配合前支程式 :
自期交所自行下載交易檔 perl 程式(win-XP) - gettick3w.pl
- 配合環境: windows xp sp2
- 程式名稱 : proc3w_tick.pl
- 程式目的 : 將當天交易檔分拆成台指期,小台,電指期,金指期當月分tick檔
- 程式碼
#!C:\Perl\bin\perl.exe
# 2009-06-25 change output file name
# 2009/6/25 Change directory to C:\\tick\\prg_perl3w\\
# 2009/6/18 For Win32 ActivePerl
# 2009-06-17 for move File to Storage Directory
# 2009-06-06 Process Tick and Make K-Line File
use POSIX qw(strftime);
use integer;
$workDir = 'C:\\tick\\prg_perl3w\\daily\\';
$tickDir = 'C:\\tick\\prg_perl3w\\tick\\';
# 可以改成 5 分K
# my $Minute5K = 5; # 5分K
my $Minute1K = 1; # 1分K
# 讀取最後交易日檔
my $LastTradingDays = "C:\\tick\\prg_perl3w\\last-trading-days";
$today = strftime "%Y%m%d", localtime;
$today_YY = substr $today, 0, 4;
$today_mm = substr $today, 4, 2;
$today_dd = substr $today, 6, 2;
$tick_day = $today_YY . "-" . $today_mm . "-" . $today_dd;
$wkMonth = &get_current_month_product($LastTradingDays);
print "Process $today Tick and Make $Minute1K Minute K-Line File..\n";
chdir $workDir;
&split_Tick ($today_YY, $today_mm, $today_dd, $wkMonth);
$tickdayfile = '???' . $today;
$daily_trade_file = 'Daily_' . $today_YY . '_' . $today_mm . '_' . $today_dd;
$saveDir = substr $today, 0, 6;
$tickStoreDir = $tickDir . $saveDir . '/';
$dailyStoreDir = $workDir . $saveDir . '/';
`C:\\tick\\prg_perl3w\\movefile2dir.pl $workDir $dailyStoreDir $daily_trade_file`;
`C:\\tick\\prg_perl3w\\movefile2dir.pl $workDir $tickStoreDir $tickdayfile`;
exit;
sub process_kline {
# in參數 $tickfile $KMinute
my $startHH = '08'; # 開始時
my $startMM = '45'; # 開始分
my $IdxK = -1; # idx
my $PreIdxK = -1; # idx
my $tickfile = $_[0];
my $KMinute = $_[1];
$workday = substr $tickfile, 3, 8;
my $kline_file = substr($tickfile, 0, 11) . '_' . $KMinute . 'k' . substr($tickfile, 11, 4);
open(infile, $tickfile) || die("Cannot open $tickfile.\n");
open(outfile, ">$kline_file");
print outfile "Date Time,Open,High,Low,Close,Vol\n";
# print "K File Processing...\n";
;
while(my $tk_record = )
{
chomp $tk_record;
$tk_record =~ s/ //g;
($tickTime, $tickPrice, $tickVol)=split(/,/ , $tk_record);
$tkTimeHh = substr $tickTime, 0, 2;
$tkTimeMm = substr $tickTime, 3, 2;
$tkTimeSs = substr $tickTime, 6, 2;
$IdxK = int(((($tkTimeHh - $startHH) * 60) + ($tkTimeMm - $startMM)) / $KMinute);
if ($IdxK == $PreIdxK) { # 同根k
if ($tickPrice > $HPrice) {
$HPrice = $tickPrice;
}
if ($tickPrice < $LPrice) {
$LPrice = $tickPrice;
}
$CPrice = $tickPrice;
$KVol = $KVol + $tickVol;
}
else {
if ($PreIdxK != -1){
print outfile $KTime,$OPrice,$HPrice,$LPrice,$CPrice,$KVol\n";
}
$OPrice = $tickPrice;
$HPrice = $tickPrice;
$LPrice = $tickPrice;
$CPrice = $tickPrice;
$KVol = $tickVol ;
my $KTimeHH = ((($IdxK + 1) * $KMinute) + ($startHH * 60) + $startMM) / 60 + 100;
my $KTimeMM = ((($IdxK + 1) * $KMinute) + ($startHH * 60) + $startMM) % 60 + 100;
$KTimeHH = substr $KTimeHH, 1, 2;
$KTimeMM = substr $KTimeMM, 1, 2;
$KTime = $tick_day . ' ' . $KTimeHH . ':' . $KTimeMM;
$PreIdxK = $IdxK;
}
}
if ($IdxK == $PreIdxK) {
# 同根k
print outfile "$KTime,$OPrice,$HPrice,$LPrice,$CPrice,$KVol\n";
}
close(outfile);
close(infile);
}
# get current month product. ex: 200906 (取得當月月分)
sub get_current_month_product{
my $LastTradingDays_file = $_[0];
open(open_LastTradingDays, $LastTradingDays_file)|| die("Cannot open $LastTradingDays_file.\n");
@recs = ;
for($row=@recs-1; $row >= 0; $row=$row-1)
{
my $LastTradingDays = $recs[$row];
if ($LastTradingDays >= $today ) {
$TradingDays = $LastTradingDays;
}
}
my $wkMonth = substr $TradingDays, 0, 6;
close(open_LastTradingDays);
return $wkMonth;
}
sub split_Tick {
chdir $workDir;
# in參數 $today_YY $today_mm $today_dd $wkMonth
$workday_YY = $_[0];
$workday_mm = $_[1];
$workday_dd = $_[2];
$workMonth = $_[3];
$workdayfile = $workday_YY . $workday_mm . $workday_dd;
$trade_file = 'Daily_' . $workday_YY . '_' . $workday_mm . '_' . $workday_dd . '.rpt';
my $TX_Product = 'TX'; # 台指
my $MTX_Product = 'MTX'; # 小台
my $TE_Product = 'TE'; # 電指期
my $TF_Product = 'TF'; # 金指期
# 2009-06-25 change output file name
$tx_tickfile = 'txf' . $workdayfile . '.csv'; # 台指
$mtx_tickfile = 'mxf' . $workdayfile . '.csv'; # 小台
$te_tickfile = 'exf' . $workdayfile . '.csv'; # 電指期
$tf_tickfile = 'fxf' . $workdayfile . '.csv'; # 金指期
open(read_file, $trade_file) || die("Cannot open $trade_file.\n");
open(out_tx, ">$tx_tickfile");
open(out_mtx,">$mtx_tickfile");
open(out_te, ">$te_tickfile");
open(out_tf, ">$tf_tickfile");
print out_tx "Date Time,Price,Vol\n";
print out_mtx "Date Time,Price,Vol\n";
print out_te "Date Time,Price,Vol\n";
print out_tf "Date Time,Price,Vol\n";
# print "Split Tick File Processing...\n";
while(my $record = )
{
chomp $record;
$record =~ s/ //g;
# 交易日期,商品代號,交割年月,成交時間,成交價格,成交數量(B+S),近月價格,遠月價格
($tDays, $tProduct, $tMonth, $tickTime, $tPrice, $tVol, $nPrice, $fPrice)=split(/,/ , $record);
# print "$tDays, $tProduct, $tMonth, $tickTime, $tPrice, $tVol, $nPrice, $fPrice\n";
$tVol = $tVol / 2;
$tTimeHh = substr $tickTime, 0, 2;
$tTimeMm = substr $tickTime, 2, 2;
$tTimeSs = substr $tickTime, 4, 2;
$tTime = $tTimeHh . ':' . $tTimeMm . ':' . $tTimeSs;
# 當月
if ($tMonth eq $workMonth)
{
if ($tProduct eq $TX_Product) { # 台指
print out_tx "$tTime,$tPrice,$tVol\n";
}
elsif ($tProduct eq $MTX_Product) { # 小台
print out_mtx "$tTime,$tPrice,$tVol\n";
}
elsif ($tProduct eq $TE_Product) { # 電指期
print out_te "$tTime,$tPrice,$tVol\n";
}
elsif ($tProduct eq $TF_Product) { # 金指期
print out_tf "$tTime,$tPrice,$tVol\n";
}
}
}
close(out_tf);
close(out_te);
close(out_mtx);
close(out_tx);
close(read_file);
&process_kline($tx_tickfile, $Minute1K);
}
參考我的 wiki : Process split tick -
proc3w_tick.pl
