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change freq

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v-mingzhehan
2021-09-17 14:21:57 +00:00
parent 202bbea272
commit 424a48d0fb
6 changed files with 63 additions and 40 deletions
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29
examples/trade/order_gen.py
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@@ -33,27 +33,30 @@ def w_order(f, start, end):
order_valid = order_test[order_test.index.get_level_values(0) < '2021-01-01']
order_test = order_test[order_test.index.get_level_values(0) >= '2021-01-01']
if len(order_train) > 0:
train_path = os.path.join(data_path, "order/train/")
if not os.path.exists(train_path):
os.makedirs(train_path)
order_train.to_pickle(train_path + f[:-9] + '.target')
if len(order_valid) > 0:
valid_path = os.path.join(data_path, "order/valid/")
if not os.path.exists(valid_path):
os.makedirs(valid_path)
order_valid.to_pickle(valid_path + f[:-9] + '.target')
if len(order_test) > 0:
test_path = os.path.join(data_path, "order/test/")
if not os.path.exists(test_path):
os.makedirs(test_path)
order_test.to_pickle(test_path + f[:-9] + '.target')
if len(order) > 0:
all_path = os.path.join(data_path, "order/all/")
if not os.path.exists(all_path):
os.makedirs(all_path)
order.to_pickle(all_path + f[:-9] + '.target')
return 0
train_path = os.path.join(data_path, "order/train/")
if not os.path.exists(train_path):
os.makedirs(train_path)
valid_path = os.path.join(data_path, "order/valid/")
if not os.path.exists(valid_path):
os.makedirs(valid_path)
test_path = os.path.join(data_path, "order/test/")
if not os.path.exists(test_path):
os.makedirs(test_path)
all_path = os.path.join(data_path, "order/all/")
if not os.path.exists(all_path):
os.makedirs(all_path)
res = Parallel(n_jobs=64)(delayed(w_order)(f, 0, 239) for f in os.listdir(in_dir))
print(sum(res))