marketdata.py 文件源码

def hist_data_req_start_end(req: HistDataReq, xchg_tz: pytz.tzinfo):
    """
    Calculate start and end datetime for a historical data request.
    If req.TimeDur and BarSize both are in h/m/s, data range is limited to
    the intraday data of req.TimeEnd.date().
    :param xchg_tz: Time zone info of the security exchange for req.
    """
    time_dur = req.TimeDur
    end_dt = xchg_tz.normalize(req.TimeEnd)
    if time_dur[-1] in ('W', 'M', 'Y'):
        start_dt = xchg_tz.normalize(end_dt - timedur_to_reldelta(time_dur))
        trd_days = trading_days(end_dt, time_start=start_dt)
    elif time_dur[-1] is 'd':
        # trd_days is a DateTimeIndex, with consecutive integer index.
        trd_days = trading_days(end_dt, time_dur)
        _logger.debug('trd_days: \n%s', trd_days)
        start_date = trd_days.iloc[0].to_pydatetime()
        start_dt = tzcomb(start_date, end_dt.time(), xchg_tz)
    else:  # TimeDur in h/m/s.
        trd_days = trading_days(end_dt, time_dur)
        _logger.debug('trd_days: \n%s', trd_days)
        if req.BarSize[-1] is 'd':
            # BarSize in d. Start time set to 00:00:00 of start date.
            start_date = trd_days.iloc[0].to_pydatetime()
            start_dt = tzmin(start_date, tz=xchg_tz)
        else:
            # BarSize in h/m/s; Limit to intraday data.
            _logger.warning(
                'req.TimeDur and req.BarSize are both in h/m/s.'
                'Time range limit to intraday.')
            start_date = trd_days.iloc[-1].to_pydatetime()
            start_dt = max(tzmin(start_date, tz=xchg_tz),
                           xchg_tz.normalize(
                               end_dt-timedur_to_reldelta(req.TimeDur)))
    return start_dt, end_dt, trd_days