[工具问题] dsb 的读取与写入

[ZzzzHeJ]

dsb是WT中使用的一种高性能数据格式，但由于是以二进制格式组织的，因此很多小伙伴不太清楚如何写入和读取，下面将提供两个例子供大家参考。

[ZzzzHeJ]

dsb写入

使用pandas读取csv为dataFrame后，写入代码如下：

导入代码

from wtpy.WtCoreDefs import WTSBarStruct, WTSTickStruct
from wtpy.wrapper import WtDataHelper

dthelper = WtDataHelper()

bar 的写入

count = len(df)
BUFFER = WTSBarStruct * count
buffer = BUFFER()
for index, row in tqdm(df.iterrows()):
    curBar = buffer[index]
    curBar.date = int(row["date"])
    curBar.open = float(row["open"])
    curBar.high = float(row["high"])
    curBar.low = float(row["low"])
    curBar.close = float(row["close"])
    curBar.vol = float(row["vol"])
    curBar.money = float(row["money"])
    curBar.hold = float(row["hold"])

# dsb_file 是写入文件名，period是周期，可选取值为d（日线）m（分钟线）
dthelper.store_bars(barFile=dsb_file,firstBar=buffer,count=len(buffer),period=period)

tick的写入

count = len(df)
BUFFER = WTSTickStruct * count
buffer = BUFFER()
for index, row in tqdm(df.iterrows()):
    curTick = buffer[index]
    curTick.exchg = bytes(row["exchg"],'utf-8')
    curTick.code = bytes(row["code"],'utf-8')
    curTick.price = float(row["price"])
    curTick.open = float(row["open"])
    curTick.high = float(row["high"])
    curTick.low = float(row["low"])
    curTick.settle_price = float(row["settle_price"])
    curTick.total_volume = float(row["total_volume"])
    curTick.volume = float(row["volume"])
    curTick.total_turnover = float(row["total_turnover"])
    curTick.turn_over = float(row["turn_over"])
    curTick.open_interest = float(row["open_interest"])
    curTick.diff_interest = float(row["diff_interest"])
    curTick.trading_date = int(row["trading_date"])
    curTick.action_date = int(row["action_date"])
    curTick.action_time = int(int(row["action_time"]) / 1000)
    curTick.pre_close = float(row["pre_close"])
    curTick.pre_settle = float(row["pre_settle"])
    curTick.pre_interest = float(row["pre_interest"])
    curTick.upper_limit = float(row["upper_limit"])
    curTick.downper_limit = float(row["downper_limit"])
    for x in range(0,5):
        curTick.bid_prices[x] = float(row["bid_" + str(x+1)])
        curTick.bid_qty[x] = float(row["bid_qty_" + str(x+1)])
        curTick.ask_prices[x] = float(row["ask_" + str(x+1)])
        curTick.ask_qty[x] = float(row["ask_qty_" + str(x+1)])

dthelper.store_ticks(tickFile=dsb_file, firstTick=buffer, count=len(buffer))

dsb读取

读取可以直接调用相关接口实现，需要注意的是，读取是以文件夹为单位的，一次性读取文件夹目录下的所有dsb

dtHelper = WtDataHelper()
# binFolder dsb 所在目录
# csvFolder 读取后转换的csv文件存储目录
dtHelper.dump_bars(binFolder="./storage/his/min1/SHFE/", csvFolder="min1_csv")
dtHelper.dump_ticks(binFolder="./storage/his/ticks/SHFE/20211227/", csvFolder="ticks_csv")