def calcSpread(left, right, minute='5'):
"""计算价差"""
leftDf = sa.get_future_data(left, minute)
rightDf = sa.get_future_data(right, minute)
data = leftDf.join(rightDf, lsuffix=left, rsuffix=right)
spreadName = 'sp' + left[-2:] + right[-2:]
data[spreadName] = data['close' + left] - data['close' + right]
return data[['close' + left, 'close' + right, spreadName]].sort_index()
def calcSpread(self, minute='5'):
"""计算价差"""
leftDf = sa.get_future_data(self.left, minute)
rightDf = sa.get_future_data(self.right, minute)
data = leftDf.join(rightDf, lsuffix=self.left, rsuffix=self.right)
self.spreadName = 'sp' + self.left[-2:] + self.right[-2:]
data[self.spreadName] = data['close' + self.left] - data['close' +
self.right]
self.data = data[[
'close' + self.left, 'close' + self.right, self.spreadName
]].sort_index()
def calc(self):
while True:
future = sa.get_future_data(self.start)[['date', 'close']]
df = pd.merge(future, self.spot, on='date', suffixes=[self.start, 'hs300'])
df['spread'] = df['close' + self.start] - df['close' + 'hs300']
df['name'] = '{}-{}'.format(self.start, 'hs300')
self.ret = self.ret.append(df)
self.start = nextmonthsymbol(self.start)
if int(self.start[-4:]) > int(self.end[-4:]):
break
def __init__(self, symbol, start, end):
"""
Paramters:
symbol : str
IH like
start, end : str
合约时间， 1801 like
"""
self.left = symbol + start
self.right = symbol + start
self.end = symbol + end
self.df = sa.get_future_data(self.left)
self.spreadDataList = [
] # [{name:spreadname, t:[timeseries], spread:[spreadlist], spot:[dataframe]}, spread2, ...]
def calc(self):
"""
计算spread数据
:return:
"""
d = {}
df1 = self.df
df2 = sa.get_future_data(self.right)
suffixes = [self.left, self.right]
data = pd.merge(df1,
df2,
left_index=True,
right_index=True,
suffixes=suffixes)
spread = data['close' + self.left] - data['close' + self.right]
d['name'] = self.left + '-' + self.right
d['spread'] = list(spread)
d['timeser'] = list(data['date' + self.left])
d['spot'] = list(data['close' + self.left])
self.spreadDataList.append(d)
self.df = df2