libfinance 0.0.2__tar.gz → 0.0.6__tar.gz

libfinance-0.0.6/PKG-INFO

@@ -0,0 +1,83 @@
+Metadata-Version: 2.4
+Name: libfinance
+Version: 0.0.6
+Summary: libfinance is a modern finance API
+Description-Content-Type: text/markdown
+Requires-Dist: lz4
+Requires-Dist: msgpack
+Requires-Dist: pandas
+
+# libfinance
+\[ English | [中文](README_zh.md) \]
+
+`libfinance` is python library for accessing financial data easily. The goal of `libfinance` is to provide HIGH quality financial data for scholars, researchers and developers in research and production environment.
+
+
+# install
+
+Method1: Install `libfinance` by `pip`
+
+``` {.sourceCode .bash}
+$ pip install libfinance
+```
+
+Method2: Install from source with a develop mode
+~~~
+git clone https://github.com/StateOfTheArt-quant/libfinance.git
+cd libfinance
+python -m pip install --editable .
+~~~
+
+# quick-start
+
+~~~
+from libfinance import get_trading_dates, get_price
+
+trading_dates = get_trading_dates(start_date="2023-12-25", end_date="2024-01-11")
+print(trading_dates)
+
+
+DatetimeIndex(['2023-12-25', '2023-12-26', '2023-12-27', '2023-12-28',
+               '2023-12-29', '2024-01-02', '2024-01-03', '2024-01-04',
+               '2024-01-05', '2024-01-08', '2024-01-09', '2024-01-10',
+               '2024-01-11'],
+              dtype='datetime64[ns]', freq=None)
+              
+
+
+
+data = get_price(order_book_ids=["000001.XSHE","600000.XSHG"], start_date="2024-03-01", end_date="2024-03-11")
+print(data)
+        
+                           open   high    low  close       volume
+order_book_id datetime                                           
+000001.XSHE   2024-03-01  10.59  10.60  10.43  10.49  182810290.0
+              2024-03-04  10.45  10.50  10.32  10.33  165592954.0
+              2024-03-05  10.30  10.47  10.26  10.43  181731907.0
+              2024-03-06  10.40  10.45  10.33  10.33  134564016.0
+              2024-03-07  10.33  10.64  10.33  10.38  201616589.0
+              2024-03-08  10.35  10.44  10.30  10.38  111397428.0
+              2024-03-11  10.38  10.47  10.34  10.47  121067298.0
+600000.XSHG   2024-03-01   7.13   7.16   7.10   7.11   29431801.0
+              2024-03-04   7.12   7.12   7.05   7.07   27855963.0
+              2024-03-05   7.05   7.18   7.04   7.16   41756232.0
+              2024-03-06   7.17   7.22   7.12   7.12   25918749.0
+              2024-03-07   7.12   7.20   7.11   7.14   24690348.0
+              2024-03-08   7.12   7.17   7.11   7.12   19861794.0
+              2024-03-11   7.13   7.17   7.06   7.11   26195498.0
+~~~
+
+# Documentation
+
+More info for [Documentation](https://libfinance.readthedocs.io/zh/latest/)
+
+
+# Join us community
+
+Join us WeChat Official Accounts to get the [libfinance](https://github.com/StateOfTheArt-quant/libfinance) updated info:
+
+<div>
+    <img alt="ds" src="/docs/source/_static/img/code.png" width="600" height="220">
+</div>
+
+

{libfinance-0.0.2 → libfinance-0.0.6}/README.md

@@ -1,4 +1,5 @@
 # libfinance
+\[ English | [中文](README_zh.md) \]
 
 `libfinance` is python library for accessing financial data easily. The goal of `libfinance` is to provide HIGH quality financial data for scholars, researchers and developers in research and production environment.
 
@@ -15,7 +16,7 @@ Method2: Install from source with a develop mode
 ~~~
 git clone https://github.com/StateOfTheArt-quant/libfinance.git
 cd libfinance
-pip install -e .
+python -m pip install --editable .
 ~~~
 
 # quick-start
@@ -61,3 +62,13 @@ order_book_id datetime
 
 More info for [Documentation](https://libfinance.readthedocs.io/zh/latest/)
 
+
+# Join us community
+
+Join us WeChat Official Accounts to get the [libfinance](https://github.com/StateOfTheArt-quant/libfinance) updated info:
+
+<div>
+    <img alt="ds" src="/docs/source/_static/img/code.png" width="600" height="220">
+</div>
+
+

{libfinance-0.0.2 → libfinance-0.0.6}/libfinance/__init__.py

@@ -1,5 +1,7 @@
-#!/usr/bin/env python3
-# -*- coding: utf-8 -*-
+from .client import init_client
+
+init_client(host="libfinance.tech", port=8080)
+#init_client(host="0.0.0.0", port=8080)
 
 __all__ = ["__version__"]
 

{libfinance-0.0.2 → libfinance-0.0.6}/libfinance/api/calendar.py

@@ -1,18 +1,22 @@
-#!/usr/bin/env python3
-# -*- coding: utf-8 -*-
 import bisect
 import datetime
 import pandas as pd
-
+import json
 from libfinance.client import get_client
 from libfinance.utils.decorators import export_as_api, ttl_cache, compatible_with_parm
 
+
 def _to_timestamp(d):
     return pd.Timestamp(d).replace(hour=0, minute=0, second=0, microsecond=0)
 
+@export_as_api
 @ttl_cache(24 * 3600)
-def _get_all_trading_dates():
-    return get_client().get_trading_calendar()
+def get_all_trading_dates():
+    trading_calendar_json = get_client().get_trading_calendar()
+    return pd.to_datetime(json.loads(trading_calendar_json))
+
+def public_api():
+    return get_client().public_api()
 
 @export_as_api
 def get_trading_dates(start_date, end_date):
@@ -38,7 +42,7 @@ def get_trading_dates(start_date, end_date):
            '2020-05-15', '2020-05-18', '2020-05-19', '2020-05-20'],
           dtype='datetime64[ns]', freq=None)
     """
-    trading_dates = _get_all_trading_dates()
+    trading_dates = get_all_trading_dates()
     
     start_date = _to_timestamp(start_date)
     end_date = _to_timestamp(end_date)
@@ -64,7 +68,7 @@ def get_previous_trading_date(date, n=1):
         >>> get_previous_trading_date(date='2020-05-18', n=3)
         Timestamp('2020-05-13 00:00:00')
     """    
-    trading_dates = _get_all_trading_dates()
+    trading_dates = get_all_trading_dates()
     pos = trading_dates.searchsorted(_to_timestamp(date))
     if pos >= n:
         return trading_dates[pos - n]
@@ -88,7 +92,7 @@ def get_next_trading_date(date, n=1):
         >>> get_next_trading_date(date='2020-05-13', n=3)
         Timestamp('2020-05-18 00:00:00')
     """    
-    trading_dates = _get_all_trading_dates()
+    trading_dates = get_all_trading_dates()
     pos = trading_dates.searchsorted(_to_timestamp(date), side='right')
     if pos + n > len(trading_dates):
         return trading_dates[-1]
@@ -98,13 +102,13 @@ def get_next_trading_date(date, n=1):
 @export_as_api
 def is_trading_date(date):
     date = _to_timestamp(date)
-    trading_dates = _get_all_trading_dates()
+    trading_dates = get_all_trading_dates()
     pos = trading_dates.searchsorted(date)
     return pos < len(trading_dates) and trading_dates[pos] == date
 
 @export_as_api
 def get_n_trading_dates_until(date, n):
-    trading_dates = _get_all_trading_dates()
+    trading_dates = get_all_trading_dates()
     pos = trading_dates.searchsorted(_to_timestamp(date), side='right')
     if pos >= n:
         return trading_dates[pos - n:pos]
@@ -114,7 +118,7 @@ def get_n_trading_dates_until(date, n):
 def count_trading_dates(start_date, end_date):
     start_date = _to_timestamp(start_date)
     end_date = _to_timestamp(end_date)
-    trading_dates = _get_all_trading_dates()
+    trading_dates = get_all_trading_dates()
     return trading_dates.searchsorted(end_date, side='right') - trading_dates.searchsorted(start_date)
 
 
@@ -122,8 +126,4 @@ if __name__ == "__main__":
     start_date = "2024-01-01"
     end_date = "2024-02-27"
     
-    trading_dates = get_trading_dates(start_date, end_date)
-    
-    
-
-
+    trading_dates = get_trading_dates(start_date, end_date)

libfinance-0.0.2/libfinance/api/concept.py → libfinance-0.0.6/libfinance/api/concept_components.py

@@ -1,5 +1,3 @@
-#!/usr/bin/env python3
-# -*- coding: utf-8 -*-
 import datetime
 from typing import Any, Union, Optional, Iterable, Dict, List, Sequence, Iterable
 
@@ -39,7 +37,7 @@ def get_concept_meta(source:str="THS") -> pd.DataFrame:
     return get_client().get_concept_meta(source=source)
 
 @export_as_api
-def get_concept_weights(concept_ids:list, source:str="THS") -> pd.DataFrame:
+def get_concept_weights(concept_ids:list, date=None, source:str="THS") -> pd.DataFrame:
     """
     获取某一个概念的成分股及其权重数据
     :param concept_ids: 概念id的列表
@@ -83,5 +81,4 @@ def get_concept_weights(concept_ids:list, source:str="THS") -> pd.DataFrame:
         
         [25 rows x 7 columns]
     """
-    return get_client().get_concept_weights(concept_ids=concept_ids, source = source)
-    
+    return get_client().get_concept_weights(concept_ids=concept_ids, source = source)

libfinance-0.0.6/libfinance/api/get_price.py

@@ -0,0 +1,269 @@
+#!/usr/bin/env python3
+# -*- coding: utf-8 -*-
+from typing import List, Union
+import datetime
+
+import pandas as pd
+import json
+import warnings
+import pdb
+
+from libfinance.client import get_client
+from libfinance.utils.decorators import export_as_api, ttl_cache, compatible_with_parm
+from libfinance.utils.datetime_func import convert_dateteime_to_timestamp
+from libfinance.utils.utils import to_date_str
+
+from libfinance.utils.validators import (
+    ensure_string,
+    ensure_list_of_string,
+    check_items_in_container,
+    ensure_instruments,
+    ensure_date_range,
+    is_panel_removed,
+)
+
+DAYBAR_FIELDS = {
+    "future": ["settlement", "prev_settlement", "open_interest", "limit_up", "limit_down",
+               "day_session_open"],
+    "common": ["open", "close", "high", "low", "total_turnover", "volume", "prev_close"],
+    "stock": ["limit_up", "limit_down"],
+    "fund": ["limit_up", "limit_down", "num_trades", "iopv"],
+    "spot": ["settlement", "prev_settlement", "open_interest", "limit_up", "limit_down"],
+    "option": ["open_interest", "strike_price", "contract_multiplier", "prev_settlement", "settlement", "limit_up",
+               "limit_down", "day_session_open"],
+    "convertible": ["limit_up", "limit_down", "num_trades"],
+    "index": [],
+    "repo": ["num_trades"],
+}
+
+WEEKBAR_FIELDS = {
+    "future": ["settlement", "prev_settlement", "open_interest", "day_session_open"],
+    "common": ["open", "close", "high", "low", "total_turnover", "volume"],
+    "stock": ["num_trades"],
+    "fund": ["num_trades", "iopv"],
+    "spot": ["settlement", "prev_settlement", "open_interest"],
+    "option": ["open_interest", "strike_price", "contract_multiplier", "settlement", "day_session_open"],
+    "convertible": ["num_trades"],
+    "index": [],
+    "repo": ["num_trades"],
+}
+
+MINBAR_FIELDS = {
+    "future": ["trading_date", "open_interest"],
+    "common": ["open", "close", "high", "low", "total_turnover", "volume"],
+    "stock": ["num_trades"],
+    "fund": ["num_trades", "iopv"],
+    "spot": ["trading_date", "open_interest"],
+    "option": ["trading_date", "open_interest"],
+    "convertible": ["num_trades"],
+    "index": [],
+    "repo": [],
+}
+
+def classify_order_book_ids(order_book_ids):
+    ins_list = ensure_instruments(order_book_ids)
+    _order_book_ids = []
+    stocks = []
+    funds = []
+    indexes = []
+    futures = []
+    futures_888 = {}
+    spots = []
+    options = []
+    convertibles = []
+    repos = []
+    for ins in ins_list:
+        if ins.order_book_id not in _order_book_ids:
+            _order_book_ids.append(ins.order_book_id)
+            if ins.type == "CS":
+                stocks.append(ins.order_book_id)
+            elif ins.type == "INDX":
+                indexes.append(ins.order_book_id)
+            elif ins.type in {"ETF", "LOF", "SF", "FUND"}:
+                funds.append(ins.order_book_id)
+            elif ins.type == "Future":
+                if ins.order_book_id.endswith(("88", "889")):
+                    futures_888[ins.order_book_id] = ins.underlying_symbol
+                futures.append(ins)
+            elif ins.type == "Spot":
+                spots.append(ins.order_book_id)
+            elif ins.type == "Option":
+                options.append(ins.order_book_id)
+            elif ins.type == "Convertible":
+                convertibles.append(ins.order_book_id)
+            elif ins.type == "Repo":
+                repos.append(ins.order_book_id)
+    return _order_book_ids, stocks, funds, indexes, futures, futures_888, spots, options, convertibles, repos
+
+def _ensure_date(start_date, end_date, stocks, funds, indexes, futures, spots, options, convertibles, repos):
+    default_start_date, default_end_date = ensure_date_range(start_date, end_date)
+
+    start_date = to_date_str(start_date) if start_date else default_start_date
+    end_date = to_date_str(end_date) if end_date else default_end_date
+    if start_date < "2000-01-04":
+        warnings.warn("start_date is earlier than 2000-01-04, adjusted to 2000-01-04")
+        start_date = "2000-01-04"
+    return start_date, end_date
+
+def _ensure_fields(fields, fields_dict, stocks, funds, futures, futures888, spots, options, convertibles, indexes,
+                   repos):
+    has_dominant_id = False
+    future_only = futures and not any([stocks, funds, spots, options, convertibles, indexes, repos])
+    all_fields = set(fields_dict["common"])
+    if futures:
+        all_fields.update(fields_dict["future"])
+    if stocks:
+        all_fields.update(fields_dict["stock"])
+    if funds:
+        all_fields.update(fields_dict["fund"])
+    if spots:
+        all_fields.update(fields_dict["spot"])
+    if options:
+        all_fields.update(fields_dict["option"])
+    if convertibles:
+        all_fields.update(fields_dict["convertible"])
+    if indexes:
+        all_fields.update(fields_dict["index"])
+    if repos:
+        all_fields.update(fields_dict["repo"])
+    if future_only and futures888 and len(futures) == len(futures888) and not fields:
+        has_dominant_id = True
+
+    if fields:
+        fields = ensure_list_of_string(fields, "fields")
+        fields_set = set(fields)
+        if len(fields_set) < len(fields):
+            warnings.warn("duplicated fields: %s" % [f for f in fields if fields.count(f) > 1])
+            fields = list(fields_set)
+        # 只有期货类型
+        if 'dominant_id' in fields:
+            fields.remove("dominant_id")
+            if not fields:
+                raise ValueError("can't get dominant_id separately, please use futures.get_dominant")
+            if futures888:
+                has_dominant_id = True
+            else:
+                warnings.warn(
+                    "only if one of the order_book_id is future and contains 88/888/99/889 can the dominant_id be selected in fields")
+        check_items_in_container(fields, all_fields, "fields")
+        return fields, has_dominant_id
+    else:
+        return list(all_fields), has_dominant_id
+
+
+
+@export_as_api
+def get_price(
+    order_book_ids: list,
+    start_date: str,
+    end_date: str,
+    frequency: str="1d",
+    fields: List[str]=None,
+    skip_suspended: bool=True,
+    include_now: bool=True,
+    adjust_type: str="none",
+    adjust_orig:datetime.datetime = None) -> pd.DataFrame:
+    """获取指定合约的历史 k 线行情，支持任意日频率xd(1d,5d)和任意分钟频率xm(1m,3m,5m,15m)的历史数据。
+    
+    :param order_book_ids: 多个标的合约代码, 必填项
+    :param start_date: 开始日期，必填项
+    :param end_date: 结束日期，必填项
+    :param frequency: 获取数据什么样的频率进行。'1d'或'1m'分别表示每日和每分钟
+    :param fields: 返回数据字段
+    :param skip_suspended: 是否跳过停牌数据
+    :param include_now: 是否包含当前数据
+    :param adjust_type: 复权类型，默认为前复权 pre；可选 pre, none, post
+    
+    =========================   ===================================================
+    fields                      字段名
+    =========================   ===================================================
+    datetime                    时间戳
+    open                        开盘价
+    high                        最高价
+    low                         最低价
+    close                       收盘价
+    volume                      成交量
+    total_turnover              成交额
+    open_interest               持仓量（期货专用）
+    basis_spread                期现差（股指期货专用）
+    settlement                  结算价（期货日线专用）
+    prev_settlement             结算价（期货日线专用）
+    =========================   ===================================================
+    
+    Example1::
+    
+        获取中国平安和浦发银行 2024-03-01至2024-03-11之间的交易数据
+    
+    ..  code-block:: python3
+        
+        import pandas as pd
+        from libfinance import get_price
+    
+        >>> data = get_price(order_book_ids=["000001.XSHE","600000.XSHG"], start_date="2024-03-01", end_date="2024-03-11")
+        >>> print(data)
+        
+                                   open   high    low  close       volume
+        order_book_id datetime                                           
+        000001.XSHE   2024-03-01  10.59  10.60  10.43  10.49  182810290.0
+                      2024-03-04  10.45  10.50  10.32  10.33  165592954.0
+                      2024-03-05  10.30  10.47  10.26  10.43  181731907.0
+                      2024-03-06  10.40  10.45  10.33  10.33  134564016.0
+                      2024-03-07  10.33  10.64  10.33  10.38  201616589.0
+                      2024-03-08  10.35  10.44  10.30  10.38  111397428.0
+                      2024-03-11  10.38  10.47  10.34  10.47  121067298.0
+        600000.XSHG   2024-03-01   7.13   7.16   7.10   7.11   29431801.0
+                      2024-03-04   7.12   7.12   7.05   7.07   27855963.0
+                      2024-03-05   7.05   7.18   7.04   7.16   41756232.0
+                      2024-03-06   7.17   7.22   7.12   7.12   25918749.0
+                      2024-03-07   7.12   7.20   7.11   7.14   24690348.0
+                      2024-03-08   7.12   7.17   7.11   7.12   19861794.0
+                      2024-03-11   7.13   7.17   7.06   7.11   26195498.0
+    
+    """
+    if not frequency.endswith(("d", "w")):
+        return ValueError("current, only suport xd and xw frequency data")
+    
+    # tick数据
+    if frequency == "tick":
+        return ValueError("current, only suport xd and xw data")
+    elif frequency.endswith(("d", "m", "w")):
+        duration = int(frequency[:-1])
+        _frequency = frequency[-1]
+        assert 1 <= duration <= 240, "frequency should in range [1, 240]"
+        if _frequency == "m" and duration not in (1, 5, 15, 30, 60):
+            raise ValueError("frequency should be str like 1m, 5m, 15m 30m,or 60m")
+        elif _frequency == 'w' and duration not in (1,):
+            raise ValueError("Weekly frequency should be str '1w'")
+    else:
+       raise ValueError("frequency should be str like 1d, 1m, 5m or tick")
+    
+    valid_adjust = ["pre", "post", "none"]
+    ensure_string(adjust_type, "adjust_type")
+    check_items_in_container(adjust_type, valid_adjust, "adjust_type")
+    order_book_ids = ensure_list_of_string(order_book_ids, "order_book_ids")
+    
+    assert isinstance(skip_suspended, bool), "'skip_suspended' should be a bool"
+    
+    
+    order_book_ids, stocks, funds, indexes, futures, futures888, spots, options, convertibles, repos = classify_order_book_ids(order_book_ids)
+    if not order_book_ids:
+        warnings.warn("no valid instrument")
+        return
+    
+    start_date, end_date = _ensure_date(
+        start_date, end_date, stocks, funds, indexes, futures, spots, options, convertibles, repos
+    )
+    
+    fields, has_dominant_id = _ensure_fields(fields, DAYBAR_FIELDS, stocks, funds, futures, futures888, spots, options, convertibles, indexes, repos)
+    #start_date = convert_dateteime_to_timestamp(start_date)
+    #end_date = convert_dateteime_to_timestamp(end_date)
+    #pdb.set_trace()
+    return get_client().get_price(order_book_ids=order_book_ids,
+                                           start_date=start_date,
+                                           end_date=end_date,
+                                           frequency=frequency, 
+                                           fields=fields, 
+                                           skip_suspended=skip_suspended, 
+                                           include_now=include_now,
+                                           adjust_type=adjust_type, 
+                                           adjust_orig=adjust_orig)

{libfinance-0.0.2 → libfinance-0.0.6}/libfinance/api/index_components.py

@@ -1,6 +1,3 @@
-#!/usr/bin/env python3
-# -*- coding: utf-8 -*-
-
 import datetime
 from typing import Any, Union, Optional, Iterable, Dict, List, Sequence, Iterable
 
@@ -69,6 +66,4 @@ def get_index_weights(index_id: str = "000300.XSHG", date: Union[str, datetime.d
        [300 rows x 5 columns]
 
     """
-    return get_client().get_index_weights(index_id=index_id, date = date)
-    
-
+    return get_client().get_index_weights(index_id=index_id, date = date)