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fix but

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bxdd
2021-03-25 20:36:07 +08:00
parent e119c8576c
commit 9cc3b18e4e
3 changed files with 20 additions and 6 deletions
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1
examples/rolling_process_data/README.md
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@@ -1,2 +1 @@
# Rolling Process Data # Rolling Process Data

19
examples/rolling_process_data/workflow.py
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@@ -38,9 +38,12 @@ class RollingDataWorkflow(object):
"start_time": self.start_time, "start_time": self.start_time,
"end_time": self.end_time, "end_time": self.end_time,
"instruments": self.MARKET, "instruments": self.MARKET,
"infer_processors": [],
"learn_processors": [],
}, },
} }
pre_handler = init_instance_by_config(handler_config) pre_handler = init_instance_by_config(handler_config)
pre_handler.config(dump_all=True)
pre_handler.to_pickle(path) pre_handler.to_pickle(path)
def _load_pre_handler(self, path): def _load_pre_handler(self, path):
@@ -50,8 +53,8 @@ class RollingDataWorkflow(object):
def rolling_process(self): def rolling_process(self):
self._init_qlib() self._init_qlib()
self._dump_pre_handler("pre_handler.py") self._dump_pre_handler("pre_handler.pkl")
pre_handler = self._load_pre_handler("pre_handler.py") pre_handler = self._load_pre_handler("pre_handler.pkl")
train_start_time = (2010, 1, 1) train_start_time = (2010, 1, 1)
train_end_time = (2012, 12, 31) train_end_time = (2012, 12, 31)
@@ -72,6 +75,13 @@ class RollingDataWorkflow(object):
"end_time": datetime(*test_end_time), "end_time": datetime(*test_end_time),
"fit_start_time": datetime(*train_start_time), "fit_start_time": datetime(*train_start_time),
"fit_end_time": datetime(*train_end_time), "fit_end_time": datetime(*train_end_time),
"infer_processors": [
{"class":"RobustZScoreNorm", "kwargs": {"fields_group": "feature"}},
],
"learn_processors": [
{"class": "DropnaLabel"},
{"class": "CSZScoreNorm", "kwargs": {"fields_group": "label"}},
],
"data_loader_kwargs": { "data_loader_kwargs": {
"handler_config": pre_handler, "handler_config": pre_handler,
}, },
@@ -87,7 +97,8 @@ class RollingDataWorkflow(object):
dataset = init_instance_by_config(dataset_config) dataset = init_instance_by_config(dataset_config)
for rolling_offset in range(rolling_cnt): for rolling_offset in range(self.rolling_cnt):
print(f"===========rolling{rolling_offset} start===========")
if rolling_offset: if rolling_offset:
dataset.init( dataset.init(
handler_kwargs={ handler_kwargs={
@@ -112,6 +123,8 @@ class RollingDataWorkflow(object):
) )
dtrain, dvalid, dtest = dataset.prepare(["train", "valid", "test"]) dtrain, dvalid, dtest = dataset.prepare(["train", "valid", "test"])
## print or dump data
print(f"===========rolling{rolling_offset} end===========")
if __name__ == "__main__": if __name__ == "__main__":

6
qlib/data/dataset/loader.py
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@@ -250,7 +250,9 @@ class DataLoaderDH(DataLoader):
is_group will be used to describe whether the key of handler_config is group is_group will be used to describe whether the key of handler_config is group
""" """
if self.is_group: from qlib.data.dataset.handler import DataHandler
if is_group:
self.handlers = { self.handlers = {
grp: init_instance_by_config(config, accept_types=DataHandler) for grp, config in handler_config.items() grp: init_instance_by_config(config, accept_types=DataHandler) for grp, config in handler_config.items()
} }
@@ -274,5 +276,5 @@ class DataLoaderDH(DataLoader):
axis=1, axis=1,
) )
else: else:
df = self.handler.fetch(selector=slice(start_time, end_time), level="datetime", **self.fetch_kwargs) df = self.handlers.fetch(selector=slice(start_time, end_time), level="datetime", **self.fetch_kwargs)
return df return df