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Fix RL example bug (#1384)

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* Fix data pipeline

* Add TODO
This commit is contained in:
Huoran Li
2022-12-06 20:49:56 +08:00
committed by GitHub
parent 9d8a8c6f13
commit 577923a9f0
1 changed files with 13 additions and 1 deletions
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14
examples/rl/scripts/gen_backtest_orders.py
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@@ -14,11 +14,22 @@ args = parser.parse_args()
np.random.seed(args.seed)
path = os.path.join("data", "pickle", "backtesttest.pkl") # TODO: rename file
path = os.path.join("data", "pickle", "backtesttest.pkl")
df = pickle.load(open(path, "rb")).reset_index()
df["date"] = df["datetime"].dt.date.astype("datetime64")
instruments = sorted(set(df["instrument"]))
# TODO: The example is expected to be able to handle data containing missing values.
# TODO: Currently, we just simply skip dates that contain missing data. We will add
# TODO: this feature in the future.
skip_dates = {}
for instrument in instruments:
csv_df = pd.read_csv(os.path.join("data", "csv", f"{instrument}.csv"))
csv_df = csv_df[csv_df["close"].isna()]
dates = set([str(d).split(" ")[0] for d in csv_df["date"]])
skip_dates[instrument] = dates
df_list = []
for instrument in instruments:
print(instrument)
@@ -26,6 +37,7 @@ for instrument in instruments:
cur_df = df[df["instrument"] == instrument]
dates = sorted(set([str(d).split(" ")[0] for d in cur_df["date"]]))
dates = [date for date in dates if date not in skip_dates[instrument]]
n = args.num_order
df_list.append(