手头有1min集的open、close、low、high、volume,将其转化成10min集的数据,如何实现?
当日的十分钟的间隔从9:31、9:32、至9:39、9:40,下一个十分钟间隔为9:41至9:50,如此反复下去。
10minK线的open为十分钟内的open,即取open的9:31
10minK线的close为十分钟内的close, 即取 close的9:40
10minK线的high为十分钟内high的最大值
10mink线的low为十分钟内low的最小值
10minK线的volume为十分钟内一分钟的volume之和
假定已读取这五个dataframe,index为日期时间,column为股票代码,做具体操作如下:
df_open_new = df_open.copy()
df_open_new.index = [ x-datetime.timedelta(minutes=1) for x in df_open_new.index]
df_open_new = df_open.resample('10min').first()
df_open_new.index = [ x+datetime.timedelta(minutes=1) for x in df_open_new.index]
df_close_new = df_close.copy()
df_close_new.index = [ x-datetime.timedelta(minutes=1) for x in df_close_new.index]
df_close_new = df_close.resample("10min").last()
df_close_new.index