csv的tick数据转换为dsb

<ol> <li> <p>下载提供的tick数据 <a href="https://pan.baidu.com/s/1A_uGYIvwCye-7rqYSe1ciQ?pwd=vbp7" title="csv数据 ">csv数据 </a></p> </li> <li>转换代码如下:</li> </ol> <pre><code class="language-python"># -*- coding: utf-8 -*- import re import pandas as pd import time from wtpy.wrapper import WtDataHelper from wtpy.WtCoreDefs import WTSBarStruct, WTSTickStruct from tqdm import tqdm df=pd.read_csv('IF2109.csv') df['action_time']=df['datetime'].apply(lambda x:x[-12:-4].replace(':','')).astype("int64") df['action_date']=df['datetime'].apply(lambda x: x[:10].replace('-','')).astype("int64") df['update_millisec']=df['datetime'].apply(lambda x: x[-3:]).astype("int64") df['action_time']=df['action_time']*1000+df['update_millisec'].astype('int64') df['exchg']='CFFEX' df['code']='IF2109' count = len(df) BUFFER = WTSTickStruct * count buffer = BUFFER() for index, row in tqdm(df.iterrows()): #print(index) curTick = buffer[index] curTick.exchg = bytes(row["exchg"],'utf-8') curTick.code = bytes(row["code"],'utf-8') curTick.action_date = int(row["action_date"]) curTick.action_time = int(row["action_time"]) curTick.upper_limit = float(row["limit_up"]) curTick.lower_limit = float(row["limit_down"]) curTick.price = float(row["last"]) curTick.open = float(row["open"]) curTick.high = float(row["high"]) curTick.low = float(row["low"]) curTick.volume = float(row["volume"]) curTick.open_interest = float(row["open_interest"]) curTick.trading_date = int(row["action_date"]) curTick.pre_close = float(row["prev_close"]) curTick.pre_settle = float(row["prev_settlement"]) curTick.bid_prices[0] = float(row["b1" ]) curTick.bid_qty[0] = float(row["b1_v" ]) curTick.ask_prices[0] = float(row["a1" ]) curTick.ask_qty[0] = float(row["a1_v" ]) dtHelper = WtDataHelper() dsbname="IF2109.dsb" dtHelper.store_ticks(tickFile=dsbname, firstTick=buffer, count=len(buffer)) dsb_data_read=dtHelper.read_dsb_ticks(tickFile=dsbname)# 读取 </code></pre> <ol> <li>运行结果: <img src="https://www.showdoc.com.cn/server/api/attachment/visitFile?sign=c881a915e14d1fc7f82e367bfdafe72c" alt="" /></li> </ol> <p><strong>4. <a href="https://dumengru.github.io/docs_wondertrader/wtcpp/folder98/folder01/folder1/file03.html" title="tick数据dsb格式字段解释">tick数据dsb格式字段解释</a></strong></p> <pre><code>double price; //最新价 double open; //开盘价 double high; //最高价 double low; //最低价 double settle_price; //结算价 double upper_limit; //涨停价 double lower_limit; //跌停价 double total_volume; //总成交量 double volume; //成交量 double total_turnover; //总成交额 double turn_over; //成交额 double open_interest; //总持 double diff_interest; //增仓 uint32_t trading_date; //交易日,如20140327 uint32_t action_date; //自然日期,如20140327 uint32_t action_time; //发生时间,精确到毫秒,如105932000 uint32_t reserve_; //占位符 double pre_close; //昨收价 double pre_settle; //昨结算 double pre_interest; //上日总持 double bid_prices[10]; //委买价格 double ask_prices[10]; //委卖价格 double bid_qty[10]; //委买量 double ask_qty[10]; //委卖量</code></pre>