inplus_data_source.py 文件源码

def _all_day_bars_of(self, instrument):
        i = self._index_of(instrument)
        mongo_data = self._day_bars[i][instrument.order_book_id].find({}, {"_id": 0})
        fields = mongo_data[0].keys()
        fields.remove('date')

        result = []
        dtype = np.dtype(getType(i))
        result = np.empty(shape=(mongo_data.count(),), dtype=dtype)

        for f in fields:
            bar_attr = []
            mongo_data = self._day_bars[i][instrument.order_book_id].find({}, {"_id": 0})
            for bar in mongo_data:
                bar_attr.append(bar[f])
            result[f] = np.array(bar_attr)

        bar_attr = []
        mongo_data = self._day_bars[i][instrument.order_book_id].find({}, {"_id": 0})
        for bar in mongo_data:
            bar_attr.append(np.array(bar['date']).astype(np.uint64) * 1000000)
        result['datetime'] = np.array(bar_attr)
        return result