#update tb/快期的采样方式

yutiansut · Aug 13, 2019 · d1ee105 · d1ee105
1 parent 3fbe29f
commit d1ee105
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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
@@ -545,6 +545,33 @@ def QA_data_futuremin_resample(min_data, type_='5min', exchange_id=EXCHANGE_ID.S
         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):
     """期货分钟线采样成大周期
 

diff --git a/QUANTAXIS/__init__.py b/QUANTAXIS/__init__.py
@@ -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,