TuShare提供的日历提供了自交易所开始交易以来每一天是否开市的信息， 但是没有提供其他在回测中可能用到的日历信息（例如某一天是否是一个月的首个交易日或最后一个交易日）， 本文从TuShare读取开市日历然后计算自己的交易日历并保存的本地。 这样其他程序可以读取自己的交易日历从而避免不必要的重复计算。

import numpy as np  
import pandas as pd  
import tushare as ts  
import datetime  
import time  
import tushare as ts  
import os  
import matplotlib  
import matplotlib.pyplot as plt  

def gen_save_exchange_calendar():
    #从TuShare读取开市日历，然后自己计算week/month/querter/year sart/end 属性
    #然后保存在本地以供以后使用
    cal_dates = ts.trade_cal()
    cal_dates['isWeekStart'] = 0
    cal_dates['isWeekEnd'] = 0
    cal_dates['isMonthStart'] = 0
    cal_dates['isMonthEnd'] = 0
    cal_dates['isQuarterStart'] = 0
    cal_dates['isQuarterEnd'] = 0
    cal_dates['isYearStart'] = 0
    cal_dates['isYearEnd'] = 0
    previous_i = -1
    previous_open_week = -1
    previous_open_month = -1
    previous_open_year = -1

    for i in cal_dates.index:
        str_date = cal_dates.loc[i]['calendarDate']
        isOpen = cal_dates.loc[i]['isOpen']
        if not isOpen:
            continue
        date = datetime.datetime.strptime(str_date, '%Y-%m-%d').date()
        #设置isWeekStart和isWeekEnd
        current_open_week = date.isocalendar()[1]
        if current_open_week != previous_open_week:
            cal_dates.ix[i, 'isWeekStart'] = 1
            if previous_open_week != -1:
                cal_dates.ix[previous_i, 'isWeekEnd'] = 1
            
        #设置isMonthStart和isMonthEnd
        current_open_month = date.month
        if current_open_month != previous_open_month:
            cal_dates.ix[i, 'isMonthStart'] = 1
            if previous_open_month != -1:
                cal_dates.ix[previous_i, 'isMonthEnd'] = 1
            #顺便根据月份设置isQuarterStart和isQuarterEnd
            if current_open_month in [1, 4, 7, 10]:
                cal_dates.ix[i, 'isQuarterStart'] = 1 
                if previous_open_month != -1:
                    cal_dates.ix[previous_i, 'isQuarterEnd'] = 1
            #有个特殊情况是交易所开始第一天应为QuarterStart
            if previous_open_month == -1:
                cal_dates.ix[i, 'isQuarterStart'] = 1
                
        #设置isYearStart和isYearEnd
        current_open_year = date.year
        if current_open_year != previous_open_year:
            cal_dates.ix[i, 'isYearStart'] = 1
            if previous_open_year != -1:
                cal_dates.ix[previous_i, 'isYearEnd'] = 1            

        previous_i = i
        previous_open_week = current_open_week
        previous_open_month = current_open_month
        previous_open_year = current_open_year
        
    #保存到本地文件中
    file_name = 'D:\\python_study\\stock_hist_data\\exchange_calendar.h5'
    hdf5_file=pd.HDFStore(file_name, 'w',complevel=4, complib='blosc')
    hdf5_file['data']=cal_dates 
    hdf5_file.close()  
    
    
gen_save_exchange_calendar()

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