一、标的监控

QMT支持的市场有A股股票、指数、ETF、上证50/沪深300ETF期权、国内期货、国内期货期权、香港股票等，这里先设置好待监控标的，并定期更新。

1.1 A股股票指数以及ETF

获取 上证指数、深证成指、创业板指、科创50、上证50、沪深300、中证500、中证1000等主要指数ticker，以及活跃ETFticker

def get_a_index_etf(): indexes = ['000001.SH', '399001.SZ', '399006.SZ', '000688.SH', '000016.SH', '000300.SH', '000905.SH', '000852.SH'] etf = ["512100.SH", "510050.SH", "510300.SH", "513050.SH", "515790.SH", "563000.SH", "588000.SH", "513180.SH", "513060.SH", "159915.SZ", "512880.SH", "512010.SH", "512660.SH", "159949.SZ", "510500.SH", "512690.SH", "518880.SH", "511260.SH", "512480.SH", "512200.SH", "515030.SH", "511380.SH", "512000.SH", "510330.SH", "513130.SH", "513500.SH", "513100.SH", "512800.SH", "512760.SH", "159920.SZ", "159605.SZ", "159941.SZ", "162411.SZ", "513330.SH", "510900.SH", "513090.SH", "513550.SH"] return indexes etf

1.2 A股重要指数成分股

获取沪深300(000300)、中证500(000905)、中证1000(000852)指数成分股

import akshare def get_a_index_component(): hs300 = akshare.index_stock_cons_weight_csindex(symbol="000300") hs300['stock'] = hs300.apply(lambda row: row['成分券代码'] '.' {'上海证券交易所' :'SH', '深圳证券交易所': 'SZ'}.get(row['交易所']), axis=1) csi500 = akshare.index_stock_cons_weight_csindex(symbol="000905") csi500['stock'] = csi500.apply(lambda row: row['成分券代码'] '.' {'上海证券交易所' :'SH', '深圳证券交易所': 'SZ'}.get(row['交易所']), axis=1) csi1000 = akshare.index_stock_cons_weight_csindex(symbol="000852") csi1000['stock'] = csi1000.apply(lambda row: row['成分券代码'] '.' {'上海证券交易所' :'SH', '深圳证券交易所': 'SZ'}.get(row['交易所']), axis=1) hs300_component = hs300.set_index('stock')[['指数代码', '成分券名称', '权重']].to_dict('index') csi500_component = csi500.set_index('stock')[['指数代码', '成分券名称', '权重']].to_dict('index') csi1000_component = csi1000.set_index('stock')[['指数代码', '成分券名称', '权重']].to_dict('index') return {**hs300_component, **csi500_component, **csi1000_component}

1.3 ETF期权

获取50ETF、300ETF对应的当月/次月期权ticker

import re, math, datetime def get_etf_option(): select_option = {} etf_price = {} # 获取ETF行情 etf_tick = xtdata.get_full_tick(['510300.SH', '510050.SH', '159919.SZ']) # 取今日开盘价/昨日收盘价均值 for code in ['510300.SH', '510050.SH', '159919.SZ']: etf_price[code] = (etf_tick[code]['open'] etf_tick[code]['lastClose']) / 2 options = xtdata.get_stock_list_in_sector('上证期权') xtdata.get_stock_list_in_sector('深证期权') # 获取主力期权(标的价格附近上下5档,当月/次月) option_data = [] for code in options: meta = xtdata.get_instrument_detail(code) # 期权名称 name = meta['InstrumentName'] # 对应的ETF etf = re.findall(r'\((\d )\)', meta['ProductID'])[0] etf = {'510300': '510300.SH', '510050': '510050.SH', '159919': '159919.SZ'}.get(etf) # 剩余有效日 days = (datetime.date(year=int(str(meta['ExpireDate'])[:4]), month=int(str(meta['ExpireDate'])[4:6]), day=int(str(meta['ExpireDate'])[6:8])) - datetime.date.today()).days call_put = 'call' if '购' in name else 'put' if days < 32: if math.fabs(etf_price[etf] - int(name[-4:]) / 1000.0) < 0.2: select_option[code] = [etf, call_put, int(name[-4:]), days] elif days < 65: if math.fabs(etf_price[etf] - int(name[-4:]) / 1000.0) < 0.25: select_option[code] = [etf, call_put, int(name[-4:]), days] return select_option

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