注：这是我参加招行Fintech精英训练营金融工程课程跟着做的笔记，代码是在Pycharm上写的。
里面用到的股票数据均来自雅虎财经（https://finance.yahoo.com/），数据下载方法我在（一）中有介绍。
量化交易基础：使用python处理金融数据
01-05 数据不完整 Fill missing values
import numpyas np
import pandasas pd
import matplotlib.pyplotas plt
import os
def fill_missing_values(df_data):
"""Fill missing values in data frame, in place."""
##########################################################
df_data.fillna(method="ffill",inplace=True)
df_data.fillna(method="bfill", inplace=True)
def symbol_to_path(symbol, base_dir="data"):
"""Return CSV file path given ticker symbol."""
return os.path.join(base_dir, "{}.csv".format(str(symbol)))
def get_data(symbols, dates):
"""Read stock data (adjusted close) for given symbols from CSV files."""
df_final = pd.DataFrame(index=dates)
if "SPY" not in symbols:# add SPY for reference, if absent
symbols.insert(0, "SPY")
for symbolin symbols:
file_path = symbol_to_path(symbol)
df_temp = pd.read_csv(file_path, parse_dates=True, index_col="Date",
usecols=["Date", "Adj Close"], na_values=["nan"])
df_temp = df_temp.rename(columns={"Adj Close": symbol})
df_final = df_final.join(df_temp)
if symbol =="SPY":# drop dates SPY did not trade
df_final = df_final.dropna(subset=["SPY"])
return df_final
def plot_data(df_data):
"""Plot stock data with appropriate axis labels."""
ax = df_data.plot(title="Stock Data", fontsize=2)
ax.set_xlabel("Date")
ax.set_ylabel("Price")
plt.show()
def test_run():
"""Function called by Test Run."""
# Read data
symbol_list = ["JAVA", "FAKE1", "FAKE2"]# list of symbols
start_date ="2005-12-31"
end_date ="2014-12-07"
dates = pd.date_range(start_date, end_date)# date range as index
df_data = get_data(symbol_list, dates)# get data for each symbol
# Fill missing values
fill_missing_values(df_data)
# Plot
plot_data(df_data)
if __name__ =="__main__":
test_run()