liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-09 14:00:55 +08:00
Code Activity

download orderbook data (#1754)

Browse Source 
* download orderbook data

* fix CI error

* fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* optimize get_data code

* optimize get_data code

* optimize get_data code

* optimize README

---------

Co-authored-by: Linlang <v-linlanglv@microsoft.com>
This commit is contained in:
Linlang
2024-03-07 14:41:21 +08:00
committed by GitHub
parent 98f569eed2
commit 39f88daaa7
14 changed files with 30 additions and 34 deletions
Download Patch File Download Diff File Expand all files Collapse all files

5
examples/orderbook_data/README.md
View File

@@ -27,13 +27,11 @@ pip install arctic # NOTE: pip may fail to resolve the right package dependency
2. Please follow following steps to download example data
```bash
cd examples/orderbook_data/
wget http://fintech.msra.cn/stock_data/downloads/highfreq_orderboook_example_data.tar.bz2
tar xf highfreq_orderboook_example_data.tar.bz2
python ../../scripts/get_data.py download_data --target_dir . --file_name highfreq_orderbook_example_data.zip
```
3. Please import the example data to your mongo db
```bash
cd examples/orderbook_data/
python create_dataset.py initialize_library # Initialization Libraries
python create_dataset.py import_data # Initialization Libraries
```
@@ -42,7 +40,6 @@ python create_dataset.py import_data # Initialization Libraries
After importing these data, you run `example.py` to create some high-frequency features.
```bash
cd examples/orderbook_data/
pytest -s --disable-warnings example.py # If you want run all examples
pytest -s --disable-warnings example.py::TestClass::test_exp_10 # If you want to run specific example
```