2016年9月25日 星期日

利用R語言分析期交所歷史年度行情近月合約資料

#歷史年度行情下載網址 https://www.taifex.com.tw/chinese/3/dl_3_1_2.asp
#臺股期貨:TX、小型臺指期貨:MTX、櫃買期貨:GTF、電子期貨:TE、金融期貨:TF、非金電期貨:XIF
#MSCI臺指期貨:MSF、東證期貨:TJF、美元兌人民幣期貨:RHF、小型美元兌人民幣期貨:RTF
#元大台灣50ETF期貨:NYF、台積電期貨:CDF、台達電期貨:FRF、宏達電:HCF、大立光期貨:IJF、小型大立光期貨:OLF
#商品代號以期交所網站為主 https://www.taifex.com.tw/chinese/5/SSFFSP.asp
## 參數設定 ##
#年度
YYYY<-"2015"
#商品代號
C = "TX"
#檔案路徑
FILEPATH="C:\\RDATA\\2015_fut.csv"
## 以下不需要修改 ##
FULLDATA<-read.csv(FILEPATH)
colnames(FULLDATA)<-c("TDATE","CNAME","CMONTH","OPEN","HIGH","LOW","CLOSE","漲跌","漲跌幅","VOLUME","結算價","未沖銷契約數","最後最佳買價","最後最佳賣價","歷史最高價","歷史最低價","是否因訊息面暫停交易")
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/1/", sep = "") & CMONTH==paste(YYYY,"01", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/2/", sep = "") & CMONTH==paste(YYYY,"02", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/3/", sep = "") & CMONTH==paste(YYYY,"03", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/4/", sep = "") & CMONTH==paste(YYYY,"04", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/5/", sep = "") & CMONTH==paste(YYYY,"05", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/6/", sep = "") & CMONTH==paste(YYYY,"06", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/7/", sep = "") & CMONTH==paste(YYYY,"07", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/8/", sep = "") & CMONTH==paste(YYYY,"08", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/9/", sep = "") & CMONTH==paste(YYYY,"09", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/10", sep = "") & CMONTH==paste(YYYY,"10", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/11", sep = "") & CMONTH==paste(YYYY,"11", sep = ""))
head(RESULT,30)
RESULT<-subset(FULLDATA,select=c(TDATE,CNAME,CMONTH,OPEN,HIGH,LOW,CLOSE,漲跌,漲跌幅,VOLUME,未沖銷契約數),CNAME==C & substr(TDATE,1,7)==paste(YYYY,"/12", sep = "") & CMONTH==paste(YYYY,"12", sep = ""))
head(RESULT,30)
在RStudio的執行結果如下:
第三個星期三已經結算,所以結算日之後會沒有資料,我沒有特別再處理這部分


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