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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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@@ -24,6 +24,7 @@ from qlib.data.data import Cal
from highfreq_ops import DayFirst, DayLast, FFillNan, Date, Select, IsNull
def save_dataset(dataset, path: [Path, str]):
"""
save dataset to path
@@ -35,6 +36,7 @@ def save_dataset(dataset, path: [Path, str]):
"""
dataset.to_pickle(path=path)
def load_dataset(path: [Path, str], init_type=DataHandlerLP.IT_LS):
"""
load dataset from path
@@ -48,7 +50,7 @@ def load_dataset(path: [Path, str], init_type=DataHandlerLP.IT_LS):
- if `init_type` == DataHandlerLP.IT_FIT_SEQ:
the input of `DataHandlerLP.fit` will be the output of the previous processor
- if `init_type` == DataHandlerLP.IT_FIT_IND:
the input of `DataHandlerLP.fit` will be the original df
@@ -57,17 +59,24 @@ def load_dataset(path: [Path, str], init_type=DataHandlerLP.IT_LS):
The state of the object has been load by pickle
"""
fd = open(path, 'rb')
fd = open(path, "rb")
dataset = pickle.load(fd)
dataset.init(init_type=init_type)
fd.close()
return dataset
if __name__ == "__main__":
# use default data
provider_uri = "/mnt/v-xiabi/data/qlib/high_freq" # target_dir
qlib.init(provider_uri=provider_uri, custom_ops=[DayFirst, DayLast, FFillNan, Date, Select, IsNull], redis_port=233, region=REG_CN, auto_mount=False)
qlib.init(
provider_uri=provider_uri,
custom_ops=[DayFirst, DayLast, FFillNan, Date, Select, IsNull],
redis_port=233,
region=REG_CN,
auto_mount=False,
)
MARKET = "csi300"
BENCHMARK = "SH000300"
@@ -134,4 +143,3 @@ if __name__ == "__main__":
Cal.get_calender_day(freq="1min") # TO FIX: load the calendar day for cache
dataset = init_instance_by_config(task["dataset"])
dataset_backtest = init_instance_by_config(task["dataset_backtest"])