def __call__(self, path, fields, **kwargs):
with h5py.File(path, 'w') as h5:
i, step = 0, 300
while True:
order_book_ids = self._order_book_ids[i:i + step]
df = rqdatac.get_price(order_book_ids,
START_DATE,
datetime.date.today(),
'1d',
adjust_type='none',
fields=fields,
expect_df=True)
if not (df is None or df.empty):
df.reset_index(inplace=True)
df['datetime'] = [
convert_date_to_int(d) for d in df['date']
]
del df['date']
df.set_index(['order_book_id', 'datetime'], inplace=True)
df.sort_index(inplace=True)
for order_book_id in df.index.levels[0]:
h5.create_dataset(
order_book_id,
data=df.loc[order_book_id].to_records(),
**kwargs)
i += step
yield len(order_book_ids)
if i >= len(self._order_book_ids):
break
def __call__(self, path, fields, **kwargs):
need_recreate_h5 = False
with h5py.File(path, 'r') as h5:
need_recreate_h5 = not self.h5_has_valid_fields(h5, fields)
if need_recreate_h5:
yield from GenerateDayBarTask(self._order_book_ids)(path, fields,
**kwargs)
else:
with h5py.File(path, 'a') as h5:
for order_book_id in self._order_book_ids:
if order_book_id in h5:
try:
start_date = rqdatac.get_next_trading_date(
int(h5[order_book_id]['datetime'][-1] //
1000000))
except ValueError:
h5.pop(order_book_id)
start_date = START_DATE
else:
start_date = START_DATE
df = rqdatac.get_price(order_book_id,
start_date,
END_DATE,
'1d',
adjust_type='none',
fields=fields,
expect_df=True)
if not (df is None or df.empty):
df = df[
fields] # Future order_book_id like SC888 will auto add 'dominant_id'
df = df.loc[order_book_id]
df.reset_index(inplace=True)
df['datetime'] = [
convert_date_to_int(d) for d in df['date']
]
del df['date']
df.set_index('datetime', inplace=True)
if order_book_id in h5:
data = np.array([
tuple(i) for i in chain(
h5[order_book_id][:], df.to_records())
],
dtype=h5[order_book_id].dtype)
del h5[order_book_id]
h5.create_dataset(order_book_id,
data=data,
**kwargs)
else:
h5.create_dataset(order_book_id,
data=df.to_records(),
**kwargs)
yield 1
def __call__(self, path, fields, **kwargs):
with h5py.File(path, 'a') as h5:
for order_book_id in self._order_book_ids:
if order_book_id in h5:
try:
start_date = rqdatac.get_next_trading_date(
int(h5[order_book_id]['datetime'][-1] // 1000000))
except ValueError:
h5.pop(order_book_id)
start_date = START_DATE
else:
start_date = START_DATE
df = rqdatac.get_price(order_book_id,
start_date,
END_DATE,
'1d',
adjust_type='none',
fields=fields,
expect_df=True)
if not (df is None or df.empty):
df = df.loc[order_book_id]
df.reset_index(inplace=True)
df['datetime'] = [
convert_date_to_int(d) for d in df['date']
]
del df['date']
df.set_index('datetime', inplace=True)
if order_book_id in h5:
data = np.array([
tuple(i) for i in chain(h5[order_book_id][:],
df.to_records())
],
dtype=h5[order_book_id].dtype)
del h5[order_book_id]
h5.create_dataset(order_book_id, data=data, **kwargs)
else:
h5.create_dataset(order_book_id,
data=df.to_records(),
**kwargs)
yield 1