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Merge github.com:microsoft/qlib into bxdd-qlib_highfreq_backtest

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bxdd
2021-05-27 21:16:35 +08:00
parent 4085b447aa cbbf6cd822
commit 6a636546c4
13 changed files with 1074 additions and 62 deletions
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qlib/data/dataset/__init__.py
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@@ -357,7 +357,7 @@ class TSDataSampler:
# get the previous index of a line given index
"""
# object incase of pandas converting int to flaot
idx_df = pd.Series(range(data.shape[0]), index=data.index, dtype=np.object)
idx_df = pd.Series(range(data.shape[0]), index=data.index, dtype=object)
idx_df = lazy_sort_index(idx_df.unstack())
# NOTE: the correctness of `__getitem__` depends on columns sorted here
idx_df = lazy_sort_index(idx_df, axis=1)