歷史行情 - Shioaji

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取得特定日期 Ticks ¶

ticks = api.ticks(
    contract=api.Contracts.Stocks["2330"], 
    date="2023-01-16"
ticks
Ticks(
    ts=[1673859600113699000, 1673859600228800000, 1673859600244294000, 1673859600308595000], 
    close=[506.0, 505.0, 506.0, 506.0],
    volume=[3340, 1, 17, 2],
    bid_price=[505.0, 505.0, 506.0, 506.0],
    bid_volume=[122, 320, 60, 58],
    ask_price=[506.0, 506.0, 507.0, 507.0],
    ask_volume=[13, 22, 702, 702]
    tick_type=[1, 2, 1, 2]
Ticks
ts (int): timestamp
close (float): 成交價
volume (int): 成交量
bid_price (float): 委買價
bid_volume (int): 委買量
ask_price (float): 委賣價
ask_volume (int): 委賣量
tick_type (int): 內外盤別{1: 外盤, 2: 內盤, 0: 無法判定}
轉成DataFrame
import pandas as pd
df = pd.DataFrame({**ticks})
df.ts = pd.to_datetime(df.ts)
df.head()
ask_price
close
bid_volume
volume
ask_volume
tick_type
bid_price
ticks = api.ticks(
    contract=api.Contracts.Stocks["2330"], 
    date="2023-01-16",
    query_type=sj.constant.TicksQueryType.RangeTime,
    time_start="09:00:00",
    time_end="09:20:01"
ticks
Ticks(
    ts=[1673859600113699000, 1673859600228800000, 1673859600244294000, 1673859600308595000], 
    close=[506.0, 505.0, 506.0, 506.0],
    volume=[3340, 1, 17, 2],
    bid_price=[505.0, 505.0, 506.0, 506.0],
    bid_volume=[122, 320, 60, 58],
    ask_price=[506.0, 506.0, 507.0, 507.0],
    ask_volume=[13, 22, 702, 702]
    tick_type=[1, 2, 1, 2]
取得最後數筆 Ticks¶
ticks = api.ticks(
    contract=api.Contracts.Stocks["2330"], 
    date="2023-01-16",
    query_type=sj.constant.TicksQueryType.LastCount,
    last_cnt=4,
ticks
Ticks(
    ts=[1673859600113699000, 1673859600228800000, 1673859600244294000, 1673859600308595000], 
    close=[506.0, 505.0, 506.0, 506.0],
    volume=[3340, 1, 17, 2],
    bid_price=[505.0, 505.0, 506.0, 506.0],
    bid_volume=[122, 320, 60, 58],
    ask_price=[506.0, 506.0, 507.0, 507.0],
    ask_volume=[13, 22, 702, 702]
    tick_type=[1, 2, 1, 2]
KBar¶
Kbars
api.kbars?
Signature:
api.kbars(
    contract: shioaji.contracts.BaseContract,
    start: str = '2023-01-15',
    end: str = '2023-01-16',
    timeout: int = 30000,
    cb: Callable[[shioaji.data.Kbars], NoneType] = None,
) -> shioaji.data.Kbars
Docstring:
get Kbar
kbars = api.kbars(
    contract=api.Contracts.Stocks["2330"], 
    start="2023-01-15", 
    end="2023-01-16", 
kbars
Kbars(
    ts=[1673859660000000000, 1673859720000000000, 1673859780000000000, 1673859840000000000],
    Open=[506.0, 505.0, 505.0, 504.0],
    High=[508.0, 506.0, 506.0, 505.0],
    Low=[505.0, 505.0, 504.0, 504.0],
    Close=[505.0, 505.0, 504.0, 504.0],
    Volume=[5308, 1018, 543, 209]
Kbars
ts (int): timestamp
Open (float): open price
High (float): the highest price
Low: (float): the lowest price
Close (float): close price
Volume (int): volume
轉成DataFrame
import pandas as pd
df = pd.DataFrame({**kbars})
df.ts = pd.to_datetime(df.ts)
df.head()
Close
Amount
Volume
連續期貨合約¶
期貨合約一旦到期，合約即不再有效，亦即他將不會出現在您的api.Contracts裡。為了取得到期的期貨合約歷史資料，我們提供連續期貨合約。R1, R2是近月及次月的連續期貨合約，他們會自動在結算日更換新的合約。您可以使用R1, R2合約來取得歷史資料，例如api.Contracts.Futures.TXF.TXFR1。以下顯示如何使用R1, R2合約取得到期期貨的歷史Ticks及Kbars。
Ticks 
Ticks
ticks = api.ticks(
    contract=api.Contracts.Futures.TXF.TXFR1, 
    date="2020-03-22"
ticks
Ticks(
    ts=[1616166000030000000, 1616166000140000000, 1616166000140000000, 1616166000190000000], 
    close=[16011.0, 16013.0, 16014.0, 16011.0],
    volume=[49, 2, 2, 1],
    bid_price=[0.0, 16011.0, 16011.0, 16011.0],
    bid_volume=[0, 1, 1, 1],
    ask_price=[0.0, 16013.0, 16013.0, 16013.0],
    ask_volume=[0, 1, 1, 1]
    tick_type=[1, 1, 1, 2]
Kbars 
Kbars
kbars = api.kbars(
    contract=api.Contracts.Futures.TXF.TXFR1,
    start="2023-01-15", 
    end="2023-01-16", 
kbars
Kbars(
    ts=[1616402760000000000, 1616402820000000000, 1616402880000000000, 1616402940000000000],
    Open=[16018.0, 16018.0, 16000.0, 15992.0],
    High=[16022.0, 16020.0, 16005.0, 15999.0],
    Low=[16004.0, 16000.0, 15975.0, 15989.0],
    Close=[16019.0, 16002.0, 15992.0, 15994.0],
    Volume=[1791, 864, 1183, 342]