计算近月期货合约的K线

futures_ohlc.csv


我在尝试使用如下代码计算期货合约的K线

contracts = [contract1, contract2, contract3]

OHLC = select first(price) as open, max(price) as high, min(price) as low, last(price) as close from price_table where Code in contracts group by Code, TradingDay, dailyAlignedBar(concatDateTime(TradingDay, TradingTime), sessionStart, barMinute*60*1000) as barStart

其中contracts是按到期日排序的合约,OHLC中会存储三个合约的数据, 请问该如何筛选出近月合约的数据? 比如在contract1到期前只保留contract1的数据,contract1到期后接续contract2,contract2到期后接续contract3.

谢谢。


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