R/ashare_codes.R

In imlijunda/tswbench: Tushare Workbench

# Not parsed:
#
# Bond
#   120*** SH
#   11**** SZ
# Gov bond spot mkt
#   001*** SH
#   10**** SZ
# Repo
#   201*** SH
#   13**** SZ

#' Parse A-share codes
#'
#' @param code a vector of A-share codes
#' @param type type of security
#' @param SSE symbol for Shanghai Stock Exchange
#' @param SZSE symbol for Shenzhen Stock Exchange
#'
#' @return a list of code and exchange
#' @export
#'
parse_ashare_code <- function(code,
                              type = c("stock", "index", "fund", "conv_bond"),
                              SSE = "SH", SZSE = "SZ") {

  type <- match.arg(type)

  co_parsed <- vector(mode = "character", length = length(code))
  se_parsed <- vector(mode = "character", length = length(code))

  #parse numeric code
  num_idx  <- stringr::str_detect(code, pattern = stringr::regex("^[0-9]+$"))
  if (any(num_idx)) {
    #extract numeric code
    num_co <- code[num_idx]
    num_se <- vector(mode = "character", length = length(num_co))
    #parse numeric code base on type
    switch(type,
           stock = {
             sh_idx <- stringr::str_detect(num_co, "^[679]")
             sz_idx <- stringr::str_detect(num_co, "^[023]")
             #sz_idx <- !sh_idx
           },
           index = {
             sh_idx <- stringr::str_starts(num_co, stringr::fixed("0"))
             sz_idx <- stringr::str_starts(num_co, stringr::fixed("3"))
             #sz_idx <- !sh_idx
           },
           fund = {
             sh_idx <- stringr::str_starts(num_co, stringr::fixed("5"))
             sz_idx <- stringr::str_starts(num_co, stringr::fixed("1"))
             #sz_idx <- !sh_idx
           },
           conv_bond = {
             sh_idx <- stringr::str_starts(num_co, stringr::fixed("10"))
             sz_idx <- stringr::str_starts(num_co, stringr::fixed("12"))
             #sz_idx <- !sh_idx
           })
    if (any(sh_idx)) {
      num_se[sh_idx] <- SSE
    }
    if (any(sz_idx)) {
      num_se[sz_idx] <- SZSE
    }
    co_parsed[num_idx] <- num_co
    se_parsed[num_idx] <- num_se
  }

  #parse code with SE attached already
  if (!all(num_idx)) {
    cha_idx <- !num_idx
    cha_co <- code[cha_idx]
    cha_se <- stringr::str_extract(cha_co, "[a-zA-Z]+")
    if (anyNA(cha_se)) {
      cha_se[is.na(cha_se)] <- ""
    }
    co_parsed[cha_idx] <- stringr::str_extract(cha_co, "[0-9]+")
    se_parsed[cha_idx] <- cha_se
  }

  list(
    code     = co_parsed,
    exchange = se_parsed
  )
}

#' Normalise A-share codes
#'
#' Normalise codes to CODES.EX format
#'
#' @param code a vector of A-share codes
#' @param type type of security
#'
#' @return normalised codes
#' @export
#'
norm_ashare_code <- function(code, type = c("stock", "index", "fund", "conv_bond")) {

  parsed <- parse_ashare_code(code = code, type = type, SSE = "SH", SZSE = "SZ")
  parsed_idx <- nzchar(parsed$exchange)

  ans <- parsed$code
  ans[parsed_idx] <- paste0(ans[parsed_idx], ".", toupper(parsed$exchange[parsed_idx]))
  ans
}

#' Normalise A-share codes to Sina format
#'
#' @param code a vector of A-share codes
#' @param type type of security
#'
#' @return normalised codes
#' @export
#'
sina_ashare_code <- function(code, type = c("stock", "index", "fund", "conv_bond")) {

  parsed <- parse_ashare_code(code = code, type = type, SSE = "sh", SZSE = "sz")
  parsed_idx <- nzchar(parsed$exchange)

  ans <- parsed$code
  ans[parsed_idx] <- paste0(tolower(parsed$exchange[parsed_idx]), ans[parsed_idx])
  ans
}

#' Query all A-share codes from www.shdjt.com
#'
#' @return a data.table
#' @export
#'
shdjt_ashare_code <- function() {

  url <- "http://www.shdjt.com/js/lib/astock.js"
  handle <- curl::new_handle()

  v <- curl_get_plaintext(url = url, handle = handle, encoding = "UTF-8") %>%
    stringr::str_match(., pattern = stringr::regex('"([^"].*?)"')) %>%
    magrittr::extract(1L, 2L) %>%
    stringr::str_split(., pattern = stringr::fixed("~"), simplify = TRUE)
  v <- v[nzchar(v)] %>%
    stringr::str_split_fixed(., pattern = stringr::fixed("`"), n = 3L)

  v2 <- v[, 2L] %>%
    stringi::stri_reverse(.) %>%
    stringr::str_split_fixed(., pattern = stringr::fixed("."), n = 2L)

  Code   <- v[, 1L]
  Name   <- stringi::stri_reverse(v2[, 1L])
  Type   <- stringi::stri_reverse(v2[, 2L])
  Pinyin <- v[, 3L]

  idx <- nzchar(Type)
  tmp <- Name[idx]
  Name[idx] <- Type[idx]
  Type[idx] <- tmp

  dt <- data.table::data.table(Code = Code,
                               Name = Name,
                               Type = NA_character_,
                               TypeCN = Type,
                               Pinyin = Pinyin,
                               Rawcode = Code)

  # special case: codes start with zz
  dt[startsWith(Rawcode, "zz"), TypeCN := "中证"]

  dt[TypeCN == "",       `:=`(Type = "stock",
                              Code = norm_ashare_code(Code, "stock"))]
  dt[TypeCN == "基金",   `:=`(Type = "fund",
                              Code = norm_ashare_code(Code, "fund"))]
  dt[TypeCN == "深指数" |
     TypeCN == "沪指数", `:=`(Type = "index",
                              Code = norm_ashare_code(Code, "index"))]

  data.table::setkeyv(dt, c("Type", "Code"))
  dt
}