python zipline:如何导入包含分钟数据的数据包

2024-05-14 21:15:47 发布

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如何将包含1分钟数据(外汇1分钟)的数据包导入zipline,我成功地对EOD库存数据执行了类似的过程。但是,无法使用分钟数据导入,没有错误消息,但文件夹为空(forex bundle/2020-09-18T09;26;46.177573)。请随意评论

~/.zipline/extension.py

import pandas as pd

from zipline.data.bundles import register
from zipline.data.bundles.csvdir import csvdir_equities

    start_session = pd.Timestamp('2020-06-01 00:00:00', tz='utc')
    end_session = pd.Timestamp('2020-09-11 16:58:00', tz='utc')
    
    register(
        'forex-bundle',
        csvdir_equities(
            ['M1'],
            '/data/forex/USDJPY',
        ),
        calendar_name='24/7',
        minutes_per_day=1440,
        start_session=start_session,
        end_session=end_session
    )

分钟内的CSV数据(/data/forex/USDJPY/M1/USDJPY.CSV)

date,open,high,low,close,volume,dividend,split
2020-06-01 00:00:00,107.634,107.637,107.628,107.635,0.0,0.0,1.0
2020-06-01 00:01:00,107.635,107.648,107.634,107.648,0.0,0.0,1.0
..........
..........
2020-09-11 16:57:00,106.147,106.156,106.146,106.146,0.0,0.0,1.0
2020-09-11 16:58:00,106.144,106.169,106.144,106.156,0.0,0.0,1.0

Tags: 数据fromimportregisterdatasessionziplinestart

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