liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-10 22:36:55 +08:00
Code Activity

format

Browse Source
This commit is contained in:
Yuchen Fang
2021-01-28 00:41:02 +08:00
parent 98086e4fdc
commit a03b08bb4c
21 changed files with 154 additions and 563 deletions
Download Patch File Download Diff File Expand all files Collapse all files

43
examples/trade/sampler/single_sampler.py
View File

@@ -37,9 +37,7 @@ class Sampler:
def __init__(self, config):
self.raw_dir = config["raw_dir"] + "/"
self.order_dir = config["order_dir"] + "/"
self.ins_list = [
f[:-11] for f in os.listdir(self.order_dir) if f.endswith("target")
]
self.ins_list = [f[:-11] for f in os.listdir(self.order_dir) if f.endswith("target")]
self.features = config["features"]
self.queue = Queue(1000)
self.child = None
@@ -60,9 +58,7 @@ class Sampler:
order_df = pd.read_pickle(order_dir + ins + ".pkl.target")
feature_df_list = []
for feature in features:
feature_df_list.append(
pd.read_pickle(f"{feature['loc']}/{ins}.pkl")
)
feature_df_list.append(pd.read_pickle(f"{feature['loc']}/{ins}.pkl"))
raw_df = pd.read_pickle(raw_dir + ins + ".pkl.backtest")
date_list = order_df.index.get_level_values(0).tolist()
index = 0
@@ -81,16 +77,7 @@ class Sampler:
day_raw_df_index, day_raw_df_value, day_raw_df_column = toArray(day_raw_df)
day_feature_dfs_ = toArray(day_feature_dfs)
queue.put(
(
ins,
date,
day_raw_df_value,
day_raw_df_column,
day_raw_df_index,
day_feature_dfs_,
target,
is_buy,
),
(ins, date, day_raw_df_value, day_raw_df_column, day_raw_df_index, day_feature_dfs_, target, is_buy,),
block=True,
)
@@ -103,13 +90,7 @@ class Sampler:
if self.child is None:
self.child = Process(
target=self._worker,
args=(
self.order_dir,
self.raw_dir,
self.features,
self.ins_list,
self.queue,
),
args=(self.order_dir, self.raw_dir, self.features, self.ins_list, self.queue,),
daemon=True,
)
self.child.start()
@@ -164,9 +145,7 @@ class TestSampler(Sampler):
for df in df_list:
day_df_list.append(df.loc[ins, date].values)
day_feature_dfs = np.array(day_df_list)
day_raw_df_index, day_raw_df_value, day_raw_df_column = toArray(
day_raw_df
)
day_raw_df_index, day_raw_df_value, day_raw_df_column = toArray(day_raw_df)
day_feature_dfs_ = toArray(day_feature_dfs)
queue.put(
(
@@ -192,22 +171,14 @@ class TestSampler(Sampler):
"""
if order_dir:
self.order_dir = order_dir
self.ins_list = [
f[:-11] for f in os.listdir(self.order_dir) if f.endswith("target")
]
self.ins_list = [f[:-11] for f in os.listdir(self.order_dir) if f.endswith("target")]
if not self.child is None:
self.child.terminate()
while not self.queue.empty():
self.queue.get()
self.child = Process(
target=self._worker,
args=(
self.order_dir,
self.raw_dir,
self.features,
self.ins_list,
self.queue,
),
args=(self.order_dir, self.raw_dir, self.features, self.ins_list, self.queue,),
daemon=True,
)
self.child.start()