Here we introduce the use of free and open source Pytdx interface to obtain real-time market data and store it in the database in real time (mongodb/myslq).
Pytdx is an implementation of market data interface similar to TradeX developed in pure Python language. It provides real-time market data of various stocks / futures / options and so on.
The types of data provided include:
market category name short_name
0 1 1 temporary shares TP
1 4 12 Zhengzhou Commodity Option OZ
2.5.12 Dalian Commodity Option OD
3 6 12 Shanghai Commodity Options
4.7.12 CFSE option OJ
5 8 12 Shanghai individual stock option QQ
6 9 12 Shenzhen individual stock options SQ
7 10 4 basic exchange rate FE
8 11 4 cross exchange rate FX
9 12 5 international index WI
10 13 3 international precious metals GO
11 14 3 London Metal LM
12 15 3 London petroleum IP
13 16 3 New York commodity CO
14 17 3 New York oil NY
15 18 3 Chicago Valley CB
16 19 3 Tokyo Industrial Products Co., Ltd
17 20 3 New York Futures NB
18 27 5 Hong Kong Index FH
19 28 3 Zhengzhou Commodity QZ
20 29 3 Dalian Commodity QD
21 30 3 Shanghai Futures QS
22 31 2 Hong Kong mainboard KH
23 33 8 open end fund FU
24 34 9 Monetary Fund FB
25 35 8 brokerage financial products LC
26 36 9 brokerage monetary products LB
27 37 11 global index (static) FW
28 38 10 macro index HG
29 39 3 Malay futures
30 40 11 China concept stocks CH
31 41 11 MG, a well-known US stock company
32 43 1 B share to H share HB
33 44 1 share transfer system SB
34 46 11 Shanghai Gold SG
35 47 3 CICC futures CZ
36 48 2 HK gem KG
37 49 2 HK fund KT
38 50 3 Bohai commodity BH
39 56 8 sunshine private equity fund TA
40 57 8 brokerage collective wealth management TB
41 58 9 brokerage money management TC
42 60 3 main futures contracts MA
43 62 5 China Securities Index ZZ
44 70 5 expansion plate index UZ
45 71 2 HK Stock connect GH
46 102 5 national securities index GZ
Support python2 and python3 programming languages.
First, we need to introduce
from pytdx.exhq import *
from pytdx.hq import *
1, List of standard api methods
from pytdx.hq import *
1: get the stock market
You can get the market information of multiple stocks
A list needs to be passed in. Each list is composed of a market code and a stock code [(market code 1, stock code 1), (market code 2, stock code 2)... (market code n, stock code n)]
Such as API get_ security_ quotes([(0, ‘000001’), (1, ‘600300’)])
2: get k line
K line type: 0.5 minutes K line 1.15 minutes K line 2.30 minutes K line 3.1 hours K line 4 days K line 5 weeks K line June K line 7.1 minutes 81 minutes K line 9 days K line 10 seasons K line 11 years K line
api.get_security_bars(9,0, '000001', 4, 3)
3: get the number of stocks in the market
api.get_security_count(0)
4: get stock list
api.get_security_list(1, 0)
5: get index k line
api.get_index_bars(9,1, '000001', 1, 2)
6: query time-sharing Market
api.get_minute_time_data(1, '600300')
7: query historical time-sharing Market
api.get_history_minute_time_data(TDXParams.MARKET_SH, '600300', 20161209)
8: query transaction by transaction
api.get_transaction_data(TDXParams.MARKET_SZ, '000001', 0, 30)
9: query the history of transaction by transaction
api.get_history_transaction_data(TDXParams.MARKET_SZ, '000001', 0, 10, 20170209)
10: query company information directory
api.get_company_info_category(TDXParams.MARKET_SZ, '000001')
11: read company information details
api.get_company_info_content(0, '000001', '000001.txt', 0, 100)
12: read ex right and ex dividend information
api.get_xdxr_info(1, '600300')
13: read financial information
api.get_finance_info(0, '000001')
14: read k-line information
get_k_data('000001','2017-07-03','2017-07-10')
15: Read plate information
api.get_and_parse_block_info(TDXParams.BLOCK_SZ)
2, Extended quotation interface API
from pytdx.exhq import *
1: Get market code
api.get_markets()
2: Query code list
api.get_instrument_info(0, 100)
3: Query the quantity of goods in the market
api.get_instrument_count()
4: Query the market of the fifth gear
api.get_instrument_quote(47, "IF1709")
5: Query time-sharing Market
api.get_minute_time_data(47, "IF1709")
6: Query historical time-sharing Market
api.get_history_minute_time_data(31, "00020", 20170811)
7: Query k-line data
api.get_instrument_bars(TDXParams.KLINE_TYPE_DAILY, 8, "10000843", 0, 100)
8: Query transaction by transaction
api.get_transaction_data(31, "00020")
api.get_history_transaction_data(47, "IFL0", 20170810, start=1800)
9: Query history transaction by transaction
api.get_history_transaction_data(31, "00020", 20170810)
3, Other functions
Multithreading support, heartbeat package, exception throwing, reconnection mechanism, as well as reading the daily K-line, historical professional financial data and transaction related (such as creating orders, canceling orders, etc.), please refer to the reference https://github.com/rainx/pytdx/issues/5
4, Application case source code
The following is a python method to obtain the real-time quotes of stocks / 50ETF/300ETF and their stock options in real time:
def fetcHQRisk(self, isSaveSTkRealtime=False, isSaveOptRealtime=False):
optList= self.contraManager.contrOptIdList
riskM=RISKMAN.RiskMan()
rate=4.
hv=20. #default
if self.db=='mysql':
try:
sql='select * from %s \
where tradeDate in (select max(tradeDate) from %s);'%(C.OPT_HV,C.OPT_HV)
res=dbcom.select_tuple_dict(sql)
hvDf=pd.DataFrame(list(res))
hv=(hvDf[hvDf['xmode']=='yz'][C.HVX]).values[0]
hv=round(hv*100.,1)
except Exception,e:
print (e)
elif self.db=='mongo':
hv=mdbcom.find(C.STK_HV,sortListOfTuple=[('date',-1)])
if hv is not None and len(hv)>0:
hv=hv[0][C.HVX]
hv=round(hv*100.,1)
api_hq=None
api_exhq=None
try:
api_hq = TdxHq_API()
with self.isConnected(api_hq,type='hq',verbose=True) as api_hq:
quote_hq=api_hq.get_security_quotes([(self.market_good, self.good[:-5])])
spotPrice=quote_hq[0]['price']/10.
#add on 2019-04-17
#daily 50etf info:today's cummulative info. cummulative!!!
#*********************************
etf_open=quote_hq[0]['open']/10.
etf_high=quote_hq[0]['high']/10.
etf_low=quote_hq[0]['low']/10.
etf_last_close=quote_hq[0]['last_close']/10.
#today's cummulative info
etf_vol=quote_hq[0]['vol']
etf_amount=quote_hq[0]['amount']
#*********************************
print(spotPrice)
if quote_hq is not None or spotPrice>0.000001:
if isSaveSTkRealtime:
'''
category->
K Line type
0 5 minute K Line
1 15 minute K Line
2 30 minute K Line
3 1 hour K Line
4 day K Line
5 week K Line
6 month K Line
7 1 minute
8 1 minute K Line
9 day K Line
10 season K Line
11 year K Line
market -> Market code 0:Shenzhen, 1:Shanghai
stockcode -> Securities code;
start -> Specified range start position;
count -> User to request K Number of lines, max. 800
'''
stk_1min_K=api_hq.get_security_bars(8, 1, self.good[:-5], 0, 10)
nowTime=xtool.nowTime()
stk_1min_K_df=pd.DataFrame(stk_1min_K)
stk_1min_K_df['xtime']=nowTime
hr_min=[t[-5:] for t in stk_1min_K_df['datetime']]
stk_1min_K_df['_id']=hr_min
record=stk_1min_K_df.to_dict(orient='record')
mdbcom.saveBatch(C.STK_MINS,record)
stk_1min_K_df['_id']=stk_1min_K_df['datetime']
stk_1min_K_df["tradeTime"]= stk_1min_K_df['datetime']
stk_1min_K_df["tradeMins"]= hr_min
stk_1min_K_df["tradeDate"]= [t[:10] for t in stk_1min_K_df['datetime']]
stk_1min_K_df["volume"]= stk_1min_K_df["vol"]
stk_1min_K_df=stk_1min_K_df[[
"_id" ,
"tradeMins" ,
"volume" ,
"tradeDate",
"high" ,
"amount",
"tradeTime" ,
"low",
"close" ,
"open"
]]
# 1-min K fig, vol NOT cummulative
mdbcom.saveBatch('etf50_date_mins',stk_1min_K_df.to_dict(orient='record'))
api_exhq = TdxExHq_API()
with self.isConnected(api_exhq, type='exhq', verbose=True) as api_exhq:
for optID in optList:
try:
quote_exhq=api_exhq.get_instrument_quote(self.market_opt, optID)
settlePrice=quote_exhq[0]['price']
settlePrice_high=settlePrice
settlePrice_low=settlePrice
settlePrice_open=settlePrice
if self.all_settlePrice_high.has_key(optID):
if settlePrice>self.all_settlePrice_high[optID]:
self.all_settlePrice_high[optID]=settlePrice
else:
settlePrice_high=self.all_settlePrice_high[optID]
else:
self.all_settlePrice_high[optID]=settlePrice
if self.all_settlePrice_low.has_key(optID):
if settlePrice<self.all_settlePrice_low[optID]:
self.all_settlePrice_low[optID]=settlePrice
else:
settlePrice_low=self.all_settlePrice_low[optID]
else:
self.all_settlePrice_low[optID]=settlePrice
if self.all_settlePrice_open.has_key(optID):
pass
else:
self.all_settlePrice_open[optID]=settlePrice_open
chicang=quote_exhq[0]['chicang']
if quote_exhq is None:
xlog.info('no settlePrice')
else:
if isSaveOptRealtime:
save=quote_exhq[0]
save['_id']=optID
save['xtime']=xtool.nowTime()
mdbcom.saveOne(C.OPT_QUOTE,save)
contractType=self.contraManager.contrDict['contractType'][optID]
contractStatus=self.contraManager.contrDict['contractStatus'][optID]
strikePrice=self.contraManager.contrDict['strikePrice'][optID]
dayToExpire=self.contraManager.contrDict['dayToExpire'][optID]
expDate=self.contraManager.contrDict['expDate'][optID]
tickerSymbol=self.contraManager.contrDict['tickerSymbol'][optID]
settlePrice_chg=0.
iv=0.
theoryPrice=0.
delta=0.
gamma=0.
theta=0.
vega=0.
rho=0.
if dayToExpire>0.5 and contractStatus=='L':
chg_symbol=""
pre_settlePrice=quote_exhq[0]['pre_close']
if pre_settlePrice >0.000001:
settlePrice_chg =(settlePrice/pre_settlePrice-1.00)*100.
if settlePrice_chg>0.000001:
chg_symbol='#fa9e66',# #ee5734'
elif settlePrice_chg<-0.000001:
chg_symbol='#b6f050'
else:
chg_symbol='#666666'
suffix_CP=None
if contractType=='C':
suffix_CP='x'
elif contractType=='P':
suffix_CP='y'
if spotPrice*settlePrice<0.000001 or contractType is None or contractType=='None':
xlog.info('no data')
else:
res=None
res=riskM.calu_mibian(contractType,
spotPrice,
strikePrice,
settlePrice,
rate,
dayToExpire,
hv)
if res is not None:
iv=round(res['iv'],1)
theoryPrice=round(res['theoryPrice'],4)
delta=round(res['delta'],4)
gamma=round(res['gamma'],4)
theta=round(res['theta'],4)
vega=round(res['vega'],4)
rho=round(res['rho'],4)
realtimeMsg={
optID+'_settlePrice_chg_'+suffix_CP:round(settlePrice_chg,1),
optID+'_settlePrice_'+suffix_CP:round(settlePrice,4),
optID+'_iv_'+suffix_CP:iv,
optID+'_theoryPrice_'+suffix_CP:theoryPrice,
optID+'_delta_'+suffix_CP:delta,
optID+'_gamma_'+suffix_CP:gamma,
optID+'_theta_'+suffix_CP:theta,
optID+'_vega_'+suffix_CP:vega,
optID+'_rho_'+suffix_CP:rho
}
keyList=realtimeMsg.keys()
xtime=xtool.nowTime()
xmins=xtime[:16]
saveMongoDBMsg={
'_id': optID,
'optID': optID,
'tickerSymbol':tickerSymbol,
'contractType':contractType,
'contractStatus':contractStatus,
'strikePrice':strikePrice,
'dayToExpire':dayToExpire,
'expDate':expDate,
'spotPrice':spotPrice,
'settlePrice_chg':round(settlePrice_chg,1),
'settlePrice':round(settlePrice,4),
'chicang':chicang,
'pre_settlePrice':round(pre_settlePrice,4),
'iv':iv,
'theoryMargin':round(theoryPrice-settlePrice,4),
'theoryPrice':round(theoryPrice,4),
'delta':round(delta,4),
'gamma':round(gamma,4),
'theta':round(theta,4),
'vega':round(vega,4),
'rho':round(rho,4),
'etf_open':etf_open,
'etf_high':etf_high,
'etf_low':etf_low,
'etf_last_close':etf_last_close,
'etf_vol':etf_vol,
'etf_amount':etf_amount,
'settlePrice_high':settlePrice_high,
'settlePrice_low':settlePrice_low,
'settlePrice_open':settlePrice_open,
'xtime':xtime,
'xmins':xmins
}
mdbcom.saveOne(C.OPT_RISK,saveMongoDBMsg)
saveMongoDBMsg_mins=saveMongoDBMsg.copy()
saveMongoDBMsg_mins['_id']='%s_%s'%(xtime[11:16].replace(":",""),optID)
mdbcom.saveOne(C.OPT_RISK_MINS,saveMongoDBMsg_mins)
#change _id, and save to OPT_RISK_DATE_MINS
saveMongoDBMsg_mins['_id']='%s_%s'%(xtime[:16].replace(" ","_"),optID)
mdbcom.saveOne(C.OPT_RISK_DATE_MINS,saveMongoDBMsg_mins)
if C.isDebug:
saveMongoDBMsg['_id']= xtool.nowDate()+'_'+optID
saveMongoDBMsg['tradeDate']=xtool.nowDate()
saveMongoDBMsg['remark']=C.HVX+'r=4,mibian'
mdbcom.saveOne(C.OPT_RISK_DAILY,saveMongoDBMsg)
else:
if xtool.nowOnlyTime()>='14:45:00':
saveMongoDBMsg['_id']= xtool.nowDate()+'_'+optID
saveMongoDBMsg['tradeDate']=xtool.nowDate()
saveMongoDBMsg['remark']=C.HVX+'r=4,mibian'
mdbcom.saveOne(C.OPT_RISK_DAILY,saveMongoDBMsg)
xlog.info('%s fetch/sent/saved'%(optID))
time.sleep(interval)
except Exception,e:
xlog.error(e)
time.sleep(interval)
xlog.info('****************************************************************************')
except Exception,e:
xlog.error(e)
self.sendEmail('hqserv fetcHQRisk load', e)
finally:
if api_hq is not None:
api_hq.disconnect()
if api_exhq is not None:
api_exhq.disconnect()