def get_sd(id, label_start_date, fea_delta = 240):
# delta 指的是 确定label；的时候 是一个星期的涨幅还是什么
# fea delta 指的是， 我要准备多久的数据
## 获取分笔数据
# get all time ticks
# 创建一个日期列表
ticks = None
date_list = dt_tool.dt_range(label_start_date, -fea_delta)
for date in date_list:
try:
tick = ts.get_tick_data(id, date)
except Exception, e:
print e
continue
if tick is None:
continue
tick.type = tick.type.apply(lambda x : type2id(x))
ft = tick.sort('amount', ascending=False).head(10).reset_index().drop(['index', 'time', 'change'], 1).stack().reset_index()
ft.index = ft.level_0.map(str) + '_' + ft.level_1
fT = ft.drop(['level_0', 'level_1'], 1).T
fT['date'] = dt_tool.format(date)
if ticks is None:
ticks = fT
else:
ticks = ticks.append(fT)
ticks.to_csv('data/ticks.csv', index=None)
def get_ticks(id, end, delta):
date_list = dt_tool.dt_range(end, delta)
ticks = None
for date_str in date_list:
try:
tick = ts.get_tick_data(id, date_str)
except:
continue
if tick is None:
continue
tick['date'] = date_str
if ticks is None:
ticks = tick
else:
ticks = ticks.append(tick)
ticks['dt'] = ticks['date'] + ' ' + ticks['time']
ticks['id'] = id
return ticks
def get_ticks(id, end, delta):
date_list = dt_tool.dt_range(end, delta)
ticks = None
for date_str in date_list:
try:
tick = ts.get_tick_data(id, date_str)
except:
continue
if tick is None:
continue
tick['date'] = date_str
if ticks is None:
ticks = tick
else:
ticks = ticks.append(tick)
ticks['dt'] = ticks['date'] + ' '+ ticks['time']
ticks['id'] = id
return ticks
