def get_bars(self, pcontract, dt_start, dt_end, window_size):
cursor = self.db.cursor()
id_start, u = datautil.encode2id(pcontract.period, dt_start)
id_end, u = datautil.encode2id(pcontract.period, dt_end)
table = '_'.join(
[pcontract.contract.exchange, pcontract.contract.code])
#sql = "SELECT COUNT(*) FROM {tb} \
#WHERE {start}<=id AND id<={end}".format(tb=table, start=id_start, end=id_end)
#max_length = cursor.execute(sql).fetchone()[0]
#
sql = "SELECT datetime, open, close, high, low, volume FROM {tb} \
WHERE {start}<=id AND id<={end}".format(tb=table,
start=id_start,
end=id_end)
data = pd.read_sql_query(sql, self.db, index_col='datetime')
if not series.g_rolling:
data = pd.read_sql_query(sql, self.db, index_col='datetime')
## @todo
return SqliteSourceWrapper(pcontract, data, None, len(data))
else:
cursor.execute(sql)
data = pd.DataFrame({
'open': [],
'close': [],
'high': [],
'low': [],
'volume': []
})
data.index = []
return SqliteSourceWrapper(pcontract, data, cursor, window_size)
def load_bars(self, pcontract, dt_start, dt_end, window_size):
cursor = self.db.cursor()
id_start, u = datautil.encode2id(pcontract.period, dt_start)
id_end, u = datautil.encode2id(pcontract.period, dt_end)
table = string.replace(str(pcontract.contract), '.', '_')
#sql = "SELECT COUNT(*) FROM {tb} \
#WHERE {start}<=id AND id<={end}".format(tb=table, start=id_start, end=id_end)
#max_length = cursor.execute(sql).fetchone()[0]
#
sql = "SELECT datetime, open, close, high, low, volume FROM {tb} \
WHERE {start}<=id AND id<={end}".format(tb=table, start=id_start, end=id_end)
data = pd.read_sql_query(sql, self.db, index_col='datetime')
if not series.g_rolling:
data = pd.read_sql_query(sql, self.db, index_col='datetime')
## @todo
return SqliteSourceWrapper(pcontract, data, None, len(data))
else:
cursor.execute(sql)
data = pd.DataFrame({
'open': [],
'close': [],
'high': [],
'low': [],
'volume': []
})
data.index = []
return SqliteSourceWrapper(pcontract, data, cursor, window_size)
def get_bars(self, pcontract, dt_start, dt_end):
id_start, u = datautil.encode2id(pcontract.period, dt_start)
id_end, u = datautil.encode2id(pcontract.period, dt_end)
table = '_'.join([pcontract.contract.exchange,
pcontract.contract.code])
sql = "SELECT datetime, open, close, high, low, volume FROM {tb} \
WHERE {start}<=id AND id<={end}".format(
tb=table, start=id_start, end=id_end)
data = pd.read_sql_query(sql, self._db, index_col='datetime')
return SourceWrapper(pcontract, data, len(data))
def load_bars(self, pcontract, dt_start, dt_end):
id_start, u = datautil.encode2id(pcontract.period, dt_start)
id_end, u = datautil.encode2id(pcontract.period, dt_end)
table = string.replace(str(pcontract.contract), '.', '_')
#rows = self.cursor.execute("SELECT * FROM %s" % table)
## @todo 使用参数dt_start, dt_end
sql = "SELECT utime, open, close, high, low, volume FROM {tb} \
WHERE {start}<=id AND id<={end}".format(tb=table, start=id_start, end=id_end)
data = pd.read_sql_query(sql, self.db, index_col='utime')
return data
def get_bars(self, pcontract, dt_start, dt_end):
id_start, u = datautil.encode2id(pcontract.period, dt_start)
id_end, u = datautil.encode2id(pcontract.period, dt_end)
table = '_'.join([pcontract.contract.exchange, pcontract.contract.code])
#sql = "SELECT COUNT(*) FROM {tb} \
#WHERE {start}<=id AND id<={end}".format(tb=table, start=id_start, end=id_end)
#max_length = cursor.execute(sql).fetchone()[0]
#
sql = "SELECT datetime, open, close, high, low, volume FROM {tb} \
WHERE {start}<=id AND id<={end}".format(tb=table, start=id_start, end=id_end)
data = pd.read_sql_query(sql, self.db, index_col='datetime')
return SqliteSourceWrapper(pcontract, data, len(data))
def load_bars(self, pcontract, dt_start, dt_end):
id_start, u = datautil.encode2id(pcontract.period, dt_start)
id_end, u = datautil.encode2id(pcontract.period, dt_end)
table = string.replace(str(pcontract.contract), '.', '_')
#rows = self.cursor.execute("SELECT * FROM %s" % table)
## @todo 使用参数dt_start, dt_end
sql = "SELECT utime, open, close, high, low, volume FROM {tb} \
WHERE {start}<=id AND id<={end}".format(tb=table,
start=id_start,
end=id_end)
data = pd.read_sql_query(sql, self.db, index_col='utime')
return data
def get_bars(self, pcontract, dt_start, dt_end):
id_start, u = datautil.encode2id(pcontract.period, dt_start)
id_end, u = datautil.encode2id(pcontract.period, dt_end)
table = '_'.join([pcontract.contract.exchange,
pcontract.contract.code])
# sql = "SELECT COUNT(*) FROM {tb} \
# WHERE {start}<=id AND id<={end}".format(tb=table, start=id_start, end=id_end)
# max_length = cursor.execute(sql).fetchone()[0]
#
sql = "SELECT datetime, open, close, high, low, volume FROM {tb} \
WHERE {start}<=id AND id<={end}".format(
tb=table, start=id_start, end=id_end)
data = pd.read_sql_query(sql, self.db, index_col='datetime')
return SqliteSourceWrapper(pcontract, data, len(data))
def get_bars(self, pcontract, dt_start, dt_end):
id_start, _ = datautil.encode2id(pcontract.period, dt_start)
id_end, _ = datautil.encode2id(pcontract.period, dt_end)
colname = self.__get_collection_name(pcontract.period,
pcontract.contract.exchange,
pcontract.contract.code)
cursor = self.db[colname].find({
'id': {
'$gt': id_start,
'$lt': id_end
}
}).sort('id', pymongo.ASCENDING)
data = pd.DataFrame(list(cursor)).set_index('datetime')
return MongoSourceWrapper(pcontract, data, len(data))
def get_bars(self, pcontract, dt_start, dt_end):
id_start, _ = datautil.encode2id(pcontract.period, dt_start)
id_end, _ = datautil.encode2id(pcontract.period, dt_end)
colname = self.__get_collection_name(
pcontract.period,
pcontract.contract.exchange,
pcontract.contract.code)
cursor = self.db[colname].find({
'id': {
'$gt': id_start,
'$lt': id_end
}
}).sort('id', pymongo.ASCENDING)
data = pd.DataFrame(list(cursor)).set_index('datetime')
return MongoSourceWrapper(pcontract, data, len(data))
def import_bars(self, tbdata, pcontract):
""" 导入交易数据
Args:
tbdata (dict): {'datetime', 'open', 'close', 'high', 'low', 'volume'}
pcontract (PContract): 周期合约
"""
strpcon = str(pcontract).upper()
data = []
ids, utimes = [], []
strdt = strpcon.split('-')[1].upper()
tbname = strpcon.split('-')[0].split('.')
tbname = "_".join([tbname[1], tbname[0]])
for dt in tbdata['datetime']:
id, utime = datautil.encode2id(strdt, dt)
ids.append(id)
utimes.append(utime)
data = zip(ids, utimes, tbdata['open'], tbdata['close'], tbdata['high'],
tbdata['low'], tbdata['volume'])
try:
self.cursor.execute('''CREATE TABLE {tb}
(id int primary key,
datetime timestamp,
open real,
close real,
high real,
low real,
volume int)'''.format(tb = tbname))
self.db.commit()
except sqlite3.OperationalError:
pass
finally:
sql = "INSERT INTO %s VALUES (?,?,?,?,?,?,?)" % tbname
self.cursor.executemany(sql, data)
self.db.commit()
def import_bars(self, tbdata, pcontract):
""" 导入交易数据
Args:
tbdata (dict): {'datetime', 'open', 'close', 'high', 'low', 'volume'}
pcontract (PContract): 周期合约
"""
strpcon = str(pcontract).upper()
data = []
ids, utimes = [], []
strdt = strpcon.split('-')[1].upper()
tbname = strpcon.split('-')[0].split('.')
tbname = "_".join([tbname[1], tbname[0]])
for dt in tbdata['datetime']:
id, utime = datautil.encode2id(strdt, dt)
ids.append(id)
utimes.append(utime)
data = zip(ids, utimes, tbdata['open'], tbdata['close'],
tbdata['high'], tbdata['low'], tbdata['volume'])
try:
self.cursor.execute('''CREATE TABLE {tb}
(id int primary key,
datetime timestamp,
open real,
close real,
high real,
low real,
volume int)'''.format(tb=tbname))
self.db.commit()
except sqlite3.OperationalError:
pass
finally:
sql = "INSERT INTO %s VALUES (?,?,?,?,?,?,?)" % tbname
self.cursor.executemany(sql, data)
self.db.commit()
def _df2sqlite(self, df, tbname):
self.cursor.execute('''CREATE TABLE {tb}
(id int primary key,
datetime timestamp,
open real,
close real,
high real,
low real,
volume int)'''.format(tb = tbname))
data = []
for index, row in df.iterrows():
id, datetime = datautil.encode2id('1.Minute', index)
data.append((id, datetime, row['open'], row['close'], row['high'], row['low'], row['vol']))
sql = "INSERT INTO %s VALUES (?,?,?,?,?,?,?)" % tbname
self.cursor.executemany(sql, data)
self.db.commit()
def _df2sqlite(self, df, tbname):
self.cursor.execute('''CREATE TABLE {tb}
(id int primary key,
datetime timestamp,
open real,
close real,
high real,
low real,
volume int)'''.format(tb = tbname))
data = []
for index, row in df.iterrows():
id, datetime = datautil.encode2id('1.Minute', index)
data.append((id, datetime, row['open'], row['close'], row['high'], row['low'], row['vol']))
sql = "INSERT INTO %s VALUES (?,?,?,?,?,?,?)" % tbname
self.cursor.executemany(sql, data)
self.db.commit()
def import_bars(self, tbdata, pcontract):
strpcon = str(pcontract).upper()
code_exchange, strdt = strpcon.split('-')
code, exchange = code_exchange.split('.')
colname = self.__get_collection_name(strdt, exchange, code)
ts = map(lambda dt: datautil.encode2id(strdt, dt), tbdata['datetime'])
ids, utimes = zip(*ts)
data = map(lambda (_id, _datetime,
_open, _close,
_high, _low,
_volume): {
'id': _id, 'datetime': _datetime,
'open': _open, 'close': _close,
'high': _high, 'low': _low,
'volume': _volume
}, zip(ids, tbdata['datetime'], tbdata['open'], tbdata['close'],
tbdata['high'], tbdata['low'], tbdata['volume']))
self.db[colname].insert_many(data)
def _df2sqlite(self, df, tbname):
self.cursor.execute(
"""CREATE TABLE {tb}
(id int primary key,
datetime timestamp,
open real,
close real,
high real,
low real,
volume int)""".format(
tb=tbname
)
)
data = []
for index, row in df.iterrows():
id, datetime = datautil.encode2id("1.Minute", index)
data.append((id, datetime, row["open"], row["close"], row["high"], row["low"], row["vol"]))
sql = "INSERT INTO %s VALUES (?,?,?,?,?,?,?)" % tbname
self.cursor.executemany(sql, data)
self.db.commit()
def import_bars(self, tbdata, strpcon):
""" 导入交易数据
Args:
tbdata (dict): {'datetime', 'open', 'close', 'high', 'low', 'volume'}
strpcon (str): 周期合约字符串如, 'AA.SHFE-1.Minute'生成表格: 'SHFE_AA'
"""
data = []
ids, utimes = [], []
strdt = strpcon.split("-")[1].upper()
tbname = strpcon.split("-")[0].split(".")
tbname = "_".join([tbname[1], tbname[0]])
for dt in tbdata["datetime"]:
id, utime = datautil.encode2id(strdt, dt)
ids.append(id)
utimes.append(utime)
data = zip(ids, utimes, tbdata["open"], tbdata["close"], tbdata["high"], tbdata["low"], tbdata["volume"])
try:
self.cursor.execute(
"""CREATE TABLE {tb}
(id int primary key,
datetime timestamp,
open real,
close real,
high real,
low real,
volume int)""".format(
tb=tbname
)
)
self.db.commit()
except sqlite3.OperationalError:
pass
finally:
sql = "INSERT INTO %s VALUES (?,?,?,?,?,?,?)" % tbname
self.cursor.executemany(sql, data)
self.db.commit()