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https://github.com/microsoft/qlib.git
synced 2026-07-05 03:50:57 +08:00
adjust data and model interface
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Young
@@ -16,6 +16,17 @@ class DataLoader(ABC):
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"""
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load the data as pd.DataFrame
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Parameters
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----------
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self : [TODO:type]
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[TODO:description]
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instruments : [TODO:type]
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[TODO:description]
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start_time : [TODO:type]
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[TODO:description]
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end_time : [TODO:type]
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[TODO:description]
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Returns
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-------
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pd.DataFrame:
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@@ -35,240 +46,51 @@ class DataLoader(ABC):
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class QlibDataLoader(DataLoader):
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'''Same as QlibDataLoader. The fields can be define by config'''
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def __init__(self, config: Tuple[list, tuple, dict], group_fields: bool = False, filter_pipe=None):
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def __init__(self, config: Tuple[list, tuple, dict], filter_pipe=None):
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"""
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Parameters
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----------
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config : Tuple[list ,tuple, dict]
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Config will be used to describe the fields and column names
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if `group_fields`:
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<config> := {
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"group_name1": <fields_info1>
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"group_name2": <fields_info2>
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}
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else:
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<config> := <fields_info>
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<config> := {
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"group_name1": <fields_info1>
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"group_name2": <fields_info2>
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}
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<fields_info> := ["expr", ...] | (["expr", ...], ["col_name", ...]) | <fields_info_config>
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<config> := <fields_info>
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<fields_info_config> is a config with dict type which could be parsed by `parse_config_to_fields`
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<fields_info> := ["expr", ...] | (["expr", ...], ["col_name", ...])
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Here is a few examples to describe the fields
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Here is a few examples to describe the fields
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TODO:
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group_fields : bool
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Will the fields be grouped. Multi-index will be used for the group
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"""
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if group_fields:
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fields_all = []
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name_grp_info = []
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for grp, fields_info in config.items():
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fields, names = self._parse_fields_info(fields_info)
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fields_all.extend(fields)
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name_grp_info.extend([(grp, n) for n in names])
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self.fields, self.names = fields_all, name_grp_info
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else:
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self.fields, self.names = self._parse_fields_info(fields_info)
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self.is_group = isinstance(config, dict)
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if self.is_group:
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self.fields = {grp: self._parse_fields_info(fields_info) for grp, fields_info in config.items()}
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else:
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self.fields = self._parse_fields_info(fields_info)
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self.group_fields = group_fields
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self.filter_pipe = filter_pipe
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def _parse_fields_info(self, fields_info: Tuple[list, tuple, dict]) -> Tuple[list, list]:
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if isinstance(fields_info, dict):
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fields, names = parse_config_to_fields(fields_info)
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elif isinstance(fields_info, list):
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fields = fields_info
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names = fields
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def _parse_fields_info(self, fields_info: Tuple[list, tuple]) -> Tuple[list, list]:
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if isinstance(fields_info, list):
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exprs = names = fields_info
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elif isinstance(fields_info, tuple):
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fields, names = fields_info
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exprs, names = fields_info
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else:
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raise NotImplementedError(f"This type of input is not supported")
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return fields, names
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return exprs, names
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def load(self,
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instruments,
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config: Tuple[list, tuple, dict],
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group_fields=False,
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start_time=None,
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end_time=None) -> Tuple[pd.DataFrame, dict]:
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df = D.features(D.instruments(instruments, filter_pipe=self.filter_pipe), self.fields, start_time, end_time)
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df.columns = pd.MultiIndex.from_tuples(self.names) if self.group_fields else self.names
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def load(self, instruments, start_time=None, end_time=None) -> pd.DataFrame:
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def _get_df(exprs, names):
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df = D.features(D.instruments(instruments, filter_pipe=self.filter_pipe), exprs, start_time, end_time)
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df.columns = names
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return df
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if self.is_group:
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df = pd.concat({grp: _get_df(exprs, names) for grp, (exprs, names) in self.fields.items()}, axis=1)
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else:
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df = _get_df(exprs, names)
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df = df.swaplevel().sort_index()
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return df
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# TODO: make it easier to understand the config language
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def parse_config_to_fields(config):
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"""create factors from config
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config = {
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'kbar': {}, # whether to use some hard-code kbar features
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'price': { # whether to use raw price features
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'windows': [0, 1, 2, 3, 4], # use price at n days ago
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'feature': ['OPEN', 'HIGH', 'LOW'] # which price field to use
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},
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'volume': { # whether to use raw volume features
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'windows': [0, 1, 2, 3, 4], # use volume at n days ago
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},
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'rolling': { # whether to use rolling operator based features
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'windows': [5, 10, 20, 30, 60], # rolling windows size
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'include': ['ROC', 'MA', 'STD'], # rolling operator to use
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#if include is None we will use default operators
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'exclude': ['RANK'], # rolling operator not to use
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}
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}
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"""
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fields = []
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names = []
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if "kbar" in config:
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fields += [
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"($close-$open)/$open",
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"($high-$low)/$open",
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"($close-$open)/($high-$low+1e-12)",
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"($high-Greater($open, $close))/$open",
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"($high-Greater($open, $close))/($high-$low+1e-12)",
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"(Less($open, $close)-$low)/$open",
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"(Less($open, $close)-$low)/($high-$low+1e-12)",
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"(2*$close-$high-$low)/$open",
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"(2*$close-$high-$low)/($high-$low+1e-12)",
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]
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names += [
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"KMID",
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"KLEN",
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"KMID2",
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"KUP",
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"KUP2",
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"KLOW",
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"KLOW2",
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"KSFT",
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"KSFT2",
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]
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if "price" in config:
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windows = config["price"].get("windows", range(5))
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feature = config["price"].get("feature", ["OPEN", "HIGH", "LOW", "CLOSE", "VWAP"])
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for field in feature:
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field = field.lower()
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fields += ["Ref($%s, %d)/$close" % (field, d) if d != 0 else "$%s/$close" % field for d in windows]
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names += [field.upper() + str(d) for d in windows]
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if "volume" in config:
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windows = config["volume"].get("windows", range(5))
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fields += ["Ref($volume, %d)/$volume" % d if d != 0 else "$volume/$volume" for d in windows]
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names += ["VOLUME" + str(d) for d in windows]
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if "rolling" in config:
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windows = config["rolling"].get("windows", [5, 10, 20, 30, 60])
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include = config["rolling"].get("include", None)
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exclude = config["rolling"].get("exclude", [])
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# `exclude` in dataset config unnecessary filed
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# `include` in dataset config necessary field
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use = lambda x: x not in exclude and (include is None or x in include)
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if use("ROC"):
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fields += ["Ref($close, %d)/$close" % d for d in windows]
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names += ["ROC%d" % d for d in windows]
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if use("MA"):
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fields += ["Mean($close, %d)/$close" % d for d in windows]
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names += ["MA%d" % d for d in windows]
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if use("STD"):
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fields += ["Std($close, %d)/$close" % d for d in windows]
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names += ["STD%d" % d for d in windows]
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if use("BETA"):
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fields += ["Slope($close, %d)/$close" % d for d in windows]
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names += ["BETA%d" % d for d in windows]
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if use("RSQR"):
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fields += ["Rsquare($close, %d)" % d for d in windows]
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names += ["RSQR%d" % d for d in windows]
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if use("RESI"):
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fields += ["Resi($close, %d)/$close" % d for d in windows]
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names += ["RESI%d" % d for d in windows]
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if use("MAX"):
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fields += ["Max($high, %d)/$close" % d for d in windows]
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names += ["MAX%d" % d for d in windows]
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if use("LOW"):
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fields += ["Min($low, %d)/$close" % d for d in windows]
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names += ["MIN%d" % d for d in windows]
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if use("QTLU"):
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fields += ["Quantile($close, %d, 0.8)/$close" % d for d in windows]
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names += ["QTLU%d" % d for d in windows]
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if use("QTLD"):
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fields += ["Quantile($close, %d, 0.2)/$close" % d for d in windows]
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names += ["QTLD%d" % d for d in windows]
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if use("RANK"):
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fields += ["Rank($close, %d)" % d for d in windows]
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names += ["RANK%d" % d for d in windows]
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if use("RSV"):
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fields += ["($close-Min($low, %d))/(Max($high, %d)-Min($low, %d)+1e-12)" % (d, d, d) for d in windows]
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names += ["RSV%d" % d for d in windows]
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if use("IMAX"):
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fields += ["IdxMax($high, %d)/%d" % (d, d) for d in windows]
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names += ["IMAX%d" % d for d in windows]
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if use("IMIN"):
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fields += ["IdxMin($low, %d)/%d" % (d, d) for d in windows]
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names += ["IMIN%d" % d for d in windows]
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if use("IMXD"):
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fields += ["(IdxMax($high, %d)-IdxMin($low, %d))/%d" % (d, d, d) for d in windows]
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names += ["IMXD%d" % d for d in windows]
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if use("CORR"):
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fields += ["Corr($close, Log($volume+1), %d)" % d for d in windows]
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names += ["CORR%d" % d for d in windows]
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if use("CORD"):
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fields += ["Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), %d)" % d for d in windows]
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names += ["CORD%d" % d for d in windows]
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if use("CNTP"):
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fields += ["Mean($close>Ref($close, 1), %d)" % d for d in windows]
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names += ["CNTP%d" % d for d in windows]
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if use("CNTN"):
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fields += ["Mean($close<Ref($close, 1), %d)" % d for d in windows]
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names += ["CNTN%d" % d for d in windows]
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if use("CNTD"):
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fields += ["Mean($close>Ref($close, 1), %d)-Mean($close<Ref($close, 1), %d)" % (d, d) for d in windows]
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names += ["CNTD%d" % d for d in windows]
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if use("SUMP"):
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fields += [
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"Sum(Greater($close-Ref($close, 1), 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
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for d in windows
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]
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names += ["SUMP%d" % d for d in windows]
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if use("SUMN"):
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fields += [
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"Sum(Greater(Ref($close, 1)-$close, 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
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for d in windows
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]
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names += ["SUMN%d" % d for d in windows]
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if use("SUMD"):
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fields += [
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"(Sum(Greater($close-Ref($close, 1), 0), %d)-Sum(Greater(Ref($close, 1)-$close, 0), %d))"
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"/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d, d) for d in windows
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]
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names += ["SUMD%d" % d for d in windows]
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if use("VMA"):
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fields += ["Mean($volume, %d)/($volume+1e-12)" % d for d in windows]
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names += ["VMA%d" % d for d in windows]
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if use("VSTD"):
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fields += ["Std($volume, %d)/($volume+1e-12)" % d for d in windows]
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names += ["VSTD%d" % d for d in windows]
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if use("WVMA"):
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fields += [
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"Std(Abs($close/Ref($close, 1)-1)*$volume, %d)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, %d)+1e-12)" %
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(d, d) for d in windows
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]
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names += ["WVMA%d" % d for d in windows]
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if use("VSUMP"):
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fields += [
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"Sum(Greater($volume-Ref($volume, 1), 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d)
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for d in windows
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]
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names += ["VSUMP%d" % d for d in windows]
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if use("VSUMN"):
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fields += [
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"Sum(Greater(Ref($volume, 1)-$volume, 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d)
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for d in windows
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]
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names += ["VSUMN%d" % d for d in windows]
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if use("VSUMD"):
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fields += [
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"(Sum(Greater($volume-Ref($volume, 1), 0), %d)-Sum(Greater(Ref($volume, 1)-$volume, 0), %d))"
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"/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d, d) for d in windows
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]
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names += ["VSUMD%d" % d for d in windows]
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return fields, names
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