liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-12 07:16:54 +08:00
Code Activity

optimize_CI (#1314)

Browse Source
This commit is contained in:
Linlang
2022-10-20 08:38:05 +08:00
committed by GitHub
parent 3c62d131a5
commit 1861c8edaf
11 changed files with 70 additions and 78 deletions
Download Patch File Download Diff File Expand all files Collapse all files

16
examples/rl/scripts/gen_training_orders.py
View File

@@ -23,15 +23,17 @@ for group, n in zip(("train", "valid", "test"), (args.train_size, args.valid_siz
path = os.path.join("data", "pickle", f"backtest{group}.pkl")
df = pickle.load(open(path, "rb")).reset_index()
df["date"] = df["datetime"].dt.date.astype("datetime64")
dates = sorted(set([str(d).split(" ")[0] for d in df["date"]]))
data_df = pd.DataFrame({
"date": sorted(np.random.choice(dates, size=n, replace=False)),
"instrument": [args.stock] * n,
"amount": np.random.randint(low=3, high=11, size=n) * 100.0,
"order_type": [0] * n,
}).set_index(["date", "instrument"])
data_df = pd.DataFrame(
{
"date": sorted(np.random.choice(dates, size=n, replace=False)),
"instrument": [args.stock] * n,
"amount": np.random.randint(low=3, high=11, size=n) * 100.0,
"order_type": [0] * n,
}
).set_index(["date", "instrument"])
os.makedirs(os.path.join("data", "training_order_split", group), exist_ok=True)
pickle.dump(data_df, open(os.path.join("data", "training_order_split", group, f"{args.stock}.pkl"), "wb"))