def _create_daily_symbol_bars(self, start_date, end_date):
"""
Given a trade date range, query daily bars of all symbols in that range and return a list.
Parameters
----------
start_date : int
Trade date.
end_date : int
Trade date.
Returns
-------
res : list of tuples
Two-element tuple: (trade_date, dict of quotes)
"""
# query quotes data
symbols_str = ','.join(self.ctx.universe)
df_daily = self._get_df_daily(symbol=symbols_str, start_date=start_date, end_date=end_date)
df_daily['date'] = df_daily['trade_date']
if df_daily is None or df_daily.empty:
return dict()
# create nested dict
df_daily = df_daily.sort_values(['trade_date', 'symbol'])
res = []
for date, df in df_daily.groupby(by='trade_date'):
quotes_list = Bar.create_from_df(df)
dic = {quote.symbol: quote for quote in quotes_list}
res.append((date, dic))
return res
def _run_daily(self):
"""Quotes of different symbols will be aligned into one dictionary."""
from collections import defaultdict
symbols_str = ','.join(self.ctx.universe)
df_daily, msg = self.ctx.data_api.daily(symbol=symbols_str,
start_date=self.start_date,
end_date=self.end_date,
adjust_mode='post')
if msg != '0,':
print(msg)
if df_daily is None or df_daily.empty:
return dict()
# create nested dict
quotes_list = Bar.create_from_df(df_daily)
dic = defaultdict(dict)
for quote in quotes_list:
dic[quote.trade_date][quote.symbol] = quote
dates = sorted(dic.keys())
for i in range(len(dates) - 1):
d1, d2 = dates[i], dates[i + 1]
self.on_new_day(d2)
quote1 = dic.get(d1)
quote2 = dic.get(d2)
self._process_quote_daily(quote1, quote2)
self.on_after_market_close()
def _create_time_symbol_bars(self, date):
"""
Given a trade date, query bars of all symbols on that day and return a nested dict.
Parameters
----------
date : int
Trade date.
Returns
-------
res : list of tuples
Three-element tuple: (trade_date, time, dict of quote)
"""
# query quotes data
symbols_str = ','.join(self.ctx.universe)
df_quotes = self._get_df_bar(symbols_str, date)
if df_quotes is None or df_quotes.empty:
return dict()
# create nested dict
df_quotes = df_quotes.sort_values(['date', 'time', 'symbol'])
res = []
for time, df in df_quotes.groupby(by=['time'], sort=False):
quotes_list = Bar.create_from_df(df)
dic = {quote.symbol: quote for quote in quotes_list}
res.append((time, dic))
return res
def _create_daily_symbol_bars(self, start_date, end_date):
"""
Given a trade date range, query daily bars of all symbols in that range and return a list.
Parameters
----------
start_date : int
Trade date.
end_date : int
Trade date.
Returns
-------
res : list of tuples
Two-element tuple: (trade_date, dict of quotes)
"""
# query quotes data
symbols_str = ','.join(self.ctx.universe)
df_daily = self._get_df_daily(symbol=symbols_str, start_date=start_date, end_date=end_date)
if df_daily is None or df_daily.empty:
return dict()
# create nested dict
df_daily = df_daily.sort_values(['trade_date', 'symbol'])
res = []
for date, df in df_daily.groupby(by='trade_date'):
quotes_list = Bar.create_from_df(df)
dic = {quote.symbol: quote for quote in quotes_list}
res.append((date, dic))
return res
def _create_time_symbol_bars(self, date):
"""
Given a trade date, query bars of all symbols on that day and return a nested dict.
Parameters
----------
date : int
Trade date.
Returns
-------
res : list of tuples
Three-element tuple: (trade_date, time, dict of quote)
"""
# query quotes data
symbols_str = ','.join(self.ctx.universe)
df_quotes = self._get_df_bar(symbols_str, date)
if df_quotes is None or df_quotes.empty:
return dict()
# create nested dict
df_quotes = df_quotes.sort_values(['trade_date', 'time', 'symbol'])
res = []
for (date, time), df in df_quotes.groupby(by=['trade_date', 'time']):
quotes_list = Bar.create_from_df(df)
dic = {quote.symbol: quote for quote in quotes_list}
res.append((date, time, dic))
return res
def test_bar():
from jaqs.data import RemoteDataService
from jaqs.trade.common import QUOTE_TYPE
ds = RemoteDataService()
ds.init_from_config(data_config)
df_quotes, msg = ds.bar(symbol='rb1710.SHF,hc1710.SHF', start_time=200000, end_time=160000,
trade_date=20170704, freq=QUOTE_TYPE.MIN)
bar_list = Bar.create_from_df(df_quotes)
bar = bar_list[0]
print(str(bar))
def test_bar():
from jaqs.data import RemoteDataService
from jaqs.trade.common import QUOTE_TYPE
ds = RemoteDataService()
ds.init_from_config(data_config)
df_quotes, msg = ds.bar(symbol='rb1710.SHF,hc1710.SHF',
start_time=200000,
end_time=160000,
trade_date=20170704,
freq=QUOTE_TYPE.MIN)
quotes_list = Bar.create_from_df(df_quotes)
def _create_time_symbol_bars(self, date):
from collections import defaultdict
# query quotes data
symbols_str = ','.join(self.ctx.universe)
df_quotes, msg = self.ctx.data_api.bar(symbol=symbols_str, start_time=200000, end_time=160000,
trade_date=date, freq=self.bar_type)
if msg != '0,':
print(msg)
if df_quotes is None or df_quotes.empty:
return dict()
# create nested dict
quotes_list = Bar.create_from_df(df_quotes)
dic = defaultdict(dict)
for quote in quotes_list:
dic[jutil.combine_date_time(quote.date, quote.time)][quote.symbol] = quote
return dic
