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symbol.py
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98 lines (83 loc) · 2.36 KB
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#!/usr/bin/env python
# -*- coding: utf-8 -*-
"""
处理与合约名字有关的变量
"""
import re
# 上期所
PRODUCTS_SHFE = {'cu', 'al', 'zn', 'pb', 'ni', 'sn', 'au', 'ag', 'rb', 'wr', 'hc', 'fu', 'bu', 'ru'}
# 中金所
PRODUCTS_CFFEX = {'IF', 'IC', 'IH', 'T', 'TF'}
# 郑商所
PRODUCTS_CZCE = {'SR', 'CF', 'ZC', 'FG', 'TA', 'WH', 'PM', 'RI', 'LR', 'JR', 'RS', 'OI', 'RM', 'SF', 'SM', 'MA', 'WT',
'WS', 'RO', 'ER', 'ME', 'TC'}
# 大商所
PRODUCTS_DCE = {'m', 'y', 'a', 'b', 'p', 'c', 'cs', 'jd', 'fb', 'bb', 'l', 'v', 'pp', 'j', 'jm', 'i'}
EXCHANGES_wind_code_xapi = {
'CFE': 'CFFEX',
'SHF': 'SHFE',
'CZC': 'CZCE',
'DCE': 'DCE',
'SH': 'SSE',
'SZ': 'SZSE',
}
EXCHANGES_xapi_wind_code = dict((v, k) for k, v in EXCHANGES_wind_code_xapi.items())
def product_to_exchange(product):
"""
将合约产品码转成交易所
:param product:
:return:
"""
PRODUCT_ = product.upper()
if PRODUCT_ in PRODUCTS_CFFEX:
return 'CFFEX'
if PRODUCT_ in PRODUCTS_CZCE:
return 'CZCE'
product_ = product.lower()
if product_ in PRODUCTS_SHFE:
return 'SHFE'
if product_ in PRODUCTS_DCE:
return 'DCE'
return 'Unknown'
def is_shfe(product):
"""
是否上期所
多添加此函数的主要原因是上期所需要区分平今与平昨
:param product:
:return:
"""
product_ = product.lower()
return product_ in PRODUCTS_SHFE
def get_product(symbol):
"""
从合约名中提取产品名
:param symbol:
:return:
"""
pattern = re.compile(r'(\D{1,2})(\d{0,1})(\d{3})')
match = pattern.match(symbol)
if match:
return match.expand(r'\g<1>')
else:
return symbol
def get_exchange(symbol):
"""
从带.的合约名中提取交易所
:param symbol:
:return:
"""
pattern = re.compile(r'(\.)(\D{1,4})')
match = pattern.match(symbol)
if match:
return match.expand(r'\g<2>')
else:
return symbol
if __name__ == '__main__':
import pandas as pd
df = pd.DataFrame({'Symbol': ['IF1603', 'rb1708','600000']})
df['IsSHFE'] = list(map(is_shfe, map(get_product, df['Symbol'])))
df['product'] = list(map(get_product, df['Symbol']))
df['IsSHFE'] = list(map(is_shfe, df['product']))
print(df)
print(get_product('IF1406'))
print(EXCHANGES_wind_code_xapi.get('SH'))