Python：螺纹钢主力合约基差监控

三个主要步骤

1、导入模块

2、从wind自动获取螺纹钢主力合约价格和现货价格

3、计算螺纹钢基差

4、图形展示

@author: zhanglei

"""

from datetime import datetime

import pandas as pd

import matplotlib.pyplot as plt

from WindPy import w

w.start();

nowtime=datetime.now()

towindtime_1=nowtime.strftime('%Y-%m-%d')

to_wind_time=str(towindtime_1)

print('今天的日期是：',to_wind_time)

print('\n')

rb_futures_1=w.edb("M0067416","2009-03-27", to_wind_time,"Fill=Previous")

datefu=pd.to_datetime(rb_futures_1.Times)

rb_futures=pd.DataFrame({"datefu":datefu,"rbfutures":rb_futures_1.Data[0]})

rb_futures=rb_futures.set_index('datefu')

#从wind中读取期货主力合约价格，并转化为dataframe格式，设定日期为索引

#print(rb_futures)

rb_spot_1=w.edb("S0033227","2009-03-27", to_wind_time,"Fill=Previous")

#从wind中读取螺纹钢现货

datesp=pd.to_datetime(rb_spot_1.Times)

rb_spot=pd.DataFrame({"datesp":datesp,"rbspot":rb_spot_1.Data[0]})

rb_spot=rb_spot.set_index('datesp')

#把现货价格转化为dataframe格式，并设定日期为索引

rb_spot=rb_spot.reindex(datefu)

#把期货价格日期设定为现货价格的索引

#print (rb_spot)

rb_spot=rb_spot.fillna(method='ffill')

#填充现货价格的索引值

rbbasis=pd.DataFrame()

rbbasis['basis']=(rb_spot['rbspot'])/0.97-rb_futures['rbfutures']

rbbasis['spot']=rb_spot['rbspot']

rbbasis['futures']=rb_futures['rbfutures']

#print(rbbasis)

lastdate=max(rbbasis.index)

lastrbbasis=rbbasis.basis[lastdate]

print(lastdate.strftime('%Y-%m-%d')," 螺纹钢主力合约基差为：",'%.2f'%lastrbbasis)

#折线图

plt.plot(rbbasis.basis)

label=['rb-basis']

plt.legend(label,loc='best')

plt.ylabel("yuan/ton")

#plt.xlabel("date")

plt.title("RB MAIN CONTRACT BASIS")

plt.show()

#直方图

fig = plt.figure()

ax = fig.add_subplot(111)

ax.hist(rbbasis['basis'], bins=50)

plt.title('RB basis distribution')

plt.xlabel('rb basis')

plt.ylabel('frequency')

plt.show()

运行结果

今天的日期是： 2018-10-15

2018-10-12 螺纹钢主力合约基差为： 625.96





d:\python\lib\site-packages\spyder\widgets\variableexplorer\utils.py:414: FutureWarning: 'summary' is deprecated and will be removed in a future version.

display = value.summary()