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fix bug

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bxdd
2021-04-24 22:37:36 +08:00
parent b14efa1129
commit af0053eb17
29 changed files with 314 additions and 2247 deletions
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28
qlib/utils/__init__.py
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@@ -15,6 +15,7 @@ import bisect
import shutil
import difflib
import hashlib
import warnings
import datetime
import requests
import tempfile
@@ -918,37 +919,40 @@ def sample_calendar(calendar_raw, freq_raw, freq_sam):
else:
raise ValueError("sample freq must be xmin, xd, xw, xm")
def get_sample_freq_calendar(start_time=None, end_time=None, freq, **kwargs):
def get_sample_freq_calendar(start_time=None, end_time=None, freq="day", **kwargs):
from ..data.data import Cal
try:
_calendar = D.calendar(start_time=start_time, end_time=end_time, freq=freq, **kwargs)
_calendar = Cal.calendar(start_time=start_time, end_time=end_time, freq=freq, **kwargs)
freq, freq_sam = freq, None
except ValueError:
freq_sam = freq
if freq.endswith(("m", "month", "w", "week", "d", "day")):
try:
_calendar = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="min", freq_sam=freq, **kwargs)
_calendar = Cal.calendar(start_time=start_time, end_time=end_time, freq="min", freq_sam=freq, **kwargs)
freq = "min"
except ValueError:
_calendar = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="day", freq_sam=freq, **kwargs)
_calendar = Cal.calendar(start_time=start_time, end_time=end_time, freq="day", freq_sam=freq, **kwargs)
freq = "day"
elif freq.endswith(("min", "minute")):
_calendar = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="min", freq_sam=freq, **kwargs)
_calendar = Cal.calendar(start_time=start_time, end_time=end_time, freq="min", freq_sam=freq, **kwargs)
freq = "min"
else:
raise ValueError(f"freq {freq} is not supported")
return _calendar, freq, freq_sam
def sample_feature(feature, instruments=None, start_time=None, end_time=None, fields=None, method=None, method_kwargs={}):
if instruments and type(instruments) is not list:
if instruments and not isinstance(instruments, list):
instruments = [instruments]
if fields and type(fields) is not list:
fields = [fields]
selector_inst = slice(None) if instruments is None else instruments
selector_datetime = slice(start_time, end_time)
if fields is not None and type(fields) is not list:
fields = [fields]
selector_fields = slice(None) if fields is None else fields
feature = feature.loc[(selector_inst, selector_datetime), selector_fields]
if isinstance(feature, pd.Series):
feature = feature.loc[(selector_inst, selector_datetime)]
if fields:
warnings.warn(f"sample series feature, {fields} is ignored!")
elif isinstance(feature, pd.DataFrame):
selector_fields = slice(None) if fields is None else fields
feature = feature.loc[(selector_inst, selector_datetime), selector_fields]
if method:
return getattr(feature.groupby(level="instrument"), method)(**method_kwargs)
else: