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Add PRef operator (#988) (#1000)

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* Add PRef operator (#988)

* Fix type annotations

* Add test_pref_operator test case field

* Add note to PITProvider

* Add period parameter comment
This commit is contained in:
Chaoying
2022-03-24 15:29:08 +08:00
committed by GitHub
parent 00ed35fc1b
commit 9dd5e07819
5 changed files with 98 additions and 15 deletions
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48
scripts/data_collector/pit/test_pit.py
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@@ -92,7 +92,7 @@ class TestPIT(unittest.TestCase):
"P((Ref($$roewa_q, 1) +$$roewa_q) / 2)",
]
instruments = ["sh600519"]
data = D.features(instruments, fields, start_time="2019-01-01", end_time="20190719", freq="day")
data = D.features(instruments, fields, start_time="2019-01-01", end_time="2019-07-19", freq="day")
expect = """
P(Mean($$roewa_q, 1)) P($$roewa_q) P(Mean($$roewa_q, 2)) P(Ref($$roewa_q, 1)) P((Ref($$roewa_q, 1) +$$roewa_q) / 2)
instrument datetime
@@ -189,6 +189,52 @@ class TestPIT(unittest.TestCase):
fields += ["P(Sum($$yoyni_q, 4))"]
fields += ["$close", "P($$roewa_q) * $close"]
data = D.features(instruments, fields, start_time="2019-01-01", end_time="2020-01-01", freq="day")
except_data = """
P($$roewa_q) P($$yoyni_q) P(($$roewa_q / $$yoyni_q) / Ref($$roewa_q / $$yoyni_q, 1) - 1) P(Sum($$yoyni_q, 4)) $close P($$roewa_q) * $close
instrument datetime
sh600519 2019-01-02 0.255220 0.243892 1.484224 1.661578 63.595333 16.230801
2019-01-03 0.255220 0.243892 1.484224 1.661578 62.641907 15.987467
2019-01-04 0.255220 0.243892 1.484224 1.661578 63.915985 16.312637
2019-01-07 0.255220 0.243892 1.484224 1.661578 64.286530 16.407207
2019-01-08 0.255220 0.243892 1.484224 1.661578 64.212196 16.388237
... ... ... ... ... ... ...
2019-12-25 0.255819 0.219821 0.677052 1.081693 122.150467 31.248409
2019-12-26 0.255819 0.219821 0.677052 1.081693 122.301315 31.286999
2019-12-27 0.255819 0.219821 0.677052 1.081693 125.307404 32.056015
2019-12-30 0.255819 0.219821 0.677052 1.081693 127.763992 32.684456
2019-12-31 0.255819 0.219821 0.677052 1.081693 127.462303 32.607277
[244 rows x 6 columns]
"""
self.check_same(data, except_data)
def test_pref_operator(self):
instruments = ["sh600519"]
fields = [
"PRef($$roewa_q, 201902)",
"PRef($$yoyni_q, 201801)",
"P($$roewa_q)",
"P($$roewa_q) / PRef($$roewa_q, 201801)",
]
data = D.features(instruments, fields, start_time="2018-04-28", end_time="2019-07-19", freq="day")
except_data = """
PRef($$roewa_q, 201902) PRef($$yoyni_q, 201801) P($$roewa_q) P($$roewa_q) / PRef($$roewa_q, 201801)
instrument datetime
sh600519 2018-05-02 NaN 0.395075 0.088887 1.000000
2018-05-03 NaN 0.395075 0.088887 1.000000
2018-05-04 NaN 0.395075 0.088887 1.000000
2018-05-07 NaN 0.395075 0.088887 1.000000
2018-05-08 NaN 0.395075 0.088887 1.000000
... ... ... ... ...
2019-07-15 0.000000 0.395075 0.000000 0.000000
2019-07-16 0.000000 0.395075 0.000000 0.000000
2019-07-17 0.000000 0.395075 0.000000 0.000000
2019-07-18 0.175322 0.395075 0.175322 1.972414
2019-07-19 0.175322 0.395075 0.175322 1.972414
[299 rows x 4 columns]
"""
self.check_same(data, except_data)
if __name__ == "__main__":