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# High-Frequency Dataset # Introduction
This folder contains 2 examples
- A high-frequency dataset example
- An example of predicting the price trend in high-frequency data
## High-Frequency Dataset
This dataset is an example for RL high frequency trading. This dataset is an example for RL high frequency trading.
## Get High-Frequency Data ### Get High-Frequency Data
Get high-frequency data by running the following command: Get high-frequency data by running the following command:
```bash ```bash
python workflow.py get_data python workflow.py get_data
``` ```
## Dump & Reload & Reinitialize the Dataset ### Dump & Reload & Reinitialize the Dataset
The High-Frequency Dataset is implemented as `qlib.data.dataset.DatasetH` in the `workflow.py`. `DatatsetH` is the subclass of [`qlib.utils.serial.Serializable`](https://qlib.readthedocs.io/en/latest/advanced/serial.html), whose state can be dumped in or loaded from disk in `pickle` format. The High-Frequency Dataset is implemented as `qlib.data.dataset.DatasetH` in the `workflow.py`. `DatatsetH` is the subclass of [`qlib.utils.serial.Serializable`](https://qlib.readthedocs.io/en/latest/advanced/serial.html), whose state can be dumped in or loaded from disk in `pickle` format.
@@ -27,9 +32,9 @@ Run the example by running the following command:
python workflow.py dump_and_load_dataset python workflow.py dump_and_load_dataset
``` ```
## Benchmarks Performance ## Benchmarks Performance (predicting the price trend in high-frequency data)
### Signal Test
Here are the results of signal test for benchmark models. We will keep updating benchmark models in future. Here are the results of models for predicting the price trend in high-frequency data. We will keep updating benchmark models in future.
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Long precision| Short Precision | Long-Short Average Return | Long-Short Average Sharpe | | Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Long precision| Short Precision | Long-Short Average Return | Long-Short Average Sharpe |
|---|---|---|---|---|---|---|---|---|---| |---|---|---|---|---|---|---|---|---|---|