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
将“M1”改为“分钟”;目录'minute'已在源代码中硬编码,除了'daily'或'minute'
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