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Add future trading date collector

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zhupr
2021-04-27 21:20:47 +08:00
parent e15ea06122
commit 8b8d21107c
6 changed files with 165 additions and 16 deletions
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3
qlib/data/data.py
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@@ -522,6 +522,9 @@ class LocalCalendarProvider(CalendarProvider):
# if future calendar not exists, return current calendar
if not os.path.exists(fname):
get_module_logger("data").warning(f"{freq}_future.txt not exists, return current calendar!")
get_module_logger("data").warning(
"You can get future calendar by referring to the following document: https://github.com/microsoft/qlib/blob/main/scripts/data_collector/contrib/README.md"
)
fname = self._uri_cal.format(freq)
else:
fname = self._uri_cal.format(freq)