From 65a009acb2850abcae59ad6633c265c3c4bcfe2c Mon Sep 17 00:00:00 2001
From: Young <afe.young@gmail.com>
Date: Thu, 5 Nov 2020 12:30:43 +0000
Subject: [PATCH] remove vwap related feature

---
 qlib/contrib/data/handler.py | 14 +++++++++++++-
 1 file changed, 13 insertions(+), 1 deletion(-)

diff --git a/qlib/contrib/data/handler.py b/qlib/contrib/data/handler.py
index 2e7f2febc..bd07fff7e 100644
--- a/qlib/contrib/data/handler.py
+++ b/qlib/contrib/data/handler.py
@@ -90,7 +90,7 @@ class Alpha158(DataHandlerLP):
             "kbar": {},
             "price": {
                 "windows": [0],
-                "feature": ["OPEN", "HIGH", "LOW", "VWAP"],
+                "feature": ["OPEN", "HIGH", "LOW"],
             },
             "rolling": {},
         }
@@ -281,5 +281,17 @@ class Alpha158(DataHandlerLP):
 
 
 class Alpha158vwap(Alpha158):
+
+    def get_feature_config(self):
+        conf = {
+            "kbar": {},
+            "price": {
+                "windows": [0],
+                "feature": ["OPEN", "HIGH", "LOW", "VWAP"],
+            },
+            "rolling": {},
+        }
+        return self.parse_config_to_fields(conf)
+
     def get_label_config(self):
         return (["Ref($vwap, -2)/Ref($vwap, -1) - 1"], ["LABEL0"])