import pandas as pd
import numpy as np
import matplotlib.pyplot as plt

plt.style.use('ggplot')

#行情数据获取
#输入：起止时间，返回：几个期货数据的时间序列
s_date,e_date = '2010-1-1','2019-2-13'
pool = ['IF9999.CCFX','IH9999.CCFX','IC9999.CCFX','000300.XSHG','000016.XSHG','000905.XSHG',\
               'IF8888.CCFX','IH8888.CCFX','IC8888.CCFX']
df = get_price(pool,start_date=s_date,end_date=e_date,fields=['close'])['close']  #获取价格信息
df_volume = get_price(pool,start_date=s_date,end_date=e_date,fields=['volume'])['volume'] #获取成交量信息

#将主力合约的值减去行情价格，观察差值表现
diff_df = pd.DataFrame()
diff_df['IF_diff'] =  df['000300.XSHG'] - df['IF9999.CCFX']
diff_df['IH_diff'] =  df['000016.XSHG'] - df['IH9999.CCFX']
diff_df['IC_diff'] =  df['000905.XSHG']- df['IC9999.CCFX']
diff_df.tail(5)

diff_df.plot(figsize=(15,10)) #基差

div_df = pd.DataFrame()
div_df['IF_div'] = (df['IF9999.CCFX'] - df['000300.XSHG'])/df['000300.XSHG']
div_df['IH_div'] = df['IH9999.CCFX']/df['000016.XSHG'] - 1
div_df['IC_div'] = df['IC9999.CCFX']/df['000905.XSHG'] - 1

div_df.plot(figsize=(15,10))#期现偏离度

#三个股指期货产品的成交量
df_volume[['IF9999.CCFX','IH9999.CCFX','IC9999.CCFX']].plot(figsize=(15,10))  #成交量变化

div_df['IC_diff'].hist(bins=100)

if_df = get_price('IF9999.CCFX',fields=['volume'],start_date='2015-9-8',end_date='2018-12-30')['volume']
if_df.plot(figsize = (12,8))

s_date,e_date = '2005-1-1','2019-1-1'
pool = ['IF9999.CCFX','IH9999.CCFX','IC9999.CCFX','000300.XSHG','000016.XSHG','000905.XSHG',\
               'IF8888.CCFX','IH8888.CCFX','IC8888.CCFX']
df_test = get_price(pool,start_date=s_date,end_date=e_date,fields=['close'])['close']
df_test[['000300.XSHG','000016.XSHG','000905.XSHG']].plot()

#中证500成交量变化
df_volume['IC9999.CCFX'].plot(figsize=(15,10))

date1 = '20100416' #hs300期货上市
date2 = '20150416' #ss50、zz500期货上市
date3 = '20150907' #限制
date4 = '20170217' #放开1
date5 = '20170918' #放开2
date6 = '20181203' #放开3
date7 = '20190213' #至今
date_list = [date1,date2,date3,date4,date5,date6,date7]

'''
对指定时间段的成交量、基差、基差率统
'''
#df1是close价格,df2是成交量的df
def cal_mean(s_date,e_date,index,df1,df2):
    df_temp1 = df1[(df1.index>=s_date) & (df1.index<e_date)]
    df_temp2 = df2[(df2.index>=s_date) & (df2.index<e_date)]
    mean_volume = np.mean(df_temp2[index])
    
    if index == 'IF9999.CCFX':
        stock_index = '000300.XSHG'
    elif index == 'IC9999.CCFX':
        stock_index = '000905.XSHG'
    elif index == 'IH9999.CCFX':
        stock_index = '000016.XSHG' 
    #期货 - 股指
    basis_se = df_temp1[index] - df_temp1[stock_index]
    basis_mean = np.mean(basis_se)
    #期货/股指 - 1
    dev_se = df_temp1[index]/df_temp1[stock_index] - 1
    dev_mean = np.mean(dev_se)
    
    return mean_volume,basis_mean,dev_mean,basis_se,dev_se
#cal_mean(s_date=date5,e_date=date6,index ='IF9999.CCFX',df1=df,df2 =df_volume)

#我们统一为  期货-指数   
summary_if = pd.DataFrame(columns= ['成交量均值','基差均值','基差率'])
for d1,d2 in zip(date_list[:-1],date_list[1:]):
    summary_if.loc[str(d1)+'-'+str(d2)] = cal_mean(s_date=d1,e_date=d2,index ='IF9999.CCFX',df1=df,df2 =df_volume)[:3]
summary_if

#我们统一为  期货-指数   
summary_ic = pd.DataFrame(columns= ['成交量均值','基差均值','基差率'])
for d1,d2 in zip(date_list[:-1],date_list[1:]):
    summary_ic.loc[str(d1)+'-'+str(d2)] = cal_mean(s_date=d1,e_date=d2,index ='IC9999.CCFX',df1=df,df2 =df_volume)[:3]
summary_ic

#我们统一为  期货-指数   
summary_ih = pd.DataFrame(columns= ['成交量均值','基差均值','基差率'])
for d1,d2 in zip(date_list[:-1],date_list[1:]):
    summary_ih.loc[str(d1)+'-'+str(d2)] = cal_mean(s_date=d1,e_date=d2,index ='IH9999.CCFX',df1=df,df2 =df_volume)[:3]
summary_ih

#成交量放在一张图上展示
summary_vol = pd.DataFrame(index=summary_ih.index)
summary_vol['IC_成交量']=summary_ic['成交量均值']
summary_vol['IH_成交量']=summary_ih['成交量均值']
summary_vol['IF_成交量']=summary_if['成交量均值']
summary_vol

summary_vol.plot(kind='bar',figsize=(12,8))

#单独显示限制之后的成交量情况
summary_vol.iloc[2:,:].plot(kind='bar',figsize=(12,8))

#基差率放在一张图上展示
summary_dev = pd.DataFrame(index=summary_ih.index)
summary_dev['IC_基差率']=summary_ic['基差率']
summary_dev['IH_基差率']=summary_ih['基差率']
summary_dev['IF_基差率']=summary_if['基差率']
summary_dev

summary_dev.plot(kind='bar',figsize=(12,8))

dev_df = pd.DataFrame()
dev_df['IF_基差率'] = cal_mean('2010-4-16','2019-1-1','IF9999.CCFX',df,df_volume)[-1]
dev_df['IH_基差率'] = cal_mean('2010-4-16','2019-1-1','IH9999.CCFX',df,df_volume)[-1]
dev_df['IC_基差率'] = cal_mean('2010-4-16','2019-1-1','IC9999.CCFX',df,df_volume)[-1]
dev_df.plot(figsize=(12,8))

#三个股指期货产品的成交量
df_volume[['IF9999.CCFX','IH9999.CCFX','IC9999.CCFX']].loc['2015-09-06':,:].plot(figsize=(15,10))  #成交量变化