从TuShare读取开市日历然后计算保存交易日历

TuShare提供的日历提供了自交易所开始交易以来每一天是否开市的信息， 但是没有提供其他在回测中可能用到的日历信息（例如某一天是否是一个月的首个交易日或最后一个交易日）， 本文从TuShare读取开市日历然后计算自己的交易日历并保存的本地。 这样其他程序可以读取自己的交易日历从而避免不必要的重复计算。

import numpy as np  
import pandas as pd  
import tushare as ts  
import datetime  
import time  
import tushare as ts  
import os  
import matplotlib  
import matplotlib.pyplot as plt  

def gen_save_exchange_calendar():
    #从TuShare读取开市日历，然后自己计算week/month/querter/year sart/end 属性
    #然后保存在本地以供以后使用
    cal_dates = ts.trade_cal()
    cal_dates['isWeekStart'] = 0
    cal_dates['isWeekEnd'] = 0
    cal_dates['isMonthStart'] = 0
    cal_dates['isMonthEnd'] = 0
    cal_dates['isQuarterStart'] = 0
    cal_dates['isQuarterEnd'] = 0
    cal_dates['isYearStart'] = 0
    cal_dates['isYearEnd'] = 0
    previous_i = -1
    previous_open_week = -1
    previous_open_month = -1
    previous_open_year = -1

    for i in cal_dates.index:
        str_date = cal_dates.loc[i]['calendarDate']
        isOpen = cal_dates.loc[i]['isOpen']
        if not isOpen:
            continue
        date = datetime.datetime.strptime(str_date, '%Y-%m-%d').date()
        #设置isWeekStart和isWeekEnd
        current_open_week = date.isocalendar()[1]
        if current_open_week != previous_open_week:
            cal_dates.ix[i, 'isWeekStart'] = 1
            if previous_open_week != -1:
                cal_dates.ix[previous_i, 'isWeekEnd'] = 1
            
        #设置isMonthStart和isMonthEnd
        current_open_month = date.month
        if current_open_month != previous_open_month:
            cal_dates.ix[i, 'isMonthStart'] = 1
            if previous_open_month != -1:
                cal_dates.ix[previous_i, 'isMonthEnd'] = 1
            #顺便根据月份设置isQuarterStart和isQuarterEnd
            if current_open_month in [1, 4, 7, 10]:
                cal_dates.ix[i, 'isQuarterStart'] = 1 
                if previous_open_month != -1:
                    cal_dates.ix[previous_i, 'isQuarterEnd'] = 1
            #有个特殊情况是交易所开始第一天应为QuarterStart
            if previous_open_month == -1:
                cal_dates.ix[i, 'isQuarterStart'] = 1
                
        #设置isYearStart和isYearEnd
        current_open_year = date.year
        if current_open_year != previous_open_year:
            cal_dates.ix[i, 'isYearStart'] = 1
            if previous_open_year != -1:
                cal_dates.ix[previous_i, 'isYearEnd'] = 1            

        previous_i = i
        previous_open_week = current_open_week
        previous_open_month = current_open_month
        previous_open_year = current_open_year
        
    #保存到本地文件中
    file_name = 'D:\\python_study\\stock_hist_data\\exchange_calendar.h5'
    hdf5_file=pd.HDFStore(file_name, 'w',complevel=4, complib='blosc')
    hdf5_file['data']=cal_dates 
    hdf5_file.close()  
    
    
gen_save_exchange_calendar()