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"; }
