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| # coding: utf8 | |
| import tushare as ts | |
| import pandas as pd | |
| def calcOneMinuteBar(): | |
| # data_frame = pd.read_csv('AUDJPY-2016-01.csv', names=['Symbol', 'Date_Time', 'Bid', 'Ask'], | |
| # index_col=1, parse_dates=True) | |
| df = ts.get_tick_data('002743', date='2016-10-28') | |
| # df.tail(10) | |
| df['time'] = '2016-10-28 ' + df['time'] | |
| df['time'] = pd.to_datetime(df['time']) | |
| df = df.set_index(['time']) | |
| # TICK数据转成开、高、低、收 | |
| price_df = df['price'].resample('1min').ohlc() | |
| price_df = price_df.dropna() | |
| # 成交量 | |
| vols = df['volume'].resample('1min').sum() | |
| vols = vols.dropna() | |
| vol_df = pd.DataFrame(vols, columns=['volume']) | |
| # 成交额 | |
| amounts = df['amount'].resample('1min').sum() | |
| amount = amounts.dropna() | |
| amount_df = pd.DataFrame(amounts, columns=['amount']) | |
| # 合并 | |
| result_df = price_df.merge(vol_df, left_index=True, right_index=True).merge( | |
| amount_df, left_index=True, right_index=True) | |
| result_df.head() | |
| # 一分钟转N分钟 | |
| d_dict = {'open': 'first', 'high': 'max', | |
| 'close': 'last', 'low': 'min', 'amount': 'sum'} | |
| newdf = pd.DataFrame() | |
| for col in newdf.columns: | |
| newdf[col] = newdf[col].resample('5min', how=d_dict[col]) | |
| newdf.tail(20) | |
| if __name__ == "__main__": | |
| calcOneMinuteBar() | |
| # http://mp.weixin.qq.com/s?__biz=MzAwOTgzMDk5Ng==&mid=2650833965&idx=1&sn=e3e74639c068e7a1e41a35bb1decd313 |
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