台指期轉檔程式 - perl 程式 2 (配合前支gettick3w.pl-自行下載交易檔)

配合前支程式 : 自期交所自行下載交易檔 perl 程式(win-XP) - gettick3w.pl

1. 配合環境: windows xp sp2
2. 程式名稱 : proc3w_tick.pl
3. 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
4. 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