{"openapi":"3.1.0","info":{"title":"QuantSource API · 日历","description":"QuantSourceAPI 是 QuantSource 的 HTTP API 工具, 主要目的是使 QuantSource 的数据接口部署到服务器，从而让用户通过 HTTP 访问相关接口来获取所需要的数据","version":"0.1.0"},"paths":{"/api/public/rv_from_futures_zh_minute_sina":{"get":{"tags":["日历"],"summary":"公开接口：rv_from_futures_zh_minute_sina","description":"从新浪财经获取期货的分钟级历史行情数据，并进行数据清洗和格式化\nhttps://vip.stock.finance.sina.com.cn/quotes_service/view/qihuohangqing.html#titlePos_3\n:param symbol: 期货合约代码，如\"IF2008\"代表沪深300期货2020年8月合约\n:type symbol: str\n:param period: 时间周期，可选{'1','5','15','30','60'}分钟\n:type period: str\n:return: 整理后的分钟行情数据，包含Date(索引),Open,High,Low,Close列\n:rtype: pandas.DataFrame","operationId":"public_rv_from_futures_zh_minute_sina","parameters":[{"name":"symbol","in":"query","required":false,"schema":{"type":"string","description":"rv_from_futures_zh_minute_sina 的 symbol 参数","default":"IF2008","title":"Symbol"},"description":"rv_from_futures_zh_minute_sina 的 symbol 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adjust: 复权方式，可选{'','qfq'(前复权),'hfq'(后复权)}\n:type adjust: str\n:return: 整理后的分钟行情数据，包含Date(索引),Open,High,Low,Close列\n:rtype: pandas.DataFrame","operationId":"public_rv_from_stock_zh_a_hist_min_em","parameters":[{"name":"symbol","in":"query","required":false,"schema":{"type":"string","description":"rv_from_stock_zh_a_hist_min_em 的 symbol 参数","default":"000001","title":"Symbol"},"description":"rv_from_stock_zh_a_hist_min_em 的 symbol 参数"},{"name":"start_date","in":"query","required":false,"schema":{"type":"string","description":"rv_from_stock_zh_a_hist_min_em 的 start_date 参数","default":"2021-10-20 09:30:00","title":"Start Date"},"description":"rv_from_stock_zh_a_hist_min_em 的 start_date 参数"},{"name":"end_date","in":"query","required":false,"schema":{"type":"string","description":"rv_from_stock_zh_a_hist_min_em 的 end_date 参数","default":"2024-11-01 15:00:00","title":"End Date"},"description":"rv_from_stock_zh_a_hist_min_em 的 end_date 参数"},{"name":"period","in":"query","required":false,"schema":{"type":"string","description":"rv_from_stock_zh_a_hist_min_em 的 period 参数","default":"1","title":"Period"},"description":"rv_from_stock_zh_a_hist_min_em 的 period 参数"},{"name":"adjust","in":"query","required":false,"schema":{"type":"string","description":"rv_from_stock_zh_a_hist_min_em 的 adjust 参数","default":"hfq","title":"Adjust"},"description":"rv_from_stock_zh_a_hist_min_em 的 adjust 参数"}],"responses":{"200":{"description":"Successful Response","content":{"application/json":{"schema":{}}}},"422":{"description":"Validation Error","content":{"application/json":{"schema":{"$ref":"#/components/schemas/HTTPValidationError"}}}}}}},"/api/public/volatility_yz_rv":{"get":{"tags":["日历"],"summary":"公开接口：volatility_yz_rv","description":"波动率-已实现波动率-Yang-Zhang 已实现波动率(Yang-Zhang Realized Volatility)\nhttps://github.com/hugogobato/Yang-Zhang-s-Realized-Volatility-Automated-Estimation-in-Python\n论文地址：https://www.jstor.org/stable/10.1086/209650\n基于以下公式计算：\nRV^2 = Vo + k*Vc + (1-k)*Vrs\n其中：\n- Vo: 隔夜波动率，Vo = 1/(n-1)*sum(Oi-Obar)^2\n    Oi为标准化开盘价，Obar为标准化开盘价均值\n- Vc: 收盘波动率，Vc = 1/(n-1)*sum(ci-Cbar)^2\n    ci为标准化收盘价，Cbar为标准化收盘价均值\n- k: 权重系数，k = 0.34/(1.34+(n+1)/(n-1))\n    n为样本数量\n- Vrs: Rogers-Satchell波动率代理，Vrs = ui(ui-ci)+di(di-ci)\n    ui = ln(Hi/Oi), ci = ln(Ci/Oi), di = ln(Li/Oi), oi = ln(Oi/Ci-1)\n    Hi/Li/Ci/Oi分别为最高价/最低价/收盘价/开盘价\n\n:param data: 包含 OHLC(开高低收) 价格的 pandas.DataFrame\n:type data: pandas.DataFrame\n:return: 包含 Yang-Zhang 实现波动率的 pandas.DataFrame\n:rtype: pandas.DataFrame\n\n要求输入数据包含以下列：\n- Open: 开盘价\n- High: 最高价\n- Low: 最低价\n- Close: 收盘价\n# yang_zhang_rv formula is give as:\n# RV^2 = Vo + k*Vc + (1-k)*Vrs\n# where Vo = 1/(n-1)*sum(Oi-Obar)^2\n# with oi = normalized opening price at time t and Obar = mean of normalized opening prices\n# Vc = = 1/(n-1)*sum(ci-Cbar)^2\n# with ci = normalized close price at time t and Cbar = mean of normalized close prices\n# k = 0.34/(1.34+(n+1)/(n-1))\n# with n = total number of days or time periods considered\n# Vrs (Rogers & Satchell RV proxy) = ui(ui-ci)+di(di-ci)\n# with ui = ln(Hi/Oi), ci = ln(Ci/Oi), di=(Li/Oi), oi = ln(Oi/Ci-1)\n# where Hi = high price at time t and Li = low price at time t","operationId":"public_volatility_yz_rv","parameters":[{"name":"data","in":"query","required":true,"schema":{"type":"string","description":"volatility_yz_rv 的 data 参数","title":"Data"},"description":"volatility_yz_rv 的 data 参数"}],"responses":{"200":{"description":"Successful Response","content":{"application/json":{"schema":{}}}},"422":{"description":"Validation Error","content":{"application/json":{"schema":{"$ref":"#/components/schemas/HTTPValidationError"}}}}}}}},"tags":[{"name":"日历"}],"components":{"schemas":{"HTTPValidationError":{"properties":{"detail":{"items":{"$ref":"#/components/schemas/ValidationError"},"type":"array","title":"Detail"}},"type":"object","title":"HTTPValidationError"},"ValidationError":{"properties":{"loc":{"items":{"anyOf":[{"type":"string"},{"type":"integer"}]},"type":"array","title":"Location"},"msg":{"type":"string","title":"Message"},"type":{"type":"string","title":"Error Type"},"input":{"title":"Input"},"ctx":{"type":"object","title":"Context"}},"type":"object","required":["loc","msg","type"],"title":"ValidationError"}}}}