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## =============================================================================
## myChinaFuturesCalendar.R
##
## 生成中国期货交易日
## 1. days :日盘时间
## 2. nights:夜盘时间
##
## =============================================================================
rm(list = ls())
setwd('/home/fl/myData')
## =============================================================================
## 需要安装的 package: bizdays
pkgs <- c("data.table",'magrittr')
if (length(pkgs[!pkgs %in% installed.packages()]) != 0) {
sapply(pkgs[!pkgs %in% installed.packages()], install.packages)
}
sapply(pkgs, require, character.only = TRUE)
## -----------------------------------------------------------------------------
## 这里需要做选择
## 对于周末的时间，日盘和夜盘的间隔不应该超过 3 天
## 但是，如果是节假日，有可能超过 3 天，那么夜盘就是 NA 了。
## 这个应该很好理解。
setNights <- function(x) {
for (i in 1:nrow(x)) {
if (is.na(x$nights[i])) next
if( (x$days[i] - x$nights[i]) > 3){
#-- 如果有休假，则日盘与夜盘差超过 3 天
x$nights[i] <- NA
}
}
x[, ":="(
nights = gsub('-','', nights),
days = gsub('-','', days))]
return(x)
}
## =============================================================================
## =============================================================================
## 查询交易所对节假日的安排
## http://www.shfe.com.cn/news/
## =============================================================================
## =============================================================================
## http://www.shfe.com.cn/news/notice/911232224.html
yearID <- 2010
daysInYear <- as.numeric(as.Date(paste0(yearID, '-12-31')) -
as.Date(paste0(yearID, '-01-01')))
days <- as.Date(0:daysInYear, origin = paste0(yearID, '-01-01')) %>%
.[-which(weekdays(.) %in% c("Saturday", "Sunday"))] %>%
.[-c(which(. >= "2010-01-01" & . <= "2010-01-03"),
which(. >= "2010-02-13" & . <= "2010-02-19"),
which(. >= "2010-04-03" & . <= "2010-04-05"),
which(. >= "2010-05-01" & . <= "2010-05-03"),
which(. >= "2010-06-14" & . <= "2010-06-16"),
which(. >= "2010-09-22" & . <= "2010-09-24"),
which(. >= "2010-10-01" & . <= "2010-10-07")
)] %>%
.[which(. >= '2010-04-16')]
nights <- NA
calendar2010 <- data.table(nights, days) %>% setNights()
## =============================================================================
## =============================================================================
## http://www.shfe.com.cn/news/notice/11272678.html
yearID <- 2011
daysInYear <- as.numeric(as.Date(paste0(yearID, '-12-31')) -
as.Date(paste0(yearID, '-01-01')))
days <- as.Date(0:daysInYear, origin = paste0(yearID, '-01-01')) %>%
.[-which(weekdays(.) %in% c("Saturday", "Sunday"))] %>%
.[-c(which(. >= "2011-01-01" & . <= "2011-01-03"),
which(. >= "2011-02-02" & . <= "2011-02-08"),
which(. >= "2011-04-03" & . <= "2011-04-05"),
which(. >= "2011-04-30" & . <= "2011-05-02"),
which(. >= "2011-06-04" & . <= "2011-06-06"),
which(. >= "2011-09-10" & . <= "2011-09-12"),
which(. >= "2011-10-01" & . <= "2011-10-07")
)]
nights <- NA
calendar2011 <- data.table(nights, days) %>% setNights()
## =============================================================================
## =============================================================================
## http://www.shfe.com.cn/news/notice/111211125.html
yearID <- 2012
daysInYear <- as.numeric(as.Date(paste0(yearID, '-12-31')) -
as.Date(paste0(yearID, '-01-01')))
days <- as.Date(0:daysInYear, origin = paste0(yearID, '-01-01')) %>%
.[-which(weekdays(.) %in% c("Saturday", "Sunday"))] %>%
.[-c(which(. >= "2012-01-01" & . <= "2012-01-03"),
which(. >= "2012-01-22" & . <= "2012-01-28"),
which(. >= "2012-04-02" & . <= "2012-04-04"),
which(. >= "2012-04-29" & . <= "2012-05-01"),
which(. >= "2012-06-22" & . <= "2012-06-24"),
which(. >= "2012-09-30" & . <= "2012-10-07")
)]
nights <- NA
calendar2012 <- data.table(nights, days) %>% setNights()
## =============================================================================
## =============================================================================
## http://www.shfe.com.cn/news/notice/211216642.html
yearID <- 2013
daysInYear <- as.numeric(as.Date(paste0(yearID, '-12-31')) -
as.Date(paste0(yearID, '-01-01')))
days <- as.Date(0:daysInYear, origin = paste0(yearID, '-01-01')) %>%
.[-which(weekdays(.) %in% c("Saturday", "Sunday"))] %>%
.[-c(which(. >= "2013-01-01" & . <= "2013-01-03"),
which(. >= "2013-01-01" & . <= "2013-01-03"),
which(. >= "2013-02-09" & . <= "2013-02-15"),
which(. >= "2013-04-04" & . <= "2013-04-06"),
which(. >= "2013-04-29" & . <= "2013-05-01"),
which(. >= "2013-06-10" & . <= "2013-06-12"),
which(. >= "2013-09-19" & . <= "2013-09-21"),
which(. >= "2013-10-01" & . <= "2013-10-07")
)]
nights <- c(NA, days[-length(days)]) %>% as.Date(., origin = "1970-01-01")
nights[which(nights < "2013-07-05")] <- NA
calendar2013 <- data.table(nights, days) %>% setNights()
## =============================================================================
## =============================================================================
## http://www.shfe.com.cn/news/notice/211216642.html
yearID <- 2014
daysInYear <- as.numeric(as.Date(paste0(yearID, '-12-31')) -
as.Date(paste0(yearID, '-01-01')))
days <- as.Date(0:daysInYear, origin = paste0(yearID, '-01-01')) %>%
.[-which(weekdays(.) %in% c("Saturday", "Sunday"))] %>%
.[-c(which(. >= "2014-01-01" & . <= "2014-01-01"),
which(. >= "2014-01-31" & . <= "2014-02-06"),
which(. >= "2014-04-05" & . <= "2014-04-07"),
which(. >= "2014-05-01" & . <= "2014-05-03"),
which(. >= "2014-05-31" & . <= "2014-06-02"),
which(. >= "2014-09-06" & . <= "2014-09-08"),
which(. >= "2014-10-01" & . <= "2014-10-07")
)]
nights <- c(NA, days[-length(days)]) %>% as.Date(., origin = "1970-01-01")
calendar2014 <- data.table(nights, days) %>% setNights()
## =============================================================================
## =============================================================================
## http://www.shfe.com.cn/news/notice/211216642.html
yearID <- 2014
daysInYear <- as.numeric(as.Date(paste0(yearID, '-12-31')) -
as.Date(paste0(yearID, '-01-01')))
days <- as.Date(0:daysInYear, origin = paste0(yearID, '-01-01')) %>%
.[-which(weekdays(.) %in% c("Saturday", "Sunday"))] %>%
.[-c(which(. >= "2014-01-01" & . <= "2014-01-01"),
which(. >= "2014-01-31" & . <= "2014-02-06"),
which(. >= "2014-04-05" & . <= "2014-04-07"),
which(. >= "2014-05-01" & . <= "2014-05-03"),
which(. >= "2014-05-31" & . <= "2014-06-02"),
which(. >= "2014-09-06" & . <= "2014-09-08"),
which(. >= "2014-10-01" & . <= "2014-10-07")
)]
nights <- c(NA, days[-length(days)]) %>% as.Date(., origin = "1970-01-01")
calendar2014 <- data.table(nights, days) %>% setNights()
## =============================================================================
## =============================================================================
## http://www.shfe.com.cn/news/notice/911321768.html
yearID <- 2015
daysInYear <- as.numeric(as.Date(paste0(yearID, '-12-31')) -
as.Date(paste0(yearID, '-01-01')))
days <- as.Date(0:daysInYear, origin = paste0(yearID, '-01-01')) %>%
.[-which(weekdays(.) %in% c("Saturday", "Sunday"))] %>%
.[-c(which(. >= "2015-01-01" & . <= "2015-01-03"),
which(. >= "2015-02-18" & . <= "2015-02-24"),
which(. >= "2015-04-05" & . <= "2015-04-06"),
which(. >= "2015-05-01" & . <= "2015-05-01"),
which(. >= "2015-06-20" & . <= "2015-06-22"),
which(. >= "2015-09-03" & . <= "2015-09-05"),
which(days>="2015-09-27"&days<="2015-09-27"),
which(. >= "2015-10-01" & . <= "2015-10-07")
)]
nights <- c(NA, days[-length(days)]) %>% as.Date(., origin = "1970-01-01")
nights[which(nights == '2015-09-25')] <- NA
calendar2015 <- data.table(nights, days) %>% setNights()
## =============================================================================
## =============================================================================
## http://www.shfe.com.cn/news/notice/911323994.html
yearID <- 2016
daysInYear <- as.numeric(as.Date(paste0(yearID, '-12-31')) -
as.Date(paste0(yearID, '-01-01')))
days <- as.Date(0:daysInYear, origin = paste0(yearID, '-01-01')) %>%
.[-which(weekdays(.) %in% c("Saturday", "Sunday"))] %>%
.[-c(which(. >= "2016-01-01" & . <= "2016-01-03"),
which(. >= "2016-02-07" & . <= "2016-02-13"),
which(. >= "2016-04-02" & . <= "2016-04-04"),
which(. >= "2016-04-30" & . <= "2016-05-02"),
which(. >= "2016-06-09" & . <= "2016-06-11"),
which(. >= "2016-09-15" & . <= "2016-09-17"),
which(. >= "2016-10-01" & . <= "2016-10-07")
)]
nights <- c(NA, days[-length(days)]) %>% as.Date(., origin = "1970-01-01")
calendar2016 <- data.table(nights, days) %>% setNights()
## =============================================================================
## =============================================================================
## http://www.shfe.com.cn/news/notice/911326468.html
yearID <- 2017
daysInYear <- as.numeric(as.Date(paste0(yearID, '-12-31')) -
as.Date(paste0(yearID, '-01-01')))
days <- as.Date(0:daysInYear, origin = paste0(yearID, '-01-01')) %>%
.[-which(weekdays(.) %in% c("Saturday", "Sunday"))] %>%
.[-c(which(. >= "2017-01-01" & . <= "2017-01-02"),
which(. >= "2017-01-27" & . <= "2017-02-02"),
which(. >= "2017-04-02" & . <= "2017-04-04"),
which(. >= "2017-04-29" & . <= "2017-05-01"),
which(. >= "2017-05-28" & . <= "2017-05-30"),
which(. >= "2017-10-01" & . <= "2017-10-08"),
which(. == "2017-12-31")
)]
nights <- c(NA, days[-length(days)]) %>% as.Date(., origin = "1970-01-01")
calendar2017 <- data.table(nights, days) %>% setNights()
## =============================================================================
calendar <- rbind(calendar2010, calendar2011, calendar2012, calendar2013,
calendar2014, calendar2015, calendar2016, calendar2017)
fwrite(calendar, './data/ChinaFuturesCalendar/ChinaFuturesCalendar.csv')
## =============================================================================
## 录入 MySQL 数据库
library(RMySQL)
mysql <- dbConnect(MySQL(),
dbname = 'dev',
host = '192.168.1.166',
port = 3306,
user = 'fl',
password = '******')
dbSendQuery(mysql, "
CREATE TABLE IF NOT EXISTS dev.ChinaFuturesCalendar(
nights Date,
days Date NOT NULL
)
")
dbSendQuery(mysql,"truncate table ChinaFuturesCalendar")
dbWriteTable(mysql, "ChinaFuturesCalendar",
calendar, row.names=FALSE, append=TRUE)
## =============================================================================
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