这是我获取时间戳匹配的方式:
import pickle
asset_list = ["BTC", "ETH", "AAVE", "YFI", "COMP"]
timestamp_dict = {}
for i in asset_list:
with open("D:\\Programming\\TradingInvestment\\Datasets\\Samples\\" + i + ".pickle", "rb") as f:
data = pickle.load(f)
timestamp_dict[i] = [timestamp[0] for timestamp in data]
time_matches = set(timestamp_dict["BTC"]).intersection(
set(timestamp_dict["ETH"]),
set(timestamp_dict["AAVE"]),
set(timestamp_dict["YFI"]),
set(timestamp_dict["COMP"]))
这就是我想要实现的目标:
- take each timestamp in time_matches
- index the sample data for a transaction matching the timestamp
- get the price in that transaction for each asset
- store in format: {"timestamp" : [price1, price2 ... pricen]} for n number of assets
- try allowing for a few seconds each side of times in timematches and average those times
这是我不完整的尝试(我还没有到最后一部分,在那里我填写字典“数据”:
for timestamp in time_matches:
for i in asset_list:
prices = []
with open("D:\\Programming\\TradingInvestment\\Datasets\\Samples\\" + i + ".pickle", "rb") as f:
transactions = pickle.load(f)
for element in transactions:
tx = element.index(timestamp)
prices.append(tx[1])
目前没有回答
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