修复WtBtAnalyst中手续费的计算与WtHotPicker对郑商所和上期所的兼容

requirements.txt

@@ -9,4 +9,5 @@ psutil
 fastapi
 uvicorn
 itsdangerous
-websockets>=9.1
+websockets>=9.1
+xlrd

wtpy/apps/WtBtAnalyst.py

@@ -894,29 +894,13 @@ def strategy_analyze(workbook:Workbook, df_closes, df_trades,df_funds, capital,
     策略分析
     '''
 
-    # 截取开仓明细
-    data1_open = df_trades[df_trades['action'].apply(lambda x: 'OPEN' in x)].reset_index()
-    data1_open = data1_open.drop(columns=['index'])
-    # 截取平仓明细
-    data1_close = df_trades[df_trades['action'].apply(lambda x: 'CLOSE' in x)].reset_index()
-    data1_close = data1_close.drop(columns=['index'])
-
-    # 将平仓明细字段重命名，并跟开仓明细合并成一个大表
-    data1_close = data1_close.rename(columns={'code': 'code_1', 'time': 'time_1', 'direct': 'direct_1',
-                                              'action': 'action_1', 'price': 'price_1', 'qty': 'qty_1', 'tag': 'tag_1',
-                                              'fee': 'fee_1'})
-
-    new_data = pd.concat([data1_open, data1_close], axis=1)
-    new_data = new_data.dropna()
-    new_data = new_data.drop(columns=['code_1', 'qty_1'])
-
-    # 计算开仓平仓手续费
-    new_data['transaction_fee'] = new_data['fee'] + new_data['fee_1']
-    clean_data = new_data[['time', 'transaction_fee']]
-    clean_data = clean_data.rename(columns={'time': 'opentime'})
-
-    # 合并数据
-    after_merge = pd.merge(df_closes, clean_data, how='inner', on='opentime')
+    # 合并开仓手续费
+    after_merge = pd.merge(df_closes, df_trades[df_trades['action'].apply(lambda x: 'OPEN' in x)][['code', 'time', 'fee', 'qty']], how='left', left_on=['code', 'opentime'], right_on=['code', 'time'], suffixes=('', '_open')).rename(columns={'fee': 'openfee'})
+    # 合并平仓手续费
+    after_merge = pd.merge(after_merge, df_trades[df_trades['action'].apply(lambda x: 'CLOSE' in x)][['code', 'time', 'fee', 'qty']], how='left', left_on=['code', 'closetime'], right_on=['code', 'time'], suffixes=('','_close')).rename(columns={'fee': 'closefee'})
+    # 去重
+    after_merge = after_merge.drop_duplicates(['code', 'opentime', 'closetime', 'qty'])
+    after_merge['transaction_fee'] = (after_merge['openfee']/after_merge['qty_open'] + after_merge['closefee']/after_merge['qty_close']) * after_merge['qty']
 
     data_long = df_closes[df_closes['direct'].apply(lambda x:'LONG' in x )].reset_index()
     after_merge_long = after_merge[after_merge['direct'].apply(lambda x: 'LONG' in x)].reset_index()

wtpy/apps/WtHotPicker.py

@@ -1,16 +1,18 @@
 
 import datetime
-import time
+import gzip
+import io
 import json
-import os
 import logging
-
+import os
+import re
+import time
 import urllib.request
-import io
-import gzip
 import xml.dom.minidom
+
+import pandas as pd
 from pyquery import PyQuery as pq
-import re
+
 
 class DayData:
     '''
@@ -181,7 +183,7 @@ def getShfeData(curDT:datetime.datetime) -> dict:
         '''
 
         dtStr = curDT.strftime('%Y%m%d')
-        content = httpGet("http://www.shfe.com.cn/data/dailydata/kx/kx%s.dat" % (dtStr))
+        content = httpGet("http://tsite.shfe.com.cn/data/dailydata/kx/kx%s.dat" % (dtStr))
         if len(content) == 0:
             return None
 
@@ -218,63 +220,47 @@ def getCzceData(curDT:datetime.datetime) -> dict:
         @curDT  指定的日期
         '''
 
-        dtStr = curDT.strftime('%Y%m%d')
-        url = 'http://www.czce.com.cn/cn/DFSStaticFiles/Future/%s/%s/FutureDataDaily.htm' % (dtStr[0:4], dtStr)
-        try:
-            html = httpGet(url).strip()
-        except urllib.error.HTTPError as httperror:
-            print(httperror)
-            return None
+        def correct_code(query_date, contract_code):
+            from dateutil.relativedelta import relativedelta
 
-        if len(html) == 0:
-            return None
+            # 提取品种代码和月份代码
+            pid = re.findall('[A-Za-z]+', contract_code)[0]
+            month_code = contract_code[len(pid):]
+
+            # 在给定`query_date`的情况下, 合约的月份只能是当前到九年之后
+            for i in range(10):
+                year_full = (query_date + relativedelta(years=i)).year
+                if str(year_full)[-1] == month_code[0]:
+                    return f"{pid}{str(year_full)[-2:]}{month_code[-2:]}"
 
         dataitems = {}
-        doc = pq(html)
-        # print(doc(#senfe .table  table))
-        items = doc('#tab1')
-        # 去掉第一行标题
-        items.remove('tr.tr0')
-        # 获取tr   items.find('tr')
-        lis = items('tbody>tr')
-        # print(lis)
-        # tr行数
-        trcount = len(lis)
-        # 遍历行
-        for tr in range(0, trcount-1):
+        dtStr = curDT.strftime('%Y%m%d')
+        try:
+            url = 'http://www.czce.com.cn/cn/DFSStaticFiles/Future/%s/%s/FutureDataDaily.xls' % (dtStr[0:4], dtStr)
+            df = pd.read_excel(url, skiprows=1)
+        except Exception as e:
+            return None
+        df.dropna(subset=['今收盘', '成交量(手)', ], inplace=True)
+        for _, row in df.iterrows():
             item = DayData()
-            tdlis = doc(lis[tr])('td')
-
-            item.code = doc(tdlis[0]).text()
-            ay = re.compile('[A-Za-z]+').findall(item.code)
-            if len(ay) == 0:
-                continue
-
-            item.pid = ay[0]    
-
-            close = doc(tdlis[5]).text()
-            if close != '':
-                item.close = float(close.replace(",",""))
-
-            volume = doc(tdlis[9]).text()
-            if volume != '':
-                item.volume = int(volume.replace(",",""))
-
-            hold = doc(tdlis[10]).text()
-            if hold != '':
-                item.hold = int(hold.replace(",",""))
-
-            item.month = item.code[len(item.pid):]
-            # 这个逻辑是有点问题的，但是没好的办法
-            # 因为郑商所只有3位数字，必须自动补全，不然后面处理会有问题
-            # By Wesley @ 2021.12.15
-            if int(item.month[0]) < 5:
-                item.month = "2" + item.month
-            else:
-                item.month = "1" + item.month
+            # 郑商所的xls表格, 列名不统一
+            if '合约代码' in df.columns:
+                item.code = row['合约代码']
+            elif '品种月份' in df.columns:
+                item.code = row['品种月份']
+
+            if '持仓量' in df.columns:
+                item.hold = int(row['持仓量'].replace(',', ''))
+            elif '空盘量' in df.columns:
+                item.hold = int(row['空盘量'].replace(',', ''))
+
+            item.pid = re.findall('[A-Za-z]+', item.code)[0]
+            item.month = correct_code(curDT, item.code)[len(item.pid):]
+            item.close = float(row['今收盘'].replace(',', ''))
+            item.volume = int(row['成交量(手)'].replace(',', ''))
 
             dataitems[item.code] = item
-        # print(dataitems)
+
         return dataitems
 
     @staticmethod