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Migrate amc4th training (#1316)

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* Migrate amc4th training

* Refine RL example scripts

* Resolve PR comments

Co-authored-by: luocy16 <luocy16@mails.tsinghua.edu.cn>
This commit is contained in:
Huoran Li
2022-10-19 10:17:43 +08:00
committed by GitHub
parent bc06f0301e
commit 3c62d131a5
19 changed files with 676 additions and 50 deletions
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examples/rl/scripts/collect_pickle_dataframe.py Normal file
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# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
import os
import pickle
import pandas as pd
from tqdm import tqdm
os.makedirs(os.path.join("data", "pickle_dataframe"), exist_ok=True)
for tag in ("backtest", "feature"):
df = pickle.load(open(os.path.join("data", "pickle", f"{tag}.pkl"), "rb"))
df = pd.concat(list(df.values())).reset_index()
df["date"] = df["datetime"].dt.date.astype("datetime64")
instruments = sorted(set(df["instrument"]))
os.makedirs(os.path.join("data", "pickle_dataframe", tag), exist_ok=True)
for instrument in tqdm(instruments):
cur = df[df["instrument"] == instrument].sort_values(by=["datetime"])
cur = cur.set_index(["instrument", "datetime", "date"])
pickle.dump(cur, open(os.path.join("data", "pickle_dataframe", tag, f"{instrument}.pkl"), "wb"))