t[0] >> 16) &0xffff
           mds  = t[0] & 0xffff
           month = int(mds / 100)
           day   = mds % 100
           hour = int(mins / 60)
           minute = mins % 60
           #datet = "d-d d:d" % (month,day,hour,minute)
           data.append((stkID,(month,day,hour,minute),t[1],t[2],t[3],t[4],t[5],t[6],t[7]))
           #print datet,t[1],t[2],t[3],t[4],t[5],t[6],t[7]
           icnt += 1
       ## end while
       f.close()
       return data

#############################################################
#构造通达信5min数据文件
# data 结构
#[stkID,(月,日,时,分),open,high,low,close,amt,vol,0]
#############################################################
def writelc5(p_name,data,addwrite = True):
    if addwrite:
       fout = open(p_name,'ab')
    else:
       fout = open(p_name,'wb')
    for i indata:
       t = i[1][0]*100+i[1][1] + ( (i[1][2] * 60 + i[1][3])<< 16)
       raw = pack('IfffffII',t,i[2],i[3],i[4],i[5],i[6],i[7],i[8])
       fout.write(raw)
    ## endfor
   fout.close()

#############################################################
# outlist
# 将list 或者 tuple 输出
# 递归垂直输出，格式不好
#############################################################
def outlist(l):
    if type(l)!= list and type(l) != tuple:
       print l
    else:
       for i in l:
           outlist(i)

#############################################################
# outlist2 二层输出，对于上文中的data 实用
# 传入参数 data，一个形如矩阵的list
#############################################################
def outlist2(p_data):
    for i inp_data:
       for j in i:
           print j,
       print    

#############################################################
# 正数与二进制表示互相表示
#
#############################################################
#------------------------------
#-- i2bin 整数转为 2进制字符串
#------------------------------
def i2bin(x):
       result = ''
       x = int(x)
       while x > 0:
              mod = x & 0x01 # 取2的余数
              x = x >> 0x01  #右移一位
              result = str(mod) + result
       return result

#------------------------------
#-- bin2i 2进制字符串 转为正数
#------------------------------
def bin2i(bin):
    result =0
    for s inbin:
       if s != '0' and s != '1':
           raise ValueError,'bad bin string:'+bin
       result = 2*result + int(s)
    returnresult

#############################################################
# fill_stkdict 填充全局变量字典 stkdict
#
#############################################################
def fill_stkdict():
    globalstkdict
    lsh =os.listdir(day_dir_sh)
    for l inlsh:
       if len(l) <= 4:continue
       l = string.lower(l)
       if l[-3:] != 'day': continue
       n = os.path.splitext(l)[0]
       if n[0:2] == 'sh' or n[0:2] == 'sz':
           n = n[2:]
       stkdict[n] = 'sh'
    lsz =os.listdir(day_dir_sz)
    for l inlsz:
       if len(l) <= 4:continue
       l = string.lower(l)
       if l[-3:] != 'day': continue
       n = os.path.splitext(l)[0]
       if n[0:2] == 'sh' or n[0:2] == 'sz':
           n = n[2:]
       stkdict[n] = 'sz'

def getMarketByID(id):
    globalstkdict
    iflen(stkdict) == 0: fill_stkdict()
    returnstkdict.setdefault(id,'')

#copyfile   
#dstname = os.path.join(lc5_dir_sh,fout)
#shutil.copy(fout,dstname)

def writelcfiles(p_lines,p_name,lctype = 'lc5lc1',addfile =True):
    """
写内容
p_lines 文件行
l_name  短文件名
lctype  要转化生成的分钟类型 lc5 表示5分钟 lc1 表示1分钟lc0表示分笔的
addfile True表示追加文件 False 表示覆盖
    """
   data1  = readfbtxt(p_lines,p_name)
    iflen(data1) ==0: return
    data2 =fbtxt2lc1(data1)
    data3 =lc1tolc5(data2)

    ## lc55分钟文件
    if 'lc5' inlctype:
       data = []
       for i in data3:
           data.append([i[0],(i[1].month,i[1].day,i[1].hour,i[1].minute),i[2],i[3],i[4],i[5],i[6],i[7],0])
       if len(data) == 0 :
           sys.stderr.write('Error:no data in data\n')
           sys.exit(1)
       stkID = data[0][0]
       mark = getMarketByID(stkID)
       if mark == '':
           sys.stderr.write('不能确定它的市场：%s.请检查代码!\n' % stkID)
       else:
           fout = mark + stkID + '.lc5'
           if mark == 'sh':
               fout = os.path.join(lc5_dir_sh,fout)
           else:
               fout =os.path.join(lc5_dir_sz,fout)       

           writelc5(fout,data,addfile)
       #endif
    #endif
    if 'lc1' inlctype :
       data = []
       for i in data2:
           data.append([i[0],(i[1].month,i[1].day,i[1].hour,i[1].minute),i[2],i[3],i[4],i[5],i[6],i[7],0])
       if len(data) == 0 :
           sys.stderr.write('Error:no data in data\n')
           sys.exit(1)
       stkID = data[0][0]
       mark = getMarketByID(stkID)
       if mark == '':
           sys.stderr.write('不能确定它的市场：%s.请检查代码!\n' % stkID)
       else:
           fout = mark + stkID + '.lc1'
           if mark == 'sh':
               fout = os.path.join(lc5_dir_sh,fout)
           else:
               fout =os.path.join(lc5_dir_sz,fout)       
   
           writelc5(fout,data,addfile)
       #endif.
    #endif.

    #lc0分笔的K线文件
    if 'lc0' inlctype:
       data0 = fbtxt2lc0(data1)
       data = []
       for i in data0:
           data.append([i[0],(i[1].month,i[1].day,i[1].hour,i[1].minute),i[2],i[3],i[4],i[5],i[6],i[7],0])
       if len(data) == 0 :
           sys.stderr.write('Error:no data in data\n')
           sys.exit(1)
       stkID = data[0][0]
       mark = getMarketByID(stkID)
       if mark == '':
           sys.stderr.write('不能确定它的市场：%s.请检查代码!\n' % stkID)
       else:
           fout = mark + stkID + '.lc0'
           if mark == 'sh':
               fout = os.path.join(lc5_dir_sh,fout)
           else:
               fout =os.path.join(lc5_dir_sz,fout)       
   
           writelc5(fout,data,addfile)
       #endif.
    #endif.

 

def convert(p_stkid,p_type = 'txt',filterfunc = None):
    if p_type =='txt' : #txt file
       txtfiles =glob.glob(os.path.join(exp_dir,'*-'+p_stkid+'.txt'))
       if filterfunc :
           txtfiles = filter(filterfunc,txtfiles)
       txtfiles.sort()
       l_i = 0
       for fname in txtfiles:
           sys.stderr.write('%s\n' % fname)
           try:
               doc_lines = file(fname).readlines()
           except IOError , e :
               sys.stderr.write("Open file %s fail!\n" % fname)
               continue
           if len(doc_lines) <=4:
               sys.stderr.write('No data in %s\n' % fname)
               continue
           if l_i == 0 :
               writelcfiles(doc_lines,fname,'lc5lc1',False) ##over write
           else:
               writelcfiles(doc_lines,fname,'lc5lc1',True)  ##addwrite
           l_i += 1
       #endfor
           
   else:               #zipfile
       try:
           fzip = zipfile.ZipFile(os.path.join(exp_dir,p_stkid+'.zip'))
       except IOError,e:
           print 'Can not open file!',e
           return
       zipedfiles = fzip.namelist()
       if len(zipedfiles) == 0:
           return
       if filterfunc :
           zipedfiles = filter(filterfunc,zipedfiles)
       zipedfiles.sort()
       l_i = 0
       for fname in zipedfiles:
           sys.stderr.write('%s\n' % fname)
           doc = fzip.read(fname)
           doc_lines =StringIO.StringIO(doc).readlines()       
           if l_i == 0 :
               writelcfiles(doc_lines,fname,'lc5lc1',False) ##over write
           else:
               writelcfiles(doc_lines,fname,'lc5lc1',True)  ##addwrite
           l_i += 1
       #endfor
    #endif.

#############################################################
# usage 使用说明
#
#############################################################

def usage(p):
    print"""
python %s [-t txt|zip] stkid [from] [to]
-t txt 表示从txt files 读取数据，否则从zip file 读取(这也是默认方式)
for example :
python %s 999999 20070101 20070302
python %s -t txt 999999 20070101 20070302
    """ %(p,p,p)

 

if __name__ == '__main__':
    """
    pythonreadtdxlc5.py 999999 20070101 20070131
    """
    argv =sys.argv[1:]
    try :
       opts, args = getopt.getopt(argv, "ht:", ["help", "type="])
    exceptgetopt.GetoptError:
       usage(sys.argv[0])
       sys.exit(0)
    l_type ='zip'  #default type is zipfiles!
    for opt, arginopts:               
       if opt in ("-h", "--help"):
           usage(sys.argv[0])
           sys.exit(1)
       elif opt in ("-t", "--type"):
           l_type = arg
    if len(args)<1:
       print 'You must specified the stock No.!'
       usage(sys.argv[0])
       sys.exit(1)

    stkid =args[0]
    l_from =None
    l_to =None
    try:
       l_from = args[1]
       l_to   = args[2]
    except:
       pass

   #过滤函数
    deffilfunc(x):
       if l_from == None and l_to == None:
           return True
       ymd = os.path.splitext(os.path.split(x)[1])[0].split('-')[0]
       if l_from and l_to:
           return ymd >= l_from and ymd <=l_to
       elif l_from :
           return ymd >= l_from
       else :
           return ymd <= l_to
   
    if l_type =='txt': # 从一般txt 文件
       convert(stkid,'txt',filfunc)
    else:
       convert(stkid,'zip',filfunc)
       
    mark =getMarketByID(stkid)
    if mark =='':
       sys.stderr.write('不能确定它的市场：%s.请检查代码!\n' %stkid)       
    else:
       os.system('copy E:\\cwork\\guosen\\Vipdoc\\'+ mark +'\\fzline\\'+mark + stkid +'.lc5 E:\\cwork\\my_yd\\Vipdoc\\'+ mark+'\\fzline\\')
       os.system('copy E:\\cwork\\guosen\\Vipdoc\\'+ mark +'\\fzline\\'+mark + stkid +'.lc1 E:\\cwork\\ydzqwsjy\\Vipdoc\\' + mark +'\\fzline\\' + mark + stkid +'.lc5')

    #data =readlc5(os.path.join(lc5_dir_sh,'sh601398.lc5'))
   #outlist2(data)