959 lines
29 KiB
Plaintext
959 lines
29 KiB
Plaintext
{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {},
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"outputs": [],
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"source": [
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"import pandas as pd\n",
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"import os"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {},
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"outputs": [],
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"source": [
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"root_path = r\".\\tick\\rb\"\n",
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"output_path = r\".\\data\\rb.csv\""
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {},
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"outputs": [],
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"source": [
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"files = []\n",
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"\n",
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"for r, ds, fs in os.walk(root_path):\n",
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" for f in fs:\n",
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" # if f[0:4] == '2023':\n",
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" abs_filepath = os.path.join(r, f)\n",
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" files.append(abs_filepath)\n",
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"files = sorted(files)\n",
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"\n",
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"df = pd.DataFrame()\n",
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"for f in files:\n",
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" df_temp = pd.read_csv(\n",
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" f,\n",
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" usecols=[0, 1, 4, 11, 20, 21, 22, 23, 24, 25],\n",
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" names=[\n",
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" \"交易日\",\n",
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" \"合约代码\",\n",
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" \"最新价\",\n",
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" \"数量\",\n",
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" \"最后修改时间\",\n",
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" \"最后修改毫秒\",\n",
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" \"申买价一\",\n",
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" \"申买量一\",\n",
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" \"申卖价一\",\n",
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" \"申卖量一\",\n",
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" ],\n",
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" skiprows=1,\n",
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" encoding=\"gbk\",\n",
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" )\n",
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" # df_temp = pd.read_csv(f, usecols=[0,5], names=[\n",
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" # 'datetime', 'volume'])\n",
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" df = pd.concat([df, df_temp])"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/html": [
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" <thead>\n",
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" <tr style=\"text-align: right;\">\n",
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" <th></th>\n",
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" <th>交易日</th>\n",
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" <th>合约代码</th>\n",
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" <th>最新价</th>\n",
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" <th>数量</th>\n",
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" <th>最后修改时间</th>\n",
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" <th>最后修改毫秒</th>\n",
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" <th>申买价一</th>\n",
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" <th>申买量一</th>\n",
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" <th>申卖价一</th>\n",
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" <th>申卖量一</th>\n",
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" </tr>\n",
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" </thead>\n",
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" <tbody>\n",
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" <tr>\n",
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" <th>41323</th>\n",
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" <td>20231229</td>\n",
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" <td>rb2405</td>\n",
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" <td>4003.0</td>\n",
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" <td>1201905</td>\n",
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" <td>14:59:59</td>\n",
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" <td>0</td>\n",
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" <td>4002.0</td>\n",
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" <td>247</td>\n",
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" <td>4003.0</td>\n",
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" <td>116</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>41324</th>\n",
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" <td>20231229</td>\n",
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" <td>rb2405</td>\n",
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" <td>4003.0</td>\n",
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" <td>1202028</td>\n",
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" <td>14:59:59</td>\n",
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" <td>500</td>\n",
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" <td>4002.0</td>\n",
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" <td>224</td>\n",
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" <td>4003.0</td>\n",
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" <td>16</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>41325</th>\n",
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" <td>20231229</td>\n",
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" <td>rb2405</td>\n",
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" <td>4002.0</td>\n",
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" <td>1202060</td>\n",
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" <td>15:00:00</td>\n",
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" <td>0</td>\n",
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" <td>4003.0</td>\n",
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" <td>23</td>\n",
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" <td>4004.0</td>\n",
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" <td>7</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>41326</th>\n",
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" <td>20231229</td>\n",
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" <td>rb2405</td>\n",
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" <td>4002.0</td>\n",
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" <td>1202060</td>\n",
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" <td>15:00:00</td>\n",
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" <td>500</td>\n",
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" <td>4003.0</td>\n",
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" <td>23</td>\n",
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" <td>4004.0</td>\n",
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" <td>7</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>41327</th>\n",
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" <td>20231229</td>\n",
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" <td>rb2405</td>\n",
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" <td>4002.0</td>\n",
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" <td>1202060</td>\n",
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" <td>15:17:29</td>\n",
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" <td>500</td>\n",
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" <td>4003.0</td>\n",
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" <td>23</td>\n",
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" <td>4004.0</td>\n",
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" <td>7</td>\n",
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" </tr>\n",
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" </tbody>\n",
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"</table>\n",
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"</div>"
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],
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"text/plain": [
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" 交易日 合约代码 最新价 数量 最后修改时间 最后修改毫秒 申买价一 申买量一 \\\n",
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"41323 20231229 rb2405 4003.0 1201905 14:59:59 0 4002.0 247 \n",
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"41324 20231229 rb2405 4003.0 1202028 14:59:59 500 4002.0 224 \n",
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"41325 20231229 rb2405 4002.0 1202060 15:00:00 0 4003.0 23 \n",
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"41326 20231229 rb2405 4002.0 1202060 15:00:00 500 4003.0 23 \n",
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"41327 20231229 rb2405 4002.0 1202060 15:17:29 500 4003.0 23 \n",
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"\n",
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" 申卖价一 申卖量一 \n",
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"41323 4003.0 116 \n",
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"41324 4003.0 16 \n",
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"41325 4004.0 7 \n",
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"41326 4004.0 7 \n",
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"41327 4004.0 7 "
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]
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},
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"execution_count": 4,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"df.tail()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"metadata": {},
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"outputs": [
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{
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"data": {
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" }\n",
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"</style>\n",
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"<table border=\"1\" class=\"dataframe\">\n",
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" <thead>\n",
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" <tr style=\"text-align: right;\">\n",
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" <th></th>\n",
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" <th>交易日</th>\n",
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" <th>合约代码</th>\n",
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" <th>最新价</th>\n",
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" <th>数量</th>\n",
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" <th>最后修改时间</th>\n",
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" <th>最后修改毫秒</th>\n",
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" <th>申买价一</th>\n",
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" <th>申买量一</th>\n",
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" <th>申卖价一</th>\n",
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" <th>申卖量一</th>\n",
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" </tr>\n",
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" </thead>\n",
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" <tbody>\n",
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" <tr>\n",
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" <th>0</th>\n",
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" <td>20220104</td>\n",
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" <td>rb2205</td>\n",
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" <td>4302.0</td>\n",
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" <td>4643</td>\n",
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" <td>08:59:00</td>\n",
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" <td>500</td>\n",
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" <td>4302.0</td>\n",
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" <td>115</td>\n",
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" <td>4305.0</td>\n",
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" <td>96</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>1</th>\n",
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" <td>20220104</td>\n",
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" <td>rb2205</td>\n",
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" <td>4305.0</td>\n",
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" <td>5750</td>\n",
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" <td>09:00:00</td>\n",
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" <td>500</td>\n",
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" <td>4305.0</td>\n",
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" <td>359</td>\n",
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" <td>4310.0</td>\n",
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" <td>36</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2</th>\n",
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" <td>20220104</td>\n",
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" <td>rb2205</td>\n",
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" <td>4306.0</td>\n",
|
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" <td>8039</td>\n",
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" <td>09:00:01</td>\n",
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" <td>0</td>\n",
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" <td>4306.0</td>\n",
|
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" <td>18</td>\n",
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" <td>4308.0</td>\n",
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" <td>7</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>3</th>\n",
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" <td>20220104</td>\n",
|
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" <td>rb2205</td>\n",
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" <td>4308.0</td>\n",
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" <td>9065</td>\n",
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" <td>09:00:01</td>\n",
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" <td>500</td>\n",
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" <td>4308.0</td>\n",
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" <td>43</td>\n",
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" <td>4310.0</td>\n",
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" <td>74</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>4</th>\n",
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" <td>20220104</td>\n",
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" <td>rb2205</td>\n",
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" <td>4310.0</td>\n",
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" <td>9682</td>\n",
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" <td>09:00:02</td>\n",
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" <td>0</td>\n",
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" <td>4311.0</td>\n",
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" <td>4</td>\n",
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" <td>4314.0</td>\n",
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" <td>19</td>\n",
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" </tr>\n",
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" </tbody>\n",
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"</table>\n",
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"</div>"
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],
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"text/plain": [
|
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" 交易日 合约代码 最新价 数量 最后修改时间 最后修改毫秒 申买价一 申买量一 申卖价一 \\\n",
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"0 20220104 rb2205 4302.0 4643 08:59:00 500 4302.0 115 4305.0 \n",
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"1 20220104 rb2205 4305.0 5750 09:00:00 500 4305.0 359 4310.0 \n",
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"2 20220104 rb2205 4306.0 8039 09:00:01 0 4306.0 18 4308.0 \n",
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"3 20220104 rb2205 4308.0 9065 09:00:01 500 4308.0 43 4310.0 \n",
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"4 20220104 rb2205 4310.0 9682 09:00:02 0 4311.0 4 4314.0 \n",
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"\n",
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" 申卖量一 \n",
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"0 96 \n",
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"1 36 \n",
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"2 7 \n",
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"3 74 \n",
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"4 19 "
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]
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},
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"execution_count": 5,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"df.head()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 7,
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"metadata": {},
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"outputs": [],
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"source": [
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"df.reset_index(drop=True, inplace=True)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 8,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"<class 'pandas.core.frame.DataFrame'>\n",
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"RangeIndex: 19813536 entries, 0 to 19813535\n",
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"Data columns (total 10 columns):\n",
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" # Column Dtype \n",
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"--- ------ ----- \n",
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" 0 交易日 int64 \n",
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" 1 合约代码 object \n",
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" 2 最新价 float64\n",
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" 3 数量 int64 \n",
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" 4 最后修改时间 object \n",
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" 5 最后修改毫秒 int64 \n",
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" 6 申买价一 float64\n",
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" 7 申买量一 int64 \n",
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" 8 申卖价一 float64\n",
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" 9 申卖量一 int64 \n",
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"dtypes: float64(3), int64(5), object(2)\n",
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"memory usage: 1.5+ GB\n"
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]
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}
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],
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"source": [
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"df.info()\n",
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"# 21754840"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 9,
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"metadata": {},
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"outputs": [],
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"source": [
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"drop_index1 = df.query('最后修改时间>\"15:00:00\" & 最后修改时间<\"21:00:00\"')[\n",
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" \"最后修改时间\"\n",
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"].index\n",
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"# drop_index1 = df.query('最后修改时间>\"15:00:00\"')[\"最后修改时间\"].index\n",
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"# drop_index2 = df.query('最后修改时间>\"01:00:00\" & 最后修改时间<\"09:00:00\"')[\"最后修改时间\"].index\n",
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"# drop_index2 = df.query('最后修改时间>\"01:00:00\" & 最后修改时间<\"09:00:00\"')[\"最后修改时间\"].index\n",
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"drop_index2 = df.query('最后修改时间<\"09:00:00\"')[\"最后修改时间\"].index\n",
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"drop_index3 = df.query('最后修改时间>\"23:00:00\" & 最后修改时间<\"23:59:59\"')[\n",
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" \"最后修改时间\"\n",
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"].index\n",
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"drop_index4 = df.query('最后修改时间>\"11:30:00\" & 最后修改时间<\"13:30:00\"')[\n",
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" \"最后修改时间\"\n",
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"].index"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 10,
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"metadata": {},
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"outputs": [],
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"source": [
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"df.drop(labels=drop_index1, axis=0, inplace=True)\n",
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"df.drop(drop_index2, axis=0, inplace=True)\n",
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"df.drop(drop_index3, axis=0, inplace=True)\n",
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"df.drop(drop_index4, axis=0, inplace=True)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 11,
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"metadata": {},
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"outputs": [
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{
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"data": {
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" <thead>\n",
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" <tr style=\"text-align: right;\">\n",
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" <th></th>\n",
|
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" <th>交易日</th>\n",
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" <th>合约代码</th>\n",
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" <th>最新价</th>\n",
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" <th>数量</th>\n",
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" <th>最后修改时间</th>\n",
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" <th>最后修改毫秒</th>\n",
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" <th>申买价一</th>\n",
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" <th>申买量一</th>\n",
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" <th>申卖价一</th>\n",
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" <th>申卖量一</th>\n",
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" </tr>\n",
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" </thead>\n",
|
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" <tbody>\n",
|
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" <tr>\n",
|
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" <th>19813530</th>\n",
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" <td>20231229</td>\n",
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" <td>rb2405</td>\n",
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" <td>4003.0</td>\n",
|
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" <td>1201836</td>\n",
|
|
" <td>14:59:58</td>\n",
|
|
" <td>500</td>\n",
|
|
" <td>4002.0</td>\n",
|
|
" <td>288</td>\n",
|
|
" <td>4003.0</td>\n",
|
|
" <td>140</td>\n",
|
|
" </tr>\n",
|
|
" <tr>\n",
|
|
" <th>19813531</th>\n",
|
|
" <td>20231229</td>\n",
|
|
" <td>rb2405</td>\n",
|
|
" <td>4003.0</td>\n",
|
|
" <td>1201905</td>\n",
|
|
" <td>14:59:59</td>\n",
|
|
" <td>0</td>\n",
|
|
" <td>4002.0</td>\n",
|
|
" <td>247</td>\n",
|
|
" <td>4003.0</td>\n",
|
|
" <td>116</td>\n",
|
|
" </tr>\n",
|
|
" <tr>\n",
|
|
" <th>19813532</th>\n",
|
|
" <td>20231229</td>\n",
|
|
" <td>rb2405</td>\n",
|
|
" <td>4003.0</td>\n",
|
|
" <td>1202028</td>\n",
|
|
" <td>14:59:59</td>\n",
|
|
" <td>500</td>\n",
|
|
" <td>4002.0</td>\n",
|
|
" <td>224</td>\n",
|
|
" <td>4003.0</td>\n",
|
|
" <td>16</td>\n",
|
|
" </tr>\n",
|
|
" <tr>\n",
|
|
" <th>19813533</th>\n",
|
|
" <td>20231229</td>\n",
|
|
" <td>rb2405</td>\n",
|
|
" <td>4002.0</td>\n",
|
|
" <td>1202060</td>\n",
|
|
" <td>15:00:00</td>\n",
|
|
" <td>0</td>\n",
|
|
" <td>4003.0</td>\n",
|
|
" <td>23</td>\n",
|
|
" <td>4004.0</td>\n",
|
|
" <td>7</td>\n",
|
|
" </tr>\n",
|
|
" <tr>\n",
|
|
" <th>19813534</th>\n",
|
|
" <td>20231229</td>\n",
|
|
" <td>rb2405</td>\n",
|
|
" <td>4002.0</td>\n",
|
|
" <td>1202060</td>\n",
|
|
" <td>15:00:00</td>\n",
|
|
" <td>500</td>\n",
|
|
" <td>4003.0</td>\n",
|
|
" <td>23</td>\n",
|
|
" <td>4004.0</td>\n",
|
|
" <td>7</td>\n",
|
|
" </tr>\n",
|
|
" </tbody>\n",
|
|
"</table>\n",
|
|
"</div>"
|
|
],
|
|
"text/plain": [
|
|
" 交易日 合约代码 最新价 数量 最后修改时间 最后修改毫秒 申买价一 申买量一 \\\n",
|
|
"19813530 20231229 rb2405 4003.0 1201836 14:59:58 500 4002.0 288 \n",
|
|
"19813531 20231229 rb2405 4003.0 1201905 14:59:59 0 4002.0 247 \n",
|
|
"19813532 20231229 rb2405 4003.0 1202028 14:59:59 500 4002.0 224 \n",
|
|
"19813533 20231229 rb2405 4002.0 1202060 15:00:00 0 4003.0 23 \n",
|
|
"19813534 20231229 rb2405 4002.0 1202060 15:00:00 500 4003.0 23 \n",
|
|
"\n",
|
|
" 申卖价一 申卖量一 \n",
|
|
"19813530 4003.0 140 \n",
|
|
"19813531 4003.0 116 \n",
|
|
"19813532 4003.0 16 \n",
|
|
"19813533 4004.0 7 \n",
|
|
"19813534 4004.0 7 "
|
|
]
|
|
},
|
|
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|
|
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|
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|
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|
|
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|
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|
|
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|
|
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|
|
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|
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{
|
|
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|
|
{
|
|
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|
|
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"text": [
|
|
"<class 'pandas.core.frame.DataFrame'>\n",
|
|
"Int64Index: 19812430 entries, 1 to 19813534\n",
|
|
"Data columns (total 10 columns):\n",
|
|
" # Column Dtype \n",
|
|
"--- ------ ----- \n",
|
|
" 0 交易日 int64 \n",
|
|
" 1 合约代码 object \n",
|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
" 9 申卖量一 int64 \n",
|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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{
|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
{
|
|
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|
|
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|
|
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|
|
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|
|
"source": [
|
|
"df[\"datetime\"] = pd.to_datetime(\n",
|
|
" pd.to_datetime(df[\"交易日\"].astype(str)).astype(str)\n",
|
|
" + \" \"\n",
|
|
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|
|
" + \".\"\n",
|
|
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|
|
")"
|
|
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|
|
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|
|
{
|
|
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|
|
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|
|
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|
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|
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|
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|
|
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|
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|
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|
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|
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|
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|
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|
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|
|
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|
|
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|
|
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|
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|
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|
|
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|
|
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|
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|
|
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|
|
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|
|
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|
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|
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|
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|
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|
|
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|
|
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|
|
"text/plain": [
|
|
" 交易日 合约代码 最新价 数量 最后修改时间 最后修改毫秒 申买价一 申买量一 \\\n",
|
|
"19812425 20231229 rb2405 4003.0 1201836 14:59:58 500 4002.0 288 \n",
|
|
"19812426 20231229 rb2405 4003.0 1201905 14:59:59 0 4002.0 247 \n",
|
|
"19812427 20231229 rb2405 4003.0 1202028 14:59:59 500 4002.0 224 \n",
|
|
"19812428 20231229 rb2405 4002.0 1202060 15:00:00 0 4003.0 23 \n",
|
|
"19812429 20231229 rb2405 4002.0 1202060 15:00:00 500 4003.0 23 \n",
|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|
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|
|
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|
|
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|
|
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|
|
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|
|
"source": [
|
|
"df.rename(\n",
|
|
" columns={\n",
|
|
" \"最新价\": \"lastprice\",\n",
|
|
" \"数量\": \"volume\",\n",
|
|
" \"申买价一\": \"bid_p\",\n",
|
|
" \"申买量一\": \"bid_v\",\n",
|
|
" \"申卖价一\": \"ask_p\",\n",
|
|
" \"申卖量一\": \"ask_v\",\n",
|
|
" \"合约代码\": \"symbol\",\n",
|
|
" },\n",
|
|
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|
|
")"
|
|
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|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 17,
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": [
|
|
"df[\"vol_diff\"] = df[\"volume\"].diff()"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 18,
|
|
"metadata": {},
|
|
"outputs": [
|
|
{
|
|
"data": {
|
|
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|
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|
|
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|
|
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|
|
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|
|
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|
|
" <th>symbol</th>\n",
|
|
" <th>lastprice</th>\n",
|
|
" <th>volume</th>\n",
|
|
" <th>最后修改时间</th>\n",
|
|
" <th>最后修改毫秒</th>\n",
|
|
" <th>bid_p</th>\n",
|
|
" <th>bid_v</th>\n",
|
|
" <th>ask_p</th>\n",
|
|
" <th>ask_v</th>\n",
|
|
" <th>datetime</th>\n",
|
|
" <th>vol_diff</th>\n",
|
|
" </tr>\n",
|
|
" </thead>\n",
|
|
" <tbody>\n",
|
|
" <tr>\n",
|
|
" <th>0</th>\n",
|
|
" <td>20220104</td>\n",
|
|
" <td>rb2205</td>\n",
|
|
" <td>4305.0</td>\n",
|
|
" <td>5750</td>\n",
|
|
" <td>09:00:00</td>\n",
|
|
" <td>500</td>\n",
|
|
" <td>4305.0</td>\n",
|
|
" <td>359</td>\n",
|
|
" <td>4310.0</td>\n",
|
|
" <td>36</td>\n",
|
|
" <td>2022-01-04 09:00:00.500</td>\n",
|
|
" <td>NaN</td>\n",
|
|
" </tr>\n",
|
|
" <tr>\n",
|
|
" <th>1</th>\n",
|
|
" <td>20220104</td>\n",
|
|
" <td>rb2205</td>\n",
|
|
" <td>4306.0</td>\n",
|
|
" <td>8039</td>\n",
|
|
" <td>09:00:01</td>\n",
|
|
" <td>0</td>\n",
|
|
" <td>4306.0</td>\n",
|
|
" <td>18</td>\n",
|
|
" <td>4308.0</td>\n",
|
|
" <td>7</td>\n",
|
|
" <td>2022-01-04 09:00:01.000</td>\n",
|
|
" <td>2289.0</td>\n",
|
|
" </tr>\n",
|
|
" <tr>\n",
|
|
" <th>2</th>\n",
|
|
" <td>20220104</td>\n",
|
|
" <td>rb2205</td>\n",
|
|
" <td>4308.0</td>\n",
|
|
" <td>9065</td>\n",
|
|
" <td>09:00:01</td>\n",
|
|
" <td>500</td>\n",
|
|
" <td>4308.0</td>\n",
|
|
" <td>43</td>\n",
|
|
" <td>4310.0</td>\n",
|
|
" <td>74</td>\n",
|
|
" <td>2022-01-04 09:00:01.500</td>\n",
|
|
" <td>1026.0</td>\n",
|
|
" </tr>\n",
|
|
" <tr>\n",
|
|
" <th>3</th>\n",
|
|
" <td>20220104</td>\n",
|
|
" <td>rb2205</td>\n",
|
|
" <td>4310.0</td>\n",
|
|
" <td>9682</td>\n",
|
|
" <td>09:00:02</td>\n",
|
|
" <td>0</td>\n",
|
|
" <td>4311.0</td>\n",
|
|
" <td>4</td>\n",
|
|
" <td>4314.0</td>\n",
|
|
" <td>19</td>\n",
|
|
" <td>2022-01-04 09:00:02.000</td>\n",
|
|
" <td>617.0</td>\n",
|
|
" </tr>\n",
|
|
" <tr>\n",
|
|
" <th>4</th>\n",
|
|
" <td>20220104</td>\n",
|
|
" <td>rb2205</td>\n",
|
|
" <td>4314.0</td>\n",
|
|
" <td>10328</td>\n",
|
|
" <td>09:00:02</td>\n",
|
|
" <td>500</td>\n",
|
|
" <td>4314.0</td>\n",
|
|
" <td>137</td>\n",
|
|
" <td>4316.0</td>\n",
|
|
" <td>19</td>\n",
|
|
" <td>2022-01-04 09:00:02.500</td>\n",
|
|
" <td>646.0</td>\n",
|
|
" </tr>\n",
|
|
" </tbody>\n",
|
|
"</table>\n",
|
|
"</div>"
|
|
],
|
|
"text/plain": [
|
|
" 交易日 symbol lastprice volume 最后修改时间 最后修改毫秒 bid_p bid_v \\\n",
|
|
"0 20220104 rb2205 4305.0 5750 09:00:00 500 4305.0 359 \n",
|
|
"1 20220104 rb2205 4306.0 8039 09:00:01 0 4306.0 18 \n",
|
|
"2 20220104 rb2205 4308.0 9065 09:00:01 500 4308.0 43 \n",
|
|
"3 20220104 rb2205 4310.0 9682 09:00:02 0 4311.0 4 \n",
|
|
"4 20220104 rb2205 4314.0 10328 09:00:02 500 4314.0 137 \n",
|
|
"\n",
|
|
" ask_p ask_v datetime vol_diff \n",
|
|
"0 4310.0 36 2022-01-04 09:00:00.500 NaN \n",
|
|
"1 4308.0 7 2022-01-04 09:00:01.000 2289.0 \n",
|
|
"2 4310.0 74 2022-01-04 09:00:01.500 1026.0 \n",
|
|
"3 4314.0 19 2022-01-04 09:00:02.000 617.0 \n",
|
|
"4 4316.0 19 2022-01-04 09:00:02.500 646.0 "
|
|
]
|
|
},
|
|
"execution_count": 18,
|
|
"metadata": {},
|
|
"output_type": "execute_result"
|
|
}
|
|
],
|
|
"source": [
|
|
"df.head()"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 19,
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": [
|
|
"df.loc[df[\"vol_diff\"].isnull(), \"vol_diff\"] = df.loc[df[\"vol_diff\"].isnull(), \"volume\"]"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 20,
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": [
|
|
"df[\"volume\"] = df[\"vol_diff\"]"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 21,
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": [
|
|
"df.to_csv(output_path)"
|
|
]
|
|
}
|
|
],
|
|
"metadata": {
|
|
"kernelspec": {
|
|
"display_name": "orderflow",
|
|
"language": "python",
|
|
"name": "python3"
|
|
},
|
|
"language_info": {
|
|
"codemirror_mode": {
|
|
"name": "ipython",
|
|
"version": 3
|
|
},
|
|
"file_extension": ".py",
|
|
"mimetype": "text/x-python",
|
|
"name": "python",
|
|
"nbconvert_exporter": "python",
|
|
"pygments_lexer": "ipython3",
|
|
"version": "3.9.17"
|
|
},
|
|
"orig_nbformat": 4
|
|
},
|
|
"nbformat": 4,
|
|
"nbformat_minor": 2
|
|
}
|