說明 : 期貨日交易檔分拆成當月:台指,小台,電指期,金指期
# prg : perl_proc_tick.pl
# 期貨日交易檔分拆成當月 台指, 小台, 電指期, 金指期
# V 1.3.1 2015-04-24 change workDir to ~/trade/prg_perl/trade_data/
# tickDir to ~/trade/prg_perl/tick/
# V 1.3.0 2010-01-05 Auto Create Store Dir
# V 1.2.0 2009-10-10 change Last-Trading-Days
# V 1.1.0 2009-05-30 get taiwan future tick
# V 1.0.0 2009-06-17 change Work Directory and move to Storage
use POSIX qw(strftime);
use integer;
# $workDir = '/home/redjoe/tick/prg_perl/trade_data/';
# $tickDir = '/home/redjoe/tick/prg_perl/tick/';
# my $LastTradingDays_file = "/home/redjoe/tick/last-trading-days/last-trading-days";
$workDir = '/home/redjoe/trade/prg_perl/trade_data/';
$tickDir = '/home/redjoe/trade/prg_perl/tick/';
my $LastTradingDays_file = "/home/redjoe/trade/last-trading-days/last-trading-days";
# $target = 'hm30:~/public_html/future/daily/';
#
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
my $startHH = '08'; # 開始時
my $startMM = '45'; # 開始分
# my $MinuteK = 5; # 分K
my $MinuteK = 1; # 分K
my $IdxK = -1; # idx
my $PreIdxK = -1; # idx
chdir $workDir;
# $now_string = strftime "%a %b %e %H:%M:%S %Y", localtime;
($sec, $min,$hour,$mday,$mon,$year,$wday,$yday,$isdst) = localtime(time);
$year = $year + 1900;
$mon = $mon + 1;
# :34,43s/^# //g :47,55s/^/# /g # testing use
# :34,43s/^/# /g :47,55s/^# //g # Auto get date
# $today_ziptickfile = "Daily_" . $year . "_" . $mon ."_" . $mday . ".zip";
$today = strftime "%Y%m%d", localtime;
$wtoday = strftime "%Y/%m/%d", localtime;
$today_ziptickfile = strftime "Daily_%Y_%m_%d.zip", localtime;
$today_tickfile = strftime "Daily_%Y_%m_%d.rpt", localtime;
$today_wt_tx_tickfile = strftime "%Y_%m_%d.tx", localtime;
$today_wt_mtx_tickfile = strftime "%Y_%m_%d.mtx", localtime;
$today_wt_te_tickfile = strftime "%Y_%m_%d.te", localtime;
$today_wt_tf_tickfile = strftime "%Y_%m_%d.tf", localtime;
$today_wt_tx_kfile = $today_wt_tx_tickfile .'_' . $MinuteK . 'k';
$today_wt_mtx_kfile = $today_wt_mtx_tickfile .'_' . $MinuteK . 'k';
$today_wt_te_kfile = $today_wt_te_tickfile .'_' . $MinuteK . 'k';
$today_wt_tf_kfile = $today_wt_tf_tickfile .'_' . $MinuteK . 'k';
$outRec = "交易日期,商品代號,交割年月,成交時間,成交價格,成交數量";
open(open_LastTradingDays, $LastTradingDays_file)|| die("Cannot open $LastTradingDays_file.\n");
@recs = <open_LastTradingDays>;
for($row=@recs-1; $row >= 0; $row=$row-1)
# for($row=0; $row < @recs; $row++)
{
my $LastTradingDays = $recs[$row];
if ($LastTradingDays >= $today ) {
$TradingDays = $LastTradingDays;
}
}
my $wkMonth = substr $TradingDays, 0, 6;
close(open_LastTradingDays);
open(open_file, $today_tickfile) || die("Cannot open $workDir$today_tickfile.\n");
open(wf_tx, ">$today_wt_tx_tickfile");
open(wf_mtx,">$today_wt_mtx_tickfile");
open(wf_te, ">$today_wt_te_tickfile");
open(wf_tf, ">$today_wt_tf_tickfile");
open(wf_ktx, ">$today_wt_tx_kfile");
# open(wf_kmtx,">$today_wt_mtx_kfile");
# open(wf_kte, ">$today_wt_te_kfile");
# open(wf_ktf, ">$today_wt_tf_kfile");
# print wf_tx "成交時間,成交價格,數量\n";
print wf_tx "Date Time,Price,Vol\n";
print wf_mtx "Date Time,Price,Vol\n";
print wf_te "Date Time,Price,Vol\n";
print wf_tf "Date Time,Price,Vol\n";
print wf_ktx "Date Time,Open,High,Low,Close,Vol\n";
# print wf_kmtx "成交時間,開,高,低,收,數量\n";
# print wf_kte "成交時間,開,高,低,收,數量\n";
# print wf_ktf "成交時間,開,高,低,收,數量\n";
# print "Processing...\n";
while(my $record = <open_file>)
{
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(/,/ , $record);
# print "$record\n";
$tVol = $tVol / 2;
# print "$tDays, $tProduct, $tMonth, $tickTime, $tPrice, $tVol, $nPrice, $fPrice\n";
$tTimeHh = substr $tickTime, 0, 2;
$tTimeMm = substr $tickTime, 2, 2;
$tTimeSs = substr $tickTime, 4, 2;
# my $tTimeMs = substr $tickTime, 6, 6;
$tTime = $tTimeHh . ':' . $tTimeMm . ':' . $tTimeSs;
# print "\$wkMonth = $wkMonth \n\$tMonth = $tMonth\n";
# print "\$tProduct = $tProduct \n";
# 當月
if ($tMonth eq $wkMonth)
{
if ($tProduct eq $TX_Product) { # 台指
# # print "\n # $tProduct# $tTime,$tPrice,$tVol, =$tDays, $tProduct, $tMonth, $nPrice, $fPrice=";
# print wf_tx "$tTime,$tPrice,$tVol,=$tDays, $tProduct, $tMonth, $nPrice, $fPrice=";
print wf_tx "$tTime,$tPrice,$tVol\n";
}
elsif ($tProduct eq $MTX_Product) { # 小台
# # print "\n # $tProduct# $tTime,$tPrice,$tVol, =$tDays, $tProduct, $tMonth, $nPrice, $fPrice=";
print wf_mtx "$tTime,$tPrice,$tVol\n";
}
elsif ($tProduct eq $TE_Product) { # 電指期
# print "\n # $tProduct# $tTime,$tPrice,$tVol, =$tDays, $tProduct, $tMonth, $nPrice, $fPrice=";
print wf_te "$tTime,$tPrice,$tVol\n";
}
elsif ($tProduct eq $TF_Product) { # 金指期
# print "\n # $tProduct# $tTime,$tPrice,$tVol, =$tDays, $tProduct, $tMonth, $nPrice, $fPrice=";
print wf_tf "$tTime,$tPrice,$tVol\n";
}
if ($tProduct eq $TX_Product) { # 台指
$IdxK = int(((($tTimeHh - $startHH) * 60) + ($tTimeMm - $startMM)) / $MinuteK);
if ($IdxK == $PreIdxK) { # 同根k
if ($tPrice > $HPrice) {
$HPrice = $tPrice;
}
if ($tPrice < $LPrice) {
$LPrice = $tPrice;
}
$CPrice = $tPrice;
$KVol = $KVol + $tVol;
}
else {
if ($PreIdxK != -1){
print wf_ktx "$KTime,$OPrice,$HPrice,$LPrice,$CPrice,$KVol\n";
}
$OPrice = $tPrice;
$HPrice = $tPrice;
$LPrice = $tPrice;
$CPrice = $tPrice;
$KVol = $tVol ;
# $PreIdxK = $IdxK - 1;
my $KTimeHH = ((($IdxK + 1) * $MinuteK) + ($startHH * 60) + $startMM) / 60 + 100;
my $KTimeMM = ((($IdxK + 1) * $MinuteK) + ($startHH * 60) + $startMM) % 60 + 100;
$KTimeHH = substr $KTimeHH, 1, 2;
$KTimeMM = substr $KTimeMM, 1, 2;
$KTime = $wtoday . ' ' . $KTimeHH . ':' . $KTimeMM;
# print "\n\$IdxK = $IdxK \$PreIdxK = $PreIdxK \$KTime = $KTime \$MinuteK = $MinuteK \$tTimeHh = $tTimeHh \$tTimeMm = $tTimeMm \$startHH = $startHH \$startMM = $startMM ";
$PreIdxK = $IdxK;
}
}
}
}
if ($IdxK == $PreIdxK) { # 同根k
print wf_ktx "$KTime,$OPrice,$HPrice,$LPrice,$CPrice,$KVol\n";
# print "\n\$IdxK = $IdxK \$PreIdxK = $PreIdxK \$KTime = $KTime \$MinuteK = $MinuteK \$tTimeHh = $tTimeHh \$tTimeMm = $tTimeMm \$startHH = $startHH \$startMM = $startMM ";
}
# close(wf_ktf);
# close(wf_kte);
# close(wf_kmtx);
close(wf_ktx);
close(wf_tf);
close(wf_te);
close(wf_mtx);
close(wf_tx);
close(open_file);
# 2009-08-01 stop
# my $scp_content = `/usr/bin/scp $today_wt_tx_kfile $target`;
# 2009-06-17 for move File to Storage Directory
$workdayfile = strftime "%Y_%m_%d", localtime;
$daily_trade_file = 'Daily_' . $workdayfile;
$saveDir = substr $today, 0, 6;
$tickStoreDir = $tickDir . $saveDir . '/';
$dailyStoreDir = $workDir . $saveDir . '/';
unless (-e $tickStoreDir ) { mkdir($tickStoreDir , 0700) || print $!; }
unless (-e $dailyStoreDir ) { mkdir($dailyStoreDir , 0700) || print $!; }
for $file (<$daily_trade_file*.*>) {
$targetFile = $dailyStoreDir . $file;
rename $file, $targetFile;
# print "Rename File : source(\$file)=$file destination(\$targetFile)=$targetFile\n";
}
for $file (<$workdayfile*.*>) {
$targetFile = $tickStoreDir . $file;
rename $file, $targetFile;
# print "Rename File : source(\$file)=$file destination(\$targetFile)=$targetFile\n";
}
