def XMINUTE(m1, sfunc, _ts=None):
'''
1分钟以上周期
sfunc为确认周期结束的点
'''
if len(m1.sclose) == 0:
return NullXMinute
if not _ts.initialized:
_ts.initialized = True
_ts.sopen = []
_ts.sclose = []
_ts.shigh = []
_ts.slow = []
_ts.svol = []
_ts.sholding = []
_ts.iorder = []
_ts.xmin = [] #开盘分钟
_ts.cur = BaseObject(
vopen=0,
vclose=0,
vhigh=0,
vlow=99999999,
xmin=0,
svol=0,
holding=0,
iorder=0,
)
_ts.ilast = 0
_ts.modified = False #上周期完成标志
scur = _ts.cur
for i in range(_ts.ilast, len(m1.sclose)):
morder = m1.iorder[i]
if scur.vopen == 0:
scur.vopen = m1.sopen[i]
scur.xmin = m1.min1[i]
scur.vclose = m1.sclose[i]
scur.svol += m1.svol[i]
scur.holding = m1.sholding[i]
if m1.shigh[i] > scur.vhigh:
scur.vhigh = m1.shigh[i]
if m1.slow[i] < scur.vlow:
scur.vlow = m1.slow[i]
_ts.modified = False
if sfunc(morder): #切换
_ts.sopen.append(scur.vopen)
_ts.sclose.append(scur.vclose)
_ts.shigh.append(scur.vhigh)
_ts.slow.append(scur.vlow)
_ts.svol.append(scur.svol)
_ts.sholding.append(scur.holding)
_ts.iorder.append(scur.iorder)
_ts.xmin.append(scur.xmin)
scur.vopen = 0
scur.vclose = 0
scur.vhigh = 0
scur.vlow = 99999999
scur.svol = 0
scur.xmin = 0
scur.holding = 0
scur.iorder += 1
_ts.modified = True
_ts.ilast = len(m1.sclose)
return _ts
def MINUTE(ticks, pre_min1=None, t2order=t2order_if, _ts=None):
'''
分钟切分
这个实现的最大问题是未处理最后一分钟的收尾
但这种场景仅用于保存数据, 可以在使用MINUTE之后, 由特别的语句去判断最后一个tick,并收尾最后一分钟
pre_min1为默认时,只能用当日分钟
反之延续之前的分钟
'''
if len(ticks) == 0:
return NullMinute
if not _ts.initialized:
_ts.initialized = True
if pre_min1 == None: #不接续
_ts.sopen = []
_ts.sclose = []
_ts.shigh = []
_ts.slow = []
_ts.svol = []
_ts.sholding = []
_ts.iorder = []
_ts.min1 = []
else:
_ts.sopen = pre_min1.sopen
_ts.sclose = pre_min1.sclose
_ts.shigh = pre_min1.shigh
_ts.slow = pre_min1.slow
_ts.svol = pre_min1.svol
_ts.sholding = pre_min1.sholding
_ts.iorder = pre_min1.iorder
_ts.min1 = pre_min1.min1
_ts.cur = BaseObject(
vopen=ticks[0].price,
vclose=ticks[0].price,
vhigh=ticks[0].price,
vlow=ticks[0].price,
open_dvol=ticks[0].dvolume, #存在初始误差
close_dvol=ticks[0].dvolume,
holding=ticks[0].holding,
min1=ticks[0].min1, #当日第一min1
iorder=t2order[ticks[0].min1]
) #这里对dvol的处理,使得中断恢复也必须从当日最开始开始,否则所有前述成交量被归结到第一tick
_ts.ilast = 0
_ts.modified = False #上周期完成标志
scur = _ts.cur
for i in range(_ts.ilast, len(ticks)):
tcur = ticks[i]
#if tcur.min1 != scur.min1: #切换
if tcur.min1 > scur.min1: #切换, 避免ticks数据错误引发分钟序列紊乱,如20120905:958:59:500插入在20120905:959:00:00之后,虽然非常罕见,但会导致分钟序列出现958->959->958->959...这个情况
_ts.sopen.append(scur.vopen)
_ts.sclose.append(scur.vclose)
_ts.shigh.append(scur.vhigh)
_ts.slow.append(scur.vlow)
_ts.svol.append(scur.close_dvol - scur.open_dvol)
_ts.sholding.append(scur.holding)
_ts.min1.append(scur.min1)
_ts.iorder.append(scur.iorder)
scur.vopen = scur.vclose = scur.vhigh = scur.vlow = tcur.price
scur.open_dvol = scur.close_dvol
scur.close_dvol = tcur.dvolume
scur.dvol = tcur.dvolume
scur.holding = tcur.holding
scur.min1 = tcur.min1
scur.iorder = t2order[tcur.min1]
_ts.modified = True
else: #未切换
scur.vclose = tcur.price
scur.close_dvol = tcur.dvolume
scur.holding = tcur.holding
#print scur.min1,'close:',scur.vclose
if tcur.price > scur.vhigh:
scur.vhigh = tcur.price
elif tcur.price < scur.vlow:
scur.vlow = tcur.price
_ts.modified = False
_ts.ilast = len(ticks)
return _ts
def MINUTE(dates, times, prices, dvols, holdings, pre_min1=None, _ts=None):
'''
分钟切分, 参数不同
_ts用于暂存。同时可用于接续历史数据
如果pre_min1不为空，调用者需保证ticks[0].min1 > pre_min1.stime
'''
if len(prices) == 0:
return NullMinute
if not _ts.initialized:
_ts.initialized = True
if pre_min1 == None: #不接续
_ts.sopen = []
_ts.sclose = []
_ts.shigh = []
_ts.slow = []
_ts.svol = []
_ts.sholding = []
_ts.sdate = []
_ts.stime = []
else:
_ts.sopen = pre_min1.sopen
_ts.sclose = pre_min1.sclose
_ts.shigh = pre_min1.shigh
_ts.slow = pre_min1.slow
_ts.svol = pre_min1.svol
_ts.sholding = pre_min1.sholding
_ts.sdate = pre_min1.sdate
_ts.stime = pre_min1.stime
_ts.cur = BaseObject(
vopen=prices[0],
vclose=prices[0],
vhigh=prices[0],
vlow=prices[0],
open_dvol=dvols[0], #存在初始误差
close_dvol=dvols[0],
holding=holdings[0],
xtime=time2min(times[0]), #启动后第一min1
xdate=dates[0],
) #这里对dvol的处理,使得中断恢复也必须从当日最开始开始,否则所有前述成交量被归结到第一tick
_ts.ilast = 0
_ts.modified = False #上周期完成标志
_ts.modified = False #上周期完成标志
scur = _ts.cur
for i in range(_ts.ilast, len(prices)):
tmin1 = time2min(times[i])
if tmin1 > scur.xtime or (tmin1 == 0 and scur.xtime > 0) or (
dates[i] > scur.xdate
and scur.xtime > 0): #tcur.min1 = 0, 分钟切换用,要求其它字段均为0
if scur.xtime > 0: #前一分钟不是切换标志
_ts.sopen.append(scur.vopen)
_ts.sclose.append(scur.vclose)
_ts.shigh.append(scur.vhigh)
_ts.slow.append(scur.vlow)
_ts.svol.append(scur.close_dvol - scur.open_dvol)
_ts.sholding.append(scur.holding)
_ts.sdate.append(scur.xdate)
_ts.stime.append(scur.xtime)
scur.vopen = scur.vclose = scur.vhigh = scur.vlow = prices[i]
scur.open_dvol = scur.close_dvol
scur.close_dvol = dvols[i]
scur.dvol = dvols[i]
scur.holding = holdings[i]
scur.xdate = dates[i]
scur.xtime = tmin1
_ts.modified = True
else: #未切换
scur.vclose = prices[i]
scur.close_dvol = dvols[i]
scur.holding = holdings[i]
#print tmin1,'close:',scur.vclose
if prices[i] > scur.vhigh:
scur.vhigh = prices[i]
elif prices[i] < scur.vlow:
scur.vlow = prices[i]
_ts.ilast = len(prices)
return _ts
#print 'initialize REF'
for i in range(len(_ts.ref),
offset if offset <= len(source) else len(source)):
_ts.ref.append(source[0])
for i in range(len(_ts.ref), len(source)):
_ts.ref.append(source[i - offset])
return _ts.ref
NullMinute = BaseObject(sopen=[],
sclose=[],
shigh=[],
slow=[],
svol=[],
iorder=[],
sholding=[])
@indicator
def MINUTE(ticks, pre_min1=None, t2order=t2order_if, _ts=None):
'''
分钟切分
这个实现的最大问题是未处理最后一分钟的收尾
但这种场景仅用于保存数据, 可以在使用MINUTE之后, 由特别的语句去判断最后一个tick,并收尾最后一分钟
pre_min1为默认时,只能用当日分钟
反之延续之前的分钟
'''
_ts.ref.append(source[0])
for i in range(len(_ts.ref), len(source)):
_ts.ref.append(source[i - offset])
return _ts.ref
####分钟切换
time2min = lambda t: t // 100000
NullMinute = BaseObject(sopen=[],
sclose=[],
shigh=[],
slow=[],
svol=[],
sholding=[],
sdate=[],
stime=[],
modified=False)
@indicator
def MINUTE_1(ticks, pre_min1=None, _ts=None):
'''
分钟切分, 以ticks为参数
_ts用于暂存。同时可用于接续历史数据
如果pre_min1不为空，调用者需保证ticks[0].min1 > pre_min1.stime
'''
if len(ticks) == 0: