finlab.market_info
finlab.market_info.MarketInfo
市場類別
假如希望開發新的交易市場套用到回測系統，可以繼承 finlab.market_info.MarketInfo 來實做新類別。
get_asset_id_to_name
staticmethod
設定對標報酬率的時間序列
Returns:
(dict): 股號與股名對照表，ex:{'2330':'台積電'}
get_benchmark
staticmethod
設定對標報酬率的時間序列
這個函數用於設定對標報酬率的時間序列。
| RETURNS | DESCRIPTION |
|---|---|
Series
|
pd.Series: 時間序列的報酬率。 |
| RAISES | DESCRIPTION |
|---|---|
ExceptionType
|
Description of conditions under which the exception is raised. |
Examples:
| date | 0050 |
|---|---|
| 2007-04-23 | 100 |
| 2007-04-24 | 100.1 |
| 2007-04-25 | 99 |
| 2007-04-26 | 98.3 |
| 2007-04-27 | 99.55 |
get_freq
staticmethod
Returns the frequency of the data.
Used to determine how to resample the data when the data is not daily.
The freq will be saved in finlab.core.report.
Returns: str: The frequency of the data.
get_market_value
staticmethod
取得回測用市值數據
| RETURNS | DESCRIPTION |
|---|---|
DataFrame
|
市值數據，其中 index 為日期，而 columns 是股票代號。 |
get_name
staticmethod
Returns the name of the market data source.
This function is used to get the name of the market data source.
get_odd_lot
staticmethod
Returns the odd lot size of the market.
| RETURNS | DESCRIPTION |
|---|---|
int
|
The odd lot size of the market. |
get_price
staticmethod
取得回測用價格數據
| PARAMETER | DESCRIPTION |
|---|---|
trade_at_price |
選擇回測之還原股價以收盤價或開盤價計算，預設為'close'。可選'close'或'open'。
TYPE:
|
adj |
是否使用還原股價計算。
TYPE:
|
| RETURNS | DESCRIPTION |
|---|---|
DataFrame
|
價格數據 |
Examples:
格式範例
| date | 0015 | 0050 | 0051 | 0052 |
|---|---|---|---|---|
| 2007-04-23 | 9.54 | 57.85 | 32.83 | 38.4 |
| 2007-04-24 | 9.54 | 58.1 | 32.99 | 38.65 |
| 2007-04-25 | 9.52 | 57.6 | 32.8 | 38.59 |
| 2007-04-26 | 9.59 | 57.7 | 32.8 | 38.6 |
| 2007-04-27 | 9.55 | 57.5 | 32.72 | 38.4 |
get_reference_price
Returns the most recent reference price of the market.
| RETURNS | DESCRIPTION |
|---|---|
|
pandas.Series: The most recent reference price of the market. |
get_trading_price
取得回測用價格數據
| PARAMETER | DESCRIPTION |
|---|---|
name |
選擇回測之還原股價以收盤價或開盤價計算，預設為'close'。可選 'open'、'close'、'high'、'low'、'open_close_avg'、'high_low_avg'、或 'price_avg'。
TYPE:
|
Returns: (pd.DataFrame): 價格數據
market_close_at_timestamp
Returns the timestamp of the market close of the given timestamp.
| PARAMETER | DESCRIPTION |
|---|---|
timestamp |
The timestamp to find the market close to.
TYPE:
|
| RETURNS | DESCRIPTION |
|---|---|
datetime
|
The timestamp of the closest market close. |