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fasiondog / hikyuuPythonMIT

基于C++/Python的开源量化交易研究框架 http://hikyuu.org/
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fenge.py 2.79 KB fasiondog 提交于 2015-01-07 01:26 . 初始版本
#!/usr/bin/python
# -*- coding: utf8 -*-
# cp936
import tables
class FiveMinDataRecordH5File(tables.IsDescription):
datetime = tables.UInt64Col() #IGNORE:E1101
openPrice = tables.UInt32Col() #IGNORE:E1101
highPrice = tables.UInt32Col() #IGNORE:E1101
lowPrice = tables.UInt32Col() #IGNORE:E1101
closePrice = tables.UInt32Col() #IGNORE:E1101
transAmount = tables.UInt64Col() #IGNORE:E1101
transCount = tables.UInt64Col() #IGNORE:E1101
def fenge(src_file_name, dest_file_name, start_date, end_date):
src_hdf5 = tables.openFile(src_file_name, mode='r', filters=tables.Filters(complevel=9,complib='zlib', shuffle=True))
dest_hdf5 = tables.openFile(dest_file_name, mode = "w", filters=tables.Filters(complevel=9,complib='zlib', shuffle=True))
start = start_date
end = end_date
all_table = [x for x in src_hdf5.walkNodes("/data")]
for i in range(1,len(all_table)):
src_table = all_table[i]
print src_table.name
dest_table = dest_hdf5.createTable("/", src_table.name, FiveMinDataRecordH5File, src_table.name)
dest_row = dest_table.row
for x in src_table:
if x['datetime'] >= end:
break
if start <= x['datetime'] \
and x['lowPrice'] <= x['openPrice'] <=x['highPrice'] \
and x['lowPrice'] <= x['closePrice'] <= x['highPrice']:
dest_row['datetime'] = x['datetime']
dest_row['openPrice'] = x['openPrice']
dest_row['highPrice'] = x['highPrice']
dest_row['lowPrice'] = x['lowPrice']
dest_row['closePrice'] = x['closePrice']
dest_row['transAmount'] = x['transAmount']
dest_row['transCount'] = x['transCount']
dest_row.append()
dest_table.flush()
src_hdf5.close()
dest_hdf5.close()
if __name__ == "__main__":
import time
starttime = time.time()
year_list = [2000,2001,2002,2003,2004,2005,2006,2007,2008,2009,2010,2011]
# month_list = [1,2,3,4,5,6,7,8,9,10,11,12]
for year in year_list:
src_file_name = 'd:\\stock\\sz_1min.h5'
dest_file_name = "d:\\stock\\sz\\1min\\" + str(year) + ".h5"
start_date = year * 100000000L
end_date = start_date + 100000000L
fenge(src_file_name, dest_file_name, start_date, end_date)
# for month in month_list:
# dest_file_name = "d:\\stock\\sh\\5min\\" + str(year) + "\\" + str(year) + "_" + str(month) + ".h5"
# start_date = year * 100000000L + month * 1000000L
# end_date = start_date + 1000000L
# fenge(src_file_name, dest_file_name, start_date, end_date)
endtime = time.time()
print "%.2fs" % (endtime-starttime)
print "%.2fm" % ((endtime-starttime)/60)

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