filter

qlib/data/dataset/__init__.py

@@ -114,6 +114,7 @@ class DatasetH(Dataset):
         """
         self.handler: DataHandler = init_instance_by_config(handler, accept_types=DataHandler)
         self.segments = segments.copy()
+        self.fetch_kwargs = {}
         super().__init__(**kwargs)
 
     def config(self, handler_kwargs: dict = None, **kwargs):
@@ -171,7 +172,7 @@ class DatasetH(Dataset):
         ----------
         slc : slice
         """
-        return self.handler.fetch(slc, **kwargs)
+        return self.handler.fetch(slc, **kwargs, **self.fetch_kwargs)
 
     def prepare(
         self,
@@ -288,13 +289,29 @@ class TSDataSampler:
 
         # the data type will be changed
         # The index of usable data is between start_idx and end_idx
-        self.start_idx, self.end_idx = self.data.index.slice_locs(start=pd.Timestamp(start), end=pd.Timestamp(end))
         self.idx_df, self.idx_map = self.build_index(self.data)
-        self.idx_arr = np.array(self.idx_df.values, dtype=np.float64)  # for better performance
-        self.data_idx = deepcopy(self.data.index)
+        self.data_index = deepcopy(self.data.index)
 
+        if flt_data is not None:
+            self.flt_data = np.array(flt_data).reshape(-1)
+            self.idx_map = self.flt_idx_map(self.flt_data, self.idx_map)
+            self.data_index = self.data_index[np.where(self.flt_data == True)[0]]
+
+        self.start_idx, self.end_idx = self.data_index.slice_locs(start=pd.Timestamp(start), end=pd.Timestamp(end))
+        self.idx_arr = np.array(self.idx_df.values, dtype=np.float64)  # for better performance
+        
         del self.data  # save memory
 
+    @staticmethod
+    def flt_idx_map(flt_data, idx_map):
+        idx = 0
+        new_idx_map = {}
+        for i, exist in enumerate(flt_data):
+            if exist:
+                new_idx_map[idx] = idx_map[i]
+                idx += 1
+        return new_idx_map
+
     def get_index(self):
         """
         Get the pandas index of the data, it will be useful in following scenarios
@@ -488,8 +505,19 @@ class TSDatasetH(DatasetH):
         """
         split the _prepare_raw_seg is to leave a hook for data preprocessing before creating processing data
         """
-        dtype = kwargs.pop("dtype", None)
+        dtype = kwargs.pop("dtype")
         start, end = slc.start, slc.stop
-        data = self._prepare_raw_seg(slc=slc, **kwargs)
-        tsds = TSDataSampler(data=data, start=start, end=end, step_len=self.step_len, dtype=dtype)
-        return tsds
+        flt_col = kwargs.pop('flt_col', None)
+        # TSDatasetH will retrieve more data for complete
+        data = self._prepare_raw_seg(slc, **kwargs)
+
+        flt_kwargs = deepcopy(kwargs)
+        if flt_col is not None:
+            flt_kwargs['col_set'] = flt_col
+            flt_data = self._prepare_raw_seg(slc, **flt_kwargs)
+            assert len(flt_data.columns) == 1
+        else:
+            flt_data = None
+
+        tsds = TSDataSampler(data=data, start=start, end=end, step_len=self.step_len, dtype=dtype, flt_data=flt_data)
+        return tsds