這期內(nèi)容當(dāng)中小編將會給大家?guī)碛嘘P(guān)怎么進(jìn)行針對vnpy的不同期貨品種行情數(shù)據(jù)清理，文章內(nèi)容豐富且以專業(yè)的角度為大家分析和敘述，閱讀完這篇文章希望大家可以有所收獲。
vnpy自帶的行情清理功能較為簡單，只是在清除非交易時(shí)段，沒有考慮周六日；而且只是籠統(tǒng)給了一個(gè)大時(shí)間交易范圍，像股指期貨沒有夜盤，螺紋鋼晚上11點(diǎn)就結(jié)束，但是默認(rèn)只是結(jié)束在凌晨兩點(diǎn)半這個(gè)大交易時(shí)間。 所以寫了一個(gè)方法，按照不同品種，更細(xì)致的清理。
可以直接把這個(gè)方法插入\DataRecording\runDataCleaning.py, 然后替代原來方法。也可以自己另外調(diào)用。
重慶分公司
重慶分公司
# ----------------------------------------------------------------------
def cleanDataAdv(dbName, collectionName, start):
"""清洗數(shù)據(jù)"""
#新的靜態(tài)數(shù)據(jù)
# 這里以商品期貨為例
MORNING_START = time(9, 0)
MORNING_REST = time(10, 15)
MORNING_RESTART = time(10, 30)
MORNING_END = time(11, 30)
AFTERNOON_START = time(13, 30)
AFTERNOON_END = time(15, 0)
NIGHT_START = time(21, 0)
NIGHT_END = time(2, 30)
#股指期貨
STOCK_FUTURE = ["IC", "IF", "IH"]
MORNING_START_STOCK = time(9, 30)
AFTERNOON_START_STOCK = time(13,0)
AFTERNOON_END_STOCK = time(15, 0)
#晚上11點(diǎn)結(jié)束交易,不全，請自行維護(hù)
PM11CLOSE_FUTURE = ['rb','ru','bu','hc','sp']
NIGHT_END_11 = time(23, 00)
#晚上11點(diǎn)半結(jié)束交易,不全，請自行維護(hù),大連只有一位標(biāo)志，所以帶1
PM1130CLOSE_FUTURE = ['FG','MA','SR','TA','RM','OI','CF','CY','ZC','i1','j1','m1','p1','y1']
NIGHT_END_1130 = time(23, 30)
#凌晨1點(diǎn)半結(jié)束交易,不全，請自行維護(hù)
AM1CLOSE_FUTURE = ['cu','pd','al','zn']
NIGHT_END_AM1 = time(1, 00)
print(u'\n清洗數(shù)據(jù)庫：%s, 集合：%s, 起始日：%s' % (dbName, collectionName, start))
mc = MongoClient('localhost', 27017) # 創(chuàng)建MongoClient
cl = mc[dbName][collectionName] # 獲取數(shù)據(jù)集合
d = {'datetime': {'$gte': start}} # 只過濾從start開始的數(shù)據(jù)
cx = cl.find(d) # 獲取數(shù)據(jù)指針
for data in cx:
# 獲取時(shí)間戳對象
dt = data['datetime'].time()
# 默認(rèn)需要清洗
cleanRequired = True
####如果是股指期貨，這沒有上午休息和夜盤，9點(diǎn)半到11點(diǎn)半，下午1點(diǎn)到下午三點(diǎn)，周六日無行情
if collectionName[:2] in STOCK_FUTURE:
if data['datetime'].weekday() is not (5 or 6):
if ((MORNING_START_STOCK <= dt < MORNING_END) or
(AFTERNOON_START_STOCK <= dt < AFTERNOON_END_STOCK)):
cleanRequired = False
####如果是11點(diǎn)結(jié)束，則周六日無行情
elif collectionName[:2] in PM11CLOSE_FUTURE:
if data['datetime'].weekday() is not (5 or 6):
if ((MORNING_START <= dt < MORNING_REST) or
(MORNING_RESTART <= dt < MORNING_END) or
(AFTERNOON_START <= dt < AFTERNOON_END) or
( NIGHT_START <= dt = NIGHT_START) or
(dt < NIGHT_END_AM1)):
cleanRequired = False
else:
# 如果在交易事件內(nèi)，則為有效數(shù)據(jù)，無需清洗
if data['datetime'].weekday() is not 6:
if ((MORNING_START <= dt < MORNING_REST) or
(MORNING_RESTART <= dt < MORNING_END) or
(AFTERNOON_START <= dt < AFTERNOON_END) or
(dt >= NIGHT_START) or
(dt < NIGHT_END)):
cleanRequired = False
# 如果需要清洗
if cleanRequired:
print(u'刪除無效數(shù)據(jù)，時(shí)間戳：%s' % data['datetime'])
cl.delete_one(data)
print(u'清洗完成，數(shù)據(jù)庫：%s, 集合：%s' % (dbName, collectionName)) 上述就是小編為大家分享的怎么進(jìn)行針對vnpy的不同期貨品種行情數(shù)據(jù)清理了，如果剛好有類似的疑惑，不妨參照上述分析進(jìn)行理解。如果想知道更多相關(guān)知識，歡迎關(guān)注創(chuàng)新互聯(lián)-成都網(wǎng)站建設(shè)公司行業(yè)資訊頻道。
