python解析通达信day文件，生成csv文件，期货历史回测_通达信 day文件解析

import os
import struct
import datetime


# 读取通达信.day文件，并生成对应名称的csv文件
def stock_csv(filepath, name, targetdir) -> None:
    # (通达信.day文件路径, 通达信.day文件名称, 处理后要保存到的文件夹)

    with open(filepath, 'rb') as f:  # 读取通达信.day文件，并处理
        file_object_path = targetdir + name + '.csv'  # 设置处理后保存文件的路径和名称
        file_object = open(file_object_path, 'w+')  # 打开新建的csv文件，开始写入数据
        title_str = "Date,Open,High,Low,Close,Open_interest,Volume,settlement_price\n"  # 定义csv文件标题
        file_object.writelines(title_str)  # 将文件标题写入到csv中
        while True:
            stock_date = f.read(4)  # 读取0-3
            stock_open = f.read(4)  # 读取4-7
            stock_high = f.read(4)  # 读取8-11
            stock_low = f.read(4)  # 读取12-15
            stock_close = f.read(4)  # 读取16-19
            stock_open_interest = f.read(4)  # 读取20-23
            stock_vol = f.read(4)  # 读取24-27
            stock_settlement_price = f.read(4)  # 读取28-31

            # date,open,high,low,close,open_interest,vol,settlement_price

            if not stock_date:
                break
            stock_date = struct.unpack('l', stock_date)  # 4字节 如20091229
            stock_open = struct.unpack('f', stock_open)  # 开盘价
            stock_high = struct.unpack('f', stock_high)  # 最高价
            stock_low = struct.unpack('f', stock_low)  # 最低价
            stock_close = struct.unpack('f', stock_close)  # 收盘价
            stock_open_interest = struct.unpack('l', stock_open_interest)  # 持仓量
            stock_vol = struct.unpack('l', stock_vol)  # 成交量
            stock_settlement_price = struct.unpack("f", stock_settlement_price)  # 结算价

            date_format = datetime.datetime.strptime(str(stock_date[0]), '%Y%M%d')  # 格式化日期
            day_str = date_format.strftime('%Y-%M-%d') + "," + str(stock_open[0]) + "," + str(stock_high[0]) + "," \
                      + str(stock_low[0]) + "," + str(stock_close[0]) + "," + str(stock_open_interest[0]) + "," \
                      + str(stock_vol[0]) + "," + str(stock_settlement_price[0]) + "\n"
            file_object.writelines(day_str)  # 将文件写入到csv文件中
        file_object.close()     # 完成数据写入


# 设置通达信.day文件所在的文件夹
path_dir = 'C:\\new_tdxqh\\vipdoc\\ds\\lday\\'
# 设置数据处理好后，要将csv文件保存的文件夹
target_dir = '../day/'
# 读取文件夹下的通达信.day文件
listfile = os.listdir(path_dir)
# 逐个处理文件夹下的通达信.day文件，并生成对应的csv文件，保存到../day/文件夹下
for fname in listfile:
    stock_csv(path_dir + fname, fname, target_dir)
else:
    print('The for ' + path_dir + ' to ' + target_dir + '  loop is over')
    print("文件转换已完成")