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update docs and fix duplicated pred bug

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Young
2021-03-12 07:50:17 +00:00
parent 24024d51c7
commit 44a7dc004d
2 changed files with 13 additions and 1 deletions
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7
qlib/data/dataset/handler.py
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@@ -50,6 +50,9 @@ class DataHandler(Serializable):
SH600004 13.313329 11800983.0 13.313329 13.317701 0.183632 0.0042 SH600004 13.313329 11800983.0 13.313329 13.317701 0.183632 0.0042
SH600005 37.796539 12231662.0 38.258602 37.919757 0.970325 0.0289 SH600005 37.796539 12231662.0 38.258602 37.919757 0.970325 0.0289
Tips for improving the performance of datahandler
- Fetching data with `col_set=CS_RAW` will return the raw data and may avoid pandas from copying the data when calling `loc`
""" """
def __init__( def __init__(
@@ -257,6 +260,10 @@ class DataHandler(Serializable):
class DataHandlerLP(DataHandler): class DataHandlerLP(DataHandler):
""" """
DataHandler with **(L)earnable (P)rocessor** DataHandler with **(L)earnable (P)rocessor**
Tips to improving the performance of data handler
- To reduce the memory cost
- `drop_raw=True`: this will modify the data inplace on raw data;
""" """
# data key # data key

7
qlib/workflow/task/collect.py
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@@ -46,7 +46,12 @@ class RollingEnsemble:
pred_l = [] pred_l = []
for rec in rec_l: for rec in rec_l:
pred_l.append(rec.load_object("pred.pkl").iloc[:, 0]) pred_l.append(rec.load_object("pred.pkl").iloc[:, 0])
pred = pd.concat(pred_l).sort_index() # Make sure the pred are sorted according to the rolling start time
pred_l.sort(key=lambda pred: pred.index.get_level_values("datetime").min())
pred = pd.concat(pred_l)
# If there are duplicated predition, we use the latest perdiction
pred = pred[~pred.index.duplicated(keep="last")]
pred = pred.sort_index()
reduce_group[k] = pred reduce_group[k] = pred
return reduce_group return reduce_group