将每日OHLCV重新采样至每周OHLCV

时间:2013-02-08 16:04:59

标签: python-2.7 pandas

我想将每日(ohlcv)重新采样/转换为Weekly(ohlcv)。是否可以用熊猫做到这一点?

样本数据如下(每日1周数据)采用Dictonary格式:

   {'High': {<Timestamp: 2007-03-02 00:00:00>: 1384.5,
  <Timestamp: 2007-03-05 00:00:00>: 1373.0,
  <Timestamp: 2007-03-06 00:00:00>: 1378.75,
  <Timestamp: 2007-03-07 00:00:00>: 1381.75,
  <Timestamp: 2007-03-08 00:00:00>: 1388.75},
 'Last': {<Timestamp: 2007-03-02 00:00:00>: 1365.0,
  <Timestamp: 2007-03-05 00:00:00>: 1351.5,
  <Timestamp: 2007-03-06 00:00:00>: 1374.5,
  <Timestamp: 2007-03-07 00:00:00>: 1372.0,
  <Timestamp: 2007-03-08 00:00:00>: 1384.5},
 'Low': {<Timestamp: 2007-03-02 00:00:00>: 1364.25,
  <Timestamp: 2007-03-05 00:00:00>: 1350.5,
  <Timestamp: 2007-03-06 00:00:00>: 1362.0,
  <Timestamp: 2007-03-07 00:00:00>: 1370.75,
  <Timestamp: 2007-03-08 00:00:00>: 1369.25},
 'Open': {<Timestamp: 2007-03-02 00:00:00>: 1378.5,
  <Timestamp: 2007-03-05 00:00:00>: 1356.75,
  <Timestamp: 2007-03-06 00:00:00>: 1365.25,
  <Timestamp: 2007-03-07 00:00:00>: 1374.0,
  <Timestamp: 2007-03-08 00:00:00>: 1370.0},
 'Volume': {<Timestamp: 2007-03-02 00:00:00>: 1706906,
  <Timestamp: 2007-03-05 00:00:00>: 1984041,
  <Timestamp: 2007-03-06 00:00:00>: 1397911,
  <Timestamp: 2007-03-07 00:00:00>: 1255484,
  <Timestamp: 2007-03-08 00:00:00>: 798237}}

谢谢和问候。

3 个答案:

答案 0 :(得分:7)

在DataFrame中获取数据后,您可以执行以下操作:

 ohlc_dict = {
    'Open':'first',
    'High':'max',
    'Low':'min',
    'Close':'last',
    'Volume':'sum'
    }

DataFrame.resample('W-Fri', how=ohlc_dict)

这将为您提供截至周五结束的一周的欧姆数据。

答案 1 :(得分:2)

从官方文档改编的示例:

# Weekly means
In [1305]: ts.resample('W', how='mean')
Out[1305]: 
2011-01-01   -0.319569
2011-01-02   -0.337703
2011-01-03    0.117258
Freq: W

您可以将日期偏移到一周中的特定日期,例如'W-SUN''W-MON'

Link to documentation

答案 2 :(得分:1)

在熊猫版本0.18.0之后,函数how中不推荐使用resample参数,因此建议的解决方案变为:

ohlc_dict = {
    'Open':'first',
    'High':'max',
    'Low':'min',
    'Close':'last',
    'Volume':'sum'
    }

df = df.resample('W').agg(ohlc_dict)