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bxdd
2021-01-25 17:59:48 +00:00
parent ffedb6382f
commit 06dbd02b99
8 changed files with 34 additions and 19 deletions
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7
examples/high_freq/highfreq_handler.py
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@@ -50,7 +50,6 @@ class HighFreqHandler(DataHandlerLP):
drop_raw=drop_raw,
)
def get_feature_config(self):
fields = []
names = []
@@ -98,7 +97,7 @@ class HighFreqHandler(DataHandlerLP):
)
]
names += ["$open", "$high", "$low", "$close", "$vwap"]
fields += [
"Ref({0}, 240)/Ref(DayLast({1}), 240)".format(
template_if.format(
@@ -205,7 +204,9 @@ class HighFreqBacktestHandler(DataHandler):
template_paused = "Select(Eq($paused, 0.0), {0})"
template_fillnan = "FFillNan({0})"
fields += [template_fillnan.format(template_paused.format("$close")),]
fields += [
template_fillnan.format(template_paused.format("$close")),
]
names += ["$close0"]
fields += [
"If(Eq({1}, np.nan), 0, If(Or(Gt({2}, Mul(1.001, {4})), Lt({2}, Mul(0.999, {3}))), 0, {1}))".format(