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Fix processor bug and format

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This commit is contained in:
Jactus
2020-11-11 14:24:04 +08:00
parent e2d89f44fb
commit 52c0c4b7a8
8 changed files with 114 additions and 101 deletions
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58
qlib/contrib/data/handler.py
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@@ -8,15 +8,9 @@ from ...data.dataset import processor as processor_module
from ...log import TimeInspector
import copy
class ALPHA360(DataHandlerLP):
def __init__(
self,
instruments="csi500",
start_time=None,
end_time=None,
fit_start_time=None,
fit_end_time=None
):
def __init__(self, instruments="csi500", start_time=None, end_time=None, fit_start_time=None, fit_end_time=None):
data_loader = {
"class": "QlibDataLoader",
"kwargs": {
@@ -28,22 +22,22 @@ class ALPHA360(DataHandlerLP):
}
learn_processors = [
{"class": "DropnaLabel", "kwargs": {'group': 'label'}},
{"class": "CSZScoreNorm", "kwargs": {"fields_group": "label"}},
{"class": "DropnaLabel", "kwargs": {"group": "label"}},
{"class": "CSZScoreNorm", "kwargs": {"fields_group": "label"}},
]
infer_processors = [
{"class": "ProcessInf", "kwargs": {}},
{"class": "ZscoreNorm", "kwargs": {"fit_start_time": fit_start_time, "fit_end_time": fit_end_time}},
{"class": "Fillna", "kwargs": {}},
{"class": "ProcessInf", "kwargs": {}},
{"class": "ZscoreNorm", "kwargs": {"fit_start_time": fit_start_time, "fit_end_time": fit_end_time}},
{"class": "Fillna", "kwargs": {}},
]
super().__init__(
instruments,
start_time,
end_time,
data_loader=data_loader,
learn_processors=learn_processors,
infer_processors=infer_processors
instruments,
start_time,
end_time,
data_loader=data_loader,
learn_processors=learn_processors,
infer_processors=infer_processors,
)
def get_label_config(self):
@@ -54,19 +48,19 @@ class ALPHA360(DataHandlerLP):
fields = []
names = []
for i in range(59,0,-1):
fields += ["Ref($close, %d)/$close"%(i)]
names += ["CLOSE%d"%(i)]
fields += ["Ref($open, %d)/$close"%(i)]
names += ["OPEN%d"%(i)]
fields += ["Ref($high, %d)/$close"%(i)]
names += ["HIGH%d"%(i)]
fields += ["Ref($low, %d)/$close"%(i)]
names += ["LOW%d"%(i)]
fields += ["Ref($vwap, %d)/$close"%(i)]
names += ["VWAP%d"%(i)]
fields += ["Ref($volume, %d)/$volume"%(i)]
names += ["VOLUME%d"%(i)]
for i in range(59, 0, -1):
fields += ["Ref($close, %d)/$close" % (i)]
names += ["CLOSE%d" % (i)]
fields += ["Ref($open, %d)/$close" % (i)]
names += ["OPEN%d" % (i)]
fields += ["Ref($high, %d)/$close" % (i)]
names += ["HIGH%d" % (i)]
fields += ["Ref($low, %d)/$close" % (i)]
names += ["LOW%d" % (i)]
fields += ["Ref($vwap, %d)/$close" % (i)]
names += ["VWAP%d" % (i)]
fields += ["Ref($volume, %d)/$volume" % (i)]
names += ["VOLUME%d" % (i)]
fields += ["$close/$close"]
fields += ["$open/$close"]