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量化交易之One Piece篇 - back tester - 自动生成session文件(基于天勤量化)

霸姨 2023-04-29 阅读 71


class TQZAutoMakeConfig:

    __trading_time_config = './config/trading_time.json'


    @classmethod
    def auto_make_session_json(cls):
        all_tq_main_futures = TQZTianQinClient().load_all_tq_main_futures()

        ret = {}
        for tq_main_future in all_tq_main_futures:
            _tq_future = f'{tq_main_future.split(".")[0]}.{re.match(r"^[a-zA-Z]{1,3}", tq_main_future.split(".")[1]).group()}'
            tq_main_future_data = TQZTianQinClient().query_quote(tq_future=tq_main_future)

            ret[_tq_future] = {
                'day': vars(tq_main_future_data['trading_time'])['day'],
                'night': vars(tq_main_future_data['trading_time'])['night']
            }

        for instrument, data in ret.items():
            for session_data in data.values():
                for i in range(len(session_data)):
                    for j in range(len(session_data[i])):
                        hour = session_data[i][j].split(':')[0]
                        if hour >= '24':
                            new_hour = str(int(hour) - int('24')).zfill(2)
                            session_data[i][j] = f'{new_hour}:{session_data[i][j].split(":")[1]}:{session_data[i][j].split(":")[2]}'

        TQZJsonOperator.tqz_write_jsonfile(content=ret, target_jsonfile=cls.__trading_time_config)

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