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Merge remote-tracking branch 'qlib/main' into qlib_register_ops

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zhupr
2021-01-20 15:16:06 +08:00
parent 4fcfde7cfb 3403c00b6b
commit 3dda2cb379
58 changed files with 922 additions and 444 deletions
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56
qlib/utils/__init__.py
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@@ -281,8 +281,10 @@ def compare_dict_value(src_data: dict, dst_data: dict):
def create_save_path(save_path=None):
"""Create save path
:param save_path:
:return:
Parameters
----------
save_path: str
"""
if save_path:
if not os.path.exists(save_path):
@@ -473,30 +475,28 @@ def is_tradable_date(cur_date):
return str(cur_date.date()) == str(D.calendar(start_time=cur_date, future=True)[0].date())
def get_date_range(trading_date, shift, future=False):
def get_date_range(trading_date, left_shift=0, right_shift=0, future=False):
"""get trading date range by shift
:param trading_date:
:param shift: int
:param future: bool
:return:
Parameters
----------
trading_date: pd.Timestamp
left_shift: int
right_shift: int
future: bool
"""
from ..data import D
calendar = D.calendar(future=future)
if pd.to_datetime(trading_date) not in list(calendar):
raise ValueError("{} is not trading day!".format(str(trading_date)))
day_index = bisect.bisect_left(calendar, trading_date)
if 0 <= (day_index + shift) < len(calendar):
if shift > 0:
return calendar[day_index + 1 : day_index + 1 + shift]
else:
return calendar[day_index + shift : day_index]
else:
return calendar
start = get_date_by_shift(trading_date, left_shift, future=future)
end = get_date_by_shift(trading_date, right_shift, future=future)
calendar = D.calendar(start, end, future=future)
return calendar
def get_date_by_shift(trading_date, shift, future=False):
def get_date_by_shift(trading_date, shift, future=False, clip_shift=True):
"""get trading date with shift bias wil cur_date
e.g. : shift == 1, return next trading date
shift == -1, return previous trading date
@@ -504,8 +504,22 @@ def get_date_by_shift(trading_date, shift, future=False):
trading_date : pandas.Timestamp
current date
shift : int
clip_shift: bool
"""
return get_date_range(trading_date, shift, future)[0 if shift < 0 else -1] if shift != 0 else trading_date
from qlib.data import D
cal = D.calendar(future=future)
if pd.to_datetime(trading_date) not in list(cal):
raise ValueError("{} is not trading day!".format(str(trading_date)))
_index = bisect.bisect_left(cal, trading_date)
shift_index = _index + shift
if shift_index < 0 or shift_index >= len(cal):
if clip_shift:
shift_index = np.clip(shift_index, 0, len(cal) - 1)
else:
raise IndexError(f"The shift_index({shift_index}) of the trading day ({trading_date}) is out of range")
return cal[shift_index]
def get_next_trading_date(trading_date, future=False):
@@ -688,7 +702,7 @@ def flatten_dict(d, parent_key="", sep="."):
#################### Wrapper #####################
class Wrapper(object):
class Wrapper:
"""Wrapper class for anything that needs to set up during qlib.init"""
def __init__(self):