根據上一篇下載的數據，現在每天更新day數據

需要保證股票當日新上市下載，退市保留，停牌復牌識別、是否發生復權（決定前復權價格是否變化）

數據更新

1、大盤指數數據（399001, 399005, 399006, 399300，999999）

## Python
import pandas as pd import numpy as np import tushare as ts import os import shutilos.getcwd() os.chdir("C:/Users/~~~/Desktop/數據") #修改當前工作目錄## 尋找上一數據日期 last_data_date = max([int(i[4:]) for i in os.listdir("ts大盤數據")]) ## 所有交易日期 all_date = [int(i.replace("-", "")) for i in ts.trade_cal()["calendarDate"][ts.trade_cal()["isOpen"] == 1]]## 尋找上一交易日期 def func(x, lst):i = 0while(lst[i] <= x):i += 1return lst[i-1] last_data_day = str(func(last_data_date, all_date))## 更新到新日期，創建新文件夾 new_date = "20171221" os.mkdir("ts大盤數據/大盤數據"+new_date) shutil.copyfile("ts大盤數據/大盤數據"+str(last_data_date)+"/"+"stock_info.csv","ts大盤數據/大盤數據"+new_date+"/"+"stock_info.csv")## 獲取數據起始與終止日期 start_date = last_data_day[0:4]+"-"+last_data_day[4:6]+"-"+last_data_day[6:8] end_date = new_date[0:4]+"-"+new_date[4:6]+"-"+new_date[6:8]## 大盤補全 ## 399001, 399005, 399006, 399300 dapan_code = ["399001", "399005", "399006", "399300"] for i in dapan_code:old_dapan = pd.read_csv("ts大盤數據/大盤數據"+str(last_data_date)+"/"+i+".csv", engine='python')new_dapan = ts.get_h_data(i, start=start_date, end=end_date, index=True, pause=4)new_dapan.sort_index(inplace=True)new_dapan[["open", "high", "close", "low"]] = new_dapan[["open", "high", "close", "low"]]*10000new_dapan["date"] = new_dapan.indexnew_dapan["date"] = new_dapan["date"].astype(str).apply(lambda x:x.replace('-', '')) # new_dapan.index = list(range(len(old_dapan)-1, len(old_dapan)+len(new_dapan)-1))new_dapan.columns = ['open','high', 'close', 'low', 'volumw', 'turover', 'date']if new_dapan.iloc[0, 4] == old_dapan.iloc[-1, 8]:new_dapan.drop(new_dapan.index[0], axis=0, inplace=True)dapan = old_dapan.append(new_dapan, ignore_index=True)dapan = dapan[old_dapan.columns]dapan.fillna(method='ffill',inplace=True)dapan.to_csv("ts大盤數據/大盤數據"+new_date+"/"+i+".csv", index=False)## 000001 --> 999999 上證指數 （新浪財經對指數編號不同） old_dapan = pd.read_csv("ts大盤數據/大盤數據"+str(last_data_date)+"/"+"999999.csv", engine='python')start_date = last_data_day[0:4]+"-"+last_data_day[4:6]+"-"+last_data_day[6:8] end_date = new_date[0:4]+"-"+new_date[4:6]+"-"+new_date[6:8] new_dapan = ts.get_h_data("000001", start=start_date, end=end_date, index=True, pause=4)new_dapan.sort_index(inplace=True) new_dapan[["open", "high", "close", "low"]] = new_dapan[["open", "high", "close", "low"]]*10000 new_dapan["date"] = new_dapan.index new_dapan["date"] = new_dapan["date"].astype(str).apply(lambda x:x.replace('-', '')) new_dapan.columns = ['open','high', 'close', 'low', 'volumw', 'turover', 'date']if new_dapan.iloc[0, 4] == old_dapan.iloc[-1, 8]:new_dapan.drop(new_dapan.index[0], axis=0, inplace=True)dapan = old_dapan.append(new_dapan, ignore_index=True)dapan = dapan[old_dapan.columns]dapan.fillna(method='ffill',inplace=True)dapan.to_csv("ts大盤數據/大盤數據"+new_date+"/"+"999999.csv", index=False)

2、A股股票數據與概括文件

## R
## 自動補全函數 ## new.date:補全截至時間 library(WindR) library(xlsx) library(data.table) library(magrittr) library(tcltk2) # (.packages())w.start() setwd("C:/Users/~~~/Desktop/坴戔/華泰/數據")## WindR獲取數據規則：退市時期數據為NA，停牌時期數據以上一交易日收盤價補全？ ## 文件夾內不能隨便新建文件！！！## 1.設置截至日期（若補當日數據，五點之后執行） new.date <- "20171221"end.date <- paste(substr(new.date, 1, 4), substr(new.date, 5, 6), substr(new.date, 7, 8), sep = "-")## 2.摘取當日在市股票代碼 stock.code.df <- w.wset('sectorconstituent',paste0("date=", end.date, ";sectorid=a001010100000000")) if(stock.code.df$ErrorCode == 0){# if(gsub("-", "", as.Date(stock.code.df$Time)) == new.date){stock.code.sh.sz <- stock.code.df$Data$wind_code# }else{# print("獲取時間出錯")# } }else{print(paste0("獲取數據出錯，錯誤代碼", stock.code.df$ErrorCode)) } new.stock.code <- substr(stock.code.sh.sz, 1, 6) # str(stock.code.sh.sz)## 3.獲取上一次數據日期 old.file.name <- gsub("股票數據", "", dir("股票數據")) last.data.day <- old.file.name[which.max(old.file.name)] ## 是否需要改為數值型比較 ## 4.數據上一次所有股票代碼 old.stock.code <- gsub(".csv", "", dir(paste0("股票數據/股票數據", last.data.day)))## 5.創建新的文件夾 dir.create(paste0("股票數據/股票數據", new.date))## 6.股票補全部分## 概括性文件變量 ## 退市數據保留執行以下部分代碼，不保留執行已有那一行注釋代碼 all.stock.code <- unique(c(new.stock.code, old.stock.code)) general.information <- data.frame(array(dim=c(length(all.stock.code), 5))) # general.information <- data.frame(array(dim=c(length(stock.code.sh.sz), 5)))colnames(general.information) <- c("stock.code", "stock.name", "type", "starttime", "endtime")## 大盤日期 dapan.date <- read.csv(paste0("ts大盤數據/大盤數據", new.date, "/399300.csv"))$date## 設置進度條 pb <- tkProgressBar("進度", "已完成 %", 0, 100) # i <- 3 # length(stock.code.sh.sz) for(i in 1:length(stock.code.sh.sz)){if(new.stock.code[i] %in% old.stock.code){old.df <- fread(paste0("股票數據/股票數據", last.data.day, "/", new.stock.code[i], ".csv"), header=TRUE, integer64="numeric", sep = ",")## 尋找原數據中最后有交易數據的行數與日期if(old.df$volumw[nrow(old.df)] != 0){j <- nrow(old.df)last.trading.day <- old.df$date[j]}else{j <- nrow(old.df)while(old.df$volumw[j] == 0 & j > 0){j <- j - 1}last.trading.day <- old.df$date[j]}start.date <- paste(substr(last.trading.day, 1, 4), substr(last.trading.day, 5, 6), substr(last.trading.day, 7, 8), sep = "-")new.data <- w.wsd(stock.code.sh.sz[i], "trade_code, sec_name, open, high, low, close,volume, amt, free_turn,free_float_shares",start.date, end.date, "unit=1;PriceAdj=F")if(new.data$ErrorCode == 0){if(any(is.na(new.data$Data))){## 退市又復市if(any(is.na(new.data$Data[1, ]))){print(paste(stock.code.sh.sz[i], "退市又復市,但上個交易日數據獲取為NA,僅輸出新數據"))wind.df <- data.frame(array(dim=c(nrow(new.data$Data), 12)))colnames(wind.df) <- c("wind_code", "name", "date", "time", "open", "high", "low", "close", "volumw", "turover", "free_turn", "free_float_shares")wind.df[, 1] <- new.data$Codewind.df[, 2] <- new.data$Data$SEC_NAMEwind.df[, 3] <- gsub("-", "", new.data$Data$DATETIME)wind.df[, 4] <- 151500000wind.df[, 5:8] <- new.data$Data[4:7] * 10000wind.df[, 9:12] <- new.data$Data[8:11]wind.df <- wind.df[!(is.na(wind.df$open)), ]}else if(all(round(unlist(old.df[j, 5:8])) == round(unlist(new.data$Data[1, 4:7]*10000)))){## 退市復市股權未變動print(paste(stock.code.sh.sz[i], "退市又復市,股權未變動"))wind.df <- data.frame(array(dim=c(nrow(old.df)+nrow(new.data$Data)-1, 12)))colnames(wind.df) <- c("wind_code", "name", "date", "time", "open", "high", "low", "close", "volumw","turover", "free_turn", "free_float_shares")wind.df[1:nrow(old.df), ] <- old.df[, 1:12] # 14變為12wind.df[(nrow(old.df)+1):nrow(wind.df), 1] <- new.data$Codewind.df[(nrow(old.df)+1):nrow(wind.df), 2] <- new.data$Data$SEC_NAME[-1]wind.df[(nrow(old.df)+1):nrow(wind.df), 3] <- gsub("-", "", new.data$Data$DATETIME)[-1]wind.df[(nrow(old.df)+1):nrow(wind.df), 4] <- 151500000wind.df[(nrow(old.df)+1):nrow(wind.df), 5:8] <- new.data$Data[-1, 4:7] * 10000wind.df[(nrow(old.df)+1):nrow(wind.df), 9:12] <- new.data$Data[-1, 8:11]wind.df <- wind.df[!(is.na(wind.df$open)), ]# 停牌重復行刪去wind.df <- wind.df[!duplicated(wind.df$date), ]}else{## 退市復市股權變動print(paste(stock.code.sh.sz[i], "退市又復市,股權變動"))wind.df <- data.frame(array(dim=c(nrow(old.df)+nrow(new.data$Data)-1, 12)))colnames(wind.df) <- c("wind_code", "name", "date", "time", "open", "high", "low", "close", "volumw","turover", "free_turn", "free_float_shares")## 以開盤價定復權因子ratio <- unlist(new.data$Data[1, 4]*10000 / old.df[j, 5])wind.df[1:nrow(old.df), 1:4] <- old.df[, 1:4]wind.df[1:nrow(old.df), 5:8] <- old.df[, 5:8] * ratiowind.df[1:nrow(old.df), 9:12] <- old.df[, 9:12]wind.df[(nrow(old.df)+1):nrow(wind.df), 1] <- new.data$Codewind.df[(nrow(old.df)+1):nrow(wind.df), 2] <- new.data$Data$SEC_NAME[-1]wind.df[(nrow(old.df)+1):nrow(wind.df), 3] <- gsub("-", "", new.data$Data$DATETIME)[-1]wind.df[(nrow(old.df)+1):nrow(wind.df), 4] <- 151500000wind.df[(nrow(old.df)+1):nrow(wind.df), 5:8] <- new.data$Data[-1, 4:7] * 10000wind.df[(nrow(old.df)+1):nrow(wind.df), 9:12] <- new.data$Data[-1, 8:11]wind.df <- wind.df[!(is.na(wind.df$open)), ]# 停牌重復行刪去wind.df <- wind.df[!duplicated(wind.df$date), ]}}else{## 是否停牌不影響，只需判斷股權是否變動if(all(round(unlist(old.df[j, 5:8])) == round(unlist(new.data$Data[1, 4:7]*10000)))){## 股權未變動wind.df <- data.frame(array(dim=c(nrow(old.df)+nrow(new.data$Data)-1, 12)))colnames(wind.df) <- c("wind_code", "name", "date", "time", "open", "high", "low", "close", "volumw","turover", "free_turn", "free_float_shares")wind.df[1:nrow(old.df), ] <- old.df[, 1:12]wind.df[(nrow(old.df)+1):nrow(wind.df), 1] <- new.data$Codewind.df[(nrow(old.df)+1):nrow(wind.df), 2] <- new.data$Data$SEC_NAME[-1]wind.df[(nrow(old.df)+1):nrow(wind.df), 3] <- gsub("-", "", new.data$Data$DATETIME)[-1]wind.df[(nrow(old.df)+1):nrow(wind.df), 4] <- 151500000wind.df[(nrow(old.df)+1):nrow(wind.df), 5:8] <- new.data$Data[-1, 4:7] * 10000wind.df[(nrow(old.df)+1):nrow(wind.df), 9:12] <- new.data$Data[-1, 8:11]wind.df <- wind.df[!(is.na(wind.df$open)), ]# 停牌重復行刪去wind.df <- wind.df[!duplicated(wind.df$date), ]}else{## 股權變動print(paste(stock.code.sh.sz[i], "股權變動"))wind.df <- data.frame(array(dim=c(nrow(old.df)+nrow(new.data$Data)-1, 12)))colnames(wind.df) <- c("wind_code", "name", "date", "time", "open", "high", "low", "close", "volumw","turover", "free_turn", "free_float_shares")## 以開盤價定復權因子ratio <- unlist(new.data$Data[1, 4]*10000 / old.df[j, 5])wind.df[1:nrow(old.df), 1:4] <- old.df[, 1:4]wind.df[1:nrow(old.df), 5:8] <- old.df[, 5:8] * ratiowind.df[1:nrow(old.df), 9:12] <- old.df[, 9:12]wind.df[(nrow(old.df)+1):nrow(wind.df), 1] <- new.data$Codewind.df[(nrow(old.df)+1):nrow(wind.df), 2] <- new.data$Data$SEC_NAME[-1]wind.df[(nrow(old.df)+1):nrow(wind.df), 3] <- gsub("-", "", new.data$Data$DATETIME)[-1]wind.df[(nrow(old.df)+1):nrow(wind.df), 4] <- 151500000wind.df[(nrow(old.df)+1):nrow(wind.df), 5:8] <- new.data$Data[-1, 4:7] * 10000wind.df[(nrow(old.df)+1):nrow(wind.df), 9:12] <- new.data$Data[-1, 8:11]wind.df <- wind.df[!(is.na(wind.df$open)), ]wind.df <- wind.df[!duplicated(wind.df$date), ]}}}else{print(paste0(stock.code.sh.sz[i], "獲取數據出錯，錯誤代碼：", new.data$ErrorCode))break}}else{# 新上市股票print(paste(stock.code.sh.sz[i], "新上市股票"))start.date <- paste(substr(last.data.day, 1, 4), substr(last.data.day, 5, 6), substr(last.data.day, 7, 8), sep = "-")new.data <- w.wsd(stock.code.sh.sz[i], "trade_code, sec_name, open, high, low, close, volume, amt,free_turn, free_float_shares",start.date, end.date, "unit=1;PriceAdj=F")if(new.data$ErrorCode == 0){wind.df <- data.frame(array(dim=c(nrow(new.data$Data), 12)))colnames(wind.df) <- c("wind_code", "name", "date", "time", "open", "high", "low", "close", "volumw","turover", "free_turn", "free_float_shares")wind.df[, 1] <- new.data$Codewind.df[, 2] <- new.data$Data$SEC_NAMEwind.df[, 3] <- gsub("-", "", new.data$Data$DATETIME)wind.df[, 4] <- 151500000wind.df[, 5:8] <- new.data$Data[4:7] * 10000wind.df[, 9:12] <- new.data$Data[8:11]wind.df <- wind.df[!(is.na(wind.df$open)), ]}else{print(paste0(stock.code.sh.sz[i], "新上市股票獲取數據出錯，錯誤代碼：", new.data$ErrorCode))break}}## 輸出部分if(nrow(wind.df) == 0){print(paste(stock.code.sh.sz[i], "數據出錯（在市股票不可能全為NA導致數據框行為0）"))}else{if(any(is.na(wind.df))){print(paste(stock.code.sh.sz[i], "數據出錯（數據中仍有NA）"))}else{if(any(wind.df[, 5:8] == 0)){print(paste(stock.code.sh.sz[i], "數據出錯（數據中開高低收存在0）"))}else{if(any(table(wind.df$date) > 1)){print(paste(stock.code.sh.sz[i], "數據出錯（數據中存在日期相同）"))}else{if(any(wind.df$date != sort(wind.df$date))){print(paste(stock.code.sh.sz[i], "數據出錯（數據中日期順序不對）"))}else{# 是否與大盤日期匹配,所有日期必須在大盤已有日期內if(all(wind.df$date %in% dapan.date)){first.date <- paste(substr(wind.df$date[1], 1, 4), substr(wind.df$date[1], 5, 6), substr(wind.df$date[1], 7, 8), sep = "-")test <- w.wsd(stock.code.sh.sz[i], "trade_code, sec_name, open, high, low, close, volume, amt,free_turn, free_float_shares",first.date, first.date, "unit=1;PriceAdj=F")if(all(round(test$Data[4:7]*10000) == round(wind.df[1, 5:8])) & test$Data$VOLUME == wind.df[1, 9]){general.information[i, 1] <- substr(stock.code.sh.sz[i], 1, 6)general.information[i, 2] <- wind.df$name[1]general.information[i, 3] <- substr(stock.code.sh.sz[i], 8, 9)general.information[i, 4] <- wind.df[1, 3]general.information[i, 5] <- wind.df[nrow(wind.df), 3]write.csv(wind.df, paste0("股票數據/股票數據", new.date, "/", new.stock.code[i], ".csv"), row.names = FALSE)}else{print(paste(stock.code.sh.sz[i], "數據出錯（數據補全與wind不同）"))}}else{print(paste(stock.code.sh.sz[i], "數據出錯（數據中日期與大盤日期不符）"))}}}}}}rm(wind.df);rm(old.df);rm(j)info <- sprintf("已完成 %d%%", round(i*100/length(stock.code.sh.sz)))setTkProgressBar(pb, i*100/length(stock.code.sh.sz), sprintf("進度 (%s)", info), info) }## 關閉進度條 close(pb) ## 退市數據繼續保留，則執行下面代碼 tuishi.row <- 1 for(i in 1:length(old.stock.code)){if(!(old.stock.code[i] %in% new.stock.code)){print(paste(stock.code.sh.sz, "仍然退市"))old.df <- fread(paste0("股票數據/股票數據", last.data.day, "/", new.stock.code[i], ".csv"), header=TRUE, integer64="numeric", sep = ",")df <- old.df[, 1:12]write.csv(df, paste("股票數據/股票數據", new.date, "/", new.stock.code[i], ".csv", sep=""), row.names = FALSE)tuishi.row <- tuishi.row + 1general.information[length(stock.code.sh.sz)+tuishi.row, 1] <- old.stock.code[i]general.information[length(stock.code.sh.sz)+tuishi.row, 2] <- df$name[1]general.information[length(stock.code.sh.sz)+tuishi.row, 3] <- substr(df$wind_code[1], 8, 9)general.information[length(stock.code.sh.sz)+tuishi.row, 4] <- df[1, 3]general.information[length(stock.code.sh.sz)+tuishi.row, 5] <- df[nrow(df), 3]} }## 總概括文件中無NA時輸出 if(all(!(is.na(general.information)))){write.xlsx(general.information, paste0("概括文件/概括文件", new.date, ".xlsx"), row.names = FALSE) }else{print("總概況文件中存在NA，需查驗") }

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轉載于:https://www.cnblogs.com/lj0019/p/8094002.html

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