From 8fa22bd2e151545d7a5ea67ea63504b94cb69dc9 Mon Sep 17 00:00:00 2001 From: 2796gaurav <17353992+2796gaurav@users.noreply.github.com> Date: Wed, 21 Jul 2021 14:16:22 +0530 Subject: [PATCH] added 1min for IN and also updated readme --- scripts/data_collector/yahoo/README.md | 14 +++++++++++--- scripts/data_collector/yahoo/collector.py | 18 ++++++++++++++++++ 2 files changed, 29 insertions(+), 3 deletions(-) diff --git a/scripts/data_collector/yahoo/README.md b/scripts/data_collector/yahoo/README.md index 50f731e38..0deef9c95 100644 --- a/scripts/data_collector/yahoo/README.md +++ b/scripts/data_collector/yahoo/README.md @@ -37,7 +37,7 @@ pip install -r requirements.txt - user can append data to `v2`: [automatic update of daily frequency data](#automatic-update-of-daily-frequency-datafrom-yahoo-finance) - **the [benchmarks](https://github.com/microsoft/qlib/tree/main/examples/benchmarks) for qlib use `v1`**, *due to the unstable access to historical data by YahooFinance, there are some differences between `v2` and `v1`* - `interval`: `1d` or `1min`, by default `1d` - - `region`: `cn` or `us`, by default `cn` + - `region`: `cn` or `us` or `in`, by default `cn` - `delete_old`: delete existing data from `target_dir`(*features, calendars, instruments, dataset_cache, features_cache*), value from [`True`, `False`], by default `True` - `exists_skip`: traget_dir data already exists, skip `get_data`, value from [`True`, `False`], by default `False` - examples: @@ -50,6 +50,10 @@ pip install -r requirements.txt python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_us_1d --region us --interval 1d # us 1min python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_us_1min --region us --interval 1min + # in 1d + python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_in_1d --region in --interval 1d + # in 1min + python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_in_1min --region in --interval 1min ``` ### Collector *YahooFinance* data to qlib @@ -60,7 +64,7 @@ pip install -r requirements.txt - `source_dir`: save the directory - `interval`: `1d` or `1min`, by default `1d` > **due to the limitation of the *YahooFinance API*, only the last month's data is available in `1min`** - - `region`: `CN` or `US`, by default `CN` + - `region`: `CN` or `US` or `IN`, by default `CN` - `delay`: `time.sleep(delay)`, by default *0.5* - `start`: start datetime, by default *"2000-01-01"*; *closed interval(including start)* - `end`: end datetime, by default `pd.Timestamp(datetime.datetime.now() + pd.Timedelta(days=1))`; *open interval(excluding end)* @@ -78,6 +82,10 @@ pip install -r requirements.txt python collector.py download_data --source_dir ~/.qlib/stock_data/source/us_1d --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region US # us 1min data python collector.py download_data --source_dir ~/.qlib/stock_data/source/us_1min --delay 1 --interval 1min --region US + # in 1d data + python collector.py download_data --source_dir ~/.qlib/stock_data/source/in_1d --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region IN + # in 1min data + python collector.py download_data --source_dir ~/.qlib/stock_data/source/in_1min --delay 1 --interval 1min --region IN ``` 2. normalize data: `python scripts/data_collector/yahoo/collector.py normalize_data` @@ -87,7 +95,7 @@ pip install -r requirements.txt - `max_workers`: number of concurrent, by default *1* - `interval`: `1d` or `1min`, by default `1d` > if **`interval == 1min`**, `qlib_data_1d_dir` cannot be `None` - - `region`: `CN` or `US`, by default `CN` + - `region`: `CN` or `US` or `IN`, by default `CN` - `date_field_name`: column *name* identifying time in csv files, by default `date` - `symbol_field_name`: column *name* identifying symbol in csv files, by default `symbol` - `end_date`: if not `None`, normalize the last date saved (*including end_date*); if `None`, it will ignore this parameter; by default `None` diff --git a/scripts/data_collector/yahoo/collector.py b/scripts/data_collector/yahoo/collector.py index 464e9e516..defa86198 100644 --- a/scripts/data_collector/yahoo/collector.py +++ b/scripts/data_collector/yahoo/collector.py @@ -302,6 +302,10 @@ class YahooCollectorIN1d(YahooCollectorIN): pass +class YahooCollectorIN1min(YahooCollectorIN): + pass + + class YahooNormalize(BaseNormalize): COLUMNS = ["open", "close", "high", "low", "volume"] DAILY_FORMAT = "%Y-%m-%d" @@ -742,6 +746,20 @@ class YahooNormalizeIN1d(YahooNormalizeIN, YahooNormalize1d): pass +class YahooNormalizeIN1min(YahooNormalizeIN, YahooNormalize1minOffline): + CALC_PAUSED_NUM = False + + def _get_calendar_list(self) -> Iterable[pd.Timestamp]: + # TODO: support 1min + raise ValueError("Does not support 1min") + + def _get_1d_calendar_list(self): + return get_calendar_list("IN_ALL") + + def symbol_to_yahoo(self, symbol): + return fname_to_code(symbol) + + class YahooNormalizeCN: def _get_calendar_list(self) -> Iterable[pd.Timestamp]: # TODO: from MSN