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mirror of https://github.com/microsoft/qlib.git synced 2026-07-11 14:56:55 +08:00

add function to automatically update daily frequency data

This commit is contained in:
zhupr
2021-06-17 23:01:08 +08:00
parent a4f6e04199
commit b6c31540e8
6 changed files with 189 additions and 21 deletions

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@@ -1,3 +1,19 @@
- [Collector Data](#collector-data)
- [Automatic update data](#automatic-update-of-daily-frequency-data(from-yahoo-finance))
- [CN Data](#CN-Data)
- [1d from yahoo](#1d-from-yahoocn)
- [1d from qlib](#1d-from-qlibcn)
- [using data(1d)](#using-data1d-cn)
- [1min from yahoo](#1min-from-yahoocn)
- [1min from qlib](#1min-from-qlibcn)
- [using data(1min)](#using-data1min-cn)
- [US Data](#CN-Data)
- [1d from yahoo](#1d-from-yahoous)
- [1d from qlib](#1d-from-qlibus)
- [using data(1d)](#using-data1d-us)
# Collect Data From Yahoo Finance
> *Please pay **ATTENTION** that the data is collected from [Yahoo Finance](https://finance.yahoo.com/lookup) and the data might not be perfect. We recommend users to prepare their own data if they have high-quality dataset. For more information, users can refer to the [related document](https://qlib.readthedocs.io/en/latest/component/data.html#converting-csv-format-into-qlib-format)*
@@ -18,10 +34,37 @@ pip install -r requirements.txt
## Collector Data
### Automatic update of daily frequency data(from yahoo finance)
> It is recommended that users update the data manually once (--trading_date 2021-05-25) and then set it to update automatically.
* Automatic update of data to the "qlib" directory each trading day(Linux)
* use *crontab*: `crontab -e`
* set up timed tasks:
```
* * * * 1-5 python <script path> update_data_to_bin --qlib_data_1d_dir <user data dir>
```
* **script path**: *qlib/scripts/data_collector/yahoo/collector.py*
* Manual update of data
```
python qlib/scripts/data_collector/yahoo/collector.py update_data_to_bin --qlib_data_1d_dir <user data dir> --trading_date <start date> --end_date <end date>
```
* *trading_date*: start of trading day
* *end_date*: end of trading day(not included)
* qlib/scripts/data_collector/yahoo/collector.py update_data_to_bin parameters:
* *source_dir*: The directory where the raw data collected from the Internet is saved, default "Path(__file__).parent/source"
* *normalize_dir*: Directory for normalize data, default "Path(__file__).parent/normalize"
* *qlib_data_1d_dir*: the qlib data to be updated for yahoo, usually from: [download qlib data](https://github.com/microsoft/qlib/tree/main/scripts#download-cn-data)
* *trading_date*: trading days to be updated, by default ``datetime.datetime.now().strftime("%Y-%m-%d")``
* *end_date*: end datetime, default ``pd.Timestamp(trading_date + pd.Timedelta(days=1))``; open interval(excluding end)
* *region*: region, value from ["CN", "US"], default "CN"
### CN Data
#### 1d from yahoo
#### 1d from yahoo(CN)
```bash
@@ -37,12 +80,12 @@ python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/cn_1d_nor --qli
```
### 1d from qlib
### 1d from qlib(CN)
```bash
python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_cn_1d --region cn
```
### using data
### using data(1d CN)
```python
import qlib
@@ -52,7 +95,7 @@ qlib.init(provider_uri="~/.qlib/qlib_data/qlib_cn_1d", region="cn")
df = D.features(D.instruments("all"), ["$close"], freq="day")
```
#### 1min from yahoo
#### 1min from yahoo(CN)
```bash
@@ -67,12 +110,12 @@ cd qlib/scripts
python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/cn_1min_nor --qlib_dir ~/.qlib/qlib_data/qlib_cn_1min --freq 1min --exclude_fields date,adjclose,dividends,splits,symbol
```
### 1min from qlib
### 1min from qlib(CN)
```bash
python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_cn_1min --interval 1min --region cn
```
### using data
### using data(1min CN)
```python
import qlib
@@ -85,7 +128,7 @@ df = D.features(D.instruments("all"), ["$close"], freq="1min")
### US Data
#### 1d from yahoo
#### 1d from yahoo(US)
```bash
@@ -100,13 +143,13 @@ cd qlib/scripts
python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/us_1d_nor --qlib_dir ~/.qlib/stock_data/source/qlib_us_1d --freq day --exclude_fields date,adjclose,dividends,splits,symbol
```
#### 1d from qlib
#### 1d from qlib(US)
```bash
python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_us_1d --region us
```
### using data
### using data(1d US)
```python
# using