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dataloader/dolphindb-read-data.ipynb

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{
"cells": [
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{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"# dolphindb read data\n",
"\n",
"last update: 2022-12-13\n",
"\n",
"tick数据：2020到2022-11-24日左右，minute kline有2022到2022-11-10左右"
]
},
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{
"cell_type": "code",
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"execution_count": 2,
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"metadata": {},
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"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Failed to connect to host = 192.168.1.7 port = 8848 with error code 111\n"
]
},
{
"ename": "RuntimeError",
"evalue": "<Exception> in login: Couldn't send script/function to the remote host because the connection has been closed",
"output_type": "error",
"traceback": [
"\u001b[0;31m---------------------------------------------------------------------------\u001b[0m",
"\u001b[0;31mRuntimeError\u001b[0m Traceback (most recent call last)",
"Cell \u001b[0;32mIn [2], line 7\u001b[0m\n\u001b[1;32m 4\u001b[0m \u001b[39mimport\u001b[39;00m \u001b[39mpandas\u001b[39;00m \u001b[39mas\u001b[39;00m \u001b[39mpd\u001b[39;00m\n\u001b[1;32m 6\u001b[0m sess \u001b[39m=\u001b[39m ddb\u001b[39m.\u001b[39msession(\u001b[39m'\u001b[39m\u001b[39m192.168.1.7\u001b[39m\u001b[39m'\u001b[39m,\u001b[39m8848\u001b[39m)\n\u001b[0;32m----> 7\u001b[0m sess\u001b[39m.\u001b[39;49mlogin(\u001b[39m'\u001b[39;49m\u001b[39madmin\u001b[39;49m\u001b[39m'\u001b[39;49m,\u001b[39m'\u001b[39;49m\u001b[39m123456\u001b[39;49m\u001b[39m'\u001b[39;49m)\n",
"File \u001b[0;32m~/.local/lib/python3.9/site-packages/dolphindb/session.py:365\u001b[0m, in \u001b[0;36msession.login\u001b[0;34m(self, userid, password, enableEncryption)\u001b[0m\n\u001b[1;32m 363\u001b[0m \u001b[39mself\u001b[39m\u001b[39m.\u001b[39mpassword \u001b[39m=\u001b[39m password\n\u001b[1;32m 364\u001b[0m \u001b[39mself\u001b[39m\u001b[39m.\u001b[39menableEncryption \u001b[39m=\u001b[39m enableEncryption\n\u001b[0;32m--> 365\u001b[0m \u001b[39mself\u001b[39;49m\u001b[39m.\u001b[39;49mcpp\u001b[39m.\u001b[39;49mlogin(userid, password, enableEncryption)\n\u001b[1;32m 366\u001b[0m \u001b[39mfinally\u001b[39;00m:\n\u001b[1;32m 367\u001b[0m \u001b[39mself\u001b[39m\u001b[39m.\u001b[39mmutex\u001b[39m.\u001b[39mrelease()\n",
"\u001b[0;31mRuntimeError\u001b[0m: <Exception> in login: Couldn't send script/function to the remote host because the connection has been closed"
]
}
],
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"source": [
"import dolphindb as ddb\n",
"import dolphindb.settings as keys\n",
"import numpy as np\n",
"import pandas as pd\n",
"\n",
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"# sess = ddb.session('192.168.1.7',8848)\n",
"sess = ddb.session('localhost',8848)\n",
"sess.login('admin','123456')"
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]
},
{
"cell_type": "code",
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"execution_count": 3,
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"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
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"{'/hft_stock_ts': 'TransePartitioned:7:0:TransePartitioned_7; TickQueuePartitioned:6:0:TickQueuePartitioned_6; TickPartitioned:5:0:TickPartitioned_5; OrderPartitioned:4:0:OrderPartitioned_4; KLinePartitioned:3:0:KLinePartitioned_3; Calendar:2:0:Calendar_2; ',\n",
" '/daily_stock_ts': 'daily_kline:2:0:daily_kline_2; hft_daily_factor:16:0:hft_daily_factor_16; idx_daily_concept:6:0:idx_daily_concept_6; idx_daily_kline:11:0:idx_daily_kline_11; ',\n",
" '/hft_futuremarket_ts': 'MinKlinePartitioned:2:0:MinKlinePartitioned_2; TickPartitioned:3:0:TickPartitioned_3; DailyFutureInfoPartitioned:6:0:DailyFutureInfoPartitioned_6; '}"
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]
},
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"execution_count": 3,
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"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"sess.run('getAllDBs()')"
]
},
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{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"## 读数据"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"### 读部分数据查看"
]
},
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{
"cell_type": "code",
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"execution_count": 13,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
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"\n",
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" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>code_dom</th>\n",
" <th>code_init</th>\n",
" <th>code_cont</th>\n",
" <th>code_cont1</th>\n",
" <th>code_cont2</th>\n",
" <th>code_cont3</th>\n",
" <th>code_cont4</th>\n",
" <th>m_nDate</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>AP2105</td>\n",
" <td>AP</td>\n",
" <td>AP2101</td>\n",
" <td>AP2103</td>\n",
" <td>AP2105</td>\n",
" <td>AP2110</td>\n",
" <td>AP2111</td>\n",
" <td>2021-01-01</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>AP2105</td>\n",
" <td>AP</td>\n",
" <td>AP2101</td>\n",
" <td>AP2103</td>\n",
" <td>AP2105</td>\n",
" <td>AP2110</td>\n",
" <td>AP2111</td>\n",
" <td>2021-01-02</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>AP2105</td>\n",
" <td>AP</td>\n",
" <td>AP2101</td>\n",
" <td>AP2103</td>\n",
" <td>AP2105</td>\n",
" <td>AP2110</td>\n",
" <td>AP2111</td>\n",
" <td>2021-01-03</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>AP2105</td>\n",
" <td>AP</td>\n",
" <td>AP2101</td>\n",
" <td>AP2103</td>\n",
" <td>AP2105</td>\n",
" <td>AP2110</td>\n",
" <td>AP2111</td>\n",
" <td>2021-01-04</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" code_dom code_init code_cont code_cont1 code_cont2 code_cont3 code_cont4 \\\n",
"0 AP2105 AP AP2101 AP2103 AP2105 AP2110 AP2111 \n",
"1 AP2105 AP AP2101 AP2103 AP2105 AP2110 AP2111 \n",
"2 AP2105 AP AP2101 AP2103 AP2105 AP2110 AP2111 \n",
"3 AP2105 AP AP2101 AP2103 AP2105 AP2110 AP2111 \n",
"\n",
" m_nDate \n",
"0 2021-01-01 \n",
"1 2021-01-02 \n",
"2 2021-01-03 \n",
"3 2021-01-04 "
]
},
"execution_count": 13,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df = sess.run(\"\"\"select top 4 * from loadTable(\"dfs://hft_futuremarket_ts\", \"DailyFutureInfoPartitioned\")\"\"\")\n",
"df"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"### 读少量数据"
]
},
{
"cell_type": "code",
"execution_count": 1,
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"metadata": {},
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"outputs": [
{
"ename": "NameError",
"evalue": "name 'sess' is not defined",
"output_type": "error",
"traceback": [
"\u001b[0;31m---------------------------------------------------------------------------\u001b[0m",
"\u001b[0;31mNameError\u001b[0m Traceback (most recent call last)",
"Cell \u001b[0;32mIn [1], line 4\u001b[0m\n\u001b[1;32m 2\u001b[0m tbName\u001b[39m=\u001b[39m\u001b[39m\"\u001b[39m\u001b[39mTickPartitioned\u001b[39m\u001b[39m\"\u001b[39m \u001b[39m# MinKlinePartitioned\u001b[39;00m\n\u001b[1;32m 3\u001b[0m code_list\u001b[39m=\u001b[39m[\u001b[39m'\u001b[39m\u001b[39mAP2211\u001b[39m\u001b[39m'\u001b[39m]\n\u001b[0;32m----> 4\u001b[0m df \u001b[39m=\u001b[39m sess\u001b[39m.\u001b[39mrun(\u001b[39mf\u001b[39m\u001b[39m\"\"\"\u001b[39m\u001b[39mpt=loadTable(\u001b[39m\u001b[39m\"\u001b[39m\u001b[39m{\u001b[39;00mddb_hft_dbPath\u001b[39m}\u001b[39;00m\u001b[39m\"\u001b[39m\u001b[39m,\u001b[39m\u001b[39m\"\u001b[39m\u001b[39m{\u001b[39;00mtbName\u001b[39m}\u001b[39;00m\u001b[39m\"\u001b[39m\u001b[39m);\u001b[39m\n\u001b[1;32m 5\u001b[0m \u001b[39m select * from pt where m_nDatetime.date()=2022.06.01d and code in (\u001b[39m\u001b[39m{\u001b[39;00m\u001b[39m\"\u001b[39m\u001b[39m \u001b[39m\u001b[39m\"\u001b[39m\u001b[39m.\u001b[39mjoin([\u001b[39m\"\u001b[39m\u001b[39m`\u001b[39m\u001b[39m\"\u001b[39m\u001b[39m+\u001b[39mc \u001b[39mfor\u001b[39;00m c \u001b[39min\u001b[39;00m code_list])\u001b[39m}\u001b[39;00m\u001b[39m);\u001b[39m\n\u001b[1;32m 6\u001b[0m \u001b[39m \u001b[39m\u001b[39m\"\"\"\u001b[39m)\n",
"\u001b[0;31mNameError\u001b[0m: name 'sess' is not defined"
]
}
],
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"source": [
"ddb_hft_dbPath=\"dfs://hft_futuremarket_ts\"\n",
"tbName=\"TickPartitioned\" # MinKlinePartitioned\n",
"code_list=['AP2211']\n",
"df = sess.run(f\"\"\"pt=loadTable(\"{ddb_hft_dbPath}\",\"{tbName}\");\n",
" select * from pt where m_nDatetime.date()=2022.06.01d and code in ({\" \".join([\"`\"+c for c in code_list])});\n",
" \"\"\")"
]
},
{
"cell_type": "code",
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"execution_count": 8,
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"metadata": {},
"outputs": [
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{
"name": "stdout",
"output_type": "stream",
"text": [
"(7687, 38)\n"
]
},
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{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
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"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>code</th>\n",
" <th>m_nDatetime</th>\n",
" <th>m_nPrice</th>\n",
" <th>m_nOpen</th>\n",
" <th>m_nHigh</th>\n",
" <th>m_nLow</th>\n",
" <th>m_nClose</th>\n",
" <th>m_nAccHigh</th>\n",
" <th>m_nAccLow</th>\n",
" <th>m_iVolume</th>\n",
" <th>...</th>\n",
" <th>m_nActAskTurnover</th>\n",
" <th>m_nAccActAskTurnover</th>\n",
" <th>m_nBidOrder</th>\n",
" <th>m_nAccBidOrder</th>\n",
" <th>m_nAskOrder</th>\n",
" <th>m_nAccAskOrder</th>\n",
" <th>m_nABOrderRate</th>\n",
" <th>m_nAccABOrderRate</th>\n",
" <th>m_nMItemsVolRate</th>\n",
" <th>code_init</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>AP2211</td>\n",
" <td>2022-06-01 08:55:00</td>\n",
" <td>8701.0</td>\n",
" <td>8701.0</td>\n",
" <td>8701.0</td>\n",
" <td>8701.0</td>\n",
" <td>8701.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0</td>\n",
" <td>...</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.0</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.0</td>\n",
" <td>AP</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>AP2211</td>\n",
" <td>2022-06-01 08:59:00</td>\n",
" <td>8623.0</td>\n",
" <td>8623.0</td>\n",
" <td>8623.0</td>\n",
" <td>8623.0</td>\n",
" <td>8623.0</td>\n",
" <td>8623.0</td>\n",
" <td>8623.0</td>\n",
" <td>505</td>\n",
" <td>...</td>\n",
" <td>2177307.5</td>\n",
" <td>2177307.5</td>\n",
" <td>2.0</td>\n",
" <td>2.0</td>\n",
" <td>1.0</td>\n",
" <td>1.0</td>\n",
" <td>2.000000</td>\n",
" <td>2.000000</td>\n",
" <td>0.0</td>\n",
" <td>AP</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>AP2211</td>\n",
" <td>2022-06-01 09:00:01</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8623.0</td>\n",
" <td>4</td>\n",
" <td>...</td>\n",
" <td>0.0</td>\n",
" <td>2177307.5</td>\n",
" <td>1.0</td>\n",
" <td>3.0</td>\n",
" <td>2.0</td>\n",
" <td>3.0</td>\n",
" <td>0.500000</td>\n",
" <td>1.000000</td>\n",
" <td>0.0</td>\n",
" <td>AP</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>AP2211</td>\n",
" <td>2022-06-01 09:00:02</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8623.0</td>\n",
" <td>0</td>\n",
" <td>...</td>\n",
" <td>0.0</td>\n",
" <td>2177307.5</td>\n",
" <td>1.0</td>\n",
" <td>4.0</td>\n",
" <td>1.0</td>\n",
" <td>4.0</td>\n",
" <td>1.000000</td>\n",
" <td>1.000000</td>\n",
" <td>0.0</td>\n",
" <td>AP</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>AP2211</td>\n",
" <td>2022-06-01 09:00:03</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8691.0</td>\n",
" <td>8623.0</td>\n",
" <td>0</td>\n",
" <td>...</td>\n",
" <td>0.0</td>\n",
" <td>2177307.5</td>\n",
" <td>1.0</td>\n",
" <td>5.0</td>\n",
" <td>3.0</td>\n",
" <td>7.0</td>\n",
" <td>0.333333</td>\n",
" <td>0.714286</td>\n",
" <td>0.0</td>\n",
" <td>AP</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>5 rows × 38 columns</p>\n",
"</div>"
],
"text/plain": [
" code m_nDatetime m_nPrice m_nOpen m_nHigh m_nLow m_nClose \\\n",
"0 AP2211 2022-06-01 08:55:00 8701.0 8701.0 8701.0 8701.0 8701.0 \n",
"1 AP2211 2022-06-01 08:59:00 8623.0 8623.0 8623.0 8623.0 8623.0 \n",
"2 AP2211 2022-06-01 09:00:01 8691.0 8691.0 8691.0 8691.0 8691.0 \n",
"3 AP2211 2022-06-01 09:00:02 8691.0 8691.0 8691.0 8691.0 8691.0 \n",
"4 AP2211 2022-06-01 09:00:03 8691.0 8691.0 8691.0 8691.0 8691.0 \n",
"\n",
" m_nAccHigh m_nAccLow m_iVolume ... m_nActAskTurnover \\\n",
"0 0.0 0.0 0 ... 0.0 \n",
"1 8623.0 8623.0 505 ... 2177307.5 \n",
"2 8691.0 8623.0 4 ... 0.0 \n",
"3 8691.0 8623.0 0 ... 0.0 \n",
"4 8691.0 8623.0 0 ... 0.0 \n",
"\n",
" m_nAccActAskTurnover m_nBidOrder m_nAccBidOrder m_nAskOrder \\\n",
"0 0.0 0.0 0.0 0.0 \n",
"1 2177307.5 2.0 2.0 1.0 \n",
"2 2177307.5 1.0 3.0 2.0 \n",
"3 2177307.5 1.0 4.0 1.0 \n",
"4 2177307.5 1.0 5.0 3.0 \n",
"\n",
" m_nAccAskOrder m_nABOrderRate m_nAccABOrderRate m_nMItemsVolRate \\\n",
"0 0.0 0.000000 0.000000 0.0 \n",
"1 1.0 2.000000 2.000000 0.0 \n",
"2 3.0 0.500000 1.000000 0.0 \n",
"3 4.0 1.000000 1.000000 0.0 \n",
"4 7.0 0.333333 0.714286 0.0 \n",
"\n",
" code_init \n",
"0 AP \n",
"1 AP \n",
"2 AP \n",
"3 AP \n",
"4 AP \n",
"\n",
"[5 rows x 38 columns]"
]
},
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"execution_count": 8,
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"metadata": {},
"output_type": "execute_result"
}
],
"source": [
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"print(df.shape)\n",
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"df.head()"
]
},
{
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"attachments": {},
"cell_type": "markdown",
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"metadata": {},
"source": [
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"### **🌟读较多数据**"
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]
},
{
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"attachments": {},
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"cell_type": "markdown",
"metadata": {},
"source": [
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"#### 读主力"
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]
},
{
"cell_type": "code",
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"execution_count": 9,
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"metadata": {},
"outputs": [
{
"data": {
"text/html": [
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" <th></th>\n",
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" <th>code_dom</th>\n",
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" <th>code_init</th>\n",
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" <th>code_cont</th>\n",
" <th>code_cont1</th>\n",
" <th>code_cont2</th>\n",
" <th>code_cont3</th>\n",
" <th>code_cont4</th>\n",
" <th>m_nDate</th>\n",
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" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
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" <td>IC2206</td>\n",
" <td>IC</td>\n",
" <td>IC2205</td>\n",
" <td>IC2206</td>\n",
" <td>IC2209</td>\n",
" <td>IC2212</td>\n",
" <td></td>\n",
" <td>2022-05-01</td>\n",
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" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
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" <td>IC2206</td>\n",
" <td>IC</td>\n",
" <td>IC2205</td>\n",
" <td>IC2206</td>\n",
" <td>IC2209</td>\n",
" <td>IC2212</td>\n",
" <td></td>\n",
" <td>2022-05-02</td>\n",
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" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
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" <td>IC2206</td>\n",
" <td>IC</td>\n",
" <td>IC2205</td>\n",
" <td>IC2206</td>\n",
" <td>IC2209</td>\n",
" <td>IC2212</td>\n",
" <td></td>\n",
" <td>2022-05-03</td>\n",
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" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
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" <td>IC2206</td>\n",
" <td>IC</td>\n",
" <td>IC2205</td>\n",
" <td>IC2206</td>\n",
" <td>IC2209</td>\n",
" <td>IC2212</td>\n",
" <td></td>\n",
" <td>2022-05-04</td>\n",
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" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
curr version
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" <td>IC2206</td>\n",
" <td>IC</td>\n",
" <td>IC2205</td>\n",
" <td>IC2206</td>\n",
" <td>IC2209</td>\n",
" <td>IC2212</td>\n",
" <td></td>\n",
" <td>2022-05-05</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>...</th>\n",
" <td>...</td>\n",
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" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" <tr>\n",
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" <th>204</th>\n",
" <td>IC2212</td>\n",
" <td>IC</td>\n",
" <td>IC2211</td>\n",
" <td>IC2212</td>\n",
" <td>IC2303</td>\n",
" <td>IC2306</td>\n",
" <td></td>\n",
" <td>2022-11-20</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>205</th>\n",
" <td>IC2212</td>\n",
" <td>IC</td>\n",
" <td>IC2212</td>\n",
" <td>IC2301</td>\n",
" <td>IC2303</td>\n",
" <td>IC2306</td>\n",
" <td></td>\n",
" <td>2022-11-21</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>206</th>\n",
" <td>IC2212</td>\n",
" <td>IC</td>\n",
" <td>IC2212</td>\n",
" <td>IC2301</td>\n",
" <td>IC2303</td>\n",
" <td>IC2306</td>\n",
" <td></td>\n",
" <td>2022-11-22</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>207</th>\n",
" <td>IC2212</td>\n",
" <td>IC</td>\n",
" <td>IC2212</td>\n",
" <td>IC2301</td>\n",
" <td>IC2303</td>\n",
" <td>IC2306</td>\n",
" <td></td>\n",
" <td>2022-11-23</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>208</th>\n",
" <td>IC2212</td>\n",
" <td>IC</td>\n",
" <td>IC2212</td>\n",
" <td>IC2301</td>\n",
" <td>IC2303</td>\n",
" <td>IC2306</td>\n",
" <td></td>\n",
" <td>2022-11-24</td>\n",
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" </tr>\n",
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" </tbody>\n",
"</table>\n",
"<p>209 rows × 8 columns</p>\n",
"</div>"
],
"text/plain": [
" code_dom code_init code_cont code_cont1 code_cont2 code_cont3 code_cont4 \\\n",
"0 IC2206 IC IC2205 IC2206 IC2209 IC2212 \n",
"1 IC2206 IC IC2205 IC2206 IC2209 IC2212 \n",
"2 IC2206 IC IC2205 IC2206 IC2209 IC2212 \n",
"3 IC2206 IC IC2205 IC2206 IC2209 IC2212 \n",
"4 IC2206 IC IC2205 IC2206 IC2209 IC2212 \n",
".. ... ... ... ... ... ... ... \n",
"204 IC2212 IC IC2211 IC2212 IC2303 IC2306 \n",
"205 IC2212 IC IC2212 IC2301 IC2303 IC2306 \n",
"206 IC2212 IC IC2212 IC2301 IC2303 IC2306 \n",
"207 IC2212 IC IC2212 IC2301 IC2303 IC2306 \n",
"208 IC2212 IC IC2212 IC2301 IC2303 IC2306 \n",
"\n",
" m_nDate \n",
"0 2022-05-01 \n",
"1 2022-05-02 \n",
"2 2022-05-03 \n",
"3 2022-05-04 \n",
"4 2022-05-05 \n",
".. ... \n",
"204 2022-11-20 \n",
"205 2022-11-21 \n",
"206 2022-11-22 \n",
"207 2022-11-23 \n",
"208 2022-11-24 \n",
"\n",
"[209 rows x 8 columns]"
]
},
"execution_count": 9,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"st_d = '2022.05.01'\n",
"en_d = '2022.11.24'\n",
"code_init = 'IC'\n",
"\n",
"spt=\"\"\"select * from loadTable(\"dfs://hft_futuremarket_ts\", \"DailyFutureInfoPartitioned\") where m_nDate.date()>={st_d}d and m_nDate.date()<={en_d}d and code_init=`{code_init}\n",
"\"\"\".format(st_d=st_d,en_d=en_d,code_init=code_init)\n",
"\n",
"block= sess.run(spt, fetchSize = 8192)\n",
"\n",
"total = []\n",
"while block.hasNext():\n",
" tem = block.read()\n",
" total.append(tem)\n",
"\n",
"import pandas as pd\n",
"df_dom=pd.concat(total)\n",
"df_dom"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"#### 读tick数据"
]
},
{
"cell_type": "code",
"execution_count": 10,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>code</th>\n",
" <th>m_nDatetime</th>\n",
" <th>m_nPrice</th>\n",
" <th>m_iVolume</th>\n",
" <th>m_iAccVolume</th>\n",
" <th>m_nMatchItems</th>\n",
" <th>m_nAccMatchItems</th>\n",
" <th>m_nBidPrice</th>\n",
" <th>m_nBidVolume</th>\n",
" <th>m_nAskPrice</th>\n",
" <th>m_nAskVolume</th>\n",
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" </tr>\n",
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" </thead>\n",
" <tbody>\n",
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" <tr>\n",
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" <th>0</th>\n",
" <td>IC2210</td>\n",
" <td>2022-10-10 09:29:00</td>\n",
" <td>5730.2</td>\n",
" <td>109</td>\n",
" <td>109.0</td>\n",
" <td>-76</td>\n",
" <td>-29454.0</td>\n",
" <td>5730.0</td>\n",
" <td>11</td>\n",
" <td>5730.2</td>\n",
" <td>1</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>1</th>\n",
" <td>IC2210</td>\n",
" <td>2022-10-10 09:30:00</td>\n",
" <td>5730.0</td>\n",
" <td>25</td>\n",
" <td>134.0</td>\n",
" <td>-16</td>\n",
" <td>-29470.0</td>\n",
" <td>5730.0</td>\n",
" <td>1</td>\n",
" <td>5732.0</td>\n",
" <td>10</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>2</th>\n",
" <td>IC2210</td>\n",
" <td>2022-10-10 09:30:00</td>\n",
" <td>5730.0</td>\n",
" <td>30</td>\n",
" <td>164.0</td>\n",
" <td>-20</td>\n",
" <td>-29490.0</td>\n",
" <td>5730.2</td>\n",
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" <td>1</td>\n",
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" <td>5730.8</td>\n",
" <td>2</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>3</th>\n",
" <td>IC2210</td>\n",
" <td>2022-10-10 09:30:01</td>\n",
" <td>5730.6</td>\n",
" <td>26</td>\n",
" <td>190.0</td>\n",
" <td>-17</td>\n",
" <td>-29507.0</td>\n",
" <td>5730.2</td>\n",
" <td>2</td>\n",
" <td>5732.0</td>\n",
" <td>7</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>4</th>\n",
" <td>IC2210</td>\n",
" <td>2022-10-10 09:30:01</td>\n",
" <td>5730.2</td>\n",
" <td>29</td>\n",
" <td>219.0</td>\n",
" <td>-19</td>\n",
" <td>-29526.0</td>\n",
" <td>5730.2</td>\n",
" <td>1</td>\n",
" <td>5731.4</td>\n",
" <td>1</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>...</th>\n",
" <td>...</td>\n",
" <td>...</td>\n",
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" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" <tr>\n",
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" <th>5833</th>\n",
" <td>IC2306</td>\n",
" <td>2022-11-23 14:59:57</td>\n",
" <td>6026.0</td>\n",
" <td>1</td>\n",
" <td>6468.0</td>\n",
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" <td>0</td>\n",
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" <td>-23469.0</td>\n",
" <td>6019.0</td>\n",
" <td>1</td>\n",
" <td>6026.0</td>\n",
" <td>9</td>\n",
update read data
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" </tr>\n",
" <tr>\n",
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" <th>5834</th>\n",
" <td>IC2306</td>\n",
" <td>2022-11-23 14:59:58</td>\n",
" <td>6026.0</td>\n",
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" <td>0</td>\n",
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2 years ago
" <td>6468.0</td>\n",
" <td>0</td>\n",
" <td>-23469.0</td>\n",
" <td>6019.2</td>\n",
" <td>1</td>\n",
" <td>6026.0</td>\n",
" <td>9</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>5835</th>\n",
" <td>IC2306</td>\n",
" <td>2022-11-23 14:59:59</td>\n",
" <td>6026.0</td>\n",
" <td>5</td>\n",
" <td>6473.0</td>\n",
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" <td>0</td>\n",
curr version
2 years ago
" <td>-23469.0</td>\n",
" <td>6019.2</td>\n",
" <td>1</td>\n",
" <td>6026.0</td>\n",
" <td>4</td>\n",
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" </tr>\n",
" <tr>\n",
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" <th>5836</th>\n",
" <td>IC2306</td>\n",
" <td>2022-11-23 15:00:00</td>\n",
" <td>6019.2</td>\n",
" <td>1</td>\n",
" <td>6474.0</td>\n",
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" <td>0</td>\n",
curr version
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" <td>-23469.0</td>\n",
" <td>6019.0</td>\n",
" <td>1</td>\n",
" <td>6019.2</td>\n",
" <td>9</td>\n",
update read data
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" </tr>\n",
" <tr>\n",
curr version
2 years ago
" <th>5837</th>\n",
" <td>IC2306</td>\n",
" <td>2022-11-23 15:25:24</td>\n",
" <td>6019.2</td>\n",
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" <td>0</td>\n",
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2 years ago
" <td>6474.0</td>\n",
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" <td>0</td>\n",
curr version
2 years ago
" <td>-23469.0</td>\n",
" <td>6019.0</td>\n",
" <td>1</td>\n",
" <td>6019.2</td>\n",
" <td>9</td>\n",
update read data
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" </tr>\n",
" </tbody>\n",
"</table>\n",
curr version
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"<p>2881230 rows × 11 columns</p>\n",
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"</div>"
],
"text/plain": [
curr version
2 years ago
" code m_nDatetime m_nPrice m_iVolume m_iAccVolume \\\n",
"0 IC2210 2022-10-10 09:29:00 5730.2 109 109.0 \n",
"1 IC2210 2022-10-10 09:30:00 5730.0 25 134.0 \n",
"2 IC2210 2022-10-10 09:30:00 5730.0 30 164.0 \n",
"3 IC2210 2022-10-10 09:30:01 5730.6 26 190.0 \n",
"4 IC2210 2022-10-10 09:30:01 5730.2 29 219.0 \n",
"... ... ... ... ... ... \n",
"5833 IC2306 2022-11-23 14:59:57 6026.0 1 6468.0 \n",
"5834 IC2306 2022-11-23 14:59:58 6026.0 0 6468.0 \n",
"5835 IC2306 2022-11-23 14:59:59 6026.0 5 6473.0 \n",
"5836 IC2306 2022-11-23 15:00:00 6019.2 1 6474.0 \n",
"5837 IC2306 2022-11-23 15:25:24 6019.2 0 6474.0 \n",
update read data
2 years ago
"\n",
curr version
2 years ago
" m_nMatchItems m_nAccMatchItems m_nBidPrice m_nBidVolume m_nAskPrice \\\n",
"0 -76 -29454.0 5730.0 11 5730.2 \n",
"1 -16 -29470.0 5730.0 1 5732.0 \n",
"2 -20 -29490.0 5730.2 1 5730.8 \n",
"3 -17 -29507.0 5730.2 2 5732.0 \n",
"4 -19 -29526.0 5730.2 1 5731.4 \n",
"... ... ... ... ... ... \n",
"5833 0 -23469.0 6019.0 1 6026.0 \n",
"5834 0 -23469.0 6019.2 1 6026.0 \n",
"5835 0 -23469.0 6019.2 1 6026.0 \n",
"5836 0 -23469.0 6019.0 1 6019.2 \n",
"5837 0 -23469.0 6019.0 1 6019.2 \n",
update read data
2 years ago
"\n",
curr version
2 years ago
" m_nAskVolume \n",
"0 1 \n",
"1 10 \n",
"2 2 \n",
"3 7 \n",
"4 1 \n",
"... ... \n",
"5833 9 \n",
"5834 9 \n",
"5835 4 \n",
"5836 9 \n",
"5837 9 \n",
update read data
2 years ago
"\n",
curr version
2 years ago
"[2881230 rows x 11 columns]"
update read data
2 years ago
]
},
"execution_count": 10,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
curr version
2 years ago
"st_d = '2022.10.01'\n",
"en_d = '2022.11.24'\n",
"code_init = 'IC'\n",
"\n",
"spt=\"\"\"pt=loadTable(\"dfs://hft_futuremarket_ts\",\"TickPartitioned\")\n",
"select code,m_nDatetime,m_nPrice,m_iVolume,m_iAccVolume,m_nMatchItems,m_nAccMatchItems,m_nBidPrice,m_nBidVolume,m_nAskPrice,m_nAskVolume from pt where m_nDatetime.date()>={st_d}d and m_nDatetime.date()<={en_d}d and code_init=`{code_init}\n",
"\"\"\".format(st_d=st_d,en_d=en_d,code_init=code_init)\n",
"\n",
"block= sess.run(spt, fetchSize = 8192)\n",
"\n",
"total = []\n",
"while block.hasNext():\n",
" tem = block.read()\n",
" total.append(tem)\n",
"\n",
"import pandas as pd\n",
"df_ddb=pd.concat(total)\n",
"df_ddb"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"## 表结构和字段解释\n",
"\n",
"### DailyFutureInfoPartitioned\n"
]
},
{
"cell_type": "code",
"execution_count": 14,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"{'partitionType': array([1, 1], dtype=int32),\n",
" 'partitionColumnType': array([ 7, 17], dtype=int32),\n",
" 'partitionColumnIndex': array([7, 1], dtype=int32),\n",
" 'chunkPath': None,\n",
" 'colDefs': name typeString typeInt comment\n",
" 0 code_dom STRING 18 \n",
" 1 code_init STRING 18 \n",
" 2 code_cont STRING 18 \n",
" 3 code_cont1 STRING 18 \n",
" 4 code_cont2 STRING 18 \n",
" 5 code_cont3 STRING 18 \n",
" 6 code_cont4 STRING 18 \n",
" 7 m_nDate NANOTIMESTAMP 14 ,\n",
" 'chunkGranularity': 'TABLE',\n",
" 'partitionTypeName': array(['VALUE', 'VALUE'], dtype=object),\n",
" 'keepDuplicates': 'ALL',\n",
" 'engineType': 'TSDB',\n",
" 'partitionColumnName': array(['m_nDate', 'code_init'], dtype=object),\n",
" 'partitionSchema': [array(['2050-11', '2050-10', '2050-09', '2050-08', '2050-07', '2050-06',\n",
" '2050-05', '2050-04', '2050-03', '2050-02', '2050-01', '2049-12',\n",
" '2049-11', '2049-10', '2049-09', '2049-08', '2049-07', '2049-06',\n",
" '2049-05', '2049-04', '2049-03', '2049-02', '2049-01', '2048-12',\n",
" '2048-11', '2048-10', '2048-09', '2048-08', '2048-07', '2048-06',\n",
" '2048-05', '2048-04', '2048-03', '2048-02', '2048-01', '2047-12',\n",
" '2047-11', '2047-10', '2047-09', '2047-08', '2047-07', '2047-06',\n",
" '2047-05', '2047-04', '2047-03', '2047-02', '2047-01', '2046-12',\n",
" '2046-11', '2046-10', '2046-09', '2046-08', '2046-07', '2046-06',\n",
" '2046-05', '2046-04', '2046-03', '2046-02', '2046-01', '2045-12',\n",
" '2045-11', '2045-10', '2045-09', '2045-08', '2045-07', '2045-06',\n",
" '2045-05', '2045-04', '2045-03', '2045-02', '2045-01', '2044-12',\n",
" '2044-11', '2044-10', '2044-09', '2044-08', '2044-07', '2044-06',\n",
" '2044-05', '2044-04', '2044-03', '2044-02', '2044-01', '2043-12',\n",
" '2043-11', '2043-10', '2043-09', '2043-08', '2043-07', '2043-06',\n",
" '2043-05', '2043-04', '2043-03', '2043-02', '2043-01', '2042-12',\n",
" '2042-11', '2042-10', '2042-09', '2042-08', '2042-07', '2042-06',\n",
" '2042-05', '2042-04', '2042-03', '2042-02', '2042-01', '2041-12',\n",
" '2041-11', '2041-10', '2041-09', '2041-08', '2041-07', '2041-06',\n",
" '2041-05', '2041-04', '2041-03', '2041-02', '2041-01', '2040-12',\n",
" '2040-11', '2040-10', '2040-09', '2040-08', '2040-07', '2040-06',\n",
" '2040-05', '2040-04', '2040-03', '2040-02', '2040-01', '2039-12',\n",
" '2039-11', '2039-10', '2039-09', '2039-08', '2039-07', '2039-06',\n",
" '2039-05', '2039-04', '2039-03', '2039-02', '2039-01', '2038-12',\n",
" '2038-11', '2038-10', '2038-09', '2038-08', '2038-07', '2038-06',\n",
" '2038-05', '2038-04', '2038-03', '2038-02', '2038-01', '2037-12',\n",
" '2037-11', '2037-10', '2037-09', '2037-08', '2037-07', '2037-06',\n",
" '2037-05', '2037-04', '2037-03', '2037-01', '2036-12', '2036-11',\n",
" '2036-10', '2036-09', '2036-08', '2036-07', '2036-06', '2036-05',\n",
" '2036-04', '2036-03', '2036-02', '2036-01', '2035-12', '2035-11',\n",
" '2035-10', '2035-09', '2035-08', '2035-07', '2035-06', '2035-05',\n",
" '2035-04', '2035-03', '2035-02', '2035-01', '2034-12', '2034-11',\n",
" '2034-10', '2034-09', '2034-08', '2034-07', '2034-06', '2034-05',\n",
" '2034-04', '2034-03', '2034-02', '2034-01', '2033-12', '2033-11',\n",
" '2033-10', '2033-09', '2033-08', '2033-07', '2033-06', '2033-05',\n",
" '2033-04', '2033-03', '2033-02', '2033-01', '2032-12', '2032-11',\n",
" '2032-10', '2032-09', '2032-08', '2032-07', '2032-06', '2032-05',\n",
" '2032-04', '2032-03', '2032-02', '2032-01', '2031-12', '2031-11',\n",
" '2031-10', '2031-09', '2031-08', '2031-07', '2031-06', '2031-05',\n",
" '2031-04', '2031-03', '2031-02', '2031-01', '2030-12', '2030-11',\n",
" '2030-10', '2030-09', '2030-08', '2030-07', '2030-06', '2030-05',\n",
" '2030-04', '2030-03', '2030-02', '2030-01', '2029-12', '2029-11',\n",
" '2029-10', '2029-09', '2029-08', '2029-07', '2029-06', '2029-05',\n",
" '2029-04', '2029-03', '2029-02', '2029-01', '2028-12', '2028-11',\n",
" '2028-10', '2028-09', '2028-08', '2028-07', '2028-06', '2028-05',\n",
" '2028-04', '2028-03', '2028-02', '2028-01', '2027-12', '2027-11',\n",
" '2027-10', '2027-09', '2027-08', '2027-07', '2027-06', '2027-05',\n",
" '2027-04', '2027-03', '2027-02', '2027-01', '2026-12', '2026-11',\n",
" '2026-10', '2026-09', '2026-08', '2026-07', '2026-06', '2026-05',\n",
" '2026-04', '2026-03', '2026-02', '2026-01', '2025-12', '2025-11',\n",
" '2025-10', '2025-09', '2025-08', '2025-07', '2025-06', '2025-05',\n",
" '2025-04', '2025-03', '2025-02', '2025-01', '2024-12', '2024-11',\n",
" '2024-10', '2024-09', '2024-08', '2024-07', '2024-06', '2024-05',\n",
" '2024-04', '2024-03', '2024-02', '2024-01', '2023-12', '2023-11',\n",
" '2023-10', '2023-09', '2023-08', '2023-07', '2023-06', '2023-05',\n",
" '2023-04', '2023-03', '2023-02', '2023-01', '2022-12', '2022-11',\n",
" '2022-10', '2022-09', '2022-08', '2022-07', '2022-06', '2022-05',\n",
" '2022-04', '2022-03', '2022-02', '2022-01', '2021-12', '2021-11',\n",
" '2021-10', '2021-09', '2021-08', '2021-07', '2021-06', '2021-05',\n",
" '2021-04', '2021-03', '2021-02', '2021-01', '2020-12', '2020-11',\n",
" '2020-10', '2020-09', '2020-08', '2020-07', '2020-06', '2020-05',\n",
" '2020-04', '2020-03', '2020-02', '2020-01', '2019-12', '2019-11',\n",
" '2019-10', '2019-09', '2019-08', '2019-07', '2019-06', '2019-05',\n",
" '2019-04', '2019-03', '2019-02', '2019-01', '2018-12', '2018-11',\n",
" '2018-10', '2018-09', '2018-08', '2018-07', '2018-06', '2018-05',\n",
" '2018-04', '2018-03', '2018-02', '2018-01', '2017-12', '2017-11',\n",
" '2017-10', '2017-09', '2017-08', '2017-07', '2017-06', '2017-05',\n",
" '2017-04', '2017-03', '2017-02', '2017-01', '2016-12', '2016-11',\n",
" '2016-10', '2016-09', '2016-08', '2016-07', '2016-06', '2016-05',\n",
" '2016-04', '2016-03', '2016-02', '2016-01', '2015-12', '2015-11',\n",
" '2015-10', '2015-09', '2015-08', '2015-07', '2015-06', '2015-05',\n",
" '2015-04', '2015-03', '2015-02', '2015-01', '2014-12', '2014-11',\n",
" '2014-10', '2014-09', '2014-08', '2014-07', '2014-06', '2014-05',\n",
" '2014-04', '2014-03', '2014-02', '2014-01', '2013-12', '2013-11',\n",
" '2013-10', '2013-09', '2013-08', '2013-07', '2013-06', '2013-05',\n",
" '2013-04', '2013-03', '2013-02', '2013-01', '2012-12', '2012-11',\n",
" '2012-10', '2012-09', '2012-08', '2012-07', '2012-06', '2012-05',\n",
" '2012-04', '2012-03', '2012-02', '2012-01', '2011-12', '2011-11',\n",
" '2011-10', '2011-09', '2011-08', '2011-07', '2011-06', '2011-05',\n",
" '2011-04', '2011-03', '2011-02', '2011-01', '2010-12', '2010-11',\n",
" '2010-10', '2010-09', '2010-08', '2010-07', '2010-06', '2010-05',\n",
" '2010-04', '2010-03', '2010-02', '2010-01', '2009-12', '2009-11',\n",
" '2009-10', '2009-09', '2009-08', '2009-07', '2009-06', '2009-05',\n",
" '2009-04', '2009-03', '2009-02', '2009-01', '2008-12', '2008-11',\n",
" '2008-10', '2008-09', '2008-08', '2008-07', '2008-06', '2008-05',\n",
" '2008-04', '2008-03', '2008-02', '2008-01', '2007-12', '2007-11',\n",
" '2007-10', '2007-09', '2007-08', '2007-07', '2007-06', '2007-05',\n",
" '2007-04', '2007-03', '2007-02', '2007-01', '2006-12', '2006-11',\n",
" '2006-10', '2006-09', '2006-08', '2006-07', '2006-06', '2006-05',\n",
" '2006-04', '2006-03', '2006-02', '2006-01', '2005-12', '2005-11',\n",
" '2005-10', '2005-09', '2005-08', '2005-07', '2005-06', '2005-05',\n",
" '2005-04', '2005-03', '2005-02', '2005-01', '2004-12', '2004-11',\n",
" '2004-10', '2004-09', '2004-08', '2004-07', '2004-06', '2004-05',\n",
" '2004-04', '2004-03', '2004-02', '2004-01', '2003-12', '2003-11',\n",
" '2003-10', '2003-09', '2003-08', '2003-07', '2003-06', '2003-05',\n",
" '2003-04', '2003-03', '2003-02', '2003-01', '2002-12', '2002-11',\n",
" '2002-10', '2002-09', '2002-08', '2002-07', '2002-06', '2002-05',\n",
" '2002-04', '2002-03', '2002-02', '2002-01', '2001-12', '2001-11',\n",
" '2001-10', '2001-09', '2001-08', '2001-07', '2001-06', '2001-05',\n",
" '2001-04', '2001-03', '2001-02', '2001-01', '2000-12', '2000-11',\n",
" '2000-10', '2000-09', '2000-08', '2000-07', '2000-06', '2000-05',\n",
" '2000-04', '2000-03', '2000-02', '2000-01', '2037-02', '1899-12'],\n",
" dtype='datetime64[M]'),\n",
" array(['zn', 'y', 'wr', 'v', 'ss', 'sp', 'sn', 'sc', 'ru', 'rr', 'rb',\n",
" 'pp', 'pg', 'pb', 'p', 'nr', 'ni', 'm', 'lu', 'lh', 'l', 'jm',\n",
" 'jd', 'j', 'i', 'hc', 'fu', 'fb', 'eg', 'eb', 'cu', 'cs', 'c',\n",
" 'bu', 'bc', 'bb', 'b', 'au', 'al', 'ag', 'a', 'ZC', 'WH', 'UR',\n",
" 'TS', 'TF', 'TA', 'T', 'SR', 'SM', 'SF', 'SA', 'RS', 'RM', 'RI',\n",
" 'PM', 'PK', 'PF', 'OI', 'MA', 'LR', 'JR', 'IM', 'IH', 'IF', 'IC',\n",
" 'FG', 'CY', 'CJ', 'CF', 'AP'], dtype=object)],\n",
" 'sortColumns': array(['code_init', 'm_nDate'], dtype=object),\n",
" 'partitionSites': None}"
]
},
"execution_count": 14,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"sess.run('loadTable(\"dfs://hft_futuremarket_ts\",\"DailyFutureInfoPartitioned\").schema()')"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"### MinKlinePartitioned"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"{'partitionType': array([1, 1], dtype=int32),\n",
" 'partitionColumnType': array([ 7, 17], dtype=int32),\n",
" 'partitionColumnIndex': array([ 1, 37], dtype=int32),\n",
" 'chunkPath': None,\n",
" 'colDefs': name typeString typeInt comment\n",
" 0 code STRING 18 \n",
" 1 m_nDatetime NANOTIMESTAMP 14 \n",
" 2 m_nPrice DOUBLE 16 \n",
" 3 m_nOpen DOUBLE 16 \n",
" 4 m_nHigh DOUBLE 16 \n",
" 5 m_nLow DOUBLE 16 \n",
" 6 m_nClose DOUBLE 16 \n",
" 7 m_nAccHigh DOUBLE 16 \n",
" 8 m_nAccLow DOUBLE 16 \n",
" 9 m_iVolume SHORT 3 \n",
" 10 m_iAccVolume SHORT 3 \n",
" 11 m_nMatchItems SHORT 3 \n",
" 12 m_nAccMatchItems SHORT 3 \n",
" 13 m_iTurnover DOUBLE 16 \n",
" 14 m_iAccTurnover DOUBLE 16 \n",
" 15 m_nPreClose DOUBLE 16 \n",
" 16 m_nAccPreClose DOUBLE 16 \n",
" 17 m_nBidPrice DOUBLE 16 \n",
" 18 m_nBidVolume SHORT 3 \n",
" 19 m_nAskPrice DOUBLE 16 \n",
" 20 m_nAskVolume SHORT 3 \n",
" 21 m_iABFlag CHAR 2 \n",
" 22 m_nActBidVolume SHORT 3 \n",
" 23 m_nAccActBidVolume SHORT 3 \n",
" 24 m_nActBidTurnover DOUBLE 16 \n",
" 25 m_nAccActBidTurnover DOUBLE 16 \n",
" 26 m_nActAskVolume SHORT 3 \n",
" 27 m_nAccActAskVolume SHORT 3 \n",
" 28 m_nActAskTurnover DOUBLE 16 \n",
" 29 m_nAccActAskTurnover DOUBLE 16 \n",
" 30 m_nBidOrder DOUBLE 16 \n",
" 31 m_nAccBidOrder DOUBLE 16 \n",
" 32 m_nAskOrder DOUBLE 16 \n",
" 33 m_nAccAskOrder DOUBLE 16 \n",
" 34 m_nABOrderRate DOUBLE 16 \n",
" 35 m_nAccABOrderRate DOUBLE 16 \n",
" 36 m_nMItemsVolRate DOUBLE 16 \n",
" 37 code_init STRING 18 ,\n",
" 'chunkGranularity': 'TABLE',\n",
" 'partitionTypeName': array(['VALUE', 'VALUE'], dtype=object),\n",
" 'keepDuplicates': 'ALL',\n",
" 'engineType': 'TSDB',\n",
" 'partitionColumnName': array(['m_nDatetime', 'code_init'], dtype=object),\n",
" 'partitionSchema': [array(['2050-11', '2050-10', '2050-09', '2050-08', '2050-07', '2050-06',\n",
" '2050-05', '2050-04', '2050-03', '2050-02', '2050-01', '2049-12',\n",
" '2049-11', '2049-10', '2049-09', '2049-08', '2049-07', '2049-06',\n",
" '2049-05', '2049-04', '2049-03', '2049-02', '2049-01', '2048-12',\n",
" '2048-11', '2048-10', '2048-09', '2048-08', '2048-07', '2048-06',\n",
" '2048-05', '2048-04', '2048-03', '2048-02', '2048-01', '2047-12',\n",
" '2047-11', '2047-10', '2047-09', '2047-08', '2047-07', '2047-06',\n",
" '2047-05', '2047-04', '2047-03', '2047-02', '2047-01', '2046-12',\n",
" '2046-11', '2046-10', '2046-09', '2046-08', '2046-07', '2046-06',\n",
" '2046-05', '2046-04', '2046-03', '2046-02', '2046-01', '2045-12',\n",
" '2045-11', '2045-10', '2045-09', '2045-08', '2045-07', '2045-06',\n",
" '2045-05', '2045-04', '2045-03', '2045-02', '2045-01', '2044-12',\n",
" '2044-11', '2044-10', '2044-09', '2044-08', '2044-07', '2044-06',\n",
" '2044-05', '2044-04', '2044-03', '2044-02', '2044-01', '2043-12',\n",
" '2043-11', '2043-10', '2043-09', '2043-08', '2043-07', '2043-06',\n",
" '2043-05', '2043-04', '2043-03', '2043-02', '2043-01', '2042-12',\n",
" '2042-11', '2042-10', '2042-09', '2042-08', '2042-07', '2042-06',\n",
" '2042-05', '2042-04', '2042-03', '2042-02', '2042-01', '2041-12',\n",
" '2041-11', '2041-10', '2041-09', '2041-08', '2041-07', '2041-06',\n",
" '2041-05', '2041-04', '2041-03', '2041-02', '2041-01', '2040-12',\n",
" '2040-11', '2040-10', '2040-09', '2040-08', '2040-07', '2040-06',\n",
" '2040-05', '2040-04', '2040-03', '2040-02', '2040-01', '2039-12',\n",
" '2039-11', '2039-10', '2039-09', '2039-08', '2039-07', '2039-06',\n",
" '2039-05', '2039-04', '2039-03', '2039-02', '2039-01', '2038-12',\n",
" '2038-11', '2038-10', '2038-09', '2038-08', '2038-07', '2038-06',\n",
" '2038-05', '2038-04', '2038-03', '2038-02', '2038-01', '2037-12',\n",
" '2037-11', '2037-10', '2037-09', '2037-08', '2037-07', '2037-06',\n",
" '2037-05', '2037-04', '2037-03', '2037-01', '2036-12', '2036-11',\n",
" '2036-10', '2036-09', '2036-08', '2036-07', '2036-06', '2036-05',\n",
" '2036-04', '2036-03', '2036-02', '2036-01', '2035-12', '2035-11',\n",
" '2035-10', '2035-09', '2035-08', '2035-07', '2035-06', '2035-05',\n",
" '2035-04', '2035-03', '2035-02', '2035-01', '2034-12', '2034-11',\n",
" '2034-10', '2034-09', '2034-08', '2034-07', '2034-06', '2034-05',\n",
" '2034-04', '2034-03', '2034-02', '2034-01', '2033-12', '2033-11',\n",
" '2033-10', '2033-09', '2033-08', '2033-07', '2033-06', '2033-05',\n",
" '2033-04', '2033-03', '2033-02', '2033-01', '2032-12', '2032-11',\n",
" '2032-10', '2032-09', '2032-08', '2032-07', '2032-06', '2032-05',\n",
" '2032-04', '2032-03', '2032-02', '2032-01', '2031-12', '2031-11',\n",
" '2031-10', '2031-09', '2031-08', '2031-07', '2031-06', '2031-05',\n",
" '2031-04', '2031-03', '2031-02', '2031-01', '2030-12', '2030-11',\n",
" '2030-10', '2030-09', '2030-08', '2030-07', '2030-06', '2030-05',\n",
" '2030-04', '2030-03', '2030-02', '2030-01', '2029-12', '2029-11',\n",
" '2029-10', '2029-09', '2029-08', '2029-07', '2029-06', '2029-05',\n",
" '2029-04', '2029-03', '2029-02', '2029-01', '2028-12', '2028-11',\n",
" '2028-10', '2028-09', '2028-08', '2028-07', '2028-06', '2028-05',\n",
" '2028-04', '2028-03', '2028-02', '2028-01', '2027-12', '2027-11',\n",
" '2027-10', '2027-09', '2027-08', '2027-07', '2027-06', '2027-05',\n",
" '2027-04', '2027-03', '2027-02', '2027-01', '2026-12', '2026-11',\n",
" '2026-10', '2026-09', '2026-08', '2026-07', '2026-06', '2026-05',\n",
" '2026-04', '2026-03', '2026-02', '2026-01', '2025-12', '2025-11',\n",
" '2025-10', '2025-09', '2025-08', '2025-07', '2025-06', '2025-05',\n",
" '2025-04', '2025-03', '2025-02', '2025-01', '2024-12', '2024-11',\n",
" '2024-10', '2024-09', '2024-08', '2024-07', '2024-06', '2024-05',\n",
" '2024-04', '2024-03', '2024-02', '2024-01', '2023-12', '2023-11',\n",
" '2023-10', '2023-09', '2023-08', '2023-07', '2023-06', '2023-05',\n",
" '2023-04', '2023-03', '2023-02', '2023-01', '2022-12', '2022-11',\n",
" '2022-10', '2022-09', '2022-08', '2022-07', '2022-06', '2022-05',\n",
" '2022-04', '2022-03', '2022-02', '2022-01', '2021-12', '2021-11',\n",
" '2021-10', '2021-09', '2021-08', '2021-07', '2021-06', '2021-05',\n",
" '2021-04', '2021-03', '2021-02', '2021-01', '2020-12', '2020-11',\n",
" '2020-10', '2020-09', '2020-08', '2020-07', '2020-06', '2020-05',\n",
" '2020-04', '2020-03', '2020-02', '2020-01', '2019-12', '2019-11',\n",
" '2019-10', '2019-09', '2019-08', '2019-07', '2019-06', '2019-05',\n",
" '2019-04', '2019-03', '2019-02', '2019-01', '2018-12', '2018-11',\n",
" '2018-10', '2018-09', '2018-08', '2018-07', '2018-06', '2018-05',\n",
" '2018-04', '2018-03', '2018-02', '2018-01', '2017-12', '2017-11',\n",
" '2017-10', '2017-09', '2017-08', '2017-07', '2017-06', '2017-05',\n",
" '2017-04', '2017-03', '2017-02', '2017-01', '2016-12', '2016-11',\n",
" '2016-10', '2016-09', '2016-08', '2016-07', '2016-06', '2016-05',\n",
" '2016-04', '2016-03', '2016-02', '2016-01', '2015-12', '2015-11',\n",
" '2015-10', '2015-09', '2015-08', '2015-07', '2015-06', '2015-05',\n",
" '2015-04', '2015-03', '2015-02', '2015-01', '2014-12', '2014-11',\n",
" '2014-10', '2014-09', '2014-08', '2014-07', '2014-06', '2014-05',\n",
" '2014-04', '2014-03', '2014-02', '2014-01', '2013-12', '2013-11',\n",
" '2013-10', '2013-09', '2013-08', '2013-07', '2013-06', '2013-05',\n",
" '2013-04', '2013-03', '2013-02', '2013-01', '2012-12', '2012-11',\n",
" '2012-10', '2012-09', '2012-08', '2012-07', '2012-06', '2012-05',\n",
" '2012-04', '2012-03', '2012-02', '2012-01', '2011-12', '2011-11',\n",
" '2011-10', '2011-09', '2011-08', '2011-07', '2011-06', '2011-05',\n",
" '2011-04', '2011-03', '2011-02', '2011-01', '2010-12', '2010-11',\n",
" '2010-10', '2010-09', '2010-08', '2010-07', '2010-06', '2010-05',\n",
" '2010-04', '2010-03', '2010-02', '2010-01', '2009-12', '2009-11',\n",
" '2009-10', '2009-09', '2009-08', '2009-07', '2009-06', '2009-05',\n",
" '2009-04', '2009-03', '2009-02', '2009-01', '2008-12', '2008-11',\n",
" '2008-10', '2008-09', '2008-08', '2008-07', '2008-06', '2008-05',\n",
" '2008-04', '2008-03', '2008-02', '2008-01', '2007-12', '2007-11',\n",
" '2007-10', '2007-09', '2007-08', '2007-07', '2007-06', '2007-05',\n",
" '2007-04', '2007-03', '2007-02', '2007-01', '2006-12', '2006-11',\n",
" '2006-10', '2006-09', '2006-08', '2006-07', '2006-06', '2006-05',\n",
" '2006-04', '2006-03', '2006-02', '2006-01', '2005-12', '2005-11',\n",
" '2005-10', '2005-09', '2005-08', '2005-07', '2005-06', '2005-05',\n",
" '2005-04', '2005-03', '2005-02', '2005-01', '2004-12', '2004-11',\n",
" '2004-10', '2004-09', '2004-08', '2004-07', '2004-06', '2004-05',\n",
" '2004-04', '2004-03', '2004-02', '2004-01', '2003-12', '2003-11',\n",
" '2003-10', '2003-09', '2003-08', '2003-07', '2003-06', '2003-05',\n",
" '2003-04', '2003-03', '2003-02', '2003-01', '2002-12', '2002-11',\n",
" '2002-10', '2002-09', '2002-08', '2002-07', '2002-06', '2002-05',\n",
" '2002-04', '2002-03', '2002-02', '2002-01', '2001-12', '2001-11',\n",
" '2001-10', '2001-09', '2001-08', '2001-07', '2001-06', '2001-05',\n",
" '2001-04', '2001-03', '2001-02', '2001-01', '2000-12', '2000-11',\n",
" '2000-10', '2000-09', '2000-08', '2000-07', '2000-06', '2000-05',\n",
" '2000-04', '2000-03', '2000-02', '2000-01', '2037-02', '1899-12'],\n",
" dtype='datetime64[M]'),\n",
" array(['zn', 'y', 'wr', 'v', 'ss', 'sp', 'sn', 'sc', 'ru', 'rr', 'rb',\n",
" 'pp', 'pg', 'pb', 'p', 'nr', 'ni', 'm', 'lu', 'lh', 'l', 'jm',\n",
" 'jd', 'j', 'i', 'hc', 'fu', 'fb', 'eg', 'eb', 'cu', 'cs', 'c',\n",
" 'bu', 'bc', 'bb', 'b', 'au', 'al', 'ag', 'a', 'ZC', 'WH', 'UR',\n",
" 'TS', 'TF', 'TA', 'T', 'SR', 'SM', 'SF', 'SA', 'RS', 'RM', 'RI',\n",
" 'PM', 'PK', 'PF', 'OI', 'MA', 'LR', 'JR', 'IM', 'IH', 'IF', 'IC',\n",
" 'FG', 'CY', 'CJ', 'CF', 'AP'], dtype=object)],\n",
" 'sortColumns': array(['code', 'm_nDatetime'], dtype=object),\n",
" 'partitionSites': None}"
]
},
"execution_count": 5,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"sess.run('loadTable(\"dfs://hft_futuremarket_ts\",\"MinKlinePartitioned\").schema()')"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"### TickPartitioned"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"{'partitionType': array([1, 1], dtype=int32),\n",
" 'partitionColumnType': array([ 7, 17], dtype=int32),\n",
" 'partitionColumnIndex': array([ 1, 37], dtype=int32),\n",
" 'chunkPath': None,\n",
" 'colDefs': name typeString typeInt comment\n",
" 0 code STRING 18 \n",
" 1 m_nDatetime NANOTIMESTAMP 14 \n",
" 2 m_nPrice DOUBLE 16 \n",
" 3 m_nOpen DOUBLE 16 \n",
" 4 m_nHigh DOUBLE 16 \n",
" 5 m_nLow DOUBLE 16 \n",
" 6 m_nClose DOUBLE 16 \n",
" 7 m_nAccHigh DOUBLE 16 \n",
" 8 m_nAccLow DOUBLE 16 \n",
" 9 m_iVolume SHORT 3 \n",
" 10 m_iAccVolume SHORT 3 \n",
" 11 m_nMatchItems SHORT 3 \n",
" 12 m_nAccMatchItems SHORT 3 \n",
" 13 m_iTurnover DOUBLE 16 \n",
" 14 m_iAccTurnover DOUBLE 16 \n",
" 15 m_nPreClose DOUBLE 16 \n",
" 16 m_nAccPreClose DOUBLE 16 \n",
" 17 m_nBidPrice DOUBLE 16 \n",
" 18 m_nBidVolume SHORT 3 \n",
" 19 m_nAskPrice DOUBLE 16 \n",
" 20 m_nAskVolume SHORT 3 \n",
" 21 m_iABFlag CHAR 2 \n",
" 22 m_nActBidVolume SHORT 3 \n",
" 23 m_nAccActBidVolume SHORT 3 \n",
" 24 m_nActBidTurnover DOUBLE 16 \n",
" 25 m_nAccActBidTurnover DOUBLE 16 \n",
" 26 m_nActAskVolume SHORT 3 \n",
" 27 m_nAccActAskVolume SHORT 3 \n",
" 28 m_nActAskTurnover DOUBLE 16 \n",
" 29 m_nAccActAskTurnover DOUBLE 16 \n",
" 30 m_nBidOrder DOUBLE 16 \n",
" 31 m_nAccBidOrder DOUBLE 16 \n",
" 32 m_nAskOrder DOUBLE 16 \n",
" 33 m_nAccAskOrder DOUBLE 16 \n",
" 34 m_nABOrderRate DOUBLE 16 \n",
" 35 m_nAccABOrderRate DOUBLE 16 \n",
" 36 m_nMItemsVolRate DOUBLE 16 \n",
" 37 code_init STRING 18 ,\n",
" 'chunkGranularity': 'TABLE',\n",
" 'partitionTypeName': array(['VALUE', 'VALUE'], dtype=object),\n",
" 'keepDuplicates': 'ALL',\n",
" 'engineType': 'TSDB',\n",
" 'partitionColumnName': array(['m_nDatetime', 'code_init'], dtype=object),\n",
" 'partitionSchema': [array(['2050-11', '2050-10', '2050-09', '2050-08', '2050-07', '2050-06',\n",
" '2050-05', '2050-04', '2050-03', '2050-02', '2050-01', '2049-12',\n",
" '2049-11', '2049-10', '2049-09', '2049-08', '2049-07', '2049-06',\n",
" '2049-05', '2049-04', '2049-03', '2049-02', '2049-01', '2048-12',\n",
" '2048-11', '2048-10', '2048-09', '2048-08', '2048-07', '2048-06',\n",
" '2048-05', '2048-04', '2048-03', '2048-02', '2048-01', '2047-12',\n",
" '2047-11', '2047-10', '2047-09', '2047-08', '2047-07', '2047-06',\n",
" '2047-05', '2047-04', '2047-03', '2047-02', '2047-01', '2046-12',\n",
" '2046-11', '2046-10', '2046-09', '2046-08', '2046-07', '2046-06',\n",
" '2046-05', '2046-04', '2046-03', '2046-02', '2046-01', '2045-12',\n",
" '2045-11', '2045-10', '2045-09', '2045-08', '2045-07', '2045-06',\n",
" '2045-05', '2045-04', '2045-03', '2045-02', '2045-01', '2044-12',\n",
" '2044-11', '2044-10', '2044-09', '2044-08', '2044-07', '2044-06',\n",
" '2044-05', '2044-04', '2044-03', '2044-02', '2044-01', '2043-12',\n",
" '2043-11', '2043-10', '2043-09', '2043-08', '2043-07', '2043-06',\n",
" '2043-05', '2043-04', '2043-03', '2043-02', '2043-01', '2042-12',\n",
" '2042-11', '2042-10', '2042-09', '2042-08', '2042-07', '2042-06',\n",
" '2042-05', '2042-04', '2042-03', '2042-02', '2042-01', '2041-12',\n",
" '2041-11', '2041-10', '2041-09', '2041-08', '2041-07', '2041-06',\n",
" '2041-05', '2041-04', '2041-03', '2041-02', '2041-01', '2040-12',\n",
" '2040-11', '2040-10', '2040-09', '2040-08', '2040-07', '2040-06',\n",
" '2040-05', '2040-04', '2040-03', '2040-02', '2040-01', '2039-12',\n",
" '2039-11', '2039-10', '2039-09', '2039-08', '2039-07', '2039-06',\n",
" '2039-05', '2039-04', '2039-03', '2039-02', '2039-01', '2038-12',\n",
" '2038-11', '2038-10', '2038-09', '2038-08', '2038-07', '2038-06',\n",
" '2038-05', '2038-04', '2038-03', '2038-02', '2038-01', '2037-12',\n",
" '2037-11', '2037-10', '2037-09', '2037-08', '2037-07', '2037-06',\n",
" '2037-05', '2037-04', '2037-03', '2037-01', '2036-12', '2036-11',\n",
" '2036-10', '2036-09', '2036-08', '2036-07', '2036-06', '2036-05',\n",
" '2036-04', '2036-03', '2036-02', '2036-01', '2035-12', '2035-11',\n",
" '2035-10', '2035-09', '2035-08', '2035-07', '2035-06', '2035-05',\n",
" '2035-04', '2035-03', '2035-02', '2035-01', '2034-12', '2034-11',\n",
" '2034-10', '2034-09', '2034-08', '2034-07', '2034-06', '2034-05',\n",
" '2034-04', '2034-03', '2034-02', '2034-01', '2033-12', '2033-11',\n",
" '2033-10', '2033-09', '2033-08', '2033-07', '2033-06', '2033-05',\n",
" '2033-04', '2033-03', '2033-02', '2033-01', '2032-12', '2032-11',\n",
" '2032-10', '2032-09', '2032-08', '2032-07', '2032-06', '2032-05',\n",
" '2032-04', '2032-03', '2032-02', '2032-01', '2031-12', '2031-11',\n",
" '2031-10', '2031-09', '2031-08', '2031-07', '2031-06', '2031-05',\n",
" '2031-04', '2031-03', '2031-02', '2031-01', '2030-12', '2030-11',\n",
" '2030-10', '2030-09', '2030-08', '2030-07', '2030-06', '2030-05',\n",
" '2030-04', '2030-03', '2030-02', '2030-01', '2029-12', '2029-11',\n",
" '2029-10', '2029-09', '2029-08', '2029-07', '2029-06', '2029-05',\n",
" '2029-04', '2029-03', '2029-02', '2029-01', '2028-12', '2028-11',\n",
" '2028-10', '2028-09', '2028-08', '2028-07', '2028-06', '2028-05',\n",
" '2028-04', '2028-03', '2028-02', '2028-01', '2027-12', '2027-11',\n",
" '2027-10', '2027-09', '2027-08', '2027-07', '2027-06', '2027-05',\n",
" '2027-04', '2027-03', '2027-02', '2027-01', '2026-12', '2026-11',\n",
" '2026-10', '2026-09', '2026-08', '2026-07', '2026-06', '2026-05',\n",
" '2026-04', '2026-03', '2026-02', '2026-01', '2025-12', '2025-11',\n",
" '2025-10', '2025-09', '2025-08', '2025-07', '2025-06', '2025-05',\n",
" '2025-04', '2025-03', '2025-02', '2025-01', '2024-12', '2024-11',\n",
" '2024-10', '2024-09', '2024-08', '2024-07', '2024-06', '2024-05',\n",
" '2024-04', '2024-03', '2024-02', '2024-01', '2023-12', '2023-11',\n",
" '2023-10', '2023-09', '2023-08', '2023-07', '2023-06', '2023-05',\n",
" '2023-04', '2023-03', '2023-02', '2023-01', '2022-12', '2022-11',\n",
" '2022-10', '2022-09', '2022-08', '2022-07', '2022-06', '2022-05',\n",
" '2022-04', '2022-03', '2022-02', '2022-01', '2021-12', '2021-11',\n",
" '2021-10', '2021-09', '2021-08', '2021-07', '2021-06', '2021-05',\n",
" '2021-04', '2021-03', '2021-02', '2021-01', '2020-12', '2020-11',\n",
" '2020-10', '2020-09', '2020-08', '2020-07', '2020-06', '2020-05',\n",
" '2020-04', '2020-03', '2020-02', '2020-01', '2019-12', '2019-11',\n",
" '2019-10', '2019-09', '2019-08', '2019-07', '2019-06', '2019-05',\n",
" '2019-04', '2019-03', '2019-02', '2019-01', '2018-12', '2018-11',\n",
" '2018-10', '2018-09', '2018-08', '2018-07', '2018-06', '2018-05',\n",
" '2018-04', '2018-03', '2018-02', '2018-01', '2017-12', '2017-11',\n",
" '2017-10', '2017-09', '2017-08', '2017-07', '2017-06', '2017-05',\n",
" '2017-04', '2017-03', '2017-02', '2017-01', '2016-12', '2016-11',\n",
" '2016-10', '2016-09', '2016-08', '2016-07', '2016-06', '2016-05',\n",
" '2016-04', '2016-03', '2016-02', '2016-01', '2015-12', '2015-11',\n",
" '2015-10', '2015-09', '2015-08', '2015-07', '2015-06', '2015-05',\n",
" '2015-04', '2015-03', '2015-02', '2015-01', '2014-12', '2014-11',\n",
" '2014-10', '2014-09', '2014-08', '2014-07', '2014-06', '2014-05',\n",
" '2014-04', '2014-03', '2014-02', '2014-01', '2013-12', '2013-11',\n",
" '2013-10', '2013-09', '2013-08', '2013-07', '2013-06', '2013-05',\n",
" '2013-04', '2013-03', '2013-02', '2013-01', '2012-12', '2012-11',\n",
" '2012-10', '2012-09', '2012-08', '2012-07', '2012-06', '2012-05',\n",
" '2012-04', '2012-03', '2012-02', '2012-01', '2011-12', '2011-11',\n",
" '2011-10', '2011-09', '2011-08', '2011-07', '2011-06', '2011-05',\n",
" '2011-04', '2011-03', '2011-02', '2011-01', '2010-12', '2010-11',\n",
" '2010-10', '2010-09', '2010-08', '2010-07', '2010-06', '2010-05',\n",
" '2010-04', '2010-03', '2010-02', '2010-01', '2009-12', '2009-11',\n",
" '2009-10', '2009-09', '2009-08', '2009-07', '2009-06', '2009-05',\n",
" '2009-04', '2009-03', '2009-02', '2009-01', '2008-12', '2008-11',\n",
" '2008-10', '2008-09', '2008-08', '2008-07', '2008-06', '2008-05',\n",
" '2008-04', '2008-03', '2008-02', '2008-01', '2007-12', '2007-11',\n",
" '2007-10', '2007-09', '2007-08', '2007-07', '2007-06', '2007-05',\n",
" '2007-04', '2007-03', '2007-02', '2007-01', '2006-12', '2006-11',\n",
" '2006-10', '2006-09', '2006-08', '2006-07', '2006-06', '2006-05',\n",
" '2006-04', '2006-03', '2006-02', '2006-01', '2005-12', '2005-11',\n",
" '2005-10', '2005-09', '2005-08', '2005-07', '2005-06', '2005-05',\n",
" '2005-04', '2005-03', '2005-02', '2005-01', '2004-12', '2004-11',\n",
" '2004-10', '2004-09', '2004-08', '2004-07', '2004-06', '2004-05',\n",
" '2004-04', '2004-03', '2004-02', '2004-01', '2003-12', '2003-11',\n",
" '2003-10', '2003-09', '2003-08', '2003-07', '2003-06', '2003-05',\n",
" '2003-04', '2003-03', '2003-02', '2003-01', '2002-12', '2002-11',\n",
" '2002-10', '2002-09', '2002-08', '2002-07', '2002-06', '2002-05',\n",
" '2002-04', '2002-03', '2002-02', '2002-01', '2001-12', '2001-11',\n",
" '2001-10', '2001-09', '2001-08', '2001-07', '2001-06', '2001-05',\n",
" '2001-04', '2001-03', '2001-02', '2001-01', '2000-12', '2000-11',\n",
" '2000-10', '2000-09', '2000-08', '2000-07', '2000-06', '2000-05',\n",
" '2000-04', '2000-03', '2000-02', '2000-01', '2037-02', '1899-12'],\n",
" dtype='datetime64[M]'),\n",
" array(['zn', 'y', 'wr', 'v', 'ss', 'sp', 'sn', 'sc', 'ru', 'rr', 'rb',\n",
" 'pp', 'pg', 'pb', 'p', 'nr', 'ni', 'm', 'lu', 'lh', 'l', 'jm',\n",
" 'jd', 'j', 'i', 'hc', 'fu', 'fb', 'eg', 'eb', 'cu', 'cs', 'c',\n",
" 'bu', 'bc', 'bb', 'b', 'au', 'al', 'ag', 'a', 'ZC', 'WH', 'UR',\n",
" 'TS', 'TF', 'TA', 'T', 'SR', 'SM', 'SF', 'SA', 'RS', 'RM', 'RI',\n",
" 'PM', 'PK', 'PF', 'OI', 'MA', 'LR', 'JR', 'IM', 'IH', 'IF', 'IC',\n",
" 'FG', 'CY', 'CJ', 'CF', 'AP'], dtype=object)],\n",
" 'sortColumns': array(['code', 'm_nDatetime'], dtype=object),\n",
" 'partitionSites': None}"
]
},
"execution_count": 11,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"sess.run('loadTable(\"dfs://hft_futuremarket_ts\",\"TickPartitioned\").schema()')"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"### 字段解释"
]
},
{
"attachments": {},
"cell_type": "markdown",
"metadata": {},
"source": [
"```python\n",
"# def get_trade_tick(self, start_date, end_date, code_list):\n",
"\n",
"# code_list_input = ', '.join(['\\'%s\\'' % code_id for code_id in code_list])\n",
"scpt = \"\"\"\n",
" stock_list := Array({code_list_input});\n",
" r := select \n",
" ['StockID'] as 'code',\n",
" DateTimeToStr(['date']) as 'm_nDatetime',\n",
"\n",
" ['price'] as 'm_nPrice',\n",
" ['open'] as 'm_nOpen',\n",
" ['high'] as 'm_nHigh',\n",
" ['low'] as 'm_nLow',\n",
" ['close'] as 'm_nClose',\n",
"\n",
" ['sectional_high'] as 'm_nAccHigh',\n",
" ['sectional_low'] as 'm_nAccLow',\n",
"\n",
" ['vol'] as 'm_iVolume', //成交量\n",
" ['sectional_vol'] as 'm_iAccVolume', //时点当日累计成交量\n",
"\n",
" ['cjbs'] as 'm_nMatchItems', // 成交笔数 周期内的持仓的变动量\n",
" ['sectional_cjbs'] as 'm_nAccMatchItems',\n",
"\n",
" ['amount'] as 'm_iTurnover', //成交金额\n",
" ['sectional_amount'] as 'm_iAccTurnover', \n",
"\n",
" ['yclose'] as 'm_nPreClose', //上一周期的收盘价\n",
" ['sectional_yclose'] as 'm_nAccPreClose', // 前日收盘\n",
" \n",
" ['buy1'] as 'm_nBidPrice', //买一价？叫卖价?\n",
" ['bc1'] as 'm_nBidVolume', //买一量 当前以买一价出价的委买量\n",
" ['sale1'] as 'm_nAskPrice', \n",
" ['sc1'] as 'm_nAskVolume', \n",
"\n",
" ['zmm'] as 'm_iABFlag', //买卖标识\n",
"\n",
" ['buy_vol'] as 'm_nActBidVolume', //主买量\n",
" ['sectional_buy_vol'] as 'm_nAccActBidVolume', //时点当日累计主买量\n",
" ['buy_amount'] as 'm_nActBidTurnover', //主买金额\n",
" ['sectional_buy_amount'] as 'm_nAccActBidTurnover', \n",
"\n",
" ['sale_vol'] as 'm_nActAskVolume', \n",
" ['sectional_sale_vol'] as 'm_nAccActAskVolume', \n",
" ['sale_amount'] as 'm_nActAskTurnover',\n",
" ['sectional_sale_amount'] as 'm_nAccActAskTurnover', \n",
"\n",
" ['w_buy'] as 'm_nBidOrder', //委买\n",
" ['sectional_w_buy'] as 'm_nAccBidOrder', \n",
" ['w_sale'] as 'm_nAskOrder',\n",
" ['sectional_w_sale'] as 'm_nAccAskOrder',\n",
"\n",
" ['wb'] as 'm_nABOrderRate', //委比\n",
" ['sectional_wb'] as 'm_nAccABOrderRate', //时点当日累计委比\n",
" ['lb'] as 'm_nMItemsVolRate'//量比\n",
"\n",
" from tradetable\n",
" datekey {start_date}T to {end_date}T+0.999 \n",
" of stock_list\n",
" end;\n",
" \n",
" return r; \n",
"\"\"\".format(\n",
" code_list_input=code_list_input,\n",
" start_date=start_date,\n",
" end_date=end_date\n",
")\n",
"# logger.debug(scpt)\n",
"# r = self.c.exec(scpt,timeout=self.timeout_default)\n",
"# return r\n",
"\n",
"\"\"\"\n",
"(source: 天软数据字典 ver 2022-05-25)\n",
"vol: 周期内的成交量。如果周期为分钟，则表示这分钟的成 交量，并非从开盘累计.\n",
" 对于期货，高频和日线的单位都是合约数量，如果要建立成交量和成交金额之间的关系，还需考虑合约乘数。\n",
"amount: 周期内的成交金额。如果周期为分钟，则表示这分钟的成交金额，并非从开盘累计。\n",
"cjbs: 对于期货/期权而言，是周期内的持仓的变动量，日线的话表示当日持仓量，单位为:手。\n",
"wb: 公式:委买/委卖(w_buy/w_sale)\n",
"lb: 由天软计算:\n",
" 1、对于交易明细:\n",
" 量比=现成交总手/[(过去 5 个交易日平均每分钟成交 量)×当日累计开市时间(分)]\n",
" 2、对于秒线/1 分钟线: 量比取周期内最后一条交易明细的数据。\n",
"\n",
"zmm: 对 tradetable 公式:按下面的前后逻辑优先判定\n",
" 没有成交 -> 0\n",
" 当前成交价>上一笔买一价 ->主买 1 \n",
" 当前成交价<上一笔卖一价 ->主卖 2 \n",
" 否则->3(一般是集合竞价、涨停、跌停) \n",
" 对于非交易明细(秒线或分钟线等):没有意义\n",
"buy_vol: 主动性买盘成交量:周期内买卖标识为 1 的成交量+买 卖标识为 3 的成交量/2\n",
"buy_amount: 主动性买盘成交金额:周期内买卖标识为 1 的成交金额 +买卖标识为 3 的成交金额/2\n",
"sale_vol: 主动性卖盘成交量:周期内买卖标识为 2 的成交量之和 +买卖标识为 3 的成交量/2\n",
"sale_amount: 主动性卖盘成交金额:周期内买卖标识为 2 的成交金额 +买卖标识为 3 的成交金额/2\n",
"w_buy: 一个周期内的委买量\n",
"sectional: 从开盘到当前时间的\n",
"sectional_yclose: 上一交易日(周期是日)的收盘价，与‘上次价’不一 样。‘上次价’表示前一个周期的收盘价。\n",
"sectional_vol: 从开盘到当前时间的成交量之和(主买+主卖)\n",
"sectional_amount: 从开盘到当前时间的成交金额之和(主买+主卖)\n",
"sectional_cjbs: 股指期货/期权:市场现有持仓量\n",
"sectional_wb: 当日累计委买/当日累计委卖\n",
"\n",
"['sectional_open'] as 'm_nAccOpen', //时点当日开盘, 没必要存, 取上日2059的即可\n",
"\n",
"\"\"\"\n",
"\n",
"```"
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]
}
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