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simpson vwap

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bxdd
2021-01-26 14:32:08 +00:00
parent e4ecea55e4
commit 1b569d371d
3 changed files with 78 additions and 65 deletions
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examples/high_freq/highfreq_processor.py
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@@ -58,6 +58,7 @@ class HighFreqNorm(Processor):
# print("start_call_feature_reshape")
idx = df_features.index.droplevel("datetime").drop_duplicates()
idx.set_names(["instrument", "datetime"], inplace=True)
print(df_values.shape)
feat = df_values[:, [0, 1, 2, 3, 4, 10]].reshape(-1, 6 * 240)
feat_1 = df_values[:, [5, 6, 7, 8, 9, 11]].reshape(-1, 6 * 240)
df_new_features = pd.DataFrame(