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update report & account

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This commit is contained in:
bxdd
2021-04-22 02:04:40 +08:00
parent 971d6a2847
commit 8979d786a9
7 changed files with 231 additions and 53 deletions
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12
qlib/utils/__init__.py
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@@ -866,14 +866,15 @@ def sample_calendar(calendar_raw, freq_raw, freq_sam):
"""
freq_raw = "1" + freq_raw if re.match("^[0-9]", freq_raw) is None else freq_raw
freq_sam = "1" + freq_sam if re.match("^[0-9]", freq_sam) is None else freq_sam
if not len(calendar_raw):
return calendar_raw
if freq_sam.endswith(("minute", "min")):
def cal_next_sam_minute(x, sam_minutes):
hour = x.hour
minute = x.minute
if 9 <= hour <= 11:
if (hour == 9 and minute >= 30) or (9 < hour < 11) or (hour == 11 and minute < 30):
minute_index = (hour - 9)*60 + minute - 30
elif 13 <= hour <= 15:
elif 13 <= hour < 15:
minute_index = (hour - 13)*60 + minute + 120
else:
raise ValueError("calendar hour must be in [9, 11] or [13, 15]")
@@ -894,6 +895,8 @@ def sample_calendar(calendar_raw, freq_raw, freq_sam):
if raw_minutes > sam_minutes:
raise ValueError("raw freq must be higher than sample freq")
_calendar_minute = np.unique(list(map(lambda x: pd.Timestamp(x.year, x.month, x.day, *cal_next_sam_minute(x, sam_minutes), 0), calendar_raw)))
if calendar_raw[0] > _calendar_minute[0]:
_calendar_minute[0] = calendar_raw[0]
return _calendar_minute
else:
_calendar_day = np.unique(list(map(lambda x: pd.Timestamp(x.year, x.month, x.day, 0, 0, 0), calendar_raw)))
@@ -944,4 +947,5 @@ def sample_feature(feature, instruments=None, start_time=None, end_time=None, fi
if method:
return getattr(feature.groupby(level="instrument"), method)(**method_kwargs)
else:
return feature
return feature