stock.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 股票交易数据分析"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "u'/Users/kamidox/work/stock-data'"
      ]
     },
     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "%pwd"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {
    "collapsed": false
   },
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 原始数据: 2000 年 - 2009 年 5 分钟历史成交数据\n",
    "\n",
    "需要确保原始数据放在 raw 目录下，且每个年份单独一个目录。搜索 ghancn 可以免费下载 2009 年之前的数据。2009 年之后的需要购买。\n",
    "\n",
    "目前的免费数据质量不高，里面有不少错误。具体参阅 README.md。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\u001b[1m\u001b[36m2000\u001b[m\u001b[m/ \u001b[1m\u001b[36m2001\u001b[m\u001b[m/ \u001b[1m\u001b[36m2002\u001b[m\u001b[m/ \u001b[1m\u001b[36m2003\u001b[m\u001b[m/ \u001b[1m\u001b[36m2004\u001b[m\u001b[m/ \u001b[1m\u001b[36m2005\u001b[m\u001b[m/ \u001b[1m\u001b[36m2006\u001b[m\u001b[m/ \u001b[1m\u001b[36m2007\u001b[m\u001b[m/ \u001b[1m\u001b[36m2008\u001b[m\u001b[m/\r\n"
     ]
    }
   ],
   "source": [
    "%ls raw"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>time</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>floor_price</th>\n",
       "      <th>closing_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2008-01-02</th>\n",
       "      <td>09:35</td>\n",
       "      <td>22.50</td>\n",
       "      <td>22.63</td>\n",
       "      <td>22.50</td>\n",
       "      <td>22.51</td>\n",
       "      <td>2042.50</td>\n",
       "      <td>4604723</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-02</th>\n",
       "      <td>09:40</td>\n",
       "      <td>22.51</td>\n",
       "      <td>22.51</td>\n",
       "      <td>22.29</td>\n",
       "      <td>22.37</td>\n",
       "      <td>1545.17</td>\n",
       "      <td>3460503</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-02</th>\n",
       "      <td>09:45</td>\n",
       "      <td>22.39</td>\n",
       "      <td>22.62</td>\n",
       "      <td>22.38</td>\n",
       "      <td>22.62</td>\n",
       "      <td>1744.76</td>\n",
       "      <td>3921443</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-02</th>\n",
       "      <td>09:50</td>\n",
       "      <td>22.60</td>\n",
       "      <td>23.00</td>\n",
       "      <td>22.60</td>\n",
       "      <td>22.95</td>\n",
       "      <td>5339.00</td>\n",
       "      <td>12225939</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-02</th>\n",
       "      <td>09:55</td>\n",
       "      <td>22.98</td>\n",
       "      <td>23.20</td>\n",
       "      <td>22.89</td>\n",
       "      <td>23.20</td>\n",
       "      <td>12577.73</td>\n",
       "      <td>28947824</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             time  opening_price  ceiling_price  floor_price  closing_price  \\\n",
       "date                                                                          \n",
       "2008-01-02  09:35          22.50          22.63        22.50          22.51   \n",
       "2008-01-02  09:40          22.51          22.51        22.29          22.37   \n",
       "2008-01-02  09:45          22.39          22.62        22.38          22.62   \n",
       "2008-01-02  09:50          22.60          23.00        22.60          22.95   \n",
       "2008-01-02  09:55          22.98          23.20        22.89          23.20   \n",
       "\n",
       "              volume    amount  \n",
       "date                            \n",
       "2008-01-02   2042.50   4604723  \n",
       "2008-01-02   1545.17   3460503  \n",
       "2008-01-02   1744.76   3921443  \n",
       "2008-01-02   5339.00  12225939  \n",
       "2008-01-02  12577.73  28947824  "
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "names = ['date',\n",
    "         'time',\n",
    "         'opening_price',\n",
    "         'ceiling_price',\n",
    "         'floor_price',\n",
    "         'closing_price',\n",
    "         'volume',\n",
    "         'amount']\n",
    "# 读取数据时，我们以日期为索引，并解析成日期格式\n",
    "raw = pd.read_csv('raw/2008/SH600690.csv', names=names, header=None, index_col='date', parse_dates=True)\n",
    "raw.head()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 转化为日交易数据"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>floor_price</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "      <th>closing_price</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2008-01-02</th>\n",
       "      <td>22.29</td>\n",
       "      <td>22.50</td>\n",
       "      <td>24.50</td>\n",
       "      <td>200809.34</td>\n",
       "      <td>476179680</td>\n",
       "      <td>24.03</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-03</th>\n",
       "      <td>23.81</td>\n",
       "      <td>24.03</td>\n",
       "      <td>25.20</td>\n",
       "      <td>166037.98</td>\n",
       "      <td>406906304</td>\n",
       "      <td>24.54</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-04</th>\n",
       "      <td>23.68</td>\n",
       "      <td>24.53</td>\n",
       "      <td>24.76</td>\n",
       "      <td>149078.64</td>\n",
       "      <td>358418560</td>\n",
       "      <td>24.17</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-07</th>\n",
       "      <td>23.75</td>\n",
       "      <td>24.03</td>\n",
       "      <td>24.75</td>\n",
       "      <td>93950.43</td>\n",
       "      <td>227289136</td>\n",
       "      <td>24.38</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-08</th>\n",
       "      <td>23.49</td>\n",
       "      <td>24.38</td>\n",
       "      <td>24.38</td>\n",
       "      <td>149056.24</td>\n",
       "      <td>355752416</td>\n",
       "      <td>23.53</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            floor_price  opening_price  ceiling_price     volume     amount  \\\n",
       "date                                                                          \n",
       "2008-01-02        22.29          22.50          24.50  200809.34  476179680   \n",
       "2008-01-03        23.81          24.03          25.20  166037.98  406906304   \n",
       "2008-01-04        23.68          24.53          24.76  149078.64  358418560   \n",
       "2008-01-07        23.75          24.03          24.75   93950.43  227289136   \n",
       "2008-01-08        23.49          24.38          24.38  149056.24  355752416   \n",
       "\n",
       "            closing_price  \n",
       "date                       \n",
       "2008-01-02          24.03  \n",
       "2008-01-03          24.54  \n",
       "2008-01-04          24.17  \n",
       "2008-01-07          24.38  \n",
       "2008-01-08          23.53  "
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 股票涨跌幅检查，不能超过 10% ，过滤掉一些不合法的数据\n",
    "def _valid_price(g):\n",
    "    return (((g.max() - g.min()) / g.min()) < 0.223).all()\n",
    "\n",
    "# 按照日期分组\n",
    "days = raw.groupby(level=0).agg(\n",
    "    {'opening_price': lambda g: _valid_price(g) and g[0] or 0,\n",
    "     'ceiling_price': lambda g: _valid_price(g) and np.max(g) or 0,\n",
    "     'floor_price': lambda g: _valid_price(g) and np.min(g) or 0,\n",
    "     'closing_price': lambda g: _valid_price(g) and g[-1] or 0,\n",
    "     'volume': 'sum',\n",
    "     'amount': 'sum'})\n",
    "days.head()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "collapsed": true
   },
   "source": [
    "### 合并数据\n",
    "\n",
    "可以参阅 stock.py 里的 `minutes_to_days_batch()` 函数。把所有的数据转化为日交易数据，然后以股票代号为文件名保存在 `data` 目录下。"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 选股\n",
    "\n",
    "什么股票是好股票？要回答这个问题，先要把最简单的问题说清楚。炒股就是低买高卖，实现获利。那么好股票的标准就是在你的持股周期内，**波动最大的股票**。这很好理解吧，波动最大，我们才有可能在相对低点买入，在相对高点卖出，获利最大。\n",
    "\n",
    "在一定的时间周期内，**衡量股票波动的指标定义为 最高价/最低价**。以我们表格中的数据，就是 ceiling_price/floor_price。这个比率最大的股票就是好股票。\n",
    "\n",
    "关于时间周期，这个和炒股策略有关。有些人喜欢做短线，可能就持股几天，或一两周。有些人习惯做长线，可能持股几个月甚至几年。\n",
    "\n",
    "有了这个思路，我们就可以玩转已经转换为日交易数据的股票，选出近期波动最大的股票。假设我们的目标是**选出一个月内波动最大的股票**。我们看一下如何用 pandas 实现这个目标。"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 过滤数据\n",
    "\n",
    "我们先要按照考查周期来过滤数据。为了简单起见，我们假设波动周期是30个自然日，即如果某个股票停牌，那么他的价格就一直没有变化，则波动为 0。\n",
    "\n",
    "这里，我们直接使用青岛海尔 600690 这个股票来作为示例。我们直接读取已经合并过的数据。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>floor_price</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "      <th>closing_price</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2000-01-04</th>\n",
       "      <td>16.21</td>\n",
       "      <td>16.31</td>\n",
       "      <td>17.30</td>\n",
       "      <td>17050</td>\n",
       "      <td>28651788</td>\n",
       "      <td>17.08</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-05</th>\n",
       "      <td>16.71</td>\n",
       "      <td>17.10</td>\n",
       "      <td>17.39</td>\n",
       "      <td>17486</td>\n",
       "      <td>29893382</td>\n",
       "      <td>16.75</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-06</th>\n",
       "      <td>16.62</td>\n",
       "      <td>16.72</td>\n",
       "      <td>18.45</td>\n",
       "      <td>41268</td>\n",
       "      <td>74191124</td>\n",
       "      <td>18.45</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-07</th>\n",
       "      <td>18.45</td>\n",
       "      <td>18.45</td>\n",
       "      <td>20.30</td>\n",
       "      <td>187321</td>\n",
       "      <td>379826144</td>\n",
       "      <td>20.30</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-10</th>\n",
       "      <td>20.30</td>\n",
       "      <td>20.30</td>\n",
       "      <td>22.33</td>\n",
       "      <td>317307</td>\n",
       "      <td>695940608</td>\n",
       "      <td>21.65</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            floor_price  opening_price  ceiling_price  volume     amount  \\\n",
       "date                                                                       \n",
       "2000-01-04        16.21          16.31          17.30   17050   28651788   \n",
       "2000-01-05        16.71          17.10          17.39   17486   29893382   \n",
       "2000-01-06        16.62          16.72          18.45   41268   74191124   \n",
       "2000-01-07        18.45          18.45          20.30  187321  379826144   \n",
       "2000-01-10        20.30          20.30          22.33  317307  695940608   \n",
       "\n",
       "            closing_price  \n",
       "date                       \n",
       "2000-01-04          17.08  \n",
       "2000-01-05          16.75  \n",
       "2000-01-06          18.45  \n",
       "2000-01-07          20.30  \n",
       "2000-01-10          21.65  "
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "qdhr = pd.read_csv('test-data/SH600690.csv', index_col='date', parse_dates=True)\n",
    "qdhr.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "DatetimeIndex(['2000-01-04', '2000-01-05', '2000-01-06', '2000-01-07',\n",
       "               '2000-01-08', '2000-01-09', '2000-01-10', '2000-01-11',\n",
       "               '2000-01-12', '2000-01-13',\n",
       "               ...\n",
       "               '2008-12-22', '2008-12-23', '2008-12-24', '2008-12-25',\n",
       "               '2008-12-26', '2008-12-27', '2008-12-28', '2008-12-29',\n",
       "               '2008-12-30', '2008-12-31'],\n",
       "              dtype='datetime64[ns]', length=3285, freq='D')"
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 填充数据：生成日期索引\n",
    "l = len(qdhr)\n",
    "start = qdhr.iloc[0:1].index.tolist()[0]\n",
    "end = qdhr.iloc[l - 1: l].index.tolist()[0]\n",
    "idx = pd.date_range(start=start, end=end)\n",
    "idx"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>floor_price</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "      <th>closing_price</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2000-01-04</th>\n",
       "      <td>16.21</td>\n",
       "      <td>16.31</td>\n",
       "      <td>17.30</td>\n",
       "      <td>17050</td>\n",
       "      <td>28651788</td>\n",
       "      <td>17.08</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-05</th>\n",
       "      <td>16.71</td>\n",
       "      <td>17.10</td>\n",
       "      <td>17.39</td>\n",
       "      <td>17486</td>\n",
       "      <td>29893382</td>\n",
       "      <td>16.75</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-06</th>\n",
       "      <td>16.62</td>\n",
       "      <td>16.72</td>\n",
       "      <td>18.45</td>\n",
       "      <td>41268</td>\n",
       "      <td>74191124</td>\n",
       "      <td>18.45</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-07</th>\n",
       "      <td>18.45</td>\n",
       "      <td>18.45</td>\n",
       "      <td>20.30</td>\n",
       "      <td>187321</td>\n",
       "      <td>379826144</td>\n",
       "      <td>20.30</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-08</th>\n",
       "      <td>18.45</td>\n",
       "      <td>18.45</td>\n",
       "      <td>20.30</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>20.30</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            floor_price  opening_price  ceiling_price  volume     amount  \\\n",
       "2000-01-04        16.21          16.31          17.30   17050   28651788   \n",
       "2000-01-05        16.71          17.10          17.39   17486   29893382   \n",
       "2000-01-06        16.62          16.72          18.45   41268   74191124   \n",
       "2000-01-07        18.45          18.45          20.30  187321  379826144   \n",
       "2000-01-08        18.45          18.45          20.30       0          0   \n",
       "\n",
       "            closing_price  \n",
       "2000-01-04          17.08  \n",
       "2000-01-05          16.75  \n",
       "2000-01-06          18.45  \n",
       "2000-01-07          20.30  \n",
       "2000-01-08          20.30  "
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 填充数据，把缺失的交易数据用前一个交易数据来填充，但交易量设置为 0\n",
    "data = qdhr.reindex(idx)\n",
    "zvalues = data.loc[~(data.volume > 0)].loc[:, ['volume', 'amount']]\n",
    "data.update(zvalues.fillna(0))\n",
    "data.fillna(method='ffill', inplace=True)\n",
    "data.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[0, 0, 0, 1, 1, 1, 2, 2, 2, 3]"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import numpy as np\n",
    "\n",
    "# 定义产生分组索引的函数，比如我们要计算的周期是 20 天，则按照日期，20 个交易日一组\n",
    "def gen_item_group_index(total, group_len):\n",
    "    \"\"\" generate an item group index array \n",
    "    \n",
    "    suppose total = 10, unitlen = 2, then we will return array [0 0 1 1 2 2 3 3 4 4]\n",
    "    \"\"\"\n",
    "    \n",
    "    group_count = total / group_len\n",
    "    group_index = np.arange(total)\n",
    "    for i in range(group_count):\n",
    "        group_index[i * group_len: (i + 1) * group_len] = i\n",
    "    group_index[(i + 1) * group_len : total] = i + 1\n",
    "    return group_index.tolist()\n",
    "\n",
    "gen_item_group_index(10, 3)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "3285\n"
     ]
    },
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>floor_price</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "      <th>closing_price</th>\n",
       "      <th>group_index</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2000-01-04</th>\n",
       "      <td>16.21</td>\n",
       "      <td>16.31</td>\n",
       "      <td>17.30</td>\n",
       "      <td>17050.00</td>\n",
       "      <td>28651788</td>\n",
       "      <td>17.08</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-05</th>\n",
       "      <td>16.71</td>\n",
       "      <td>17.10</td>\n",
       "      <td>17.39</td>\n",
       "      <td>17486.00</td>\n",
       "      <td>29893382</td>\n",
       "      <td>16.75</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-06</th>\n",
       "      <td>16.62</td>\n",
       "      <td>16.72</td>\n",
       "      <td>18.45</td>\n",
       "      <td>41268.00</td>\n",
       "      <td>74191124</td>\n",
       "      <td>18.45</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-07</th>\n",
       "      <td>18.45</td>\n",
       "      <td>18.45</td>\n",
       "      <td>20.30</td>\n",
       "      <td>187321.00</td>\n",
       "      <td>379826144</td>\n",
       "      <td>20.30</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-01-08</th>\n",
       "      <td>18.45</td>\n",
       "      <td>18.45</td>\n",
       "      <td>20.30</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>20.30</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-27</th>\n",
       "      <td>8.97</td>\n",
       "      <td>9.15</td>\n",
       "      <td>9.23</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>9.08</td>\n",
       "      <td>109</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-28</th>\n",
       "      <td>8.97</td>\n",
       "      <td>9.15</td>\n",
       "      <td>9.23</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>9.08</td>\n",
       "      <td>109</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-29</th>\n",
       "      <td>8.73</td>\n",
       "      <td>9.04</td>\n",
       "      <td>9.15</td>\n",
       "      <td>38576.07</td>\n",
       "      <td>34625144</td>\n",
       "      <td>9.11</td>\n",
       "      <td>109</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-30</th>\n",
       "      <td>8.95</td>\n",
       "      <td>9.14</td>\n",
       "      <td>9.14</td>\n",
       "      <td>62983.38</td>\n",
       "      <td>56876600</td>\n",
       "      <td>8.96</td>\n",
       "      <td>109</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-31</th>\n",
       "      <td>8.95</td>\n",
       "      <td>9.00</td>\n",
       "      <td>9.11</td>\n",
       "      <td>32829.30</td>\n",
       "      <td>29620508</td>\n",
       "      <td>8.99</td>\n",
       "      <td>109</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            floor_price  opening_price  ceiling_price     volume     amount  \\\n",
       "2000-01-04        16.21          16.31          17.30   17050.00   28651788   \n",
       "2000-01-05        16.71          17.10          17.39   17486.00   29893382   \n",
       "2000-01-06        16.62          16.72          18.45   41268.00   74191124   \n",
       "2000-01-07        18.45          18.45          20.30  187321.00  379826144   \n",
       "2000-01-08        18.45          18.45          20.30       0.00          0   \n",
       "2008-12-27         8.97           9.15           9.23       0.00          0   \n",
       "2008-12-28         8.97           9.15           9.23       0.00          0   \n",
       "2008-12-29         8.73           9.04           9.15   38576.07   34625144   \n",
       "2008-12-30         8.95           9.14           9.14   62983.38   56876600   \n",
       "2008-12-31         8.95           9.00           9.11   32829.30   29620508   \n",
       "\n",
       "            closing_price  group_index  \n",
       "2000-01-04          17.08            0  \n",
       "2000-01-05          16.75            0  \n",
       "2000-01-06          18.45            0  \n",
       "2000-01-07          20.30            0  \n",
       "2000-01-08          20.30            0  \n",
       "2008-12-27           9.08          109  \n",
       "2008-12-28           9.08          109  \n",
       "2008-12-29           9.11          109  \n",
       "2008-12-30           8.96          109  \n",
       "2008-12-31           8.99          109  "
      ]
     },
     "execution_count": 21,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "period = 30\n",
    "\n",
    "group_index = gen_item_group_index(len(data), period)\n",
    "# 把分组索引数据添加到股票数据里\n",
    "data['group_index'] = group_index\n",
    "print len(data)\n",
    "data.head().append(data.tail())"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>volume</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>floor_price</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>group_index</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1271711.00</td>\n",
       "      <td>22.33</td>\n",
       "      <td>16.21</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>1831018.01</td>\n",
       "      <td>24.75</td>\n",
       "      <td>18.98</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2038944.01</td>\n",
       "      <td>-27.20</td>\n",
       "      <td>20.08</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>477219.16</td>\n",
       "      <td>23.49</td>\n",
       "      <td>21.40</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>203932.07</td>\n",
       "      <td>-22.48</td>\n",
       "      <td>20.10</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                 volume  ceiling_price  floor_price\n",
       "group_index                                        \n",
       "0            1271711.00          22.33        16.21\n",
       "1            1831018.01          24.75        18.98\n",
       "2            2038944.01         -27.20        20.08\n",
       "3             477219.16          23.49        21.40\n",
       "4             203932.07         -22.48        20.10"
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 针对下跌的波动，我们把最高价设置为负数\n",
    "def _ceiling_price(g):\n",
    "    return g.idxmin() < g.idxmax() and np.max(g) or (-np.max(g))\n",
    "    \n",
    "\n",
    "# 根据索引分组计算\n",
    "group = data.groupby('group_index').agg({\n",
    "                                        'volume': 'sum', \n",
    "                                        'floor_price': 'min', \n",
    "                                        'ceiling_price': _ceiling_price})\n",
    "group.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>volume</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>floor_price</th>\n",
       "      <th>date</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>group_index</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1271711.00</td>\n",
       "      <td>22.33</td>\n",
       "      <td>16.21</td>\n",
       "      <td>2000-01-04</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>1831018.01</td>\n",
       "      <td>24.75</td>\n",
       "      <td>18.98</td>\n",
       "      <td>2000-02-03</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2038944.01</td>\n",
       "      <td>-27.20</td>\n",
       "      <td>20.08</td>\n",
       "      <td>2000-03-04</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>477219.16</td>\n",
       "      <td>23.49</td>\n",
       "      <td>21.40</td>\n",
       "      <td>2000-04-03</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>203932.07</td>\n",
       "      <td>-22.48</td>\n",
       "      <td>20.10</td>\n",
       "      <td>2000-05-03</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                 volume  ceiling_price  floor_price       date\n",
       "group_index                                                   \n",
       "0            1271711.00          22.33        16.21 2000-01-04\n",
       "1            1831018.01          24.75        18.98 2000-02-03\n",
       "2            2038944.01         -27.20        20.08 2000-03-04\n",
       "3             477219.16          23.49        21.40 2000-04-03\n",
       "4             203932.07         -22.48        20.10 2000-05-03"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 添加每个分组的起始日期\n",
    "date_col = pd.DataFrame({\"group_index\": group_index, \"date\": idx})\n",
    "group['date'] = date_col.groupby('group_index').agg('first')\n",
    "group.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>volume</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>floor_price</th>\n",
       "      <th>date</th>\n",
       "      <th>ripples_radio</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>group_index</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1271711.00</td>\n",
       "      <td>22.33</td>\n",
       "      <td>16.21</td>\n",
       "      <td>2000-01-04</td>\n",
       "      <td>1.377545</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>1831018.01</td>\n",
       "      <td>24.75</td>\n",
       "      <td>18.98</td>\n",
       "      <td>2000-02-03</td>\n",
       "      <td>1.304004</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2038944.01</td>\n",
       "      <td>-27.20</td>\n",
       "      <td>20.08</td>\n",
       "      <td>2000-03-04</td>\n",
       "      <td>-1.354582</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>477219.16</td>\n",
       "      <td>23.49</td>\n",
       "      <td>21.40</td>\n",
       "      <td>2000-04-03</td>\n",
       "      <td>1.097664</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>203932.07</td>\n",
       "      <td>-22.48</td>\n",
       "      <td>20.10</td>\n",
       "      <td>2000-05-03</td>\n",
       "      <td>-1.118408</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                 volume  ceiling_price  floor_price       date  ripples_radio\n",
       "group_index                                                                  \n",
       "0            1271711.00          22.33        16.21 2000-01-04       1.377545\n",
       "1            1831018.01          24.75        18.98 2000-02-03       1.304004\n",
       "2            2038944.01         -27.20        20.08 2000-03-04      -1.354582\n",
       "3             477219.16          23.49        21.40 2000-04-03       1.097664\n",
       "4             203932.07         -22.48        20.10 2000-05-03      -1.118408"
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 添加我们的波动指标 股票波动系数 = 最高价/最低价\n",
    "group['ripples_radio'] = group.ceiling_price / group.floor_price\n",
    "group.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>volume</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>floor_price</th>\n",
       "      <th>date</th>\n",
       "      <th>ripples_radio</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>group_index</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>101</th>\n",
       "      <td>4352881.31</td>\n",
       "      <td>14.85</td>\n",
       "      <td>9.18</td>\n",
       "      <td>2008-04-21</td>\n",
       "      <td>1.617647</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>90</th>\n",
       "      <td>5703121.25</td>\n",
       "      <td>18.89</td>\n",
       "      <td>11.85</td>\n",
       "      <td>2007-05-27</td>\n",
       "      <td>1.594093</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>92</th>\n",
       "      <td>4545365.71</td>\n",
       "      <td>23.96</td>\n",
       "      <td>16.42</td>\n",
       "      <td>2007-07-26</td>\n",
       "      <td>1.459196</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>85</th>\n",
       "      <td>4126972.83</td>\n",
       "      <td>12.38</td>\n",
       "      <td>8.58</td>\n",
       "      <td>2006-12-28</td>\n",
       "      <td>1.442890</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>84</th>\n",
       "      <td>2952951.46</td>\n",
       "      <td>9.20</td>\n",
       "      <td>6.40</td>\n",
       "      <td>2006-11-28</td>\n",
       "      <td>1.437500</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                 volume  ceiling_price  floor_price       date  ripples_radio\n",
       "group_index                                                                  \n",
       "101          4352881.31          14.85         9.18 2008-04-21       1.617647\n",
       "90           5703121.25          18.89        11.85 2007-05-27       1.594093\n",
       "92           4545365.71          23.96        16.42 2007-07-26       1.459196\n",
       "85           4126972.83          12.38         8.58 2006-12-28       1.442890\n",
       "84           2952951.46           9.20         6.40 2006-11-28       1.437500"
      ]
     },
     "execution_count": 25,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 降序排列。我们把分组的起始日期，交易量总和都列出来，也可以观察一下交易量和股票波动比的关系\n",
    "ripples = group.sort_values('ripples_radio', ascending=False)\n",
    "ripples.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 241,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1.3657990069195818"
      ]
     },
     "execution_count": 241,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 我们算出前 10 个上涨的波动。作为这个股票的波动值。\n",
    "# 最后，我们就可以根据所有股票的波动值来选择最优的股票了。\n",
    "ripples.head(10).ripples_radio.mean()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 242,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "-1.4124407127785106"
      ]
     },
     "execution_count": 242,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 我们也可以看一下前 10 个下跌的波动。\n",
    "ripples.tail(10).ripples_radio.mean()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 计算涨跌幅"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 187,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>floor_price</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "      <th>closing_price</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2007-01-04</th>\n",
       "      <td>4.16</td>\n",
       "      <td>4.22</td>\n",
       "      <td>4.27</td>\n",
       "      <td>17877.88</td>\n",
       "      <td>7477370.52</td>\n",
       "      <td>4.19</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-01-05</th>\n",
       "      <td>4.15</td>\n",
       "      <td>4.16</td>\n",
       "      <td>4.27</td>\n",
       "      <td>10857.66</td>\n",
       "      <td>4588246.02</td>\n",
       "      <td>4.24</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-01-08</th>\n",
       "      <td>4.27</td>\n",
       "      <td>4.27</td>\n",
       "      <td>4.45</td>\n",
       "      <td>30770.01</td>\n",
       "      <td>13467986.00</td>\n",
       "      <td>4.44</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-01-09</th>\n",
       "      <td>4.42</td>\n",
       "      <td>4.48</td>\n",
       "      <td>4.54</td>\n",
       "      <td>26276.89</td>\n",
       "      <td>11726492.00</td>\n",
       "      <td>4.45</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-01-10</th>\n",
       "      <td>4.36</td>\n",
       "      <td>4.45</td>\n",
       "      <td>4.90</td>\n",
       "      <td>80840.76</td>\n",
       "      <td>37866240.01</td>\n",
       "      <td>4.90</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            floor_price  opening_price  ceiling_price    volume       amount  \\\n",
       "date                                                                           \n",
       "2007-01-04         4.16           4.22           4.27  17877.88   7477370.52   \n",
       "2007-01-05         4.15           4.16           4.27  10857.66   4588246.02   \n",
       "2007-01-08         4.27           4.27           4.45  30770.01  13467986.00   \n",
       "2007-01-09         4.42           4.48           4.54  26276.89  11726492.00   \n",
       "2007-01-10         4.36           4.45           4.90  80840.76  37866240.01   \n",
       "\n",
       "            closing_price  \n",
       "date                       \n",
       "2007-01-04           4.19  \n",
       "2007-01-05           4.24  \n",
       "2007-01-08           4.44  \n",
       "2007-01-09           4.45  \n",
       "2007-01-10           4.90  "
      ]
     },
     "execution_count": 187,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "data = pd.read_csv('test-data/SZ000565.csv', index_col='date', parse_dates=True)\n",
    "data.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 193,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "date\n",
       "2007-01-04     NaN\n",
       "2007-01-05    0.05\n",
       "2007-01-08    0.20\n",
       "2007-01-09    0.01\n",
       "2007-01-10    0.45\n",
       "Name: closing_price, dtype: float64"
      ]
     },
     "execution_count": 193,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "rise = data.closing_price.diff()\n",
    "rise.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 196,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "date\n",
       "2007-01-04    0.00\n",
       "2007-01-05    0.05\n",
       "2007-01-08    0.20\n",
       "2007-01-09    0.01\n",
       "2007-01-10    0.45\n",
       "Name: closing_price, dtype: float64"
      ]
     },
     "execution_count": 196,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "rise.iloc[0] = 0\n",
    "rise.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 198,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>floor_price</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "      <th>closing_price</th>\n",
       "      <th>rise</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2007-01-04</th>\n",
       "      <td>4.16</td>\n",
       "      <td>4.22</td>\n",
       "      <td>4.27</td>\n",
       "      <td>17877.88</td>\n",
       "      <td>7477370.52</td>\n",
       "      <td>4.19</td>\n",
       "      <td>0.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-01-05</th>\n",
       "      <td>4.15</td>\n",
       "      <td>4.16</td>\n",
       "      <td>4.27</td>\n",
       "      <td>10857.66</td>\n",
       "      <td>4588246.02</td>\n",
       "      <td>4.24</td>\n",
       "      <td>0.05</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-01-08</th>\n",
       "      <td>4.27</td>\n",
       "      <td>4.27</td>\n",
       "      <td>4.45</td>\n",
       "      <td>30770.01</td>\n",
       "      <td>13467986.00</td>\n",
       "      <td>4.44</td>\n",
       "      <td>0.20</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-01-09</th>\n",
       "      <td>4.42</td>\n",
       "      <td>4.48</td>\n",
       "      <td>4.54</td>\n",
       "      <td>26276.89</td>\n",
       "      <td>11726492.00</td>\n",
       "      <td>4.45</td>\n",
       "      <td>0.01</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-01-10</th>\n",
       "      <td>4.36</td>\n",
       "      <td>4.45</td>\n",
       "      <td>4.90</td>\n",
       "      <td>80840.76</td>\n",
       "      <td>37866240.01</td>\n",
       "      <td>4.90</td>\n",
       "      <td>0.45</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            floor_price  opening_price  ceiling_price    volume       amount  \\\n",
       "date                                                                           \n",
       "2007-01-04         4.16           4.22           4.27  17877.88   7477370.52   \n",
       "2007-01-05         4.15           4.16           4.27  10857.66   4588246.02   \n",
       "2007-01-08         4.27           4.27           4.45  30770.01  13467986.00   \n",
       "2007-01-09         4.42           4.48           4.54  26276.89  11726492.00   \n",
       "2007-01-10         4.36           4.45           4.90  80840.76  37866240.01   \n",
       "\n",
       "            closing_price  rise  \n",
       "date                             \n",
       "2007-01-04           4.19  0.00  \n",
       "2007-01-05           4.24  0.05  \n",
       "2007-01-08           4.44  0.20  \n",
       "2007-01-09           4.45  0.01  \n",
       "2007-01-10           4.90  0.45  "
      ]
     },
     "execution_count": 198,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "data['rise'] = rise\n",
    "data.head()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 计算指定时间点之前的一段时间内波动最大的股票\n",
    "\n",
    "比如，我们有时候想知道最近一个月内上涨最多的股票，或者最近一个月内下跌最多的股票"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 248,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>floor_price</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "      <th>closing_price</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2008-12-01</th>\n",
       "      <td>7.40</td>\n",
       "      <td>7.58</td>\n",
       "      <td>7.90</td>\n",
       "      <td>41747.12</td>\n",
       "      <td>3.214610e+07</td>\n",
       "      <td>7.88</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-02</th>\n",
       "      <td>7.55</td>\n",
       "      <td>7.56</td>\n",
       "      <td>8.38</td>\n",
       "      <td>74552.15</td>\n",
       "      <td>6.029661e+07</td>\n",
       "      <td>8.32</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-03</th>\n",
       "      <td>8.40</td>\n",
       "      <td>8.40</td>\n",
       "      <td>8.93</td>\n",
       "      <td>85361.64</td>\n",
       "      <td>7.420082e+07</td>\n",
       "      <td>8.82</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-04</th>\n",
       "      <td>8.42</td>\n",
       "      <td>8.88</td>\n",
       "      <td>9.08</td>\n",
       "      <td>110410.46</td>\n",
       "      <td>9.740610e+07</td>\n",
       "      <td>8.50</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-05</th>\n",
       "      <td>8.33</td>\n",
       "      <td>8.40</td>\n",
       "      <td>9.35</td>\n",
       "      <td>126479.91</td>\n",
       "      <td>1.133572e+08</td>\n",
       "      <td>9.35</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-08</th>\n",
       "      <td>9.35</td>\n",
       "      <td>9.40</td>\n",
       "      <td>9.99</td>\n",
       "      <td>149491.39</td>\n",
       "      <td>1.436038e+08</td>\n",
       "      <td>9.69</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-09</th>\n",
       "      <td>9.10</td>\n",
       "      <td>9.73</td>\n",
       "      <td>9.73</td>\n",
       "      <td>89871.90</td>\n",
       "      <td>8.405230e+07</td>\n",
       "      <td>9.15</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-10</th>\n",
       "      <td>9.09</td>\n",
       "      <td>9.11</td>\n",
       "      <td>9.55</td>\n",
       "      <td>70036.94</td>\n",
       "      <td>6.571389e+07</td>\n",
       "      <td>9.46</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-11</th>\n",
       "      <td>9.06</td>\n",
       "      <td>9.40</td>\n",
       "      <td>9.47</td>\n",
       "      <td>57735.24</td>\n",
       "      <td>5.328468e+07</td>\n",
       "      <td>9.06</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-12</th>\n",
       "      <td>8.15</td>\n",
       "      <td>8.80</td>\n",
       "      <td>9.00</td>\n",
       "      <td>59210.49</td>\n",
       "      <td>5.038026e+07</td>\n",
       "      <td>8.29</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-15</th>\n",
       "      <td>8.30</td>\n",
       "      <td>8.33</td>\n",
       "      <td>8.72</td>\n",
       "      <td>41758.27</td>\n",
       "      <td>3.534860e+07</td>\n",
       "      <td>8.50</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-16</th>\n",
       "      <td>8.02</td>\n",
       "      <td>8.48</td>\n",
       "      <td>8.60</td>\n",
       "      <td>38808.62</td>\n",
       "      <td>3.220561e+07</td>\n",
       "      <td>8.60</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-17</th>\n",
       "      <td>8.58</td>\n",
       "      <td>8.67</td>\n",
       "      <td>8.89</td>\n",
       "      <td>46993.48</td>\n",
       "      <td>4.114008e+07</td>\n",
       "      <td>8.65</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-18</th>\n",
       "      <td>8.50</td>\n",
       "      <td>8.62</td>\n",
       "      <td>8.81</td>\n",
       "      <td>34061.97</td>\n",
       "      <td>2.965074e+07</td>\n",
       "      <td>8.78</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-19</th>\n",
       "      <td>8.79</td>\n",
       "      <td>8.79</td>\n",
       "      <td>9.39</td>\n",
       "      <td>70327.47</td>\n",
       "      <td>6.435001e+07</td>\n",
       "      <td>9.18</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-22</th>\n",
       "      <td>8.95</td>\n",
       "      <td>9.19</td>\n",
       "      <td>9.39</td>\n",
       "      <td>50195.75</td>\n",
       "      <td>4.592311e+07</td>\n",
       "      <td>9.11</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-23</th>\n",
       "      <td>8.20</td>\n",
       "      <td>9.17</td>\n",
       "      <td>9.17</td>\n",
       "      <td>75732.72</td>\n",
       "      <td>6.507140e+07</td>\n",
       "      <td>8.20</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-24</th>\n",
       "      <td>7.59</td>\n",
       "      <td>8.03</td>\n",
       "      <td>8.18</td>\n",
       "      <td>61498.16</td>\n",
       "      <td>4.823624e+07</td>\n",
       "      <td>7.82</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-25</th>\n",
       "      <td>7.40</td>\n",
       "      <td>7.90</td>\n",
       "      <td>7.93</td>\n",
       "      <td>34791.00</td>\n",
       "      <td>2.672370e+07</td>\n",
       "      <td>7.52</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-29</th>\n",
       "      <td>6.96</td>\n",
       "      <td>7.50</td>\n",
       "      <td>7.55</td>\n",
       "      <td>31694.04</td>\n",
       "      <td>2.274100e+07</td>\n",
       "      <td>7.26</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-30</th>\n",
       "      <td>7.11</td>\n",
       "      <td>7.29</td>\n",
       "      <td>7.48</td>\n",
       "      <td>25533.01</td>\n",
       "      <td>1.865500e+07</td>\n",
       "      <td>7.15</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-12-31</th>\n",
       "      <td>6.94</td>\n",
       "      <td>7.16</td>\n",
       "      <td>7.25</td>\n",
       "      <td>22324.32</td>\n",
       "      <td>1.577828e+07</td>\n",
       "      <td>6.95</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            floor_price  opening_price  ceiling_price     volume  \\\n",
       "date                                                               \n",
       "2008-12-01         7.40           7.58           7.90   41747.12   \n",
       "2008-12-02         7.55           7.56           8.38   74552.15   \n",
       "2008-12-03         8.40           8.40           8.93   85361.64   \n",
       "2008-12-04         8.42           8.88           9.08  110410.46   \n",
       "2008-12-05         8.33           8.40           9.35  126479.91   \n",
       "2008-12-08         9.35           9.40           9.99  149491.39   \n",
       "2008-12-09         9.10           9.73           9.73   89871.90   \n",
       "2008-12-10         9.09           9.11           9.55   70036.94   \n",
       "2008-12-11         9.06           9.40           9.47   57735.24   \n",
       "2008-12-12         8.15           8.80           9.00   59210.49   \n",
       "2008-12-15         8.30           8.33           8.72   41758.27   \n",
       "2008-12-16         8.02           8.48           8.60   38808.62   \n",
       "2008-12-17         8.58           8.67           8.89   46993.48   \n",
       "2008-12-18         8.50           8.62           8.81   34061.97   \n",
       "2008-12-19         8.79           8.79           9.39   70327.47   \n",
       "2008-12-22         8.95           9.19           9.39   50195.75   \n",
       "2008-12-23         8.20           9.17           9.17   75732.72   \n",
       "2008-12-24         7.59           8.03           8.18   61498.16   \n",
       "2008-12-25         7.40           7.90           7.93   34791.00   \n",
       "2008-12-29         6.96           7.50           7.55   31694.04   \n",
       "2008-12-30         7.11           7.29           7.48   25533.01   \n",
       "2008-12-31         6.94           7.16           7.25   22324.32   \n",
       "\n",
       "                  amount  closing_price  \n",
       "date                                     \n",
       "2008-12-01  3.214610e+07           7.88  \n",
       "2008-12-02  6.029661e+07           8.32  \n",
       "2008-12-03  7.420082e+07           8.82  \n",
       "2008-12-04  9.740610e+07           8.50  \n",
       "2008-12-05  1.133572e+08           9.35  \n",
       "2008-12-08  1.436038e+08           9.69  \n",
       "2008-12-09  8.405230e+07           9.15  \n",
       "2008-12-10  6.571389e+07           9.46  \n",
       "2008-12-11  5.328468e+07           9.06  \n",
       "2008-12-12  5.038026e+07           8.29  \n",
       "2008-12-15  3.534860e+07           8.50  \n",
       "2008-12-16  3.220561e+07           8.60  \n",
       "2008-12-17  4.114008e+07           8.65  \n",
       "2008-12-18  2.965074e+07           8.78  \n",
       "2008-12-19  6.435001e+07           9.18  \n",
       "2008-12-22  4.592311e+07           9.11  \n",
       "2008-12-23  6.507140e+07           8.20  \n",
       "2008-12-24  4.823624e+07           7.82  \n",
       "2008-12-25  2.672370e+07           7.52  \n",
       "2008-12-29  2.274100e+07           7.26  \n",
       "2008-12-30  1.865500e+07           7.15  \n",
       "2008-12-31  1.577828e+07           6.95  "
      ]
     },
     "execution_count": 248,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "end_date = '2008-12-31'\n",
    "period = 30\n",
    "\n",
    "end_date = pd.Timestamp(end_date)\n",
    "start_date = end_date - pd.Timedelta(days=period)\n",
    "\n",
    "data = pd.read_csv('test-data/SZ000565.csv', index_col='date', parse_dates=True)\n",
    "data = data.loc[start_date:end_date]\n",
    "data"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 251,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "-1.4394812680115274"
      ]
     },
     "execution_count": 251,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 计算波动值\n",
    "_ripple_radio = lambda data: data.ceiling_price.max() / data.floor_price.min()\n",
    "ripple_radio = data.floor_price.idxmin() < data.ceiling_price.idxmax() and _ripple_radio(data) or -_ripple_radio(data)\n",
    "ripple_radio"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "最后，遍历所有的股票，计算其指定日期之前的一段时间的波动值，选出波动最大的股票，即是我们关注的股票"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 使用 stock.py 来过滤数据"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 256,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "<module 'stock' from 'stock.pyc'>"
      ]
     },
     "execution_count": 256,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import stock as st\n",
    "reload(st)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 获取指定股票的历史所有波动数据"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 253,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "mean ripples range on top 10 in period of 30 for test-data/SZ000565.csv: 1.5747\n"
     ]
    }
   ],
   "source": [
    "ripples = st.stock_ripples('test-data/SZ000565.csv', period=30)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 257,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>volume</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>floor_price</th>\n",
       "      <th>ripples_radio</th>\n",
       "      <th>date</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>group_index</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>684527.13</td>\n",
       "      <td>53.40</td>\n",
       "      <td>31.41</td>\n",
       "      <td>1.700096</td>\n",
       "      <td>2008-01-29</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>1263764.46</td>\n",
       "      <td>9.10</td>\n",
       "      <td>5.43</td>\n",
       "      <td>1.675875</td>\n",
       "      <td>2008-10-25</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>1683845.12</td>\n",
       "      <td>15.00</td>\n",
       "      <td>9.23</td>\n",
       "      <td>1.625135</td>\n",
       "      <td>2007-06-03</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>750365.28</td>\n",
       "      <td>32.00</td>\n",
       "      <td>19.90</td>\n",
       "      <td>1.608040</td>\n",
       "      <td>2007-11-30</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>982090.48</td>\n",
       "      <td>43.62</td>\n",
       "      <td>27.70</td>\n",
       "      <td>1.574729</td>\n",
       "      <td>2008-03-29</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>1872200.46</td>\n",
       "      <td>19.10</td>\n",
       "      <td>12.21</td>\n",
       "      <td>1.564292</td>\n",
       "      <td>2007-07-03</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>697691.10</td>\n",
       "      <td>8.12</td>\n",
       "      <td>5.25</td>\n",
       "      <td>1.546667</td>\n",
       "      <td>2007-02-03</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1014832.08</td>\n",
       "      <td>6.29</td>\n",
       "      <td>4.15</td>\n",
       "      <td>1.515663</td>\n",
       "      <td>2007-01-04</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>1679180.00</td>\n",
       "      <td>15.60</td>\n",
       "      <td>10.48</td>\n",
       "      <td>1.488550</td>\n",
       "      <td>2007-05-04</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>994532.42</td>\n",
       "      <td>42.99</td>\n",
       "      <td>29.70</td>\n",
       "      <td>1.447475</td>\n",
       "      <td>2007-12-30</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                 volume  ceiling_price  floor_price  ripples_radio       date\n",
       "group_index                                                                  \n",
       "13            684527.13          53.40        31.41       1.700096 2008-01-29\n",
       "22           1263764.46           9.10         5.43       1.675875 2008-10-25\n",
       "5            1683845.12          15.00         9.23       1.625135 2007-06-03\n",
       "11            750365.28          32.00        19.90       1.608040 2007-11-30\n",
       "15            982090.48          43.62        27.70       1.574729 2008-03-29\n",
       "6            1872200.46          19.10        12.21       1.564292 2007-07-03\n",
       "1             697691.10           8.12         5.25       1.546667 2007-02-03\n",
       "0            1014832.08           6.29         4.15       1.515663 2007-01-04\n",
       "4            1679180.00          15.60        10.48       1.488550 2007-05-04\n",
       "12            994532.42          42.99        29.70       1.447475 2007-12-30"
      ]
     },
     "execution_count": 257,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 显示指定周期内，股票的前十个波动周期\n",
    "ripples.head(10)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 获取某个波动数据日交易记录"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 258,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "mean ripples range on top 10 in period of 30 for test-data/SZ000565.csv: 1.5747\n"
     ]
    },
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>floor_price</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "      <th>closing_price</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2008-01-29</th>\n",
       "      <td>35.22</td>\n",
       "      <td>37.20</td>\n",
       "      <td>38.40</td>\n",
       "      <td>31080.85</td>\n",
       "      <td>1.142786e+08</td>\n",
       "      <td>36.80</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-30</th>\n",
       "      <td>35.20</td>\n",
       "      <td>36.90</td>\n",
       "      <td>37.80</td>\n",
       "      <td>32685.97</td>\n",
       "      <td>1.191624e+08</td>\n",
       "      <td>36.17</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-01-31</th>\n",
       "      <td>34.68</td>\n",
       "      <td>36.00</td>\n",
       "      <td>36.99</td>\n",
       "      <td>16936.99</td>\n",
       "      <td>6.110052e+07</td>\n",
       "      <td>34.90</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-01</th>\n",
       "      <td>31.41</td>\n",
       "      <td>35.11</td>\n",
       "      <td>35.70</td>\n",
       "      <td>37800.12</td>\n",
       "      <td>1.255683e+08</td>\n",
       "      <td>33.96</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-04</th>\n",
       "      <td>34.23</td>\n",
       "      <td>34.23</td>\n",
       "      <td>36.98</td>\n",
       "      <td>28833.04</td>\n",
       "      <td>1.035361e+08</td>\n",
       "      <td>36.45</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-05</th>\n",
       "      <td>34.88</td>\n",
       "      <td>36.60</td>\n",
       "      <td>37.79</td>\n",
       "      <td>22899.41</td>\n",
       "      <td>8.395902e+07</td>\n",
       "      <td>37.25</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-13</th>\n",
       "      <td>36.50</td>\n",
       "      <td>37.29</td>\n",
       "      <td>40.50</td>\n",
       "      <td>38630.03</td>\n",
       "      <td>1.527484e+08</td>\n",
       "      <td>39.68</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-14</th>\n",
       "      <td>39.80</td>\n",
       "      <td>39.80</td>\n",
       "      <td>41.37</td>\n",
       "      <td>24816.46</td>\n",
       "      <td>1.012893e+08</td>\n",
       "      <td>40.89</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-15</th>\n",
       "      <td>40.30</td>\n",
       "      <td>40.90</td>\n",
       "      <td>44.98</td>\n",
       "      <td>58228.07</td>\n",
       "      <td>2.485879e+08</td>\n",
       "      <td>43.92</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-18</th>\n",
       "      <td>43.00</td>\n",
       "      <td>43.00</td>\n",
       "      <td>45.98</td>\n",
       "      <td>37877.20</td>\n",
       "      <td>1.697362e+08</td>\n",
       "      <td>44.64</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-19</th>\n",
       "      <td>43.80</td>\n",
       "      <td>43.80</td>\n",
       "      <td>49.10</td>\n",
       "      <td>50062.28</td>\n",
       "      <td>2.373674e+08</td>\n",
       "      <td>49.10</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-20</th>\n",
       "      <td>47.50</td>\n",
       "      <td>50.00</td>\n",
       "      <td>53.00</td>\n",
       "      <td>65400.93</td>\n",
       "      <td>3.284942e+08</td>\n",
       "      <td>51.51</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-21</th>\n",
       "      <td>50.50</td>\n",
       "      <td>51.00</td>\n",
       "      <td>53.40</td>\n",
       "      <td>41120.18</td>\n",
       "      <td>2.134291e+08</td>\n",
       "      <td>51.35</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-22</th>\n",
       "      <td>46.61</td>\n",
       "      <td>51.06</td>\n",
       "      <td>51.34</td>\n",
       "      <td>74073.98</td>\n",
       "      <td>3.579069e+08</td>\n",
       "      <td>49.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-25</th>\n",
       "      <td>47.40</td>\n",
       "      <td>48.68</td>\n",
       "      <td>49.90</td>\n",
       "      <td>32461.92</td>\n",
       "      <td>1.585073e+08</td>\n",
       "      <td>49.20</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-26</th>\n",
       "      <td>44.28</td>\n",
       "      <td>50.10</td>\n",
       "      <td>51.50</td>\n",
       "      <td>60725.53</td>\n",
       "      <td>2.819588e+08</td>\n",
       "      <td>45.80</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-27</th>\n",
       "      <td>44.01</td>\n",
       "      <td>46.11</td>\n",
       "      <td>46.56</td>\n",
       "      <td>30894.17</td>\n",
       "      <td>1.409013e+08</td>\n",
       "      <td>46.02</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008-02-28</th>\n",
       "      <td>45.03</td>\n",
       "      <td>46.00</td>\n",
       "      <td>50.58</td>\n",
       "      <td>39561.32</td>\n",
       "      <td>1.927301e+08</td>\n",
       "      <td>50.00</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            floor_price  opening_price  ceiling_price    volume        amount  \\\n",
       "date                                                                            \n",
       "2008-01-29        35.22          37.20          38.40  31080.85  1.142786e+08   \n",
       "2008-01-30        35.20          36.90          37.80  32685.97  1.191624e+08   \n",
       "2008-01-31        34.68          36.00          36.99  16936.99  6.110052e+07   \n",
       "2008-02-01        31.41          35.11          35.70  37800.12  1.255683e+08   \n",
       "2008-02-04        34.23          34.23          36.98  28833.04  1.035361e+08   \n",
       "2008-02-05        34.88          36.60          37.79  22899.41  8.395902e+07   \n",
       "2008-02-13        36.50          37.29          40.50  38630.03  1.527484e+08   \n",
       "2008-02-14        39.80          39.80          41.37  24816.46  1.012893e+08   \n",
       "2008-02-15        40.30          40.90          44.98  58228.07  2.485879e+08   \n",
       "2008-02-18        43.00          43.00          45.98  37877.20  1.697362e+08   \n",
       "2008-02-19        43.80          43.80          49.10  50062.28  2.373674e+08   \n",
       "2008-02-20        47.50          50.00          53.00  65400.93  3.284942e+08   \n",
       "2008-02-21        50.50          51.00          53.40  41120.18  2.134291e+08   \n",
       "2008-02-22        46.61          51.06          51.34  74073.98  3.579069e+08   \n",
       "2008-02-25        47.40          48.68          49.90  32461.92  1.585073e+08   \n",
       "2008-02-26        44.28          50.10          51.50  60725.53  2.819588e+08   \n",
       "2008-02-27        44.01          46.11          46.56  30894.17  1.409013e+08   \n",
       "2008-02-28        45.03          46.00          50.58  39561.32  1.927301e+08   \n",
       "\n",
       "            closing_price  \n",
       "date                       \n",
       "2008-01-29          36.80  \n",
       "2008-01-30          36.17  \n",
       "2008-01-31          34.90  \n",
       "2008-02-01          33.96  \n",
       "2008-02-04          36.45  \n",
       "2008-02-05          37.25  \n",
       "2008-02-13          39.68  \n",
       "2008-02-14          40.89  \n",
       "2008-02-15          43.92  \n",
       "2008-02-18          44.64  \n",
       "2008-02-19          49.10  \n",
       "2008-02-20          51.51  \n",
       "2008-02-21          51.35  \n",
       "2008-02-22          49.00  \n",
       "2008-02-25          49.20  \n",
       "2008-02-26          45.80  \n",
       "2008-02-27          46.02  \n",
       "2008-02-28          50.00  "
      ]
     },
     "execution_count": 258,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 有时候，我们想看一下某个股票某个波动周期下的原始数据\n",
    "stock_file = 'test-data/SZ000565.csv'\n",
    "st.ripple_raw_data(stock_file, ripple_idx=0, days=30)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 获取所有股票在指定时间点之前的一定时间内的波动排行板"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 264,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "head 5 recent ripples in period of 30 for all stocks in test-data till 2007-11-30 00:00:00:\n",
      "    stock_id   ripples\n",
      "6   SH600689  1.460396\n",
      "10  SH600693  1.363095\n",
      "18  SZ000565  1.339080\n",
      "4   SH600687  1.327731\n",
      "8   SH600691  1.315024\n",
      "tail 5 recent ripples in period of 30 for all stocks in test-data till 2007-11-30 00:00:00:\n",
      "    stock_id   ripples\n",
      "5   SH600688 -1.393103\n",
      "2   SH600685 -1.422372\n",
      "16  SZ000563 -1.440594\n",
      "12  SZ000001 -1.457738\n",
      "15  SZ000562 -1.612127\n"
     ]
    },
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>stock_id</th>\n",
       "      <th>ripples</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>SH600689</td>\n",
       "      <td>1.460396</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>SH600693</td>\n",
       "      <td>1.363095</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>SZ000565</td>\n",
       "      <td>1.339080</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>SH600687</td>\n",
       "      <td>1.327731</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>SH600691</td>\n",
       "      <td>1.315024</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>SZ000567</td>\n",
       "      <td>1.263158</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>SZ000566</td>\n",
       "      <td>1.187879</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>SH600692</td>\n",
       "      <td>1.161850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>SZ000564</td>\n",
       "      <td>-1.130506</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>SH600273</td>\n",
       "      <td>-1.206849</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>SZ000561</td>\n",
       "      <td>-1.264873</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>SH600686</td>\n",
       "      <td>-1.276281</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>SH600690</td>\n",
       "      <td>-1.290361</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>SH600694</td>\n",
       "      <td>-1.373626</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>SZ000560</td>\n",
       "      <td>-1.375236</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>SH600688</td>\n",
       "      <td>-1.393103</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>SH600685</td>\n",
       "      <td>-1.422372</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>SZ000563</td>\n",
       "      <td>-1.440594</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>SZ000001</td>\n",
       "      <td>-1.457738</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>SZ000562</td>\n",
       "      <td>-1.612127</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "    stock_id   ripples\n",
       "6   SH600689  1.460396\n",
       "10  SH600693  1.363095\n",
       "18  SZ000565  1.339080\n",
       "4   SH600687  1.327731\n",
       "8   SH600691  1.315024\n",
       "20  SZ000567  1.263158\n",
       "19  SZ000566  1.187879\n",
       "9   SH600692  1.161850\n",
       "17  SZ000564 -1.130506\n",
       "1   SH600273 -1.206849\n",
       "14  SZ000561 -1.264873\n",
       "3   SH600686 -1.276281\n",
       "7   SH600690 -1.290361\n",
       "11  SH600694 -1.373626\n",
       "13  SZ000560 -1.375236\n",
       "5   SH600688 -1.393103\n",
       "2   SH600685 -1.422372\n",
       "16  SZ000563 -1.440594\n",
       "12  SZ000001 -1.457738\n",
       "15  SZ000562 -1.612127"
      ]
     },
     "execution_count": 264,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ripples = st.recent_ripples(basedir='test-data', end_date='2007-11-30', period=30)\n",
    "ripples.head(10).append(ripples.tail(10))"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 获取所有股票在指定时间点之前的一定时间内的交易记录"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 323,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>floor_price</th>\n",
       "      <th>opening_price</th>\n",
       "      <th>ceiling_price</th>\n",
       "      <th>volume</th>\n",
       "      <th>amount</th>\n",
       "      <th>closing_price</th>\n",
       "      <th>rise</th>\n",
       "      <th>rise_ratio</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2007-10-31</th>\n",
       "      <td>17.40</td>\n",
       "      <td>17.68</td>\n",
       "      <td>18.85</td>\n",
       "      <td>68564.60</td>\n",
       "      <td>1.259302e+08</td>\n",
       "      <td>18.77</td>\n",
       "      <td>1.17</td>\n",
       "      <td>0.066477</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-01</th>\n",
       "      <td>18.20</td>\n",
       "      <td>18.70</td>\n",
       "      <td>19.35</td>\n",
       "      <td>46222.86</td>\n",
       "      <td>8.682650e+07</td>\n",
       "      <td>18.20</td>\n",
       "      <td>-0.57</td>\n",
       "      <td>-0.030368</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-02</th>\n",
       "      <td>17.65</td>\n",
       "      <td>17.95</td>\n",
       "      <td>20.02</td>\n",
       "      <td>99849.00</td>\n",
       "      <td>1.951594e+08</td>\n",
       "      <td>20.02</td>\n",
       "      <td>1.82</td>\n",
       "      <td>0.100000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-05</th>\n",
       "      <td>19.53</td>\n",
       "      <td>20.10</td>\n",
       "      <td>21.18</td>\n",
       "      <td>75735.50</td>\n",
       "      <td>1.540374e+08</td>\n",
       "      <td>19.67</td>\n",
       "      <td>-0.35</td>\n",
       "      <td>-0.017483</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-06</th>\n",
       "      <td>19.55</td>\n",
       "      <td>19.55</td>\n",
       "      <td>21.38</td>\n",
       "      <td>50352.08</td>\n",
       "      <td>1.035035e+08</td>\n",
       "      <td>20.85</td>\n",
       "      <td>1.18</td>\n",
       "      <td>0.059990</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-07</th>\n",
       "      <td>20.34</td>\n",
       "      <td>20.51</td>\n",
       "      <td>21.09</td>\n",
       "      <td>26222.33</td>\n",
       "      <td>5.440349e+07</td>\n",
       "      <td>20.60</td>\n",
       "      <td>-0.25</td>\n",
       "      <td>-0.011990</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-08</th>\n",
       "      <td>18.90</td>\n",
       "      <td>20.50</td>\n",
       "      <td>20.66</td>\n",
       "      <td>38444.63</td>\n",
       "      <td>7.538672e+07</td>\n",
       "      <td>19.03</td>\n",
       "      <td>-1.57</td>\n",
       "      <td>-0.076214</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-09</th>\n",
       "      <td>18.02</td>\n",
       "      <td>18.70</td>\n",
       "      <td>19.10</td>\n",
       "      <td>27578.91</td>\n",
       "      <td>5.135328e+07</td>\n",
       "      <td>18.80</td>\n",
       "      <td>-0.23</td>\n",
       "      <td>-0.012086</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-12</th>\n",
       "      <td>18.10</td>\n",
       "      <td>18.20</td>\n",
       "      <td>19.49</td>\n",
       "      <td>20073.82</td>\n",
       "      <td>3.760100e+07</td>\n",
       "      <td>19.29</td>\n",
       "      <td>0.49</td>\n",
       "      <td>0.026064</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-13</th>\n",
       "      <td>19.20</td>\n",
       "      <td>19.20</td>\n",
       "      <td>20.49</td>\n",
       "      <td>32208.06</td>\n",
       "      <td>6.424050e+07</td>\n",
       "      <td>19.95</td>\n",
       "      <td>0.66</td>\n",
       "      <td>0.034215</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-14</th>\n",
       "      <td>20.20</td>\n",
       "      <td>20.20</td>\n",
       "      <td>21.14</td>\n",
       "      <td>54401.48</td>\n",
       "      <td>1.126614e+08</td>\n",
       "      <td>21.11</td>\n",
       "      <td>1.16</td>\n",
       "      <td>0.058145</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-15</th>\n",
       "      <td>20.50</td>\n",
       "      <td>20.90</td>\n",
       "      <td>21.85</td>\n",
       "      <td>46425.98</td>\n",
       "      <td>9.842350e+07</td>\n",
       "      <td>20.78</td>\n",
       "      <td>-0.33</td>\n",
       "      <td>-0.015632</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-16</th>\n",
       "      <td>20.35</td>\n",
       "      <td>20.39</td>\n",
       "      <td>21.98</td>\n",
       "      <td>38246.46</td>\n",
       "      <td>8.090226e+07</td>\n",
       "      <td>21.28</td>\n",
       "      <td>0.50</td>\n",
       "      <td>0.024062</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-19</th>\n",
       "      <td>20.38</td>\n",
       "      <td>20.80</td>\n",
       "      <td>21.64</td>\n",
       "      <td>36516.91</td>\n",
       "      <td>7.683812e+07</td>\n",
       "      <td>21.10</td>\n",
       "      <td>-0.18</td>\n",
       "      <td>-0.008459</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-20</th>\n",
       "      <td>20.50</td>\n",
       "      <td>20.78</td>\n",
       "      <td>22.20</td>\n",
       "      <td>50982.29</td>\n",
       "      <td>1.096120e+08</td>\n",
       "      <td>22.16</td>\n",
       "      <td>1.06</td>\n",
       "      <td>0.050237</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-21</th>\n",
       "      <td>22.00</td>\n",
       "      <td>22.00</td>\n",
       "      <td>22.80</td>\n",
       "      <td>28427.67</td>\n",
       "      <td>6.332654e+07</td>\n",
       "      <td>22.10</td>\n",
       "      <td>-0.06</td>\n",
       "      <td>-0.002708</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-22</th>\n",
       "      <td>21.55</td>\n",
       "      <td>21.84</td>\n",
       "      <td>22.50</td>\n",
       "      <td>28041.53</td>\n",
       "      <td>6.158963e+07</td>\n",
       "      <td>21.70</td>\n",
       "      <td>-0.40</td>\n",
       "      <td>-0.018100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-23</th>\n",
       "      <td>21.25</td>\n",
       "      <td>21.50</td>\n",
       "      <td>22.39</td>\n",
       "      <td>18040.96</td>\n",
       "      <td>3.952558e+07</td>\n",
       "      <td>22.15</td>\n",
       "      <td>0.45</td>\n",
       "      <td>0.020737</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-26</th>\n",
       "      <td>22.16</td>\n",
       "      <td>22.36</td>\n",
       "      <td>23.30</td>\n",
       "      <td>23430.49</td>\n",
       "      <td>5.322186e+07</td>\n",
       "      <td>22.18</td>\n",
       "      <td>0.03</td>\n",
       "      <td>0.001354</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-27</th>\n",
       "      <td>21.10</td>\n",
       "      <td>22.17</td>\n",
       "      <td>22.50</td>\n",
       "      <td>29901.36</td>\n",
       "      <td>6.487885e+07</td>\n",
       "      <td>21.36</td>\n",
       "      <td>-0.82</td>\n",
       "      <td>-0.036970</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-28</th>\n",
       "      <td>20.81</td>\n",
       "      <td>21.30</td>\n",
       "      <td>21.75</td>\n",
       "      <td>21006.10</td>\n",
       "      <td>4.486798e+07</td>\n",
       "      <td>21.37</td>\n",
       "      <td>0.01</td>\n",
       "      <td>0.000468</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-29</th>\n",
       "      <td>19.30</td>\n",
       "      <td>21.46</td>\n",
       "      <td>21.79</td>\n",
       "      <td>60301.92</td>\n",
       "      <td>1.224943e+08</td>\n",
       "      <td>20.45</td>\n",
       "      <td>-0.92</td>\n",
       "      <td>-0.043051</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007-11-30</th>\n",
       "      <td>19.90</td>\n",
       "      <td>20.20</td>\n",
       "      <td>20.93</td>\n",
       "      <td>24790.57</td>\n",
       "      <td>5.026502e+07</td>\n",
       "      <td>20.15</td>\n",
       "      <td>-0.30</td>\n",
       "      <td>-0.014670</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            floor_price  opening_price  ceiling_price    volume        amount  \\\n",
       "date                                                                            \n",
       "2007-10-31        17.40          17.68          18.85  68564.60  1.259302e+08   \n",
       "2007-11-01        18.20          18.70          19.35  46222.86  8.682650e+07   \n",
       "2007-11-02        17.65          17.95          20.02  99849.00  1.951594e+08   \n",
       "2007-11-05        19.53          20.10          21.18  75735.50  1.540374e+08   \n",
       "2007-11-06        19.55          19.55          21.38  50352.08  1.035035e+08   \n",
       "2007-11-07        20.34          20.51          21.09  26222.33  5.440349e+07   \n",
       "2007-11-08        18.90          20.50          20.66  38444.63  7.538672e+07   \n",
       "2007-11-09        18.02          18.70          19.10  27578.91  5.135328e+07   \n",
       "2007-11-12        18.10          18.20          19.49  20073.82  3.760100e+07   \n",
       "2007-11-13        19.20          19.20          20.49  32208.06  6.424050e+07   \n",
       "2007-11-14        20.20          20.20          21.14  54401.48  1.126614e+08   \n",
       "2007-11-15        20.50          20.90          21.85  46425.98  9.842350e+07   \n",
       "2007-11-16        20.35          20.39          21.98  38246.46  8.090226e+07   \n",
       "2007-11-19        20.38          20.80          21.64  36516.91  7.683812e+07   \n",
       "2007-11-20        20.50          20.78          22.20  50982.29  1.096120e+08   \n",
       "2007-11-21        22.00          22.00          22.80  28427.67  6.332654e+07   \n",
       "2007-11-22        21.55          21.84          22.50  28041.53  6.158963e+07   \n",
       "2007-11-23        21.25          21.50          22.39  18040.96  3.952558e+07   \n",
       "2007-11-26        22.16          22.36          23.30  23430.49  5.322186e+07   \n",
       "2007-11-27        21.10          22.17          22.50  29901.36  6.487885e+07   \n",
       "2007-11-28        20.81          21.30          21.75  21006.10  4.486798e+07   \n",
       "2007-11-29        19.30          21.46          21.79  60301.92  1.224943e+08   \n",
       "2007-11-30        19.90          20.20          20.93  24790.57  5.026502e+07   \n",
       "\n",
       "            closing_price  rise  rise_ratio  \n",
       "date                                         \n",
       "2007-10-31          18.77  1.17    0.066477  \n",
       "2007-11-01          18.20 -0.57   -0.030368  \n",
       "2007-11-02          20.02  1.82    0.100000  \n",
       "2007-11-05          19.67 -0.35   -0.017483  \n",
       "2007-11-06          20.85  1.18    0.059990  \n",
       "2007-11-07          20.60 -0.25   -0.011990  \n",
       "2007-11-08          19.03 -1.57   -0.076214  \n",
       "2007-11-09          18.80 -0.23   -0.012086  \n",
       "2007-11-12          19.29  0.49    0.026064  \n",
       "2007-11-13          19.95  0.66    0.034215  \n",
       "2007-11-14          21.11  1.16    0.058145  \n",
       "2007-11-15          20.78 -0.33   -0.015632  \n",
       "2007-11-16          21.28  0.50    0.024062  \n",
       "2007-11-19          21.10 -0.18   -0.008459  \n",
       "2007-11-20          22.16  1.06    0.050237  \n",
       "2007-11-21          22.10 -0.06   -0.002708  \n",
       "2007-11-22          21.70 -0.40   -0.018100  \n",
       "2007-11-23          22.15  0.45    0.020737  \n",
       "2007-11-26          22.18  0.03    0.001354  \n",
       "2007-11-27          21.36 -0.82   -0.036970  \n",
       "2007-11-28          21.37  0.01    0.000468  \n",
       "2007-11-29          20.45 -0.92   -0.043051  \n",
       "2007-11-30          20.15 -0.30   -0.014670  "
      ]
     },
     "execution_count": 323,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "reload(st)\n",
    "days = st.row_data('test-data/SZ000565.csv', end_date='2007-11-30', period=30)\n",
    "days"
   ]
  }
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