data_resample.py 文件源码

def QA_data_tick_resample(tick, type_='1min'):
    data = tick['price'].resample(
        type_, label='right', closed='left').ohlc()

    data['volume'] = tick['vol'].resample(
        type_, label='right', closed='left').sum()
    data['code'] = tick['code'][0]

    __data_ = pd.DataFrame()
    _temp = tick.drop_duplicates('date')['date']
    for item in _temp:
        __data = data[item]
        _data = __data[time(9, 31):time(11, 30)].append(
            __data[time(13, 1):time(15, 0)])
        __data_ = __data_.append(_data)

    __data_['datetime'] = __data_.index
    __data_['date'] = __data_['datetime'].apply(lambda x: str(x)[0:10])

    return __data_.fillna(method='ffill').set_index(['datetime', 'code'], drop=False)