mirror of
https://github.com/microsoft/qlib.git
synced 2026-07-16 17:12:20 +08:00
use base.py
This commit is contained in:
@@ -46,7 +46,7 @@ class BaseCollector(abc.ABC):
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Parameters
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Parameters
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----------
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----------
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save_dir: str
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save_dir: str
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stock save dir
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instrument save dir
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max_workers: int
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max_workers: int
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workers, default 4
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workers, default 4
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max_collector_count: int
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max_collector_count: int
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@@ -77,11 +77,11 @@ class BaseCollector(abc.ABC):
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self.start_datetime = self.normalize_start_datetime(start)
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self.start_datetime = self.normalize_start_datetime(start)
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self.end_datetime = self.normalize_end_datetime(end)
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self.end_datetime = self.normalize_end_datetime(end)
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self.stock_list = sorted(set(self.get_stock_list()))
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self.instrument_list = sorted(set(self.get_instrument_list()))
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if limit_nums is not None:
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if limit_nums is not None:
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try:
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try:
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self.stock_list = self.stock_list[: int(limit_nums)]
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self.instrument_list = self.instrument_list[: int(limit_nums)]
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except Exception as e:
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except Exception as e:
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logger.warning(f"Cannot use limit_nums={limit_nums}, the parameter will be ignored")
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logger.warning(f"Cannot use limit_nums={limit_nums}, the parameter will be ignored")
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@@ -108,8 +108,8 @@ class BaseCollector(abc.ABC):
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raise NotImplementedError("rewrite min_numbers_trading")
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raise NotImplementedError("rewrite min_numbers_trading")
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@abc.abstractmethod
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@abc.abstractmethod
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def get_stock_list(self):
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def get_instrument_list(self):
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raise NotImplementedError("rewrite get_stock_list")
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raise NotImplementedError("rewrite get_instrument_list")
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@abc.abstractmethod
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@abc.abstractmethod
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def normalize_symbol(self, symbol: str):
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def normalize_symbol(self, symbol: str):
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@@ -158,27 +158,27 @@ class BaseCollector(abc.ABC):
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return _result
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return _result
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def save_instrument(self, symbol, df: pd.DataFrame):
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def save_instrument(self, symbol, df: pd.DataFrame):
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"""save stock data to file
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"""save instrument data to file
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Parameters
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Parameters
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----------
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----------
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symbol: str
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symbol: str
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stock code
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instrument code
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df : pd.DataFrame
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df : pd.DataFrame
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df.columns must contain "symbol" and "datetime"
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df.columns must contain "symbol" and "datetime"
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"""
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"""
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if df.empty:
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if df is None or df.empty:
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logger.warning(f"{symbol} is empty")
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logger.warning(f"{symbol} is empty")
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return
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return
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symbol = self.normalize_symbol(symbol)
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symbol = self.normalize_symbol(symbol)
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symbol = code_to_fname(symbol)
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symbol = code_to_fname(symbol)
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stock_path = self.save_dir.joinpath(f"{symbol}.csv")
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instrument_path = self.save_dir.joinpath(f"{symbol}.csv")
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df["symbol"] = symbol
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df["symbol"] = symbol
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if stock_path.exists():
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if instrument_path.exists():
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_old_df = pd.read_csv(stock_path)
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_old_df = pd.read_csv(instrument_path)
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df = _old_df.append(df, sort=False)
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df = _old_df.append(df, sort=False)
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df.to_csv(stock_path, index=False)
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df.to_csv(instrument_path, index=False)
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def cache_small_data(self, symbol, df):
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def cache_small_data(self, symbol, df):
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if len(df) <= self.min_numbers_trading:
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if len(df) <= self.min_numbers_trading:
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@@ -191,38 +191,38 @@ class BaseCollector(abc.ABC):
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self.mini_symbol_map.pop(symbol)
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self.mini_symbol_map.pop(symbol)
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return self.NORMAL_FLAG
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return self.NORMAL_FLAG
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def _collector(self, stock_list):
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def _collector(self, instrument_list):
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error_symbol = []
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error_symbol = []
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with ThreadPoolExecutor(max_workers=self.max_workers) as executor:
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with ThreadPoolExecutor(max_workers=self.max_workers) as executor:
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with tqdm(total=len(stock_list)) as p_bar:
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with tqdm(total=len(instrument_list)) as p_bar:
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for _symbol, _result in zip(stock_list, executor.map(self._simple_collector, stock_list)):
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for _symbol, _result in zip(instrument_list, executor.map(self._simple_collector, instrument_list)):
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if _result != self.NORMAL_FLAG:
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if _result != self.NORMAL_FLAG:
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error_symbol.append(_symbol)
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error_symbol.append(_symbol)
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p_bar.update()
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p_bar.update()
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print(error_symbol)
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print(error_symbol)
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logger.info(f"error symbol nums: {len(error_symbol)}")
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logger.info(f"error symbol nums: {len(error_symbol)}")
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logger.info(f"current get symbol nums: {len(stock_list)}")
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logger.info(f"current get symbol nums: {len(instrument_list)}")
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error_symbol.extend(self.mini_symbol_map.keys())
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error_symbol.extend(self.mini_symbol_map.keys())
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return sorted(set(error_symbol))
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return sorted(set(error_symbol))
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def collector_data(self):
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def collector_data(self):
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"""collector data"""
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"""collector data"""
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logger.info("start collector data......")
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logger.info("start collector data......")
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stock_list = self.stock_list
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instrument_list = self.instrument_list
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for i in range(self.max_collector_count):
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for i in range(self.max_collector_count):
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if not stock_list:
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if not instrument_list:
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break
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break
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logger.info(f"getting data: {i+1}")
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logger.info(f"getting data: {i+1}")
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stock_list = self._collector(stock_list)
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instrument_list = self._collector(instrument_list)
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logger.info(f"{i+1} finish.")
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logger.info(f"{i+1} finish.")
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for _symbol, _df_list in self.mini_symbol_map.items():
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for _symbol, _df_list in self.mini_symbol_map.items():
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self.save_instrument(
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self.save_instrument(
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_symbol, pd.concat(_df_list, sort=False).drop_duplicates(["date"]).sort_values(["date"])
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_symbol, pd.concat(_df_list, sort=False).drop_duplicates(["date"]).sort_values(["date"])
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)
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)
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if self.mini_symbol_map:
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if self.mini_symbol_map:
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logger.warning(f"less than {self.min_numbers_trading} stock list: {list(self.mini_symbol_map.keys())}")
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logger.warning(f"less than {self.min_numbers_trading} instrument list: {list(self.mini_symbol_map.keys())}")
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logger.info(f"total {len(self.stock_list)}, error: {len(set(stock_list))}")
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logger.info(f"total {len(self.instrument_list)}, error: {len(set(instrument_list))}")
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class BaseNormalize(abc.ABC):
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class BaseNormalize(abc.ABC):
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@@ -386,9 +386,9 @@ class BaseRun(abc.ABC):
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Examples
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Examples
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---------
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---------
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# get daily data
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# get daily data
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$ python collector.py download_data --source_dir ~/.qlib/stock_data/source --region CN --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1d
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$ python collector.py download_data --source_dir ~/.qlib/instrument_data/source --region CN --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1d
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# get 1m data
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# get 1m data
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$ python collector.py download_data --source_dir ~/.qlib/stock_data/source --region CN --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1m
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$ python collector.py download_data --source_dir ~/.qlib/instrument_data/source --region CN --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1m
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"""
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"""
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_class = getattr(self._cur_module, self.collector_class_name) # type: Type[BaseCollector]
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_class = getattr(self._cur_module, self.collector_class_name) # type: Type[BaseCollector]
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@@ -416,7 +416,7 @@ class BaseRun(abc.ABC):
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Examples
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Examples
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---------
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---------
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$ python collector.py normalize_data --source_dir ~/.qlib/stock_data/source --normalize_dir ~/.qlib/stock_data/normalize --region CN --interval 1d
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$ python collector.py normalize_data --source_dir ~/.qlib/instrument_data/source --normalize_dir ~/.qlib/instrument_data/normalize --region CN --interval 1d
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"""
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"""
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_class = getattr(self._cur_module, self.normalize_class_name)
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_class = getattr(self._cur_module, self.normalize_class_name)
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yc = Normalize(
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yc = Normalize(
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@@ -11,123 +11,24 @@ import json
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from abc import ABC
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from abc import ABC
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from pathlib import Path
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from pathlib import Path
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from typing import Iterable, Type
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from typing import Iterable, Type
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from concurrent.futures import ThreadPoolExecutor, ProcessPoolExecutor
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import fire
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import fire
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import requests
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import requests
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import numpy as np
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import numpy as np
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import pandas as pd
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import pandas as pd
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from tqdm import tqdm
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from loguru import logger
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from loguru import logger
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from dateutil.tz import tzlocal
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from dateutil.tz import tzlocal
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from qlib.config import REG_CN as REGION_CN
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CUR_DIR = Path(__file__).resolve().parent
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CUR_DIR = Path(__file__).resolve().parent
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sys.path.append(str(CUR_DIR.parent.parent))
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sys.path.append(str(CUR_DIR.parent.parent))
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from data_collector.base import BaseCollector, BaseNormalize, BaseRun
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from data_collector.utils import get_calendar_list, get_en_fund_symbols
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from data_collector.utils import get_calendar_list, get_en_fund_symbols
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INDEX_BENCH_URL = "http://api.fund.eastmoney.com/f10/lsjz?callback=jQuery_&fundCode={index_code}&pageIndex=1&pageSize={numberOfHistoricalDaysToCrawl}&startDate={startDate}&endDate={endDate}"
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INDEX_BENCH_URL = "http://api.fund.eastmoney.com/f10/lsjz?callback=jQuery_&fundCode={index_code}&pageIndex=1&pageSize={numberOfHistoricalDaysToCrawl}&startDate={startDate}&endDate={endDate}"
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REGION_CN = "CN"
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class FundData:
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class FundCollector(BaseCollector):
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START_DATETIME = pd.Timestamp("2000-01-01")
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END_DATETIME = pd.Timestamp(datetime.datetime.now() + pd.Timedelta(days=1))
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INTERVAL_1d = "1d"
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def __init__(
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self,
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timezone: str = None,
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start=None,
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end=None,
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interval="1d",
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delay=0,
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):
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"""
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Parameters
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----------
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timezone: str
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The timezone where the data is located
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delay: float
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time.sleep(delay), default 0
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interval: str
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freq, value from [1d], default 1d
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start: str
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start datetime, default None
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end: str
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end datetime, default None
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"""
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self._timezone = tzlocal() if timezone is None else timezone
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self._delay = delay
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self._interval = interval
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self.start_datetime = pd.Timestamp(str(start)) if start else self.START_DATETIME
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self.end_datetime = min(pd.Timestamp(str(end)) if end else self.END_DATETIME, self.END_DATETIME)
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if self._interval != self.INTERVAL_1d:
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raise ValueError(f"interval error: {self._interval}")
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self.start_datetime = self.convert_datetime(self.start_datetime, self._timezone)
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self.end_datetime = self.convert_datetime(self.end_datetime, self._timezone)
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@staticmethod
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def convert_datetime(dt: [pd.Timestamp, datetime.date, str], timezone):
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try:
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dt = pd.Timestamp(dt, tz=timezone).timestamp()
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dt = pd.Timestamp(dt, tz=tzlocal(), unit="s")
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except ValueError as e:
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pass
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return dt
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def _sleep(self):
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time.sleep(self._delay)
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@staticmethod
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def get_data_from_remote(symbol, interval, start, end):
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error_msg = f"{symbol}-{interval}-{start}-{end}"
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try:
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# TODO: numberOfHistoricalDaysToCrawl should be bigger enouhg
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url = INDEX_BENCH_URL.format(
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index_code=symbol, numberOfHistoricalDaysToCrawl=10000, startDate=start, endDate=end
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)
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resp = requests.get(url, headers={"referer": "http://fund.eastmoney.com/110022.html"})
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if resp.status_code != 200:
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raise ValueError("request error")
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data = json.loads(resp.text.split("(")[-1].split(")")[0])
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# Some funds don't show the net value, example: http://fundf10.eastmoney.com/jjjz_010288.html
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SYType = data["Data"]["SYType"]
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if (SYType == "每万份收益") or (SYType == "每百份收益") or (SYType == "每百万份收益"):
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raise Exception("The fund contains 每*份收益")
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# TODO: should we sort the value by datetime?
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_resp = pd.DataFrame(data["Data"]["LSJZList"])
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if isinstance(_resp, pd.DataFrame):
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return _resp.reset_index()
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except Exception as e:
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logger.warning(f"{error_msg}:{e}")
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def get_data(self, symbol: str) -> [pd.DataFrame]:
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def _get_simple(start_, end_):
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self._sleep()
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_remote_interval = self._interval
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return self.get_data_from_remote(
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symbol,
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interval=_remote_interval,
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start=start_,
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end=end_,
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)
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if self._interval == self.INTERVAL_1d:
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_result = _get_simple(self.start_datetime, self.end_datetime)
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else:
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raise ValueError(f"cannot support {self._interval}")
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return _result
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|
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class FundCollector:
|
|
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def __init__(
|
def __init__(
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self,
|
self,
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save_dir: [str, Path],
|
save_dir: [str, Path],
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@@ -163,134 +64,108 @@ class FundCollector:
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limit_nums: int
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limit_nums: int
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using for debug, by default None
|
using for debug, by default None
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"""
|
"""
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self.save_dir = Path(save_dir).expanduser().resolve()
|
super(FundCollector, self).__init__(
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self.save_dir.mkdir(parents=True, exist_ok=True)
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save_dir=save_dir,
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|
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self._delay = delay
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self.max_workers = max_workers
|
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self._max_collector_count = max_collector_count
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self._mini_symbol_map = {}
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self._interval = interval
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self._check_small_data = check_data_length
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|
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self.fund_list = sorted(set(self.get_fund_list()))
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|
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if limit_nums is not None:
|
|
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try:
|
|
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self.fund_list = self.fund_list[: int(limit_nums)]
|
|
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except Exception as e:
|
|
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logger.warning(f"Cannot use limit_nums={limit_nums}, the parameter will be ignored")
|
|
||||||
|
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self.fund_data = FundData(
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timezone=self._timezone,
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start=start,
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start=start,
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end=end,
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end=end,
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interval=interval,
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interval=interval,
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|
max_workers=max_workers,
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max_collector_count=max_collector_count,
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delay=delay,
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delay=delay,
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check_data_length=check_data_length,
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|
limit_nums=limit_nums,
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)
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)
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|
|
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@property
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self.init_datetime()
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@abc.abstractmethod
|
|
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def min_numbers_trading(self):
|
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# daily, one year: 252 / 4
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# us 1min, a week: 6.5 * 60 * 5
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# cn 1min, a week: 4 * 60 * 5
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raise NotImplementedError("rewrite min_numbers_trading")
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|
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|
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@abc.abstractmethod
|
def init_datetime(self):
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def get_fund_list(self):
|
if self.interval == self.INTERVAL_1min:
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raise NotImplementedError("rewrite get_fund_list")
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self.start_datetime = max(self.start_datetime, self.DEFAULT_START_DATETIME_1MIN)
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|
elif self.interval == self.INTERVAL_1d:
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|
pass
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||||||
|
else:
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||||||
|
raise ValueError(f"interval error: {self.interval}")
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||||||
|
|
||||||
|
self.start_datetime = self.convert_datetime(self.start_datetime, self._timezone)
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||||||
|
self.end_datetime = self.convert_datetime(self.end_datetime, self._timezone)
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||||||
|
|
||||||
|
@staticmethod
|
||||||
|
def convert_datetime(dt: [pd.Timestamp, datetime.date, str], timezone):
|
||||||
|
try:
|
||||||
|
dt = pd.Timestamp(dt, tz=timezone).timestamp()
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||||||
|
dt = pd.Timestamp(dt, tz=tzlocal(), unit="s")
|
||||||
|
except ValueError as e:
|
||||||
|
pass
|
||||||
|
return dt
|
||||||
|
|
||||||
@property
|
@property
|
||||||
@abc.abstractmethod
|
@abc.abstractmethod
|
||||||
def _timezone(self):
|
def _timezone(self):
|
||||||
raise NotImplementedError("rewrite get_timezone")
|
raise NotImplementedError("rewrite get_timezone")
|
||||||
|
|
||||||
def save_fund(self, symbol, df: pd.DataFrame):
|
@staticmethod
|
||||||
"""save fund data to file
|
def get_data_from_remote(symbol, interval, start, end):
|
||||||
|
error_msg = f"{symbol}-{interval}-{start}-{end}"
|
||||||
|
|
||||||
Parameters
|
try:
|
||||||
----------
|
# TODO: numberOfHistoricalDaysToCrawl should be bigger enouhg
|
||||||
symbol: str
|
url = INDEX_BENCH_URL.format(
|
||||||
fund code
|
index_code=symbol, numberOfHistoricalDaysToCrawl=10000, startDate=start, endDate=end
|
||||||
df : pd.DataFrame
|
)
|
||||||
df.columns must contain "symbol" and "datetime"
|
resp = requests.get(url, headers={"referer": "http://fund.eastmoney.com/110022.html"})
|
||||||
"""
|
|
||||||
if df.empty:
|
|
||||||
logger.warning(f"{symbol} is empty")
|
|
||||||
return
|
|
||||||
|
|
||||||
fund_path = self.save_dir.joinpath(f"{symbol}.csv")
|
if resp.status_code != 200:
|
||||||
df["symbol"] = symbol
|
raise ValueError("request error")
|
||||||
if fund_path.exists():
|
|
||||||
# TODO: read the fund code as str, not int, like "000001" shouldn't be "1"
|
|
||||||
_old_df = pd.read_csv(fund_path)
|
|
||||||
# TODO: remove the duplicate date
|
|
||||||
df = _old_df.append(df, sort=False)
|
|
||||||
df.to_csv(fund_path, index=False)
|
|
||||||
|
|
||||||
def _save_small_data(self, symbol, df):
|
data = json.loads(resp.text.split("(")[-1].split(")")[0])
|
||||||
if len(df) <= self.min_numbers_trading:
|
|
||||||
logger.warning(f"the number of trading days of {symbol} is less than {self.min_numbers_trading}!")
|
# Some funds don't show the net value, example: http://fundf10.eastmoney.com/jjjz_010288.html
|
||||||
_temp = self._mini_symbol_map.setdefault(symbol, [])
|
SYType = data["Data"]["SYType"]
|
||||||
_temp.append(df.copy())
|
if (SYType == "每万份收益") or (SYType == "每百份收益") or (SYType == "每百万份收益"):
|
||||||
return None
|
raise Exception("The fund contains 每*份收益")
|
||||||
|
|
||||||
|
# TODO: should we sort the value by datetime?
|
||||||
|
_resp = pd.DataFrame(data["Data"]["LSJZList"])
|
||||||
|
|
||||||
|
if isinstance(_resp, pd.DataFrame):
|
||||||
|
return _resp.reset_index()
|
||||||
|
except Exception as e:
|
||||||
|
logger.warning(f"{error_msg}:{e}")
|
||||||
|
|
||||||
|
def get_data(
|
||||||
|
self, symbol: str, interval: str, start_datetime: pd.Timestamp, end_datetime: pd.Timestamp
|
||||||
|
) -> [pd.DataFrame]:
|
||||||
|
def _get_simple(start_, end_):
|
||||||
|
self.sleep()
|
||||||
|
_remote_interval = interval
|
||||||
|
return self.get_data_from_remote(
|
||||||
|
symbol,
|
||||||
|
interval=_remote_interval,
|
||||||
|
start=start_,
|
||||||
|
end=end_,
|
||||||
|
)
|
||||||
|
|
||||||
|
if interval == self.INTERVAL_1d:
|
||||||
|
_result = _get_simple(start_datetime, end_datetime)
|
||||||
else:
|
else:
|
||||||
if symbol in self._mini_symbol_map:
|
raise ValueError(f"cannot support {interval}")
|
||||||
self._mini_symbol_map.pop(symbol)
|
|
||||||
return symbol
|
|
||||||
|
|
||||||
def _get_data(self, symbol):
|
|
||||||
_result = None
|
|
||||||
df = self.fund_data.get_data(symbol)
|
|
||||||
if isinstance(df, pd.DataFrame):
|
|
||||||
if not df.empty:
|
|
||||||
if self._check_small_data:
|
|
||||||
if self._save_small_data(symbol, df) is not None:
|
|
||||||
_result = symbol
|
|
||||||
self.save_fund(symbol, df)
|
|
||||||
else:
|
|
||||||
_result = symbol
|
|
||||||
self.save_fund(symbol, df)
|
|
||||||
return _result
|
return _result
|
||||||
|
|
||||||
def _collector(self, fund_list):
|
|
||||||
error_symbol = []
|
|
||||||
with ThreadPoolExecutor(max_workers=self.max_workers) as executor:
|
|
||||||
with tqdm(total=len(fund_list)) as p_bar:
|
|
||||||
for _symbol, _result in zip(fund_list, executor.map(self._get_data, fund_list)):
|
|
||||||
if _result is None:
|
|
||||||
error_symbol.append(_symbol)
|
|
||||||
p_bar.update()
|
|
||||||
print(error_symbol)
|
|
||||||
logger.info(f"error symbol nums: {len(error_symbol)}")
|
|
||||||
logger.info(f"current get symbol nums: {len(fund_list)}")
|
|
||||||
error_symbol.extend(self._mini_symbol_map.keys())
|
|
||||||
return sorted(set(error_symbol))
|
|
||||||
|
|
||||||
def collector_data(self):
|
def collector_data(self):
|
||||||
"""collector data"""
|
"""collector data"""
|
||||||
logger.info("start collector fund data......")
|
super(FundCollector, self).collector_data()
|
||||||
fund_list = self.fund_list
|
|
||||||
for i in range(self._max_collector_count):
|
|
||||||
if not fund_list:
|
|
||||||
break
|
|
||||||
logger.info(f"getting data: {i+1}")
|
|
||||||
fund_list = self._collector(fund_list)
|
|
||||||
logger.info(f"{i+1} finish.")
|
|
||||||
for _symbol, _df_list in self._mini_symbol_map.items():
|
|
||||||
self.save_fund(_symbol, pd.concat(_df_list, sort=False).drop_duplicates(["date"]).sort_values(["date"]))
|
|
||||||
if self._mini_symbol_map:
|
|
||||||
logger.warning(f"less than {self.min_numbers_trading} fund list: {list(self._mini_symbol_map.keys())}")
|
|
||||||
logger.info(f"total {len(self.fund_list)}, error: {len(set(fund_list))}")
|
|
||||||
|
|
||||||
|
|
||||||
class FundollectorCN(FundCollector, ABC):
|
class FundollectorCN(FundCollector, ABC):
|
||||||
def get_fund_list(self):
|
def get_instrument_list(self):
|
||||||
logger.info("get cn fund symbols......")
|
logger.info("get cn fund symbols......")
|
||||||
symbols = get_en_fund_symbols()
|
symbols = get_en_fund_symbols()
|
||||||
logger.info(f"get {len(symbols)} symbols.")
|
logger.info(f"get {len(symbols)} symbols.")
|
||||||
return symbols
|
return symbols
|
||||||
|
|
||||||
|
def normalize_symbol(self, symbol):
|
||||||
|
return symbol
|
||||||
|
|
||||||
@property
|
@property
|
||||||
def _timezone(self):
|
def _timezone(self):
|
||||||
return "Asia/Shanghai"
|
return "Asia/Shanghai"
|
||||||
@@ -302,29 +177,9 @@ class FundCollectorCN1d(FundollectorCN):
|
|||||||
return 252 / 4
|
return 252 / 4
|
||||||
|
|
||||||
|
|
||||||
class FundNormalize:
|
class FundNormalize(BaseNormalize):
|
||||||
COLUMNS = ["open", "close", "high", "low", "volume"]
|
|
||||||
DAILY_FORMAT = "%Y-%m-%d"
|
DAILY_FORMAT = "%Y-%m-%d"
|
||||||
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
date_field_name: str = "date",
|
|
||||||
symbol_field_name: str = "symbol",
|
|
||||||
):
|
|
||||||
"""
|
|
||||||
|
|
||||||
Parameters
|
|
||||||
----------
|
|
||||||
date_field_name: str
|
|
||||||
date field name, default is date
|
|
||||||
symbol_field_name: str
|
|
||||||
symbol field name, default is symbol
|
|
||||||
"""
|
|
||||||
self._date_field_name = date_field_name
|
|
||||||
self._symbol_field_name = symbol_field_name
|
|
||||||
|
|
||||||
self._calendar_list = self._get_calendar_list()
|
|
||||||
|
|
||||||
@staticmethod
|
@staticmethod
|
||||||
def normalize_fund(
|
def normalize_fund(
|
||||||
df: pd.DataFrame,
|
df: pd.DataFrame,
|
||||||
@@ -357,11 +212,6 @@ class FundNormalize:
|
|||||||
df = self.normalize_fund(df, self._calendar_list, self._date_field_name, self._symbol_field_name)
|
df = self.normalize_fund(df, self._calendar_list, self._date_field_name, self._symbol_field_name)
|
||||||
return df
|
return df
|
||||||
|
|
||||||
@abc.abstractmethod
|
|
||||||
def _get_calendar_list(self):
|
|
||||||
"""Get benchmark calendar"""
|
|
||||||
raise NotImplementedError("")
|
|
||||||
|
|
||||||
|
|
||||||
class FundNormalize1d(FundNormalize, ABC):
|
class FundNormalize1d(FundNormalize, ABC):
|
||||||
DAILY_FORMAT = "%Y-%m-%d"
|
DAILY_FORMAT = "%Y-%m-%d"
|
||||||
@@ -380,62 +230,8 @@ class FundNormalizeCN1d(FundNormalizeCN, FundNormalize1d):
|
|||||||
pass
|
pass
|
||||||
|
|
||||||
|
|
||||||
class Normalize:
|
class Run(BaseRun):
|
||||||
def __init__(
|
def __init__(self, source_dir=None, normalize_dir=None, max_workers=4, interval="1d", region=REGION_CN):
|
||||||
self,
|
|
||||||
source_dir: [str, Path],
|
|
||||||
target_dir: [str, Path],
|
|
||||||
normalize_class: Type[FundNormalize],
|
|
||||||
max_workers: int = 16,
|
|
||||||
date_field_name: str = "date",
|
|
||||||
symbol_field_name: str = "symbol",
|
|
||||||
):
|
|
||||||
"""
|
|
||||||
|
|
||||||
Parameters
|
|
||||||
----------
|
|
||||||
source_dir: str or Path
|
|
||||||
The directory where the raw data collected from the Internet is saved
|
|
||||||
target_dir: str or Path
|
|
||||||
Directory for normalize data
|
|
||||||
normalize_class: Type[FundNormalize]
|
|
||||||
normalize class
|
|
||||||
max_workers: int
|
|
||||||
Concurrent number, default is 16
|
|
||||||
date_field_name: str
|
|
||||||
date field name, default is date
|
|
||||||
symbol_field_name: str
|
|
||||||
symbol field name, default is symbol
|
|
||||||
"""
|
|
||||||
if not (source_dir and target_dir):
|
|
||||||
raise ValueError("source_dir and target_dir cannot be None")
|
|
||||||
self._source_dir = Path(source_dir).expanduser()
|
|
||||||
self._target_dir = Path(target_dir).expanduser()
|
|
||||||
self._target_dir.mkdir(parents=True, exist_ok=True)
|
|
||||||
|
|
||||||
self._max_workers = max_workers
|
|
||||||
|
|
||||||
self._normalize_obj = normalize_class(date_field_name=date_field_name, symbol_field_name=symbol_field_name)
|
|
||||||
|
|
||||||
def _executor(self, file_path: Path):
|
|
||||||
file_path = Path(file_path)
|
|
||||||
df = pd.read_csv(file_path)
|
|
||||||
df = self._normalize_obj.normalize(df)
|
|
||||||
if not df.empty:
|
|
||||||
df.to_csv(self._target_dir.joinpath(file_path.name), index=False)
|
|
||||||
|
|
||||||
def normalize(self):
|
|
||||||
logger.info("normalize data......")
|
|
||||||
|
|
||||||
with ProcessPoolExecutor(max_workers=self._max_workers) as worker:
|
|
||||||
file_list = list(self._source_dir.glob("*.csv"))
|
|
||||||
with tqdm(total=len(file_list)) as p_bar:
|
|
||||||
for _ in worker.map(self._executor, file_list):
|
|
||||||
p_bar.update()
|
|
||||||
|
|
||||||
|
|
||||||
class Run:
|
|
||||||
def __init__(self, source_dir=None, normalize_dir=None, max_workers=4, region=REGION_CN):
|
|
||||||
"""
|
"""
|
||||||
|
|
||||||
Parameters
|
Parameters
|
||||||
@@ -446,23 +242,26 @@ class Run:
|
|||||||
Directory for normalize data, default "Path(__file__).parent/normalize"
|
Directory for normalize data, default "Path(__file__).parent/normalize"
|
||||||
max_workers: int
|
max_workers: int
|
||||||
Concurrent number, default is 4
|
Concurrent number, default is 4
|
||||||
|
interval: str
|
||||||
|
freq, value from [1min, 1d], default 1d
|
||||||
region: str
|
region: str
|
||||||
region, value from ["CN"], default "CN"
|
region, value from ["CN"], default "CN"
|
||||||
"""
|
"""
|
||||||
if source_dir is None:
|
super().__init__(source_dir, normalize_dir, max_workers, interval)
|
||||||
source_dir = CUR_DIR.joinpath("source")
|
|
||||||
self.source_dir = Path(source_dir).expanduser().resolve()
|
|
||||||
self.source_dir.mkdir(parents=True, exist_ok=True)
|
|
||||||
|
|
||||||
if normalize_dir is None:
|
|
||||||
normalize_dir = CUR_DIR.joinpath("normalize")
|
|
||||||
self.normalize_dir = Path(normalize_dir).expanduser().resolve()
|
|
||||||
self.normalize_dir.mkdir(parents=True, exist_ok=True)
|
|
||||||
|
|
||||||
self._cur_module = importlib.import_module("collector")
|
|
||||||
self.max_workers = max_workers
|
|
||||||
self.region = region
|
self.region = region
|
||||||
|
|
||||||
|
@property
|
||||||
|
def collector_class_name(self):
|
||||||
|
return f"FundCollector{self.region.upper()}{self.interval}"
|
||||||
|
|
||||||
|
@property
|
||||||
|
def normalize_class_name(self):
|
||||||
|
return f"FundNormalize{self.region.upper()}{self.interval}"
|
||||||
|
|
||||||
|
@property
|
||||||
|
def default_base_dir(self) -> [Path, str]:
|
||||||
|
return CUR_DIR
|
||||||
|
|
||||||
def download_data(
|
def download_data(
|
||||||
self,
|
self,
|
||||||
max_collector_count=2,
|
max_collector_count=2,
|
||||||
@@ -498,26 +297,13 @@ class Run:
|
|||||||
$ python collector.py download_data --source_dir ~/.qlib/fund_data/source/cn_1d --region CN --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1d
|
$ python collector.py download_data --source_dir ~/.qlib/fund_data/source/cn_1d --region CN --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1d
|
||||||
"""
|
"""
|
||||||
|
|
||||||
_class = getattr(self._cur_module, f"FundCollector{self.region.upper()}{interval}") # type: Type[FundCollector]
|
super(Run, self).download_data(max_collector_count, delay, start, end, interval, check_data_length, limit_nums)
|
||||||
_class(
|
|
||||||
self.source_dir,
|
|
||||||
max_workers=self.max_workers,
|
|
||||||
max_collector_count=max_collector_count,
|
|
||||||
delay=delay,
|
|
||||||
start=start,
|
|
||||||
end=end,
|
|
||||||
interval=interval,
|
|
||||||
check_data_length=check_data_length,
|
|
||||||
limit_nums=limit_nums,
|
|
||||||
).collector_data()
|
|
||||||
|
|
||||||
def normalize_data(self, interval: str = "1d", date_field_name: str = "date", symbol_field_name: str = "symbol"):
|
def normalize_data(self, date_field_name: str = "date", symbol_field_name: str = "symbol"):
|
||||||
"""normalize data
|
"""normalize data
|
||||||
|
|
||||||
Parameters
|
Parameters
|
||||||
----------
|
----------
|
||||||
interval: str
|
|
||||||
freq, value from [1d], default 1d
|
|
||||||
date_field_name: str
|
date_field_name: str
|
||||||
date field name, default date
|
date field name, default date
|
||||||
symbol_field_name: str
|
symbol_field_name: str
|
||||||
@@ -527,16 +313,7 @@ class Run:
|
|||||||
---------
|
---------
|
||||||
$ python collector.py normalize_data --source_dir ~/.qlib/fund_data/source/cn_1d --normalize_dir ~/.qlib/fund_data/source/cn_1d_nor --region CN --interval 1d --date_field_name FSRQ
|
$ python collector.py normalize_data --source_dir ~/.qlib/fund_data/source/cn_1d --normalize_dir ~/.qlib/fund_data/source/cn_1d_nor --region CN --interval 1d --date_field_name FSRQ
|
||||||
"""
|
"""
|
||||||
_class = getattr(self._cur_module, f"FundNormalize{self.region.upper()}{interval}")
|
super(Run, self).normalize_data(date_field_name, symbol_field_name)
|
||||||
fc = Normalize(
|
|
||||||
source_dir=self.source_dir,
|
|
||||||
target_dir=self.normalize_dir,
|
|
||||||
normalize_class=_class,
|
|
||||||
max_workers=self.max_workers,
|
|
||||||
date_field_name=date_field_name,
|
|
||||||
symbol_field_name=symbol_field_name,
|
|
||||||
)
|
|
||||||
fc.normalize()
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
if __name__ == "__main__":
|
||||||
|
|||||||
Reference in New Issue
Block a user