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Remove arctic from Qlib core to Contrib (#865)

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* Remove arctic from Qlib core to Contrib

* fix empty df bug
This commit is contained in:
you-n-g
2022-01-19 10:39:37 +08:00
committed by GitHub
parent a79e446724
commit 1a0ac1ab6d
6 changed files with 62 additions and 45 deletions
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1
qlib/data/__init__.py
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@@ -15,7 +15,6 @@ from .data import (
LocalCalendarProvider,
LocalInstrumentProvider,
LocalFeatureProvider,
ArcticFeatureProvider,
LocalExpressionProvider,
LocalDatasetProvider,
ClientCalendarProvider,

43
qlib/data/data.py
View File

@@ -17,11 +17,9 @@ import pandas as pd
from multiprocessing import Pool
from typing import Iterable, Union
from typing import List, Union
from arctic import Arctic
# For supporting multiprocessing in outer code, joblib is used
from joblib import delayed
import pymongo
from .cache import H
from ..config import C
@@ -582,7 +580,7 @@ class DatasetProvider(abc.ABC):
data.index = _calendar[data.index.values.astype(int)]
data.index.names = ["datetime"]
if spans is not None:
if not data.empty and spans is not None:
mask = np.zeros(len(data), dtype=bool)
for begin, end in spans:
mask |= (data.index >= begin) & (data.index <= end)
@@ -702,45 +700,6 @@ class LocalFeatureProvider(FeatureProvider, ProviderBackendMixin):
return self.backend_obj(instrument=instrument, field=field, freq=freq)[start_index : end_index + 1]
class ArcticFeatureProvider(FeatureProvider):
def __init__(
self, uri="127.0.0.1", retry_time=0, market_transaction_time_list=[("09:15", "11:30"), ("13:00", "15:00")]
):
super().__init__()
self.uri = uri
# TODO:
# retry connecting if error occurs
# does it real matters?
self.retry_time = retry_time
# NOTE: this is especially important for TResample operator
self.market_transaction_time_list = market_transaction_time_list
def feature(self, instrument, field, start_index, end_index, freq):
field = str(field)[1:]
with pymongo.MongoClient(self.uri) as client:
# TODO: this will result in frequently connecting the server and performance issue
arctic = Arctic(client)
if freq not in arctic.list_libraries():
raise ValueError("lib {} not in arctic".format(freq))
if instrument not in arctic[freq].list_symbols():
# instruments does not exist
return pd.Series()
else:
df = arctic[freq].read(instrument, columns=[field], chunk_range=(start_index, end_index))
s = df[field]
if not s.empty:
s = pd.concat(
[
s.between_time(time_tuple[0], time_tuple[1])
for time_tuple in self.market_transaction_time_list
]
)
return s
class LocalExpressionProvider(ExpressionProvider):
"""Local expression data provider class