def OnTick(self, response):
# # 继承基类
DataRecorder.OnTick(self, response)
# print response
dt_now = dt.datetime.strptime(
response.actionDate + " " + response.tickTime,
"%Y%m%d %H:%M:%S.%f")
# print dt_now
# # 当前bar时间戳
dt_bar = {}
dt_bar['M01'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute, 0)
dt_bar['M03'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 3 * 3, 0)
dt_bar['M05'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 5 * 5, 0)
dt_bar['M10'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 10 * 10, 0)
dt_bar['M15'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 15 * 15, 0)
dt_bar['M30'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 30 * 30, 0)
dt_bar['H01'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, 0, 0)
dt_now_shift4 = dt_now + dt.timedelta(hours=4)
dt_bar['D01'] = dt.datetime(dt_now_shift4.year, dt_now_shift4.month,
dt_now_shift4.day, 0, 0, 0)
dt_bar['W01'] = dt_bar['D01'] - dt.timedelta(
days=dt_bar['D01'].weekday())
symN = re.findall(r'[a-zA-Z]+', response.symbol)[0]
if dt_now not in self.lastPrice_df[symN].index:
self.lastPrice_df[symN] = self.lastPrice_df[symN].append(
pd.DataFrame(index=[dt_now]))
self.openInterest_df[symN] = self.openInterest_df[symN].append(
pd.DataFrame(index=[dt_now]))
self.volume_df[symN] = self.volume_df[symN].append(
pd.DataFrame(index=[dt_now]))
self.lastPrice_df[symN].ix[dt_now,
response.symbol] = response.lastPrice
self.openInterest_df[symN].ix[dt_now,
response.symbol] = response.openInterest
self.volume_df[symN].ix[dt_now, response.symbol] = response.volume
if dt_bar['M01'] != self.last_dt_bar[symN]['M01']:
self.Tick_To_M01(symN, dt_bar, response)
def OnTick(self, response):
# # 继承基类
DataRecorder.OnTick(self, response)
# # --------------------------------------------------
# # 第一次订阅
# if response.symbol not in self.last_dt_bar.keys():
# self.last_dt_bar[response.symbol] = {}
# self.CntBar[response.symbol] = {}
# self.last_bar[response.symbol] = {}
# dt_now = dt.datetime.now()
# for k in self.period_key_list:
# self.last_dt_bar[response.symbol][k] = dt.datetime(dt_now.year, dt_now.month, dt_now.day, dt_now.hour,
# dt_now.minute / int(k[1:]) * int(k[1:]), 0)
# self.CntBar[response.symbol][k] = BfBarData()
# self.last_bar[response.symbol][k] = BfBarData()
# # 当前时刻
dt_now = dt.datetime.strptime(
response.actionDate + " " + response.tickTime,
"%Y%m%d %H:%M:%S.%f")
# print dt_now
# # 当前bar时间戳
dt_bar = {}
dt_bar['M01'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute, 0)
dt_bar['M03'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 3 * 3, 0)
dt_bar['M05'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 5 * 5, 0)
dt_bar['M10'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 10 * 10, 0)
dt_bar['M15'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 15 * 15, 0)
dt_bar['M30'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, dt_now.minute / 30 * 30, 0)
dt_bar['H01'] = dt.datetime(dt_now.year, dt_now.month, dt_now.day,
dt_now.hour, 0, 0)
dt_now_shift4 = dt_now + dt.timedelta(hours=4)
dt_bar['D01'] = dt.datetime(dt_now_shift4.year, dt_now_shift4.month,
dt_now_shift4.day, 0, 0, 0)
dt_bar['W01'] = dt_bar['D01'] - dt.timedelta(
days=dt_bar['D01'].weekday())
# print '*'*60
self.Tick_To_M01(dt_bar, response, PERIOD_M01)
