采样更新: 增加tb/快期的采样模式

yutiansut · Aug 13, 2019 · 0730d1c · 0730d1c
2 parents b8ad1c1 + f1bed59
commit 0730d1c
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Showing 3 changed files with 39 additions and 3 deletions.
diff --git a/QUANTAXIS/QAData/__init__.py b/QUANTAXIS/QAData/__init__.py
@@ -29,6 +29,7 @@
                                             QA_data_ctptick_resample, QA_data_day_resample,
                                             QA_data_futuremin_resample_series,
                                             QA_data_futuremin_resample, QA_data_tick_resample,
+                                            QA_data_futuremin_resample_tb_kq,
                                             QA_data_tick_resample_1min)
 from QUANTAXIS.QAData.dsmethods import (QDS_IndexDayWarpper,
                                         QDS_IndexMinWarpper,

diff --git a/QUANTAXIS/QAData/data_resample.py b/QUANTAXIS/QAData/data_resample.py
@@ -535,7 +535,41 @@ def QA_data_futuremin_resample(min_data, type_='5min', exchange_id=EXCHANGE_ID.S
             closed='right',
             loffset=type_
         ).agg(CONVERSION)
-        return pd.concat([part_1_res, part_2_res]).dropna().sort_index().reset_index().set_index(['datetime', 'code'])
+        part_3 = min_data.iloc[idx.indexer_between_time('21:00', '23:59')]
+        part_3_res = part_3.resample(
+            type_,
+            base=0,
+            closed='right',
+            loffset=type_
+        ).agg(CONVERSION)
+        return pd.concat([part_1_res, part_2_res, part_3_res]).dropna().sort_index().reset_index().set_index(['datetime', 'code'])
+
+
+def QA_data_futuremin_resample_tb_kq(min_data, type_='5min', exchange_id=EXCHANGE_ID.SHFE):
+    """期货分钟线采样成大周期
+
+    此采样方法仅适用于tb/快期, 因此单独拿出来
+
+    分钟线采样成子级别的分钟线
+
+
+    """
+    CONVERSION = {
+        'code': 'first',
+        'open': 'first',
+        'high': 'max',
+        'low': 'min',
+        'close': 'last',
+        'tradetime': 'last',
+        'position': 'last',
+        'volume': 'sum'}
+    min_data = min_data.loc[:, list(CONVERSION.keys())]
+    return min_data.resample(
+        type_,
+        base=0,
+        closed='right',
+        loffset=type_
+    ).agg(CONVERSION).dropna().sort_index().reset_index().set_index(['datetime', 'code'])
 
 
 def QA_data_futuremin_resample_today(min_data, type_='1D', exchange_id=EXCHANGE_ID.SHFE):
@@ -680,7 +714,7 @@ def QA_data_day_resample(day_data, type_='w'):
         type_,
         closed='right'
     ).apply(CONVERSION).dropna()
-    return data.assign(date=pd.to_datetime(data.date)).set_index(['date','code'])
+    return data.assign(date=pd.to_datetime(data.date)).set_index(['date', 'code'])
 
 
 if __name__ == '__main__':

diff --git a/QUANTAXIS/__init__.py b/QUANTAXIS/__init__.py
@@ -31,7 +31,7 @@
 2017/4/8
 """
 
-__version__ = '1.5.8'
+__version__ = '1.5.9'
 __author__ = 'yutiansut'
 
 import argparse
@@ -63,6 +63,7 @@
     QA_data_tick_resample_1min,
     QA_data_futuremin_resample_series,
     QA_data_futuremin_resample,
+    QA_data_futuremin_resample_tb_kq,
     QA_DataStruct_Day,
     QA_DataStruct_Financial,
     QA_DataStruct_Future_day,