pandas 相关, k 线数据加工,用 resample 寻找价格最值相应时间遇到问题。 - V2EX
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bleutail

pandas 相关, k 线数据加工,用 resample 寻找价格最值相应时间遇到问题。

  •  
  •   bleutail Jun 8, 2022 2176 views
    This topic created in 1436 days ago, the information mentioned may be changed or developed.
    def func1(x): try: return x.index[x.argmax()] except: return -999 def func2(x): try: return x.index[x.argmin()] except: return -999 df_origin['high_time'] = (df['last'].resample(label='right', closed='right',rule=period).agg(lambda x:func1(x))) df_origin['low_time'] = (df['last'].resample(label='right', closed='right',rule=period).agg(lambda x:func2(x))) 

    原表是一个时间顺序的价格序列 如果不写 try except 的话 x.index[x.argmax()]会因为 resample 遇到非交易时间段会自动切割出空值,argmax 在空值会报错。感觉方法不好,想请教下正确思路。。

    2 replies    2022-06-08 19:57:24 +08:00
    milkpuff
        1
    milkpuff  
       Jun 8, 2022
    用 groupby ,aggregate
    group = data.groupby(data.index.values.astype(f'datetime64[{period}]').astype('datetime64[ns]'))
    data = group.agg({
    'open': 'first',
    'high': 'max',
    'low': 'min',
    'close': 'last',
    'volume': 'sum'
    })
    bleutail
        2
    bleutail  
    OP
       Jun 8, 2022
    @milkpuff 谢谢回复,不过需要的是该时段中最高价格的时刻
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