Dear friends, I want to separate the transaction volume in a cycle K into two types of buy/sell, for example, a K-string diagram of a 1-minute cycle, which shows the corresponding volume of transactions in each of the two types of buy/sell.
My idea is that when there is no new K-line production, the trade data is obtained and aggregated, and then after the new K-line is generated, the cumulative trade data is classified statistically, the parameters of the number are rearranged, and entered the next cycle. However, a problem arises when using real-time retesting, one is that the statistically calculated transaction data does not match the transaction data of the actual each K-line records[-2][
def GetRecords(self):
if self.LastBarTime == self.BarTime:
trades = _C(exchange.GetTrades)
if trades :
for i in range (len(trades)):
if trades[i] not in self.trades:
self.trades.append(trades[i])
if self.LastBarTime != self.BarTime: #新K线
if self.trades :
for i in range (len(self.trades)):
if self.trades[i]["Type"] == 0 : #买单
self.trade_buy.append(self.trades[i])
if self.trades[i]["Type"] == 1 : #卖单
self.trade_sell.append(self.trades[i])
if self.trade_buy:
for i in range (len(self.trade_buy)):
self.totlebuyamount += self.trade_buy[0-i]["Amount"]
if self.trade_sell:
for i in range (len(self.trade_sell)):
self.totlesellamount += self.trade_sell[0-i]["Amount"]
Log("总成交量",self.totlebuyamount+self.totolesellamoun,"买单成交量",self.totlebuyamount,"卖单成交量",self.totolesellamount)
self.trades = []
self.trade_buy = []
self.trade_sell = []
self.totlebuyamount = 0
self.totlesellamount = 0
Inventors quantify - small dreamsThe order flow to be retested is simulated.
xaifer48Thank you.
Inventors quantify - small dreamsThe digital currency market is based on order flow data, trades data, etc.
xaifer48Dreams, is there a problem with the logic of writing code this way? I looked it up http://www.fmz.cn/strategy/291843、https://www.quantinfo.com/Article/View/2334.html both articles are tick data, not trade, or is it to use tick data to make a good class?