November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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处理金融数据
｜
79
2020-08-14 15:00:00.146 453.2100 100
2020-08-14 15:00:00.236 453.2100 2
In [51]: resampled = data.resample('30s', label='right').agg(
{'VALUE': 'last', 'VOLUME': 'sum'})
In [52]: resampled.tail()
Out[52]: VALUE VOLUME
Date
2020-08-14 15:28:00 453.9000 29746
2020-08-14 15:28:30 454.2869 86441
2020-08-14 15:29:00 454.3900 49513
2020-08-14 15:29:30 454.7550 98520
2020-08-14 15:30:00 454.6200 55592
时间间隔为……
……一个小时（由于数据获取限制）。
时间间隔参数设置为实时。
在该时间间隔内检索到接近
50000
个价格变动。
时间序列数据集显示两个报价之间的高度不规则（异构）间隔长度。
将实时数据重新采样到
30
秒的间隔长度（分别取最后一个值和总和）…… ...
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