From a7c6aea38684d6ca2b90f7dbec704116b82d1046 Mon Sep 17 00:00:00 2001
From: lwwang1995 <Lewen.Wang@microsoft.com>
Date: Sun, 6 Dec 2020 18:41:04 +0800
Subject: [PATCH] Update record to support time series dataset.

---
 qlib/workflow/record_temp.py | 6 ++++++
 1 file changed, 6 insertions(+)

diff --git a/qlib/workflow/record_temp.py b/qlib/workflow/record_temp.py
index ec76343bd..3b8114f80 100644
--- a/qlib/workflow/record_temp.py
+++ b/qlib/workflow/record_temp.py
@@ -141,6 +141,12 @@ class SignalRecord(RecordTemp):
                 del params["data_key"]
                 # The backend handler should be DataHandler
                 raw_label = DatasetH.prepare(**params)
+
+            if not isinstance(raw_label, pd.DataFrame):
+                index = raw_label.get_index()
+                raw_label = raw_label.data.loc[index]
+                raw_label = raw_label.iloc[:,-1:]
+
             self.recorder.save_objects(**{"label.pkl": raw_label})
 
     def list(self):