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Draft version of refactoring handler

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Young
2020-10-17 09:16:43 +00:00
parent d4091a8711
commit 10066ecf79
14 changed files with 929 additions and 610 deletions
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37
qlib/contrib/data/handler.py
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@@ -2,7 +2,9 @@
# Licensed under the MIT License.
from ...data.dataset.handler import ConfigQLibDataHandler
from ...data.dataset.processor import Processor, MinMaxNorm, ZscoreNorm, get_cls_kwargs
from ...log import TimeInspector
import copy
class ALPHA360(ConfigQLibDataHandler):
@@ -22,19 +24,36 @@ class QLibDataHandlerV1(ConfigQLibDataHandler):
"rolling": {},
}
def __init__(self, start_date, end_date, processors=None, **kwargs):
if processors is None:
processors = ["PanelProcessor"] # V1 default processor
super().__init__(start_date, end_date, processors, **kwargs)
def __init__(self, start_date, end_date, infer_processors=[], learn_processors=["DropnaLabel"], fit_start_time=None, fit_end_time=None, **kwargs):
def check_transform_proc(proc_l):
new_l = []
for p in proc_l:
if not isinstance(p, Processor):
klass, pkwargs = get_cls_kwargs(p)
if isinstance(klass, (MinMaxNorm, ZscoreNorm)):
assert(fit_start_time is not None and fit_end_time is not None)
pkwargs.update({
"fit_start_time": fit_start_time,
"fit_end_time": fit_end_time,
})
new_l.append({"class": klass.__name__, "kwargs": pkwargs})
else:
new_l.append(p)
return new_l
def setup_label(self):
infer_processors = check_transform_proc(infer_processors)
learn_processors = check_transform_proc(learn_processors)
super().__init__(start_date, end_date, infer_processors=infer_processors, learn_processors=learn_processors, **kwargs)
def load_label(self):
"""
load the labels df
:return: df_labels
"""
TimeInspector.set_time_mark()
df_labels = super().setup_label()
df_labels = super().load_label()
## calculate new labels
df_labels["LABEL1"] = df_labels["LABEL0"].groupby(level="datetime").apply(lambda x: (x - x.mean()) / x.std())
@@ -56,8 +75,6 @@ class Alpha158(QLibDataHandlerV1):
"rolling": {},
}
def _init_kwargs(self, **kwargs):
def __init__(self, *args, **kwargs):
kwargs["labels"] = ["Ref($close, -2)/Ref($close, -1) - 1"]
super(Alpha158, self)._init_kwargs(**kwargs)
super().__init__(*args, **kwargs)