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genca2.py
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genca2.py
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#-*- coding:utf-8 –*-
import sys
import os
import datetime as dt;
#
shfe_dict = {
2005:[(20050101,20050103),(20050207,20050215),(20050501,20050508),(20051001,20051009)],
2006:[(20060101,20060103),(20060128,20060205),(20060501,20060507),(20061001,20061008)],
2007:[(20070101,20070103),(20070217,20070225),(20070501,20070507),(20071001,20071007),(20071230,20071231)],
2008:[(20080101,20080101),(20080206,20080212),(20080404,20080406),(20080501,20080503),(20080607,20080609),(20080913,20080915),(20080929,20081005)],
2009:[(20090101,20090103),(20090125,20090131),(20090404,20090406),(20090501,20090503),(20090528,20090530),(20091001,20091008)],
2010:[(20100101,20100103),(20100213,20100219),(20100403,20100405),(20100501,20100503),(20100614,20100616),(20100922,20100924),(20101001,20101007)],
2011:[(20110101,20110103),(20110202,20110208),(20110403,20110405),(20110430,20110502),(20110604,20110606),(20110910,20110912),(20111001,20111007)],
2012:[(20120101,20120103),(20120122,20120128),(20120402,20120404),(20120429,20120501),(20120622,20120624),(20120930,20121007)],
2013:[(20130101,20130103),(20130209,20130215),(20130404,20130406),(20130429,20130501),(20130610,20130612),(20130919,20130921),(20131001,20131007)],
2014:[(20140101,20140101),(20140131,20140206),(20140405,20140407),(20140501,20140503),(20140531,20140602),(20140906,20140908),(20141001,20141007)],
2015:[(20150101,20150103),(20150218,20150224),(20150405,20150406),(20150501,20150503),(20150620,20150622),(20150927,20150927),(20151001,20151007)],
2016:[(20160101,20160103),(20160207,20160213),(20160402,20160404),(20160430,20160502),(20160609,20160611),(20160915,20160917),(20161001,20161007)],
2017:[(20170101,20170102),(20170127,20170202),(20170402,20170404),(20170429,20170501),(20170528,20170530),(20171001,20171008)],
}
dce_dict = {
2005:[(20050101,20050103),(20050207,20050215),(20050501,20050508),(20051001,20051009)],
2006:[(20060101,20060103),(20060128,20060205),(20060501,20060507),(20061001,20061008)],
2007:[(20070101,20070103),(20070217,20070225),(20070501,20070507),(20071001,20071007),(20071230,20071231)],
2008:[(20080101,20080101),(20080206,20080212),(20080404,20080406),(20080501,20080503),(20080607,20080609),(20080913,20080915),(20080929,20081005)],
2009:[(20090101,20090103),(20090125,20090131),(20090404,20090406),(20090501,20090503),(20090528,20090530),(20091001,20091008)],
2010:[(20100101,20100103),(20100213,20100219),(20100403,20100405),(20100501,20100503),(20100614,20100616),(20100922,20100924),(20101001,20101007)],
2011:[(20110101,20110103),(20110202,20110208),(20110403,20110405),(20110430,20110502),(20110604,20110606),(20110910,20110912),(20111001,20111007)],
2012:[(20120101,20120103),(20120122,20120128),(20120402,20120404),(20120429,20120501),(20120622,20120624),(20120930,20121007)],
2013:[(20130101,20130103),(20130209,20130215),(20130404,20130406),(20130429,20130501),(20130610,20130612),(20130919,20130921),(20131001,20131007)],
2014:[(20140101,20140101),(20140131,20140206),(20140405,20140407),(20140501,20140503),(20140531,20140602),(20140906,20140908),(20141001,20141007)],
2015:[(20150101,20150103),(20150218,20150224),(20150405,20150406),(20150501,20150503),(20150620,20150622),(20150927,20150927),(20151001,20151007)],
2016:[(20160101,20160103),(20160207,20160213),(20160402,20160404),(20160430,20160502),(20160609,20160611),(20160915,20160917),(20161001,20161007)],
2017:[(20170101,20170102),(20170127,20170202),(20170402,20170404),(20170429,20170501),(20170528,20170530),(20171001,20171008)],
}
czce_dict = {
2005:[(20050101,20050103),(20050207,20050215),(20050501,20050508),(20051001,20051009)],
2006:[(20060101,20060103),(20060128,20060205),(20060501,20060507),(20061001,20061008)],
2007:[(20070101,20070103),(20070217,20070225),(20070501,20070507),(20071001,20071007),(20071230,20071231)],
2008:[(20080101,20080101),(20080206,20080212),(20080404,20080406),(20080501,20080503),(20080607,20080609),(20080913,20080915),(20080929,20081005)],
2009:[(20090101,20090103),(20090125,20090131),(20090404,20090406),(20090501,20090503),(20090528,20090530),(20091001,20091008)],
2010:[(20100101,20100103),(20100213,20100219),(20100403,20100405),(20100501,20100503),(20100614,20100616),(20100922,20100924),(20101001,20101007)],
2011:[(20110101,20110103),(20110202,20110208),(20110403,20110405),(20110430,20110502),(20110604,20110606),(20110910,20110912),(20111001,20111007)],
2012:[(20120101,20120103),(20120122,20120128),(20120402,20120404),(20120429,20120501),(20120622,20120624),(20120930,20121007)],
2013:[(20130101,20130103),(20130209,20130215),(20130404,20130406),(20130429,20130501),(20130610,20130612),(20130919,20130921),(20131001,20131007)],
2014:[(20140101,20140101),(20140131,20140206),(20140405,20140407),(20140501,20140503),(20140531,20140602),(20140906,20140908),(20141001,20141007)],
2015:[(20150101,20150103),(20150218,20150224),(20150405,20150406),(20150501,20150503),(20150620,20150622),(20150927,20150927),(20151001,20151007)],
2016:[(20160101,20160103),(20160207,20160213),(20160402,20160404),(20160430,20160502),(20160609,20160611),(20160915,20160917),(20161001,20161007)],
2017:[(20170101,20170102),(20170127,20170202),(20170402,20170404),(20170429,20170501),(20170528,20170530),(20171001,20171008)],
}
holiday_map = {"CZCE":czce_dict,"SHFE":shfe_dict,"DCE":dce_dict,"CFFEX":{}}
def load_cadict():
f = open("ca.future")
cadict = {}
for line in f:
s = line.upper()
s = s.strip("\n").split(" ");
exchange = s[0];
product = s[2].split(":")[1]
#print exchange, " ", product;
#sys.exit(0);
if cadict.has_key(product):
pass
#print "duplicate", s
else:
cadict[product]=exchange;
#print len(cadict);
return cadict;
pass
cadict = load_cadict();
def get_date_list(start_date, end_date):
day = start_date;
mlist=[]
while day <= end_date:
mlist.append(day)
day = day + dt.timedelta(days=1);
return mlist
pass
def is_holiday(exchange, date):
holiday_list = holiday_map[exchange][date.year]
tradeday = date.year * 10000 + date.month * 100 + date.day;
for item in holiday_list:
if tradeday > item[0] and tradeday < item[1]:
return True
if tradeday < item[1]:
break;
return False;
def gen_shfe(exchange, product):
f = open(exchange + "/" + product + ".ca","a+")
is_last_holiday=False;
begin = dt.datetime(2005,1,1);
mlist = get_date_list(dt.datetime(2005,1,1), dt.datetime(2017,12,30))
for day in mlist:
if is_holiday(exchange,day):
is_last_holiday = True
continue;
if day.weekday()==6 or day.weekday()==5:
continue;
pass
#this is a trading day
time_format = ","+"09:00-11:30" + "," + "13:30-15:00";
if is_last_holiday:
#not night
#time_format = ","+"09:00-11:30" + "," + "13:30-15:00";
is_last_holiday = False
else:
if day <= dt.datetime(2013,7,4):
pass
elif day >= dt.datetime(2013,7,5):
if product == "AG" or product == "AU":
#au,ag 20130705 night
time_format = ","+"21:00-02:30" + "," + "09:00-11:30" + "," + "13:30-15:00";
pass
elif day >= dt.datetime(2013,12,20) and (product == "CU" or product=="AL" or product =="PB" or product=="ZN") :
time_format = ","+"21:00-01:00" + "," + "09:00-11:30" + "," + "13:30-15:00";
#cu,al,pb,zn night
elif day >= dt.datetime(2014,12,26) and (product == "RU"):
time_format = ","+"21:00-01:00" + "," + "09:00-11:30" + "," + "13:30-15:00";
pass
elif day >= dt.datetime(2014,12,26) and day < dt.datetime(2016,5,3) and (product == "RB" or product == "BU" or product == "HC"):
time_format = ","+"21:00-01:00" + "," + "09:00-11:30" + "," + "13:30-15:00";
pass
elif day >= dt.datetime(2016,5,3) and (product == "RB" or product == "BU" or product == "HC"):
time_format = ","+"21:00-23:00" + "," + "09:00-11:30" + "," + "13:30-15:00";
pass
elif day >= dt.datetime(2014,12,26):
#default SN, NI
time_format = ","+"21:00-01:00" + "," + "09:00-11:30" + "," + "13:30-15:00";
pass
pass
pass
pass
time_format = day.strftime('%Y%m%d')+time_format;
f.write(time_format+"\n");
#ss = time_format + "," + "09:00-11:30"+","+"13:30-15:00"+"\n";
f.close()
pass
def gen_czce(exchange,product):
f = open(exchange + "/" + product + ".ca","a+")
is_last_holiday=False;
mlist = get_date_list(dt.datetime(2005,1,1), dt.datetime(2017,12,30))
for day in mlist:
if is_holiday(exchange,day):
is_last_holiday = True
continue;
if day.weekday()==6 or day.weekday()==5:
continue;
pass
#this is a trading day
time_format = ","+"09:00-11:30" + "," + "13:30-15:00";
if is_last_holiday:
#not night
#time_format = ","+"09:00-11:30" + "," + "13:30-15:00";
is_last_holiday = False
else:
if day >= dt.datetime(2014,12,12) and (product in ["MA","RM","CF","PTA","SR"]) :
time_format = ","+"21:00-23:30" + "," + "09:00-11:30" + "," + "13:30-15:00";
pass
pass
time_format = day.strftime('%Y%m%d')+time_format;
f.write(time_format+"\n");
#ss = time_format + "," + "09:00-11:30"+","+"13:30-15:00"+"\n";
f.close()
pass
def gen_dce(exchange,product):
f = open(exchange + "/" + product + ".ca","a+")
is_last_holiday=False;
mlist = get_date_list(dt.datetime(2005,1,1), dt.datetime(2017,12,30))
for day in mlist:
if is_holiday(exchange,day):
is_last_holiday = True
continue;
if day.weekday()==6 or day.weekday()==5:
continue;
pass
#this is a trading day
time_format = ","+"09:00-11:30" + "," + "13:30-15:00";
if is_last_holiday:
#not night
#time_format = ","+"09:00-11:30" + "," + "13:30-15:00";
is_last_holiday = False
else:
if day >= dt.datetime(2014,7,4) and day < dt.datetime(2015,5,8) and (product in ["P","J"] ) :
time_format = ","+"21:00-02:30" + "," + "09:00-11:30" + "," + "13:30-15:00";
pass
elif day>=dt.datetime(2014,12,16) and day < dt.datetime(2015,5,8) and (product in ["Y","M","P","J","A","B","JM","I"]):
time_format = ","+"21:00-02:30" + "," + "09:00-11:30" + "," + "13:30-15:00";
pass
elif day>=dt.datetime(2015,5,8) and (product in ["Y","M","P","J","A","B","JM","I"]):
time_format = ","+"21:00-23:30" + "," + "09:00-11:30" + "," + "13:30-15:00";
pass
pass
time_format = day.strftime('%Y%m%d')+time_format ;
f.write(time_format+"\n");
#ss = time_format + "," + "09:00-11:30"+","+"13:30-15:00"+"\n";
f.close()
pass
def gen_trading_time(cadict):
for product,exchange in cadict.items():
print exchange,product;
os.system("mkdir -p %s" %exchange);
if exchange == "SHFE":
gen_shfe(exchange,product)
pass
if exchange == "CFFEX":
pass
if exchange == "DCE":
gen_dce(exchange,product)
pass
if exchange == "CZCE":
gen_czce(exchange,product)
pass
pass
#tmp = datetime.datetime.now()
#print tmp.weekday();
#sys.exit(0);
if __name__ == "__main__":
now = dt.datetime(2017,1,1);
#print now.weekday()
#print now.year;
#tradeday = now.year * 10000 + now.month * 100 + now.day;
#print tradeday
#a = (20170101,20170102)
#if tradeday >= a[0] and tradeday <=a[1]:
# print a[0]
#sys.exit(0);
cadict = load_cadict();
gen_trading_time(cadict)
pass