python统计套利

python爬取期货数据，利用统计套利进行价差套利。

import pandas as pd

import numpy as np

import matplotlib.pyplot as plt

import seaborn as sns

import urllib.request as urllib2

import json

def findPairs():

    ids = ['rb1903', 'rb1904', 'rb1905', 'rb1906', 'rb1907', 'rb1908']

    url_5m = 'http://stock2.finance.sina.com.cn/futures/api/json.php/IndexService.getInnerFuturesMiniKLine5m?symbol='

    result = []
    for id in ids:
        url = url_5m + id
        req = urllib2.Request(url)
        rsp = urllib2.urlopen(req)
        res = rsp.read()
        res_json = json.loads(res)
        result.append(res_json)
        close_result = []
        for instrument in result:
            oneDay_list = []
            for oneDay in instrument:
                oneDay_list.append(float(oneDay[-2]))
                # print(oneDay_list)
            close_result.append(np.array(oneDay_list))
    close_result = np.array(close_result)
    close_result = close_result.T
  
    df = pd.DataFrame(data=close_result, columns=ids)
    df.plot()
    plt.show()
    return df
df = findPairs()