liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-10 14:26:56 +08:00
Code Activity

fix bug

Browse Source
This commit is contained in:
bxdd
2021-01-26 07:32:06 +00:00
parent 06dbd02b99
commit 6a145df87c
11 changed files with 118 additions and 71 deletions
Download Patch File Download Diff File Expand all files Collapse all files

94
examples/high_freq/workflow.py
View File

@@ -73,31 +73,36 @@ if __name__ == "__main__":
qlib.init(
provider_uri=provider_uri,
custom_ops=[DayFirst, DayLast, FFillNan, Date, Select, IsNull],
redis_port=233,
redis_port=-1,
region=REG_CN,
auto_mount=False,
)
MARKET = "csi300"
MARKET = "test_10"
BENCHMARK = "SH000300"
start_time = "2019-01-01 00:00:00"
end_time = "2019-12-31 15:00:00"
train_end_time = "2019-05-31 15:00:00"
test_start_time = "2019-06-01 00:00:00"
###################################
# train model
###################################
DATA_HANDLER_CONFIG0 = {
"start_time": "2017-01-01 00:00:00",
"end_time": "2020-11-30 15:00:00",
"start_time": start_time,
"end_time": end_time,
"freq": "1min",
"fit_start_time": "2017-01-01 00:00:00",
"fit_end_time": "2020-08-31 15:00:00",
"instruments": "all",
"fit_start_time": start_time,
"fit_end_time": train_end_time,
"instruments": MARKET,
"infer_processors": [{"class": "HighFreqNorm", "module_path": "highfreq_processor", "kwargs": {}}],
}
DATA_HANDLER_CONFIG1 = {
"start_time": "2017-01-01 00:00:00",
"end_time": "2020-11-30 15:00:00",
"start_time": start_time,
"end_time": end_time,
"freq": "1min",
"instruments": "all",
"instruments": MARKET,
}
task = {
@@ -111,10 +116,10 @@ if __name__ == "__main__":
"kwargs": DATA_HANDLER_CONFIG0,
},
"segments": {
"train": ("2017-01-01 00:00:00", "2020-08-31 15:00:00"),
"train": (start_time, train_end_time),
"test": (
"2020-09-01 00:00:00",
"2020-11-30 15:00:00",
test_start_time,
end_time,
),
},
},
@@ -127,19 +132,72 @@ if __name__ == "__main__":
"kwargs": {
"handler": {
"class": "HighFreqBacktestHandler",
"module_path": "highfreq_hander",
"module_path": "highfreq_handler",
"kwargs": DATA_HANDLER_CONFIG1,
},
"segments": {
"train": ("2017-01-01 00:00:00", "2020-08-31 15:00:00"),
"train": (start_time, train_end_time),
"test": (
"2020-09-01 00:00:00",
"2020-11-30 15:00:00",
test_start_time,
end_time,
),
},
},
},
}
Cal.get_calender_day(freq="1min") # TO FIX: load the calendar day for cache
##=============load the calendar for cache=============
Cal.calendar(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'])
print(xtrain, xtest)
print(backtest_train, backtest_test)
del xtrain, xtest
del backtest_train, backtest_test
##=============dump dataset=============
dataset.to_pickle(path="dataset.pkl")
dataset_backtest.to_pickle(path="dataset_backtest.pkl")
del dataset, dataset_backtest
##=============reload dataset=============
file_dataset = open("dataset.pkl", "rb")
dataset = pickle.load(file_dataset)
file_dataset.close()
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,
custom_ops=[DayFirst, DayLast, FFillNan, Date, Select, IsNull],
redis_port=-1,
region=REG_CN,
auto_mount=False,
)
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'])
print(xtrain, xtest)
print(backtest_train, backtest_test)
del xtrain, xtest
del backtest_train, backtest_test