rqalpha.model.snapshot 源代码

# -*- coding: utf-8 -*-
#
# Copyright 2017 Ricequant, Inc
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

import numpy as np

from rqalpha.utils.logger import system_log
from rqalpha.model.tick import TickObject


[文档]class SnapshotObject(TickObject): _STOCK_FIELDS = [ ('datetime', np.uint64), ('open', np.float64), ('high', np.float64), ('low', np.float64), ('last', np.float64), ('volume', np.int32), ('total_turnover', np.int64), ('prev_close', np.float64) ] _FUTURE_FIELDS = _STOCK_FIELDS + [('open_interest', np.int32), ('prev_settlement', np.float64)] _STOCK_FIELD_NAMES = [_n for _n, _ in _STOCK_FIELDS] _FUTURE_FIELD_NAMES = [_n for _n, _ in _FUTURE_FIELDS] _STOCK_FIELD_DTYPE = np.dtype(_STOCK_FIELDS) _FUTURE_FIELD_DTYPE = np.dtype(_FUTURE_FIELDS) _NANDict = {_n: np.nan for _n in _FUTURE_FIELD_NAMES} def __init__(self, instrument, data, dt=None): system_log.warn("[deprecated] SnapshotObject class is no longer used. use TickObject class instead.") if data is None: data = self._NANDict if dt: data["datetime"] = dt super(SnapshotObject, self).__init__(instrument, data) @staticmethod def dtype_for_(instrument): if instrument.type == 'Future': return SnapshotObject._FUTURE_FIELD_DTYPE else: return SnapshotObject._STOCK_FIELD_DTYPE @staticmethod def fields_for_(instrument): if instrument.type == 'Future': return SnapshotObject._FUTURE_FIELD_NAMES else: return SnapshotObject._STOCK_FIELD_NAMES