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bxdd
2021-01-26 07:33:50 +00:00
parent 8e9ca22b07
commit 58616fced9
3 changed files with 10 additions and 13 deletions
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2
examples/high_freq/highfreq_processor.py
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@@ -57,7 +57,7 @@ class HighFreqNorm(Processor):
part_values[slice3] = -3.5
# print("start_call_feature_reshape")
idx = df_features.index.droplevel("datetime").drop_duplicates()
idx.set_names(['instrument', 'datetime'], inplace=True)
idx.set_names(["instrument", "datetime"], inplace=True)
feat = df_values[:, [0, 1, 2, 3, 4, 10]].reshape(-1, 6 * 240)
feat_1 = df_values[:, [5, 6, 7, 8, 9, 11]].reshape(-1, 6 * 240)
df_new_features = pd.DataFrame(

19
examples/high_freq/workflow.py
View File

@@ -147,14 +147,13 @@ if __name__ == "__main__":
}
##=============load the calendar for cache=============
Cal.calendar(freq="1min")
Cal.get_calendar_day(freq="1min")
Cal.get_calendar_day(freq="1min")
##=============get data=============
dataset = init_instance_by_config(task["dataset"])
dataset_backtest = init_instance_by_config(task["dataset_backtest"])
xtrain, xtest = dataset.prepare(['train', 'test'])
backtest_train, backtest_test = dataset_backtest.prepare(['train', 'test'])
xtrain, xtest = dataset.prepare(["train", "test"])
backtest_train, backtest_test = dataset_backtest.prepare(["train", "test"])
print(xtrain, xtest)
print(backtest_train, backtest_test)
del xtrain, xtest
@@ -172,15 +171,13 @@ if __name__ == "__main__":
file_dataset_backtest = open("dataset_backtest.pkl", "rb")
dataset_backtest = pickle.load(file_dataset_backtest)
file_dataset_backtest.close()
##=============reload_dataset=============
dataset.init(init_type=DataHandlerLP.IT_LS)
dataset_backtest.init(init_type=DataHandlerLP.IT_LS)
##=============reinit qlib=============
qlib.init(
provider_uri=provider_uri,
@@ -190,12 +187,12 @@ if __name__ == "__main__":
auto_mount=False,
)
Cal.calendar(freq="1min") #load the calendar for cache
Cal.get_calendar_day(freq="1min") #load the calendar for cache
Cal.calendar(freq="1min") # load the calendar for cache
Cal.get_calendar_day(freq="1min") # load the calendar for cache
##=============test dataset
xtrain, xtest = dataset.prepare(['train', 'test'])
backtest_train, backtest_test = dataset_backtest.prepare(['train', 'test'])
xtrain, xtest = dataset.prepare(["train", "test"])
backtest_train, backtest_test = dataset_backtest.prepare(["train", "test"])
print(xtrain, xtest)
print(backtest_train, backtest_test)

2
qlib/data/ops.py
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@@ -1479,7 +1479,7 @@ Operators = OpsWrapper()
def register_all_ops(C):
"""register all operator"""
logger = get_module_logger("ops")
Operators.reset()
Operators.register(OpsList)