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Merge branch 'high-freq-execution' into high-freq-execution

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Mingzhe-Han
2021-09-17 11:08:53 +08:00
committed by GitHub
parent 603c282415 b3893067f7
commit 6a22136366
4 changed files with 17 additions and 15 deletions
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6
examples/trade/order_gen.py
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@@ -26,9 +26,8 @@ def w_order(f, start, end):
df = pd.read_pickle(in_dir + f)
#df['date'] = df.index.get_level_values(1).map(lambda x: x.date())
#df = df.set_index('date', append=True, drop=True)
# old_order = pd.read_pickle('../v-zeh/full-07-20/order/ratio_test/' + f)
order = generate_order(df, start, end)
# order = order[order.index.isin(old_order.index)]
order_train = order[order.index.get_level_values(0) < '2020-12-01']
order_test = order[order.index.get_level_values(0) >= '2020-12-01']
order_valid = order_test[order_test.index.get_level_values(0) < '2021-01-01']
@@ -52,7 +51,8 @@ def w_order(f, start, end):
all_path = os.path.join(data_path, "order/all/")
if not os.path.exists(all_path):
os.makedirs(all_path)
order_test.to_pickle(all_path + f[:-9] + '.target')
order.to_pickle(all_path + f[:-9] + '.target')
return 0
res = Parallel(n_jobs=64)(delayed(w_order)(f, 0, 239) for f in os.listdir(in_dir))