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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 part_values[slice3] = -3.5
# print("start_call_feature_reshape") # print("start_call_feature_reshape")
idx = df_features.index.droplevel("datetime").drop_duplicates() 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 = 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) feat_1 = df_values[:, [5, 6, 7, 8, 9, 11]].reshape(-1, 6 * 240)
df_new_features = pd.DataFrame( df_new_features = pd.DataFrame(

15
examples/high_freq/workflow.py
View File

@@ -149,12 +149,11 @@ if __name__ == "__main__":
Cal.calendar(freq="1min") Cal.calendar(freq="1min")
Cal.get_calendar_day(freq="1min") Cal.get_calendar_day(freq="1min")
##=============get data============= ##=============get data=============
dataset = init_instance_by_config(task["dataset"]) dataset = init_instance_by_config(task["dataset"])
dataset_backtest = init_instance_by_config(task["dataset_backtest"]) dataset_backtest = init_instance_by_config(task["dataset_backtest"])
xtrain, xtest = dataset.prepare(['train', 'test']) xtrain, xtest = dataset.prepare(["train", "test"])
backtest_train, backtest_test = dataset_backtest.prepare(['train', 'test']) backtest_train, backtest_test = dataset_backtest.prepare(["train", "test"])
print(xtrain, xtest) print(xtrain, xtest)
print(backtest_train, backtest_test) print(backtest_train, backtest_test)
del xtrain, xtest del xtrain, xtest
@@ -179,8 +178,6 @@ if __name__ == "__main__":
dataset.init(init_type=DataHandlerLP.IT_LS) dataset.init(init_type=DataHandlerLP.IT_LS)
dataset_backtest.init(init_type=DataHandlerLP.IT_LS) dataset_backtest.init(init_type=DataHandlerLP.IT_LS)
##=============reinit qlib============= ##=============reinit qlib=============
qlib.init( qlib.init(
provider_uri=provider_uri, provider_uri=provider_uri,
@@ -190,12 +187,12 @@ if __name__ == "__main__":
auto_mount=False, auto_mount=False,
) )
Cal.calendar(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 Cal.get_calendar_day(freq="1min") # load the calendar for cache
##=============test dataset ##=============test dataset
xtrain, xtest = dataset.prepare(['train', 'test']) xtrain, xtest = dataset.prepare(["train", "test"])
backtest_train, backtest_test = dataset_backtest.prepare(['train', 'test']) backtest_train, backtest_test = dataset_backtest.prepare(["train", "test"])
print(xtrain, xtest) print(xtrain, xtest)
print(backtest_train, backtest_test) print(backtest_train, backtest_test)