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fix YahooNormalize1min && update docs

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zhupr
2021-06-23 16:13:26 +08:00
parent 46714adf4c
commit bab50e8837
4 changed files with 149 additions and 123 deletions
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16
scripts/data_collector/yahoo/collector.py
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@@ -242,7 +242,10 @@ class YahooCollectorCN1d(YahooCollectorCN):
class YahooCollectorCN1min(YahooCollectorCN):
def get_instrument_list(self):
symbols = super(YahooCollectorCN1min, self).get_instrument_list()
return symbols + ["000300.ss", "000905.ss", "00903.ss"]
return symbols + ["000300.ss", "000905.ss", "000903.ss"]
def download_index_data(self):
pass
class YahooCollectorUS(YahooCollector, ABC):
@@ -461,7 +464,7 @@ class YahooNormalize1dExtend(YahooNormalize1d):
_si = df["close"].first_valid_index()
if _si > df.index[0]:
logger.warning(
f"{df.loc[_si][self._symbol_field_name]} missing data: {df.loc[:_si-1][self._date_field_name].to_list()}"
f"{df.loc[_si][self._symbol_field_name]} missing data: {df.loc[:_si - 1][self._date_field_name].to_list()}"
)
# normalize
df = self.normalize_yahoo(
@@ -524,7 +527,7 @@ class YahooNormalize1min(YahooNormalize, ABC):
data_1d: pd.DataFrame = self.get_1d_data(symbol, _start, _end)
data_1d = data_1d.copy()
if data_1d is None or data_1d.empty:
df["factor"] = 1 / df.loc[df["close"].first_valid_index()]
df["factor"] = 1 / df.loc[df["close"].first_valid_index()]["close"]
# TODO: np.nan or 1 or 0
df["paused"] = np.nan
else:
@@ -770,7 +773,7 @@ class Run(BaseRun):
def download_data(
self,
max_collector_count=2,
delay=0,
delay=0.5,
start=None,
end=None,
check_data_length=None,
@@ -783,7 +786,7 @@ class Run(BaseRun):
max_collector_count: int
default 2
delay: float
time.sleep(delay), default 0
time.sleep(delay), default 0.5
start: str
start datetime, default "2000-01-01"; closed interval(including start)
end: str
@@ -844,9 +847,8 @@ class Run(BaseRun):
"""
if self.interval.lower() == "1min":
if qlib_data_1d_dir is None or not Path(qlib_data_1d_dir).expanduser().exists():
# TODO: add reference url
raise ValueError(
"If normalize 1min, the qlib_data_1d_dir parameter must be set: --qlib_data_1d_dir <user qlib 1d data >, Reference: "
"If normalize 1min, the qlib_data_1d_dir parameter must be set: --qlib_data_1d_dir <user qlib 1d data >, Reference: https://github.com/zhupr/qlib/tree/support_extend_data/scripts/data_collector/yahoo#automatic-update-of-daily-frequency-datafrom-yahoo-finance"
)
super(Run, self).normalize_data(
date_field_name, symbol_field_name, end_date=end_date, qlib_data_1d_dir=qlib_data_1d_dir