add data loder test

qlib/contrib/data/handler.py

@@ -90,7 +90,6 @@ class Alpha360(DataHandlerLP):
         return ["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"]
 
 
-
 class Alpha360vwap(Alpha360):
     def get_label_config(self):
         return ["Ref($vwap, -2)/Ref($vwap, -1) - 1"], ["LABEL0"]
@@ -154,7 +153,6 @@ class Alpha158(DataHandlerLP):
         return ["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"]
 
 
-
 class Alpha158vwap(Alpha158):
     def get_label_config(self):
         return ["Ref($vwap, -2)/Ref($vwap, -1) - 1"], ["LABEL0"]

qlib/contrib/data/loader.py

@@ -1,11 +1,12 @@
-
 from qlib.data.dataset.loader import DataLoader, QlibDataLoader
 
+
 class Alpha360DL(QlibDataLoader):
     """Dataloader to get Alpha360"""
+
     def __init__(self, config=None, **kwargs):
         _config = {
-            "feature":self.get_feature_config(),
+            "feature": self.get_feature_config(),
         }
         if config is not None:
             _config.update(config)
@@ -59,23 +60,26 @@ class Alpha360DL(QlibDataLoader):
 
 class Alpha158DL(QlibDataLoader):
     """Dataloader to get Alpha158"""
+
     def __init__(self, config=None, **kwargs):
         _config = {
-            "feature":self.get_feature_config(),
+            "feature": self.get_feature_config(),
         }
         if config is not None:
             _config.update(config)
         super().__init__(config=_config, **kwargs)
 
     @staticmethod
-    def get_feature_config(config={
+    def get_feature_config(
+        config={
             "kbar": {},
             "price": {
                 "windows": [0],
                 "feature": ["OPEN", "HIGH", "LOW", "VWAP"],
             },
             "rolling": {},
-    }):
+        }
+    ):
         """create factors from config
 
         config = {
@@ -304,4 +308,3 @@ class Alpha158DL(QlibDataLoader):
                 names += ["VSUMD%d" % d for d in windows]
 
         return fields, names
-

qlib/data/dataset/loader.py

@@ -7,7 +7,7 @@ from pathlib import Path
 import warnings
 import pandas as pd
 
-from typing import Tuple, Union, List
+from typing import Tuple, Union, List, Dict
 
 from qlib.data import D
 from qlib.utils import load_dataset, init_instance_by_config, time_to_slc_point
@@ -283,7 +283,8 @@ class NestedDataLoader(DataLoader):
     """
     We have multiple DataLoader, we can use this class to combine them.
     """
-    def __init__(self, dataloader_l: list[dict], join="left") -> None:
+
+    def __init__(self, dataloader_l: List[Dict], join="left") -> None:
         """
 
         Parameters
@@ -311,14 +312,19 @@ class NestedDataLoader(DataLoader):
             it will pass to pd.concat when merging it.
         """
         super().__init__()
-        self.data_loader_l = [(dl if isinstance(dl, DataLoader) else init_instance_by_config(dl)) for dl in dataloader_l]
+        self.data_loader_l = [
+            (dl if isinstance(dl, DataLoader) else init_instance_by_config(dl)) for dl in dataloader_l
+        ]
         self.join = join
 
     def load(self, instruments=None, start_time=None, end_time=None) -> pd.DataFrame:
-        df_l = []
+        df_full = None
         for dl in self.data_loader_l:
-            df_l = dl.load(instruments, start_time, end_time)
+            df_current = dl.load(instruments, start_time, end_time)
-        df_full = pd.concat(df_l, axis=1, join=self.join)
+            if df_full is None:
+                df_full = df_current
+            else:
+                df_full = pd.merge(df_full, df_current, left_index=True, right_index=True, how=self.join)
         return df_full.sort_index(axis=1)
 
 

tests/data_mid_layer_tests/test_dataloader.py

@@ -1,35 +1,48 @@
-
 # TODO:
 # dump alpha 360 to dataframe and merge it with Alpha158
 
-
+import sys
 import unittest
+import qlib
+from pathlib import Path
 
+sys.path.append(str(Path(__file__).resolve().parent))
 from qlib.data.dataset.loader import NestedDataLoader
+from qlib.contrib.data.loader import Alpha158DL, Alpha360DL
 
 
 class TestDataLoader(unittest.TestCase):
 
-
     def test_nested_data_loader(self):
+        qlib.init(provider_uri="C:/Users/v-lvlinlang/.qlib/qlib_data/cn_data_simple")
         nd = NestedDataLoader(
             dataloader_l=[
                 {
                     "class": "qlib.contrib.data.loader.Alpha158DL",
-                }, {
+                },
+                {
                     "class": "qlib.contrib.data.loader.Alpha360DL",
-                    "kwargs": {
+                    "kwargs": {"config": {"label": (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])}},
-                        "config": {
+                },
-                            "label": ( ["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])
-                        }
-                    }
-                }
             ]
         )
         # Of course you can use StaticDataLoader
 
-        nd.load
+        dataset = nd.load()
-        ...
+
+        assert dataset is not None
+
+        columns = dataset.columns.tolist()
+        columns_list = [tup[1] for tup in columns]
+
+        for col in Alpha158DL.get_feature_config()[1]:
+            assert col in columns_list
+
+        for col in Alpha360DL.get_feature_config()[1]:
+            assert col in columns_list
+
+        # 断言标签也包含在数据中
+        assert "LABEL0" in columns_list
 
         # Then you can use it wth DataHandler;