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restructure data layer config & setup

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This commit is contained in:
bxdd
2021-03-29 19:49:30 +08:00
parent 4ee0240c24
commit 31bc85bf86
6 changed files with 138 additions and 87 deletions
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7
examples/highfreq/highfreq_processor.py
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@@ -70,3 +70,10 @@ class HighFreqNorm(Processor):
columns=["FEATURE_%d" % i for i in range(12 * 240)],
).sort_index()
return df_new_features
def config(fit_start_time=None, fit_end_time=None, **kwargs):
if fit_start_time:
self.fit_start_time = fit_start_time
if fit_end_time:
self.fit_end_time = fit_end_time
super().config(**kwargs)

33
examples/highfreq/workflow.py
View File

@@ -31,7 +31,7 @@ class HighfreqWorkflow(object):
SPEC_CONF = {"custom_ops": [DayLast, FFillNan, BFillNan, Date, Select, IsNull, Cut], "expression_cache": None}
MARKET = "all"
MARKET = "csi300"
start_time = "2020-09-15 00:00:00"
end_time = "2021-01-18 16:00:00"
@@ -145,35 +145,40 @@ class HighfreqWorkflow(object):
self._prepare_calender_cache()
##=============reinit dataset=============
dataset.init(
dataset.config(
handler_kwargs={
"start_time": "2021-01-19 00:00:00",
"end_time": "2021-01-25 16:00:00",
},
segments={
"test": (
"2021-01-19 00:00:00",
"2021-01-25 16:00:00",
),
},
)
dataset.setup_data(
handler_kwargs={
"init_type": DataHandlerLP.IT_LS,
"start_time": "2021-01-19 00:00:00",
"end_time": "2021-01-25 16:00:00",
},
segment_kwargs={
"test": (
"2021-01-19 00:00:00",
"2021-01-25 16:00:00",
),
},
)
dataset_backtest.init(
dataset_backtest.config(
handler_kwargs={
"start_time": "2021-01-19 00:00:00",
"end_time": "2021-01-25 16:00:00",
},
segment_kwargs={
segments={
"test": (
"2021-01-19 00:00:00",
"2021-01-25 16:00:00",
),
},
)
dataset_backtest.setup_data(handler_kwargs={})
##=============get data=============
xtest = dataset.prepare(["test"])
backtest_test = dataset_backtest.prepare(["test"])
xtest, = dataset.prepare(["test"])
backtest_test, = dataset_backtest.prepare(["test"])
print(xtest, backtest_test)
return