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Add future trading date collector

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This commit is contained in:
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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25
scripts/data_collector/yahoo/collector.py
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@@ -24,7 +24,12 @@ from qlib.config import REG_CN as REGION_CN
CUR_DIR = Path(__file__).resolve().parent
sys.path.append(str(CUR_DIR.parent.parent))
from data_collector.base import BaseCollector, BaseNormalize, BaseRun
from data_collector.utils import get_calendar_list, get_hs_stock_symbols, get_us_stock_symbols
from data_collector.utils import (
get_calendar_list,
get_hs_stock_symbols,
get_us_stock_symbols,
generate_minutes_calendar_from_daily,
)
INDEX_BENCH_URL = "http://push2his.eastmoney.com/api/qt/stock/kline/get?secid=1.{index_code}&fields1=f1%2Cf2%2Cf3%2Cf4%2Cf5&fields2=f51%2Cf52%2Cf53%2Cf54%2Cf55%2Cf56%2Cf57%2Cf58&klt=101&fqt=0&beg={begin}&end={end}"
@@ -418,21 +423,9 @@ class YahooNormalize1min(YahooNormalize, ABC):
return calendar_list_1d
def generate_1min_from_daily(self, calendars: Iterable) -> pd.Index:
res = []
daily_format = self.DAILY_FORMAT
am_range = self.AM_RANGE
pm_range = self.PM_RANGE
for _day in calendars:
for _range in [am_range, pm_range]:
res.append(
pd.date_range(
f"{_day.strftime(daily_format)} {_range[0]}",
f"{_day.strftime(daily_format)} {_range[1]}",
freq="1min",
)
)
return pd.Index(sorted(set(np.hstack(res))))
return generate_minutes_calendar_from_daily(
calendars, freq="1min", am_range=self.AM_RANGE, pm_range=self.PM_RANGE
)
def adjusted_price(self, df: pd.DataFrame) -> pd.DataFrame:
# TODO: using daily data factor