November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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82
｜
第
3
章
这将获取
html
代码格式的新闻文本。
在
Jupyter Notebook
中，展示
HTML
代码……
……渲染
HTML
以便更好地阅读。
到此为止，我们介绍完了
Refinitiv Eikon
数据
API
的
Python
封装包。
3.4
高效存储金融数据
在算法交易中，管理数据集最重要的场景之一是“一次获取，多次使用”。或者从
输入输出（
IO
）角度来看，它是“一次写入，多次读取”。在第一种情况下，可能
会从
Web
服务中获取数据，然后根据数据集的临时内存副本将其用于多次回测一个
策略。在第二种情况下，连续接收到的实时数据被写入磁盘，随后又结合回测程序
多次用于某些操作（例如聚合）。
本节假定，无论从哪个源获取数据（从
CSV
文件，
Web
服务等），用于存储数据的
内存数据结构都是
pandas DataFrame
对象。
为了使数据集在大小方面有意义，本节通过使用伪随机数生成样本金融数据集。第
78
页的“
Python
脚本”为
Python
模块提供了一个名
为
generate_sam ple_data()
的函数，该函数可以完成这个任务。
原则上，此函数以任意大小的表格形式生成样本金融数据集（当然，可用内存会成
为一个限制）：
In [60]: from sample_data import generate_sample_data
In [61]: print(generate_sample_data(rows=5, cols=4))
No0 No1 No2 No3
2021-01-01 ...
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