liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-05 03:50:57 +08:00
Code Activity

Update docs

Browse Source
This commit is contained in:
Jactus
2020-11-30 18:54:31 +08:00
committed by you-n-g
parent 1877ad8c39
commit 29f12e857f
22 changed files with 180 additions and 159 deletions
Download Patch File Download Diff File Expand all files Collapse all files

42
docs/component/data.rst
View File

@@ -29,7 +29,18 @@ Qlib Format Data
------------------
We've specially designed a data structure to manage financial data, please refer to the `File storage design section in Qlib paper <https://arxiv.org/abs/2009.11189>`_ for detailed information.
Such data will be stored with filename suffix `.bin` (We'll call them `.bin` file, `.bin` format, or qlib format). `.bin` file is designed for scientific computing on finance data
Such data will be stored with filename suffix `.bin` (We'll call them `.bin` file, `.bin` format, or qlib format). `.bin` file is designed for scientific computing on finance data.
``Qlib`` provides two different off-the-shelf dataset, which can be accessed through this `link <https://github.com/microsoft/qlib/blob/main/qlib/contrib/data/handler.py>`_:
======================== ================= ================
Dataset US Market China Market
======================== ================= ================
Alpha360 √ √
Alpha158 √ √
======================== ================= ================
Qlib Format Dataset
--------------------
@@ -45,7 +56,7 @@ In addition to China-Stock data, ``Qlib`` also includes a US-Stock dataset, whic
python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/us_data --region us
After running the above command, users can find china-stock and us-stock data in Qlib format in the ``~/.qlib/csv_data/cn_data`` directory and ``~/.qlib/csv_data/us_data`` directory respectively.
After running the above command, users can find china-stock and us-stock data in ``Qlib`` format in the ``~/.qlib/csv_data/cn_data`` directory and ``~/.qlib/csv_data/us_data`` directory respectively.
``Qlib`` also provides the scripts in ``scripts/data_collector`` to help users crawl the latest data on the Internet and convert it to qlib format.
@@ -54,8 +65,7 @@ When ``Qlib`` is initialized with this dataset, users could build and evaluate t
Converting CSV Format into Qlib Format
-------------------------------------------
``Qlib`` has provided the script ``scripts/dump_bin.py`` to convert data in CSV format into `.bin` files (Qlib format).
``Qlib`` has provided the script ``scripts/dump_bin.py`` to convert **any** data in CSV format into `.bin` files (``Qlib`` format) as long as they are in the correct format.
Users can download the demo china-stock data in CSV format as follows for reference to the CSV format.
@@ -130,9 +140,21 @@ After conversion, users can find their Qlib format data in the directory `~/.qli
In the convention of `Qlib` data processing, `open, close, high, low, volume, money and factor` will be set to NaN if the stock is suspended.
China-Stock Mode & US-Stock Mode
Multiple Stock Modes
--------------------------------
``Qlib`` now provides two different stock modes for users: China-Stock Mode & US-Stock Mode. Here are some different settings of these two modes:
============== ================= ================
Region Trade Unit Limit Threshold
============== ================= ================
China 100 0.099
US 1 None
============== ================= ================
The `trade unit` defines the unit number of stocks can be used in a trade, and the `limit threshold` defines the bound set to the percentage of ups and downs of a stock.
- If users use ``Qlib`` in china-stock mode, china-stock data is required. Users can use ``Qlib`` in china-stock mode according to the following steps:
- Download china-stock in qlib format, please refer to section `Qlib Format Dataset <#qlib-format-dataset>`_.
- Initialize ``Qlib`` in china-stock mode
@@ -208,13 +230,19 @@ QlibDataLoader
The ``QlibDataLoader`` class in ``Qlib`` is such an interface that allows users to load raw data from the ``Qlib`` data source.
StaticDataLoader
---------------
The ``StaticDataLoader`` class in ``Qlib`` is such an interface that allows users to load raw data from file or as provided.
Interface
------------
Here are some interfaces of the ``QlibDataLoader`` class:
.. autoclass:: qlib.data.dataset.loader.QlibDataLoader
:members: load, load_group_df
.. autoclass:: qlib.data.dataset.loader.DataLoader
:members:
API
-----------