add example script

examples/workflow_with_custom_ops.py

@@ -0,0 +1,83 @@
+#  Copyright (c) Microsoft Corporation.
+#  Licensed under the MIT License.
+
+import sys
+from pathlib import Path
+
+import qlib
+import numpy as np
+import pandas as pd
+from qlib.data import D
+from qlib.data.ops import Operators, ElemOperator, PairOperator
+from qlib.config import REG_CN
+from qlib.utils import exists_qlib_data
+
+
+class Diff(ElemOperator):
+    """Feature First Difference
+
+    Parameters
+    ----------
+    feature : Expression
+        feature instance
+
+    Returns
+    ----------
+    Expression
+        a feature instance with first difference
+    """
+
+    def __init__(self, feature):
+        super(Diff, self).__init__(feature, "diff")
+
+    def _load_internal(self, instrument, start_index, end_index, freq):
+        series = self.feature.load(instrument, start_index, end_index, freq)
+        return series.diff()
+
+    def get_extended_window_size(self):
+        lft_etd, rght_etd = self.feature.get_extended_window_size()
+        return lft_etd + 1, rght_etd
+
+
+class Distance(PairOperator):
+    """Feature Distance
+
+    Parameters
+    ----------
+    feature : Expression
+        feature instance
+
+    Returns
+    ----------
+    Expression
+        a feature instance with distance
+    """
+
+    def __init__(self, feature_left, feature_right):
+        super(Distance, self).__init__(feature_left, feature_right, "distance")
+
+    def _load_internal(self, instrument, start_index, end_index, freq):
+        series_left = self.feature_left.load(instrument, start_index, end_index, freq)
+        series_right = self.feature_right.load(instrument, start_index, end_index, freq)
+        return np.abs(series_left - series_right)
+
+
+if __name__ == "__main__":
+
+    # register custom operators
+    OpsList = [Diff, Distance]
+    Operators.register(OpsList)
+    # use default data
+    provider_uri = "~/.qlib/qlib_data/cn_data"  # target_dir
+    if not exists_qlib_data(provider_uri):
+        print(f"Qlib data is not found in {provider_uri}")
+        sys.path.append(str(Path(__file__).resolve().parent.parent.joinpath("scripts")))
+        from get_data import GetData
+
+        GetData().qlib_data(target_dir=provider_uri, region=REG_CN)
+
+    qlib.init(provider_uri=provider_uri, region=REG_CN)
+
+    instruments = ["SH600000"]
+    fields = ["Diff($close)", "Distance($close, Ref($close, 1))"]
+    print(D.features(instruments, fields, start_time="2010-01-01", end_time="2017-12-31", freq="day"))