trading.py 文件源码

def market_minute_window(self, start, count, step=1):
        """
        Return a DatetimeIndex containing `count` market minutes, starting with
        `start` and continuing `step` minutes at a time.
        """
        if not self.is_market_hours(start):
            raise ValueError("market_minute_window starting at "
                             "non-market time {minute}".format(minute=start))

        all_minutes = []

        current_day_minutes = self.market_minutes_for_day(start)
        first_minute_idx = current_day_minutes.searchsorted(start)
        minutes_in_range = current_day_minutes[first_minute_idx::step]

        # Build up list of lists of days' market minutes until we have count
        # minutes stored altogether.
        while True:

            if len(minutes_in_range) >= count:
                # Truncate off extra minutes
                minutes_in_range = minutes_in_range[:count]

            all_minutes.append(minutes_in_range)
            count -= len(minutes_in_range)
            if count <= 0:
                break

            if step > 0:
                start, _ = self.next_open_and_close(start)
                current_day_minutes = self.market_minutes_for_day(start)
            else:
                _, start = self.previous_open_and_close(start)
                current_day_minutes = self.market_minutes_for_day(start)

            minutes_in_range = current_day_minutes[::step]

        # Concatenate all the accumulated minutes.
        return pd.DatetimeIndex(
            np.concatenate(all_minutes), copy=False, tz='UTC',
        )