中信量化交易接口-量化交易之One Piece篇 one_piece_data.py

量化交易之One Piece篇 one_piece_data.py

importos.pathimportpandasfromtqsdk.tafuncimporttime_to_datetimeimportwarningswarnings.filterwarningsclassTQZOnePieceData:@classmethoddefget_single_trade_day_df:night_content=pandas.read_csvday_content=pandas.read_csvcontent=pandas.concatcontent["datetime"]=content["Timestamp_in"].applycontent.reset_indexdelcontent["index"]returncontent@classmethoddefdump_format_data:date_str_list=["20230417","20230418","20230419","20230420","20230421","20230424","20230425","20230426","20230427","20230428"]fordate_strindate_str_list:target_fold=f"D:/ctp_data/level2_data/{date_str}"ifos.path.existsisFalse:os.mkdirday_path=f"D:ctp_dataCTP_{date_str}.csv"night_path=f"D:ctp_dataCTP_{date_str}_night.csv"single_day_df=cls.get_single_trade_day_dfinstruments=list)forinstrumentininstruments:single_instrument_df=single_day_df[single_day_df["InstrumentID"]==instrument]single_instrument_df.reset_indexdelsingle_instrument_df["index"]#print)#print)single_instrument_df.to_csvif__name__=="__main__":TQZOnePieceData.dump_format_data

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