没有成交时，怎么生成分钟k线
目前在拼湊OHLC上，由于有tick才会生成相相应的分钟k线。在一些流动性低的商品，前端需要把每一根OHLC都生成出來，也就是沒有成交的时段，也需要有成交量volume = 0的分钟k线。当没有tick，OHLC都为前一个的Close, 但Volume=0。
现在写的代码如下，效率比较低，问一下DolphinDB database有什么高效的写法？
def kline(code, date, freq,mkt): # s = ddb.session()
# s.connect(
# hostdata["ddb"]["host"],
# hostdata["ddb"]["port"],
# hostdata["ddb"]["account"],
# hostdata["ddb"]["password"],
# )
bar = int(freq)
# ttime = datetime.now().strftime("%H:%M:%S")
today = datetime.now().strftime("%Y.%m.%d")
dbidx = gettable.get("idxdb")
tbidx = gettable.get("idxtb")
if len(code) == 4:
db = gettable.get("idxdb")
tb = gettable.get("idxtb")
m = "Amount"
#mkt = "IDX"
timerange = ">"
else:
db = gettable.get("tsedb")
tb = gettable.get("tsetb")
m = "Close*Volume*1000"
#mkt = get_reference("mkt", code[1:], 1, "M", "MSTR")
timerange = ">="
startt = "09:00:00"
endtime = "15:00:00" if mkt == "OES" else "13:30:00"
alitime = "t+s" if mkt == "OES" else "t+s-afterend" # 興櫃以外 13:30後的合併至13:30
t = time.time()
k = """
SelectCode={};
SelectDate={};
msize = {};
tb = loadTable("{}",{});
today = {};
starttime = {} ;
endtime = {};
minnum = (endtime - starttime)/60; //一分線總根數
if(minnum%msize==0){{bar = minnum/msize;}}
else{{bar = minnum/msize+1;}}
lasttime = select last(Time) from tb where Code = SelectCode;//目前最後一根的時間
tbtime = loadTable("{}",{})
everyday = select distinct(Date) as d from tbtime where Date<=SelectDate and Code = `001;
all_date = select d from everyday where rowNo(d)<msize*8; //總共要撈的日期表
count = 0;
for(d in all_date.d){{
tday = table(take(d,bar) as day) ;
ttime = table(take(starttime+60*msize*(1..(bar)),bar) as time) ;
tt = tday<-ttime ;
if(count==0){{
if(today==d and lasttime.last_Time[0]<tt.time[count(tt)-1]){{
tb1 = select day,temporalFormat(time,"HHmmss") as time from tt where time<=(lasttime.last_Time[0]+60000*msize) order by time;
}}
else{{
tb1 = select day,temporalFormat(time,"HHmmss") as time from tt order by time;
}}
}}
else{{
if(today==d and lasttime.last_Time[0]<tt.time[count(tt)-1]){{
tb2 = select day,temporalFormat(time,"HHmmss") as time from tt where time<=(lasttime.last_Time[0]+60000*msize) order by time;
}}
else{{
tb2 = select day,temporalFormat(time,"HHmmss") as time from tt order by time;
}}
tb1.append!(tb2)
}}
count+=1;
}}
if(count(all_date.d)==0){{
table = table(0 as d,0 as t,0 as o,0 as h,0 as l,0 as c,0 as v,0 as m ); //沒有資料
}}
else{{
tbzero = select temporalFormat(day,"yyyyMMdd") as d, time as t from tb1 order by day asc,time asc;
def TimeBar(dt, sTime, barSize) {{
dayBegin = dt.date().datetime() + sTime.int();
edtime = {};
t = dayBegin + bar(dt - dayBegin, barSize);
s = int(t.time() < edtime) * barSize; //原本算出的t會向前靠齊 09:01:27算在 09:01，+1個bar則向後面的時間靠齊至09:02
m = t.time()-13:30:00.000;//13:30~14:30都歸在13:30
afterend = int(m>0)*int(t.time()<14:30:00)*m/1000; //14:30定盤排除
return {};
}}
size = msize*60; //指數09:00整會傳昨收資料 要排除
ohlc = select first(Close) as o ,max(Close) as h ,min(Close) as l , last(Close) as c , sum(Volume) as v ,sum({}) as m from tb where Code=SelectCode and Time{}09:00:00.000 and Date<=all_date.d[0] and Date>=all_date.d[count-1] group by Code,TimeBar(datetime(date) + time.second().int(),starttime,size) as T;
tdb = select temporalFormat(date(T),"yyyyMMdd") as d,temporalFormat(time(T),"HHmmss") as t,o,h,l,c,v,m from ohlc context by date(T);
if(msize*8>count(all_date)){{
closenum = 0}}
else{{
preday = select d from everyday where rowNo(d)=msize*8;
preclose = select last(Close) as c from tb where Code=SelectCode and Date=preday.d[0] and Time<=endtime ;
closenum = preclose.c[count(preclose.c)-1] ; }}
tbclose = table(0 as d,0 as t,0 as o,0 as h,0 as l,closenum as c,0 as v,0 as m ); //補最前面0 close
tjoin = lj(tbzero, tdb, `t`d);
table = select * from tjoin order by d,t ;
update table set v = v.nullFill(0);
update table set m = m.nullFill(0);
table.append!(tbclose);
}}
table
""".format(
code, date, bar, db, tb, today, startt, endtime,dbidx,tbidx, endtime, alitime, m,timerange
)
k_line = s.run(k)
prec = k_line.c[len(k_line.c) - 1]
k_line = k_line.drop(len(k_line.c) - 1)
if not (k_line.empty):
close = k_line["c"].fillna(method="ffill")
if str(close[len(close) - 1]) != "nan":
k_line.c = k_line.c.fillna(close)
k_line.o = k_line.o.fillna(close)
k_line.l = k_line.l.fillna(close)
k_line.h = k_line.h.fillna(close)
if str(prec) == "None" or str(prec) == "nan":
k_line = k_line.fillna(0)
k_line.v = k_line.v.astype(int)
else:
k_line = k_line.fillna(prec)
k_line.v = k_line.v.astype(int)
print("timer_wholetable", time.time() - t)
return k_line
回答：
/** * Assume two sessions: 09:00 ~13:30, 15:00~17:00
* dburl : dfs://tickdb
* tableName: Tick
*/
def getMinuteKline(inCode, inDate){
t = select first(Date) as Date, firstNot(Close) as Open, min(Close) as Low, max(Close) as High, lastNot(close) as Close from loadTable("dfs://tickdb", "Tick") where code = inCode, Date = inDate group by minute(Time) as Time order by Time
leftT = table( join(09:01m .. 13:30m, 15:01m .. 17:00m) as Time)
result = select leftT.Time as Time, t.Time as ActualTime, Date, Open, Low, High, Close from aj(leftT, t, `Time)
update result set Open=Close, Low=Close, High=Close where Time != ActualTime
return result.drop!("ActualTime")
}
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