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support register custom feature ops easily

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This commit is contained in:
bxdd
2020-12-10 09:00:00 +00:00
parent 2c5864204e
commit 0be57d51be
2 changed files with 71 additions and 48 deletions
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100
qlib/data/ops.py
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@@ -13,6 +13,7 @@ from scipy.stats import percentileofscore
from .base import Expression, ExpressionOps from .base import Expression, ExpressionOps
from ..log import get_module_logger from ..log import get_module_logger
from ..utils import OpsWrapper
try: try:
from ._libs.rolling import rolling_slope, rolling_rsquare, rolling_resi from ._libs.rolling import rolling_slope, rolling_rsquare, rolling_resi
@@ -21,53 +22,6 @@ except ImportError as err:
print("Do not import qlib package in the repository directory!") print("Do not import qlib package in the repository directory!")
raise raise
__all__ = (
"Ref",
"Max",
"Min",
"Sum",
"Mean",
"Std",
"Var",
"Skew",
"Kurt",
"Med",
"Mad",
"Slope",
"Rsquare",
"Resi",
"Rank",
"Quantile",
"Count",
"EMA",
"WMA",
"Corr",
"Cov",
"Delta",
"Abs",
"Sign",
"Log",
"Power",
"Add",
"Sub",
"Mul",
"Div",
"Greater",
"Less",
"And",
"Or",
"Not",
"Gt",
"Ge",
"Lt",
"Le",
"Eq",
"Ne",
"Mask",
"IdxMax",
"IdxMin",
"If",
)
np.seterr(invalid="ignore") np.seterr(invalid="ignore")
@@ -1430,3 +1384,55 @@ class Cov(PairRolling):
def __init__(self, feature_left, feature_right, N): def __init__(self, feature_left, feature_right, N):
super(Cov, self).__init__(feature_left, feature_right, N, "cov") super(Cov, self).__init__(feature_left, feature_right, N, "cov")
Operators = OpsWrapper()
OpsList = [
Ref,
Max,
Min,
Sum,
Mean,
Std,
Var,
Skew,
Kurt,
Med,
Mad,
Slope,
Rsquare,
Resi,
Rank,
Quantile,
Count,
EMA,
WMA,
Corr,
Cov,
Delta,
Abs,
Sign,
Log,
Power,
Add,
Sub,
Mul,
Div,
Greater,
Less,
And,
Or,
Not,
Gt,
Ge,
Lt,
Le,
Eq,
Ne,
Mask,
IdxMax,
IdxMin,
If,
]
Operators.register(OpsList)

19
qlib/utils/__init__.py
View File

@@ -162,7 +162,7 @@ def parse_field(field):
# - $open+$close -> Feature("open")+Feature("close") # - $open+$close -> Feature("open")+Feature("close")
if not isinstance(field, str): if not isinstance(field, str):
field = str(field) field = str(field)
return re.sub(r"\$(\w+)", r'Feature("\1")', field) return re.sub(r"\$(\w+)", r'Feature("\1")', re.sub(r"(\w+\s*)\(", r"Operators.\1(", field))
def get_module_by_module_path(module_path): def get_module_by_module_path(module_path):
@@ -728,3 +728,20 @@ def load_dataset(path_or_obj):
elif extension == ".csv": elif extension == ".csv":
return pd.read_csv(path_or_obj, parse_dates=True, index_col=[0, 1]) return pd.read_csv(path_or_obj, parse_dates=True, index_col=[0, 1])
raise ValueError(f"unsupported file type `{extension}`") raise ValueError(f"unsupported file type `{extension}`")
#################### Operator Wrapper #####################
class OpsWrapper(object):
"""Ops Wrapper"""
def __init__(self):
self._ops = {}
def register(self, ops_list):
for operator in ops_list:
self._ops[operator.__name__] = operator
def __getattr__(self, key):
if self._ops is {}:
raise AttributeError("Please run qlib.init() first using qlib to register ops")
return self._ops[key]