def testSanitize(self):
self.assertEqual(bfcommon.sanitize_ohlc(10, 12, 9, 10),
(10, 12, 9, 10))
self.assertEqual(bfcommon.sanitize_ohlc(10, 12, 9, 13),
(10, 13, 9, 13))
self.assertEqual(bfcommon.sanitize_ohlc(10, 9, 9, 10), (10, 10, 9, 10))
self.assertEqual(bfcommon.sanitize_ohlc(10, 12, 11, 10),
(10, 12, 10, 10))
self.assertEqual(bfcommon.sanitize_ohlc(10, 12, 10, 9), (10, 12, 9, 9))
def parseBar(self, row):
if isinstance(row[0], str):
if len(row[0].strip()) == 19:
dateTime = parse_date19(row[0])
elif len(row[0].strip()) == 16:
dateTime = parse_date16(row[0])
else:
dateTime = parse_date(row[0])
else:
dateTime =row[0]
open_ = float(row[1]['open'])
high = float(row[1]['high'])
low = float(row[1]['low'])
close = float(row[1]['close'])
volume = float(row[1]['volume'])
adjClose = float(row[1]['close'])
pchange = float(row[1]['pchange'])
preclose = float(row[1]['preclose'])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
key_dict = dict()
key_dict['pchange'] = pchange
key_dict['preclose'] = preclose
if 'atr' in row[1].keys():
atr = None if np.isnan(row[1]['atr']) else float(row[1]['atr'])
key_dict['atr'] = atr
return bar.BasicBar(dateTime, open_, high, low, close, volume, adjClose, self.__frequency, extra = key_dict)
def parseBar(self, row):
if isinstance(row[0], str):
if len(row[0].strip()) == 19:
dateTime = parse_date19(row[0])
elif len(row[0].strip()) == 16:
dateTime = parse_date16(row[0])
else:
dateTime = parse_date(row[0])
else:
dateTime =row[0]
open_ = float(row[1]['open'])
high = float(row[1]['high'])
low = float(row[1]['low'])
close = float(row[1]['close'])
volume = float(row[1]['volume'])
adjClose = float(row[1]['close'])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
key_dict = dict()
origin_keys = row[1].keys()
normal_keys = ['open', 'high', 'low', 'close', 'volume', 'code']
special_keys = list(set(origin_keys).difference(set(normal_keys)))
for sitem in special_keys:
value = None if np.isnan(row[1][sitem]) else float(row[1][sitem])
key_dict[sitem] = value
return bar.BasicBar(dateTime, open_, high, low, close, volume, adjClose, self.__frequency, extra = key_dict)
def parseBar(self, row):
dateTime = self.__parseDate(row[0]) #date
close = float(row[1]['close'])
open_ = float(row[1]['open'])
high = float(row[1]['high'])
low = float(row[1]['low'])
volume = float(row[1]['volume'])
adjClose = None
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume, adjClose, self.__frequency)
def parseBar(self, csvRowDict):
dateTime = self.__parseDate(csvRowDict["TimeStamp"])
close = float(csvRowDict["Close"])
open_ = float(csvRowDict["Open"])
high = float(csvRowDict["High"])
low = float(csvRowDict["Low"])
volume = float(csvRowDict["Volume"])
adjClose = float(csvRowDict["Close"])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume, adjClose, self.__frequency)
def parseBar(self, row):
dateTime = self.__parseDate(row[1]['date']) #date
close = float(row[1]['close'])
open_ = float(row[1]['open'])
high = float(row[1]['high'])
low = float(row[1]['low'])
volume = float(row[1]['volume'])
adjClose = float(row[1]['close'])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume, adjClose, self.__frequency)
def parseBar(self, csvRowDict):
dateTime = self.__parseDate(csvRowDict["Date"])
close = float(csvRowDict["Close"])
open_ = float(csvRowDict["Open"])
high = float(csvRowDict["High"])
low = float(csvRowDict["Low"])
volume = float(csvRowDict["Volume"])
adjClose = float(csvRowDict["Adj Close"])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume, adjClose, self.__frequency)
def parseBar(self, csvRowDict):
dateTime = self.__parseDate(csvRowDict["Date"].replace(',', ''))
close = float(csvRowDict["Close"].replace(',', ''))
open_ = float(csvRowDict["Open"].replace(',', ''))
high = float(csvRowDict["High"].replace(',', ''))
low = float(csvRowDict["Low"].replace(',', ''))
volume = float(csvRowDict["Volume"].replace(',', ''))
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(
open_, high, low, close)
return self.__barClass(dateTime, open_, high, low, close, volume, None,
self.__frequency)
def parseBar(self, csvRowDict):
dateTime = self.__parseDate(csvRowDict["startTime"])
close = float(csvRowDict[" close"])
open_ = float(csvRowDict[" open"])
high = float(csvRowDict[" high"])
low = float(csvRowDict[" low"])
volume = float(csvRowDict[" counterVolume"])
adjClose = float(csvRowDict[" vwap"]) #
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume,
adjClose, self.__frequency)
def parseBar(self, csvRowDict):
dateTime = self.__parseDateTime(csvRowDict["<DTYYYYMMDD>"],
csvRowDict["<TIME>"])
close = float(csvRowDict["<CLOSE>"])
open_ = float(csvRowDict["<OPEN>"])
high = float(csvRowDict["<HIGH>"])
low = float(csvRowDict["<LOW>"])
volume = float(csvRowDict["<VOL>"])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(
open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume, None,
self.__frequency)
def parseBar(self, csvRowDict):
dateTime = self.__parseDate(csvRowDict['\xc8\xd5\xc6\xda'])
close = float(csvRowDict['\xca\xd5\xc5\xcc\xbc\xdb(\xd4\xaa)'])
open_ = float(csvRowDict['\xbf\xaa\xc5\xcc\xbc\xdb(\xd4\xaa)'])
high = float(csvRowDict['\xd7\xee\xb8\xdf\xbc\xdb(\xd4\xaa)'])
low = float(csvRowDict['\xd7\xee\xb5\xcd\xbc\xdb(\xd4\xaa)'])
volume = int(csvRowDict['\xb3\xc9\xbd\xbb\xc1\xbf(\xb9\xc9)'])
adjClose = close
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(
open_, high, low, close)
return self.__barClass(dateTime, open_, high, low, close, volume,
adjClose, self.__frequency)
def parseBar(self, csvRowDict):
dateTime = self.__parseDate(csvRowDict["Date"])
close = float(csvRowDict["Close"])
open_ = float(csvRowDict["Open"])
high = float(csvRowDict["High"])
low = float(csvRowDict["Low"])
volume = float(csvRowDict["Volume"])
adjClose = float(csvRowDict["Adj Close"])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
return self.__barClass(
self.__instrument, dateTime, open_, high, low, close, volume, adjClose,
self.__frequency
)
def parseBar(self, csvRowDict):
dateTime = self.__parseDate(csvRowDict["timestamp"])
#dateTime = csvRowDict["timestamp"]
close = float(csvRowDict["close"])
open_ = float(csvRowDict["open"])
high = float(csvRowDict["high"])
low = float(csvRowDict["low"])
volume = float(csvRowDict["volume"])
adjClose = float(csvRowDict["adjusted_close"])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(
open_, high, low, close)
return self.__barClass(dateTime, open_, high, low, close, volume,
adjClose, self.__frequency)
def parseBar(self, csvRowDict):
if(self.__rowFilter!=None and self.__rowFilter(csvRowDict)):
return None
dateTime = self.__parseDate(csvRowDict["Date"])
close = float(csvRowDict["Close"]) if csvRowDict["Close"] != "-" else None
open_ = float(csvRowDict["Open"]) if csvRowDict["Open"] != "-" else None
high = float(csvRowDict["High"]) if csvRowDict["High"] != "-" else None
low = float(csvRowDict["Low"]) if csvRowDict["Low"] != "-" else None
volume = float(csvRowDict["Volume"]) if csvRowDict["Volume"] != "-" else None
adjClose = None
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume,
adjClose, self.__frequency)
def parseBar(self, row):
if isinstance(row[0],str) or isinstance(row[0],unicode) :
if len(row[0].strip())==19:
dateTime = datetime.datetime.strptime(row[0], '%Y-%m-%d %H:%M:%S') #date
elif len(row[0].strip())==16: #tushare～～～～
dateTime = datetime.datetime.strptime(row[0][:16], '%Y-%m-%d %H:%M') # date
else:
dateTime = datetime.datetime.strptime(row[0][:10],'%Y-%m-%d' ) #date
else:
dateTime =row[0]
close = float(row[1]['close'])
open_ = float(row[1]['open'])
high = float(row[1]['high'])
low = float(row[1]['low'])
volume = float(row[1]['volume'])
adjClose = float(row[1][5])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume, adjClose, self.__frequency)
def parseBar(self, row):
if isinstance(row[0],str) or isinstance(row[0],unicode) :
if len(row[0].strip())==19:
dateTime = parse_date19(row[0]) #date
elif len(row[0].strip())==16: #tushare～～～～16位数据
dateTime = parse_date16(row[0]) # date
else:
dateTime = parse_date(row[0]) #date
else:
dateTime =row[0]
close = float(row[1]['close'])
open_ = float(row[1]['open'])
high = float(row[1]['high'])
low = float(row[1]['low'])
volume = float(row[1]['volume'])
adjClose = float(row[1][5])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(open_, high, low, close)
return bar.BasicBar(dateTime, open_, high, low, close, volume, adjClose, self.__frequency)
def parseBar(self, row):
if isinstance(row[0], str):
if len(row[0].strip()) == 19:
dateTime = parse_date19(row[0])
elif len(row[0].strip()) == 16:
dateTime = parse_date16(row[0])
else:
dateTime = parse_date(row[0])
else:
dateTime = row[0]
open_ = float(row[1]['open'])
high = float(row[1]['high'])
low = float(row[1]['low'])
close = float(row[1]['close'])
volume = float(row[1]['volume'])
adjClose = float(row[1]['close'])
pchange = float(row[1]['pchange'])
#preclose = float(row[1]['preclose'])
#aprice = float(row[1]['aprice'])
#uprice = float(row[1]['uprice'])
#npercent = float(row[1]['npercent'])
#outstanding = float(row[1]['outstanding'])
#sri = float(row[1]['sri'])
if self.__sanitize:
open_, high, low, close = common.sanitize_ohlc(
open_, high, low, close)
return bar.BasicBar(dateTime,
open_,
high,
low,
close,
volume,
adjClose,
self.__frequency,
extra={"pchange": pchange})
def testSanitize(self):
self.assertEqual(bfcommon.sanitize_ohlc(10, 12, 9, 10), (10, 12, 9, 10))
self.assertEqual(bfcommon.sanitize_ohlc(10, 12, 9, 13), (10, 13, 9, 13))
self.assertEqual(bfcommon.sanitize_ohlc(10, 9, 9, 10), (10, 10, 9, 10))
self.assertEqual(bfcommon.sanitize_ohlc(10, 12, 11, 10), (10, 12, 10, 10))
self.assertEqual(bfcommon.sanitize_ohlc(10, 12, 10, 9), (10, 12, 9, 9))
