手把手教你写一个Python版的K线合成函数

在编写、使用策略时，经常会使用一些不常用的K线周期数据。然而交易所、数据源又没有提供这些周期的数据。只能通过使用已有周期的数据进行合成。合成算法已经有一个JavaScript版本了(链接)，其实移植一段JavaScript代码为Python版本很简单。接下来我们一起写一个Python版本的K线合成算法。

JavaScript版本

function GetNewCycleRecords (sourceRecords, targetCycle) { // K线合成函数

var ret = []

// 首先获取源K线数据的周期

if (!sourceRecords || sourceRecords.length < 2) {

return null

}

var sourceLen = sourceRecords.length

var sourceCycle = sourceRecords[sourceLen - 1].Time - sourceRecords[sourceLen - 2].Time

if (targetCycle % sourceCycle != 0) {

Log("targetCycle:", targetCycle)

Log("sourceCycle:", sourceCycle)

throw "targetCycle is not an integral multiple of sourceCycle."

}

if ((1000 * 60 * 60) % targetCycle != 0 && (1000 * 60 * 60 * 24) % targetCycle != 0) {

Log("targetCycle:", targetCycle)

Log("sourceCycle:", sourceCycle)

Log((1000 * 60 * 60) % targetCycle, (1000 * 60 * 60 * 24) % targetCycle)

throw "targetCycle cannot complete the cycle."

}

var multiple = targetCycle / sourceCycle

var isBegin = false

var count = 0

var high = 0

var low = 0

var open = 0

var close = 0

var time = 0

var vol = 0

for (var i = 0 ; i < sourceLen ; i++) {

// 获取 时区偏移数值

var d = new Date()

var n = d.getTimezoneOffset()

if (((1000 * 60 * 60 * 24) - sourceRecords[i].Time % (1000 * 60 * 60 * 24) + (n * 1000 * 60)) % targetCycle == 0) {

isBegin = true

}

if (isBegin) {

if (count == 0) {

high = sourceRecords[i].High

low = sourceRecords[i].Low

open = sourceRecords[i].Open

close = sourceRecords[i].Close

time = sourceRecords[i].Time

vol = sourceRecords[i].Volume

count++

} else if (count < multiple) {

high = Math.max(high, sourceRecords[i].High)

low = Math.min(low, sourceRecords[i].Low)

close = sourceRecords[i].Close

vol += sourceRecords[i].Volume

count++

}

if (count == multiple || i == sourceLen - 1) {

ret.push({

High : high,

Low : low,

Open : open,

Close : close,

Time : time,

Volume : vol,

})

count = 0

}

}

}

return ret

}

有JavaScript算法，对于Python其实逐行翻译移植就可以了，遇到JavaScript的内置函数，或者固有方法，对应的去Python中查找对应的方法即可，所以移植还是比较容易的。

算法逻辑完全一模一样，只是JavaScript的函数调用var n = d.getTimezoneOffset()，移植到Python时，使用Python的time库中的n = time.altzone代替。其它差异仅仅是语言语法方面的了(例如for循环的使用，布尔值的差别，逻辑与、逻辑非、逻辑或的使用差别等…)。

移植后的Python代码：

import time

def GetNewCycleRecords(sourceRecords, targetCycle):

ret = []

# 首先获取源K线数据的周期

if not sourceRecords or len(sourceRecords) < 2 :

return None

sourceLen = len(sourceRecords)

sourceCycle = sourceRecords[-1]["Time"] - sourceRecords[-2]["Time"]

if targetCycle % sourceCycle != 0 :

Log("targetCycle:", targetCycle)

Log("sourceCycle:", sourceCycle)

raise "targetCycle is not an integral multiple of sourceCycle."

if (1000 * 60 * 60) % targetCycle != 0 and (1000 * 60 * 60 * 24) % targetCycle != 0 :

Log("targetCycle:", targetCycle)

Log("sourceCycle:", sourceCycle)

Log((1000 * 60 * 60) % targetCycle, (1000 * 60 * 60 * 24) % targetCycle)

raise "targetCycle cannot complete the cycle."

multiple = targetCycle / sourceCycle

isBegin = False

count = 0

barHigh = 0

barLow = 0

barOpen = 0

barClose = 0

barTime = 0

barVol = 0

for i in range(sourceLen) :

# 获取时区偏移数值

n = time.altzone

if ((1000 * 60 * 60 * 24) - (sourceRecords[i]["Time"] * 1000) % (1000 * 60 * 60 * 24) + (n * 1000)) % targetCycle == 0 :

isBegin = True

if isBegin :

if count == 0 :

barHigh = sourceRecords[i]["High"]

barLow = sourceRecords[i]["Low"]

barOpen = sourceRecords[i]["Open"]

barClose = sourceRecords[i]["Close"]

barTime = sourceRecords[i]["Time"]

barVol = sourceRecords[i]["Volume"]

count += 1

elif count < multiple :

barHigh = max(barHigh, sourceRecords[i]["High"])

barLow = min(barLow, sourceRecords[i]["Low"])

barClose = sourceRecords[i]["Close"]

barVol += sourceRecords[i]["Volume"]

count += 1

if count == multiple or i == sourceLen - 1 :

ret.append({

"High" : barHigh,

"Low" : barLow,

"Open" : barOpen,

"Close" : barClose,

"Time" : barTime,

"Volume" : barVol,

})

count = 0

return ret

# 测试

def main():

while True:

r = exchange.GetRecords()

r2 = GetNewCycleRecords(r, 1000 * 60 * 60 * 4)

ext.PlotRecords(r2, "r2")

Sleep(1000)

测试

火币行情图表

回测合成4小时图表

以上代码仅作为学习参考使用，如果用于具体策略中，请根据需求修改、测试。

如有BUG或者改进建议，欢迎留言，十分感谢 o^_^o