#!/usr/bin/env python3
# -*- coding: utf-8 -*-
# encoding: utf-8
#
# Candlestick merger.
#
# Copyright 2018 FawkesPan
# Contact : i@fawkex.me / Telegram@FawkesPan
#
# Do What the Fuck You Want To Public License
#
from math import *
from datetime import datetime
def timeFilter(records, since, to=1000000000000000):
bars = []
for i in records:
if i['Time'] >= since and i['Time'] <= to:
bars.append(i)
return bars
def calcRecords(records, period=30, start=None):
try:
records[0]
except IndexError:
return []
period_ms = period * 60000 # 以毫秒记的K线周期
end_in = records[len(records)-1]['Time'] # K线的结束时间
start_at = records[0]['Time'] # K线的开始时间
# 获得可以用于计算目标K线的开始时间
r_offest = start_at % period_ms
start_at = start_at - r_offest + period_ms
if start is not None:
start_at = start
target_count = ceil((end_in-start_at)/period_ms) # 目标K线的数量
n_records = []
for i in range(0, target_count):
bars = timeFilter(records, start_at+i*period_ms, start_at+(i+1)*period_ms-1000)
try:
bars[0]
except IndexError:
continue
# 初始化新的Bar
Time = bars[0]['Time']
Open = bars[0]['Open']
High = bars[0]['High']
Low = bars[0]['Low']
Close = bars[0]['Close']
Volume = 0
for item in bars:
High = max(High, item['High'])
Low = min(Low, item['Low'])
Close = item['Close']
Volume+=item['Volume']
# 将Bar添加添加到新的K线中
n_records.append(dict({
'Time' : Time,
'Open' : Open,
'High' : High,
'Low' : Low,
'Close' : Close,
'Volume' : Volume
}))
return n_records
def getRecords(exchange, period=30):
records = exchange.GetRecords(PERIOD_M1)
return calcRecords(records, period)
def calcRecordsWithOldRecords(records, old_records, period=30):
try:
start = old_records[len(old_records)-1]['Time']
del old_records[len(old_records)-1]
except IndexError:
old_records = []
start = None
return old_records + calcRecords(records=records, period=period, start=start)
ext.calcRecords = calcRecords
ext.getRecords = getRecords
ext.calcRecordsWithOldRecords = calcRecordsWithOldRecords
# Function Test
def main():
LogReset()
M1 = exchange.GetRecords(PERIOD_M1)
M15 = exchange.GetRecords(PERIOD_M15)
M15_GEN = ext.calcRecords(M1, 15) # 使用ext.calcRecords函数 按照1分钟K线 计算出15分钟K线
Log(M15[len(M15)-50:])
Log(M15_GEN[len(M15_GEN)-50:])
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