通达信数据接口对接kafka-量化交易之数字货币篇生成foot print因子数据

importdatetimeimporttimeimportpandasaspdfromsource_data.tqz_load_source_dataimportTQZSourceData#frompublic_module.tqz_extern.tools.pandas_operator.pandas_operatorimportpandaspd.set_optionclassTQZFootPrintTool:@classmethoddefget_timestamp:dt_str=f"{date_str}08:00:00"s_timestamp=time.strptimereturnint*1000)if__name__=="__main__":symbol="BTCUSDT"start_date,end_date=datetime.datetime.strptime.date,datetime.datetime.strptime.datemergeTrades_data=TQZSourceData.load_mergeTrades_data,symbol=symbol)interval=15*60000imbalance_price_ratio=3qty_digital_point_counts=3bar_start_timestamp=TQZFootPrintTool.get_timestamp)bar_end_timestamp=int+intervaldaily_footPrint_df=pd.DataFramewhileTrue:bar_trades_data=mergeTrades_data[&]#createbar_price_size_dfbar_price_size_df=pd.DataFrameforvalueinlist):bar_price_size_df=bar_price_size_df.append,qty_digital_point_counts),"bid_size":round,qty_digital_point_counts)},ignore_index=True)bar_price_size_df["ask_size_shift_-1"]=bar_price_size_df["ask_size"].shiftbar_price_size_df["bid_size_shift_1"]=bar_price_size_df["bid_size"].shiftbar_price_size_df.dropnabar_price_size_df.loc[bar_price_size_df["bid_size"]>,"bid_imbalance"]=Truebar_price_size_df.loc[end_date:break

文章为作者独立观点，不代表股票程序化软件自动交易接口观点