wukan1986
diff --git a/‎reports/涨停分时炸板.py‎
Lines changed: 14 additions & 7 deletions b/‎reports/涨停分时炸板.py‎
Lines changed: 14 additions & 7 deletions
@@ -2,19 +2,25 @@
 from expr_codegen import codegen_exec
 
 # 从日线中取涨跌停
-df_1d = (pl.read_parquet(r"M:\preprocessing\data1.parquet")
+df_1d = (pl.read_parquet(r"M:\preprocessing\data1.parquet").filter(pl.col("paused") == 0)
          .rename({"time": "date", "code": "asset"})
-         .select("date", "asset", "high_limit", "low_limit"))
+         .select("date", "asset", "high_limit", "low_limit", "volume"))
+
+
+def _code_block_0():
+    过去5日平均每分钟成交量 = ts_sum(volume, 5)[1] / (240 * 5)
+
+
+df_1d = codegen_exec(df_1d, _code_block_0, output_file="2_out.py")
 
 # 加载分钟数据
-df_1m = (pl.read_parquet(r"D:\data\jqresearch\get_price_stock_minute\20241*.parquet")
+df_1m = (pl.read_parquet(r"D:\data\jqresearch\get_price_stock_minute\20241*.parquet").filter(pl.col("paused") == 0)
          .rename({"time": "datetime", "code": "asset"})
          .select("datetime", "asset", "open", "high", "close", "paused", "volume", "money")
          .with_columns(pl.col("datetime").cast(pl.Datetime('us'))))
-df_1m = df_1m.filter(pl.col("paused") == 0)
 df_1m = df_1m.with_columns(date=pl.col("datetime").dt.truncate('1d'))
-
 df = df_1m.join(df_1d, on=["date", "asset"])
+
 del df_1m
 del df_1d
 
@@ -30,12 +36,13 @@ def _code_block_1():
     封板 = (~昨收涨停 & 开盘涨停) | (~开盘涨停 & 最高涨停)
     炸板 = (昨收涨停 & ~开盘涨停) | (最高涨停 & ~收盘涨停)
     # 个股分时图上的黄线
-    平均价格 = ts_cum_sum(money)/ts_cum_sum(volume)
+    平均价格 = ts_cum_sum(money) / ts_cum_sum(volume)
+    量比 = ts_cum_sum(volume) / ts_cum_count(volume) / 过去5日平均每分钟成交量
 
 
 df = df.with_columns(_asset_date=pl.struct("asset", "date"))
 df = codegen_exec(df, _code_block_1, asset="_asset_date", output_file="1_out.py")
-print(df)
+print(df.tail().to_pandas())
 
 df = df.group_by("asset", "date").agg(
     炸板次数=pl.col("炸板").sum(),