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Jactus
2020-11-02 11:09:24 +08:00
parent b077d848f4
commit 661b3bffcc
11 changed files with 157 additions and 157 deletions
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17
qlib/data/dataset/loader.py
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@@ -9,10 +9,12 @@ from typing import Tuple
from qlib.data import D
class DataLoader(abc.ABC):
'''
"""
DataLoader is designed for loading raw data from original data source.
'''
"""
@abc.abstractmethod
def load(self, instruments, start_time=None, end_time=None) -> pd.DataFrame:
"""
@@ -47,7 +49,8 @@ class DataLoader(abc.ABC):
class QlibDataLoader(DataLoader):
'''Same as QlibDataLoader. The fields can be define by config'''
"""Same as QlibDataLoader. The fields can be define by config"""
def __init__(self, config: Tuple[list, tuple, dict], filter_pipe=None):
"""
Parameters
@@ -64,7 +67,7 @@ class QlibDataLoader(DataLoader):
<fields_info> := ["expr", ...] | (["expr", ...], ["col_name", ...])
"""
self.is_group = isinstance(config, dict)
self.is_group = isinstance(config, dict)
if self.is_group:
self.fields = {grp: self._parse_fields_info(fields_info) for grp, fields_info in config.items()}
@@ -86,15 +89,17 @@ class QlibDataLoader(DataLoader):
if isinstance(instruments, str):
instruments = D.instruments(instruments, filter_pipe=self.filter_pipe)
elif self.filter_pipe is not None:
warnings.warn('`filter_pipe` is not None, but it will not be used with `instruments` as list')
warnings.warn("`filter_pipe` is not None, but it will not be used with `instruments` as list")
def _get_df(exprs, names):
df = D.features(instruments, exprs, start_time, end_time)
df.columns = names
return df
if self.is_group:
df = pd.concat({grp: _get_df(exprs, names) for grp, (exprs, names) in self.fields.items()}, axis=1)
else:
exprs, names = self.fields
df = _get_df(exprs, names)
df = df.swaplevel().sort_index() # NOTE: always return <datetime, instrument>
df = df.swaplevel().sort_index() # NOTE: always return <datetime, instrument>
return df