liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-17 17:34:35 +08:00
Code Activity

support check_transform_proc module_path

Browse Source
This commit is contained in:
bxdd
2021-07-01 18:01:42 +00:00
committed by you-n-g
parent b523b27d5a
commit 946c9392a1
4 changed files with 10 additions and 20 deletions
Download Patch File Download Diff File Expand all files Collapse all files

20
examples/highfreq/highfreq_handler.py
View File

@@ -1,7 +1,6 @@
from qlib.data.dataset.handler import DataHandler, DataHandlerLP from qlib.data.dataset.handler import DataHandler, DataHandlerLP
from qlib.data.dataset.processor import Processor from qlib.contrib.data.handler import check_transform_proc
from qlib.utils import get_cls_kwargs
from qlib.log import TimeInspector
class HighFreqHandler(DataHandlerLP): class HighFreqHandler(DataHandlerLP):
@@ -16,20 +15,9 @@ class HighFreqHandler(DataHandlerLP):
fit_end_time=None, fit_end_time=None,
drop_raw=True, drop_raw=True,
): ):
def check_transform_proc(proc_l):
new_l = []
for p in proc_l:
p["kwargs"].update(
{
"fit_start_time": fit_start_time,
"fit_end_time": fit_end_time,
}
)
new_l.append(p)
return new_l
infer_processors = check_transform_proc(infer_processors) infer_processors = check_transform_proc(infer_processors, fit_start_time, fit_end_time)
learn_processors = check_transform_proc(learn_processors) learn_processors = check_transform_proc(learn_processors, fit_start_time, fit_end_time)
data_loader = { data_loader = {
"class": "QlibDataLoader", "class": "QlibDataLoader",

2
examples/highfreq/highfreq_ops.py
View File

@@ -26,7 +26,7 @@ def get_calendar_day(freq="day", future=False):
if flag in H["c"]: if flag in H["c"]:
_calendar = H["c"][flag] _calendar = H["c"][flag]
else: else:
_calendar = np.array(list(map(lambda x: x.date(), Cal.load_calendar(freq, future)))) _calendar = np.array(list(map(lambda x: pd.Timestamp(x.date()), Cal.load_calendar(freq, future))))
H["c"][flag] = _calendar H["c"][flag] = _calendar
return _calendar return _calendar

2
examples/highfreq/workflow.py
View File

@@ -33,7 +33,7 @@ class HighfreqWorkflow:
"fit_start_time": start_time, "fit_start_time": start_time,
"fit_end_time": train_end_time, "fit_end_time": train_end_time,
"instruments": MARKET, "instruments": MARKET,
"infer_processors": [{"class": "HighFreqNorm", "module_path": "highfreq_processor", "kwargs": {}}], "infer_processors": [{"class": "HighFreqNorm", "module_path": "highfreq_processor"}],
} }
DATA_HANDLER_CONFIG1 = { DATA_HANDLER_CONFIG1 = {
"start_time": start_time, "start_time": start_time,

6
qlib/contrib/data/handler.py
View File

@@ -26,8 +26,10 @@ def check_transform_proc(proc_l, fit_start_time, fit_end_time):
"fit_end_time": fit_end_time, "fit_end_time": fit_end_time,
} }
) )
# FIXME: the `module_path` parameter is missed. proc_config = {"class": klass.__name__, "kwargs": pkwargs}
new_l.append({"class": klass.__name__, "kwargs": pkwargs}) if isinstance(p, dict) and "module_path" in p:
proc_config["module_path"] = p["module_path"]
new_l.append(proc_config)
else: else:
new_l.append(p) new_l.append(p)
return new_l return new_l