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lzh222333
2021-04-29 04:30:09 +00:00
parent 6f669348a8
commit 67c5740c83
19 changed files with 677 additions and 1010 deletions
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8
qlib/data/dataset/__init__.py
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@@ -299,7 +299,7 @@ class TSDataSampler:
self.start_idx, self.end_idx = self.data_index.slice_locs(start=pd.Timestamp(start), end=pd.Timestamp(end))
self.idx_arr = np.array(self.idx_df.values, dtype=np.float64) # for better performance
del self.data # save memory
@staticmethod
@@ -507,17 +507,17 @@ class TSDatasetH(DatasetH):
"""
dtype = kwargs.pop("dtype")
start, end = slc.start, slc.stop
flt_col = kwargs.pop('flt_col', None)
flt_col = kwargs.pop("flt_col", None)
# TSDatasetH will retrieve more data for complete
data = self._prepare_raw_seg(slc, **kwargs)
flt_kwargs = deepcopy(kwargs)
if flt_col is not None:
flt_kwargs['col_set'] = flt_col
flt_kwargs["col_set"] = flt_col
flt_data = self._prepare_raw_seg(slc, **flt_kwargs)
assert len(flt_data.columns) == 1
else:
flt_data = None
tsds = TSDataSampler(data=data, start=start, end=end, step_len=self.step_len, dtype=dtype, flt_data=flt_data)
return tsds
return tsds