问:重新采样Pyalgotrade中的BITSTAMP杆

Question

我正在与BitStamp客户端的ALGO合作，该算好与30分钟的棒一起工作，而不是将每个交易视为bar。

是否有一种"正确"的方式将这些条重新采样为30分钟的间隔？

我可以对比特币经纪人做任何问题，但是我需要BitStampBroker的执行，所以我希望与一个人一起做。

Answer 1

这应该有所帮助：

from pyalgotrade.bitstamp import barfeed
from pyalgotrade.bitstamp import broker
from pyalgotrade import strategy

class Strategy(strategy.BaseStrategy):
    def __init__(self, feed, brk):
        super(Strategy, self).__init__(feed, brk)
        self._instrument = "BTC"
        self._bid = None
        self._ask = None
        self._resampledBF = self.resampleBarFeed(60, self.onResampledBars)
        # Subscribe to order book update events to get bid/ask prices to trade.
        feed.getOrderBookUpdateEvent().subscribe(self._onOrderBookUpdate)
    def _onOrderBookUpdate(self, orderBookUpdate):
        bid = orderBookUpdate.getBidPrices()[0]
        ask = orderBookUpdate.getAskPrices()[0]
        if bid != self._bid or ask != self._ask:
            self._bid = bid
            self._ask = ask
            self.info("Order book updated. Best bid: %s. Best ask: %s" % (self._bid, self._ask))
    def onResampledBars(self, dt, bars):
        bar = bars[self._instrument]
        self.info("Resampled - Price: %s. Volume: %s." % (bar.getClose(), bar.getVolume()))
    def onBars(self, bars):
        bar = bars[self._instrument]
        self.info("Price: %s. Volume: %s." % (bar.getClose(), bar.getVolume()))

def main():
    barFeed = barfeed.LiveTradeFeed()
    brk = broker.PaperTradingBroker(1000, barFeed)
    strat = Strategy(barFeed, brk)
    strat.run()

if __name__ == "__main__":
    main()