我试图将tick数据转换为OHLC数据,代码如下所示:import pandas as pd
import matplotlib.pyplot as plt
import numpy as np
import mpl_finance
from datetime import *
import os
dateparse = lambda x: pd.datetime.strptime(x, '%Y/%m/%d %H:%M:%S')
file_dir = "D:/USDJPY 2017-2018/"
#directory
for root, dirs, files in os.walk(file_dir):
file_list = files
file_list.sort()
df_all = pd.read_csv(file_dir + file_list[0], parse_dates=['RateDateTime'], index_col='RateDateTime',date_parser=dateparse)
for file in file_list:
if file != file_list[0]:
df_all = df_all.append(pd.read_csv(file_dir + file, parse_dates=['RateDateTime'], index_col='RateDateTime',date_parser=dateparse))
grouped = df_all.groupby('CurrencyPair')
ask = grouped['RateAsk'].resample('1440Min').ohlc()
bid = grouped['RateBid'].resample('1440Min').ohlc()
a=pd.concat([ask, bid], axis=1, keys=['RateAsk', 'RateBid'])
a.to_csv('C:/Users/lenovo/Desktop/USDJPY 2017-2018 1DAY sorted.csv')
print('Conversion complete')
但是,转换后的数据中有空单元格,如片段中所示:
Sorted data snippet
如您所见,有一些空单元格,在这些天没有可用的数据。我希望删除行9和行16,但我不希望Python删除第3行,因为它是标题行之一。我试过了
^{pr2}$
但是Python返回给我:File "pandas_libs\hashtable_class_helper.pxi", line 1500, in pandas._libs.hashtable.PyObjectHashTable.get_item
KeyError: 'open'
我该怎么做?当列C和G上都有两个页眉时,如何引用它们来计算价差?请帮忙!非常感谢!在