tick数据研究（一）

#encoding=utf-8
import pandas as pd
from matplotlib import pyplot as plt
import matplotlib.finance as mpf
from matplotlib.pylab import date2num
tick_df = pd.read_hdf('rb_tick.h5')


class mBar(object):
    def __init__(self):
        """Constructor"""
        self.open = None
        self.close = None
        self.high = None
        self.low = None
        self.datetime = None

bar = None
m_bar_list = list()

for datetime, last in tick_df[['last']].iterrows():
    new_minute_flag = False

    if not bar:  # 第一次进循环
        bar = mBar()
        new_minute_flag = True
    elif bar.datetime.minute != datetime.minute:
        bar.datetime = bar.datetime.replace(second=0, microsecond=0)  # 将秒和微秒设为0
        m_bar_list.append(bar)
        # 开启新的一个分钟bar线
        bar = mBar()
        new_minute_flag = True


    if new_minute_flag:
        bar.open, bar.high, bar.low = last['last'], last['last'], last['last']
    else:
        bar.high, bar.low = max(bar.high, last['last']), min(bar.low, last['last'])

    bar.close = last['last']
    bar.datetime = datetime

pk_df = pd.DataFrame(data=[[bar.datetime for bar in m_bar_list], 
                           [bar.close for bar in m_bar_list], 
                           [bar.open for bar in m_bar_list],
                           [bar.high for bar in m_bar_list],
                           [bar.low for bar in m_bar_list]],
             index=['datetime', 'close', 'open','high', 'low']
                     ).T[['datetime', 'open', 'high', 'low', 'close']]

pk_df['datetime'] = pk_df['datetime'].apply(lambda x: date2num(x)*1440) # 为了显示分钟而不叠起来
fig, ax = plt.subplots(facecolor=(0, 0.3, 0.5),figsize=(12,8))

mpf.candlestick_ohlc(ax,pk_df.iloc[:100].as_matrix(),width=0.7,colorup='r',colordown='green') # 上涨为红色K线，下跌为绿色，K线宽度为0.7
plt.grid(True)