add CSRankNorm processor

qlib/data/dataset/processor.py

@@ -124,18 +124,19 @@ class ProcessInf(Processor):
 
 
 class Fillna(Processor):
-    """Process infinity  """
+    """Process NaN"""
+
+    def __init__(self, fields_group=None, fill_value=0):
+        self.fields_group = fields_group
+        self.fill_value = fill_value
 
     def __call__(self, df):
-        def fill_na(df, columns=None, fill=0):
+        if self.fields_group is None:
-
+            df.fillna(self.fill_value, inplace=True)
-            if columns == None:
+        else:
-                columns = df.columns
+            cols = get_group_columns(df, self.fields_group)
-            df[columns] = df[columns].fillna(fill)
+            df.fillna({col: self.fill_value for col in cols}, inplace=True)
-
+        return df
-            return df
-
-        return fill_na(df)
 
 
 class MinMaxNorm(Processor):
@@ -203,3 +204,16 @@ class CSZScoreNorm(Processor):
         cols = get_group_columns(df, self.fields_group)
         df[cols] = df[cols].groupby("datetime").apply(lambda df: (df - df.mean()).div(df.std()))
         return df
+
+
+class CSRankNorm(Processor):
+    """Cross Sectional Rank Normalization"""
+
+    def __init__(self, fields_group=None):
+        self.fields_group = fields_group
+
+    def __call__(self, df):
+        # try not modify original dataframe
+        cols = get_group_columns(df, self.fields_group)
+        df[cols] = df[cols].groupby("datetime").apply(lambda df: (df - df.mean()).div(df.std()))
+        return df