时间戳

首页 > 解决方案 > python zipline：如何使用分钟数据导入数据包

python - python zipline：如何使用分钟数据导入数据包

问题描述

如何将具有 1 分钟数据（外汇 1 分钟）的数据包导入 zipline，我成功地对 EOD 库存数据进行了类似的程序。但是，无法导入分钟数据，没有错误消息但文件夹为空（forex-bundle/2020-09-18T09;26;46.177573）。请随意发表评论。

~/.zipline/extension.py

import pandas as pd

from zipline.data.bundles import register
from zipline.data.bundles.csvdir import csvdir_equities

    start_session = pd.Timestamp('2020-06-01 00:00:00', tz='utc')
    end_session = pd.Timestamp('2020-09-11 16:58:00', tz='utc')
    
    register(
        'forex-bundle',
        csvdir_equities(
            ['M1'],
            '/data/forex/USDJPY',
        ),
        calendar_name='24/7',
        minutes_per_day=1440,
        start_session=start_session,
        end_session=end_session
    )

CSV 数据以分钟为单位 (/data/forex/USDJPY/M1/USDJPY.csv)

date,open,high,low,close,volume,dividend,split
2020-06-01 00:00:00,107.634,107.637,107.628,107.635,0.0,0.0,1.0
2020-06-01 00:01:00,107.635,107.648,107.634,107.648,0.0,0.0,1.0
..........
..........
2020-09-11 16:57:00,106.147,106.156,106.146,106.146,0.0,0.0,1.0
2020-09-11 16:58:00,106.144,106.169,106.144,106.156,0.0,0.0,1.0

标签： pythonzipline

解决方案

将“M1”更改为“分钟”；目录'minute'已在源代码中硬编码，它不能接受除'daily'或'minute'之外的其他内容

推荐阅读