import pandas as pd
from jqdata import *
import warnings
warnings.filterwarnings("ignore")

def get_future_tick_stat(ticker,date):
    """
    ticker = "RB1905.XSGE"
    date = "2019-02-15"
    获得tick数据的标记
    """
    #获得前一个交易日
    pre_day = str(get_trade_days(start_date=None, end_date=date, count=2)[0])
    start_time = pre_day+' 20:00:00'
    end_time = date + ' 15:30:00'
    
    #获得tick数据  
    field = ['time','current','volume','money','position','a1_p','a1_v','b1_p','b1_v']
    data = get_ticks(ticker,start_dt=start_time,end_dt=end_time,count=None,fields=field)
    data = pd.DataFrame(data)
    data.columns = ['time','lastPrice','volume','value','openInterest','askPrice1','askVolume1','bidPrice1','bidVolume1']
    
    #对成交量按升序排列，因为郑州交易所的数据可能有错，同一秒的两个数据有颠倒情况（如FG905,20190121等等）导致再手为负
    data = data.sort_values(by='volume')
    
    #现手、增仓计算
    data['现手']=data['volume']-data['volume'].shift(1)
    data['增仓']=data['openInterest']-data['openInterest'].shift(1)
    
    #------集合竞价的现手与增仓
    data.loc[0,'现手']=data.loc[0,'volume']
    #前一天的持仓量
    temp = get_extras('futures_positions', ticker, start_date=pre_day, end_date=date, df=True).iloc[0,0]
    #集合竞价增仓
    data.loc[0,'增仓']=data.loc[0,'openInterest']-temp
    
    
    #筛选非0tick
    data_need=data[(data['volume']>0)&(data['现手']!=0)]
    data_need = data_need.reset_index(drop=True)

    #----------主买、主卖的判断
    #昨天收盘价
    price =  get_price(ticker, start_date=None, end_date=date, frequency='daily', fields=['open','close'], skip_paused=False, fq=None, count=2)
    preClosePrice = price.iloc[0,1]
    openPrice = price.iloc[1,0]
    
    #集合竞价成交主买主卖的判断
    flag=[]
    if openPrice>preClosePrice:
        flag.append(1)
    else:
        flag.append(-1)
        
    #所有tick主买主卖
    data_need['主动买/卖'] = flag+[1 if data_need['lastPrice'][i]>=data_need['askPrice1'][i-1] else -1 for i in range(1,len(data_need))]

    #----------买卖性质
    temp=[]
    for i in range(len(data_need)):
        if data_need['现手'][i]==abs(data_need['增仓'][i]):
            if data_need['增仓'][i]>0:
                temp.append('双开')
            else:
                temp.append('双平')
        else:
            if data_need['主动买/卖'][i]==1:
                if data_need['增仓'][i]>0:
                    temp.append('多开')
                elif data_need['增仓'][i]<0:
                    temp.append('空平')
                else:
                    temp.append('多换')
            else:
                if data_need['增仓'][i]>0:
                    temp.append('空开')
                elif data_need['增仓'][i]<0:
                    temp.append('多平')
                else:
                    temp.append('空换')               
    data_need['性质']=temp
    #当笔tick的成交金额
    temp2 = data_need['value']-data_need['value'].shift(1)
    temp2 = temp2.tolist()[1:]
    data_need['现值'] = [data_need.loc[0,'value']] + temp2
    
    result = data_need[['time','lastPrice','volume','value','现手','现值','增仓','主动买/卖','性质']]
    return result

def get_8stat(result,big_order=0):
    """
    根据tick数据，计算八项统计，默认统计全部
    """
    total_volume = sum(result['现手'])
    duo_kai = sum(result[(result['性质']=='多开')&(result['现手']>=big_order)]['现手'])/total_volume
    kon_pin = sum(result[(result['性质']=='空平')&(result['现手']>=big_order)]['现手'])/total_volume

    kon_kai = sum(result[(result['性质']=='空开')&(result['现手']>=big_order)]['现手'])/total_volume
    duo_pin = sum(result[(result['性质']=='多平')&(result['现手']>=big_order)]['现手'])/total_volume

    duo_huan = sum(result[(result['性质']=='多换')&(result['现手']>=big_order)]['现手'])/total_volume
    kon_huan = sum(result[(result['性质']=='空换')&(result['现手']>=big_order)]['现手'])/total_volume

    shuang_kai = sum(result[(result['性质']=='双开')&(result['现手']>=big_order)]['现手'])/total_volume
    shuang_pin = sum(result[(result['性质']=='双平')&(result['现手']>=big_order)]['现手'])/total_volume
    
    all_ratio = duo_kai+kon_pin+kon_kai+duo_pin+duo_huan+kon_huan+shuang_kai+shuang_pin
    
    #多开-空开
    duo_minus_kon_kai = duo_kai-kon_kai
    #空平-多平
    kon_minus_duo_pin = kon_pin-duo_pin
    #多-空
    duo_minus_kon = duo_minus_kon_kai+kon_minus_duo_pin
    
    stat_result = pd.DataFrame([duo_kai,kon_pin,kon_kai,duo_pin,duo_huan,kon_huan,shuang_kai,shuang_pin,all_ratio,duo_minus_kon_kai,kon_minus_duo_pin,duo_minus_kon],\
                              index=['多开','空平','空开','多平','多换','空换','双开','双平','总计','多开-空开','空平-多平','多-空'],columns=['占比'])
    return stat_result.T

def get_1day1ticker(ticker,date,big_order=0):
    """
    获得某天一个合约的统计
    """
    result = get_future_tick_stat(ticker,date)
    temp = get_8stat(result,big_order=big_order)
    return temp


def get_1day1ticker_wenhuaBigStat(ticker,date):
    """
    获得某天一个合约的统计,文华大单（大于前一日单笔成交量的5倍定义为大单）
    """
    #前一天成交量
    pre_day = str(get_trade_days(start_date=None, end_date=date, count=2)[0])
    pre_vol = get_price(ticker, start_date=pre_day, end_date=pre_day, frequency='daily', fields='volume', fq=None).iloc[0,0]
    result = get_future_tick_stat(ticker,date)  
    big_order = pre_vol/len(result)*5
    temp = get_8stat(result,big_order=big_order)
    return temp


def get_1day1ticker_main(str1,date,big_order=0):
    """
    获得某天一个合约的统计,只需要输入标的名称，如'RB'
    """
    ticker = get_dominant_future(str1,date)
    result = get_future_tick_stat(ticker,date)
    temp = get_8stat(result,big_order=big_order)
    return temp

def get_ticker(date):
    """
    输入日期，返回当天主力合约代码ticker,及合约简称
    持仓量大于1万手
    """
    opid_th = 10000
    #获得主力合约
    a = get_all_securities(types=['futures'])
    cond = ['主力合约' in x for x in a.display_name]
    main = a[cond].index.tolist()  #9999
    main1 = [x[:-9] for x in main] #AU,仅含标的字母
    main2 = [get_dominant_future(x,date) for x in main1]
    main2_ = [x for x in main2 if x!='']
    #持仓量
    main2_opid = get_extras('futures_positions', main2_, start_date=date, end_date=date, df=True).T
    need_ticker = main2_opid[main2_opid[date]>opid_th].index.tolist()
    return need_ticker

#----------------------
def get_oneDay_stat(date,big_order=0):
    """
    获得某天的八项统计结果
    """
    ticker_data = get_ticker(date)
    all_ticker_stats = pd.DataFrame()
    for i in range(len(ticker_data)):
        ticker = ticker_data[i]
        result = get_future_tick_stat(ticker,date)
        temp = get_8stat(result,big_order)  
        temp.index = [ticker]
        all_ticker_stats = all_ticker_stats.append(temp)
    all_ticker_stats = all_ticker_stats.sort_values(by='多开-空开',ascending=False)    
    return all_ticker_stats

def get_headtail(date,n=5,big_order=0):
    """
    计算某天做多做空前N名
    """
    data = get_oneDay_stat(date,big_order=big_order)
    temp1 = data.head(n)
    temp2 = data.tail(n)
    result = temp1.append(temp2)
    result.index = pd.MultiIndex.from_arrays([['做多']*n+['做空']*n,result.index.tolist()])
    return result

def get_nDay_stas(ticker,startDate,endDate,big_order=0):
    """
    返回某个合约-某段时间的统计结果
    """
    tradeDay = get_trade_days(start_date=startDate, end_date=endDate)
    tradeDay = [str(x) for x in tradeDay]
    result = pd.DataFrame()
    for date in tradeDay:
        temp = get_1day1ticker(ticker,date,big_order=big_order)
        temp.index = [date]
        result = result.append(temp)
    return result

if __name__ == '__main__':
    from datetime import datetime
    t0 = datetime.now() 
    date = '2019-05-20'
    #all_data = get_oneDay_stat(date,big_order=0)
    print('用时：{}'.format(datetime.now()-t0))

from datetime import datetime
t0 = datetime.now() 
all_data1 = get_oneDay_stat('2019-06-19',big_order=0)
print('用时：{}'.format(datetime.now()-t0))
all_data1

get_headtail('2019-06-18',n=5,big_order=0)

ticker = 'RB1910.XSGE'
startDate = '2019-06-01'
endDate = '2019-06-19'
result = get_nDay_stas(ticker,startDate,endDate,big_order=0)
result