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@@ -70,10 +70,3 @@ class HighFreqNorm(Processor):
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columns=["FEATURE_%d" % i for i in range(12 * 240)],
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).sort_index()
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return df_new_features
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def config(self, fit_start_time=None, fit_end_time=None, **kwargs):
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if fit_start_time:
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self.fit_start_time = fit_start_time
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if fit_end_time:
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self.fit_end_time = fit_end_time
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super().config(**kwargs)
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@@ -27,7 +27,7 @@ from qlib.tests.data import GetData
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from highfreq_ops import get_calendar_day, DayLast, FFillNan, BFillNan, Date, Select, IsNull, Cut
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class HighfreqWorkflow(object):
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class HighfreqWorkflow:
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SPEC_CONF = {"custom_ops": [DayLast, FFillNan, BFillNan, Date, Select, IsNull, Cut], "expression_cache": None}
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@@ -177,8 +177,8 @@ class HighfreqWorkflow(object):
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dataset_backtest.setup_data(handler_kwargs={})
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##=============get data=============
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(xtest,) = dataset.prepare(["test"])
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(backtest_test,) = dataset_backtest.prepare(["test"])
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xtest = dataset.prepare("test")
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backtest_test = dataset_backtest.prepare("test")
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print(xtest, backtest_test)
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return
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@@ -14,7 +14,7 @@ from qlib.utils import exists_qlib_data, init_instance_by_config
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from qlib.tests.data import GetData
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class RollingDataWorkflow(object):
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class RollingDataWorkflow:
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MARKET = "csi300"
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start_time = "2010-01-01"
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