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- import pandas as pd
- import numpy as np
- from datetime import datetime
- def dt2epoch(value):
- epoch = (value - datetime(1970, 1, 1)).total_seconds()
- return epoch
- df = pd.read_csv("data/ES ##-##-1-Minute.csv", sep=";")
- df['Datetime'] = pd.to_datetime(df['Datetime'])
- df['Datetime'] = df['Datetime'].apply(dt2epoch)
- df['Datetime'] = df['Datetime'].astype('uint64')
- lines = ["ohlc"
- + ",symbol=ES"
- + ",type=min"
- + " "
- + "frame=1i,"
- + "cons=" + str(d) + "i,"
- + "close=" + str(df['Close'][d]) + ","
- + "high=" + str(df['High'][d]) + ","
- + "low=" + str(df['Low'][d]) + ","
- + "open=" + str(df['Open'][d]) #+ ","
- #+ "volume=" + str(df['Volume'][d])
- + " " + str(df['Datetime'][d]) for d in range(len(df))]
- out = np.array_split(lines, 4)
- for i, list in enumerate(out):
- file = open('data/ES 1 min part {}.txt'.format(i), 'w')
- file.write("# DDL\n")
- file.write("CREATE DATABASE financial_data\n")
- file.write("# DML\n")
- file.write("# CONTEXT-DATABASE: financial_data\n")
- for item in list:
- file.write("{}\n".format(item))
- file.close()
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