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fix us instruments

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This commit is contained in:
zhupr
2020-11-22 15:26:27 +08:00
parent 8958656222
commit bac16060ff
9 changed files with 70 additions and 26 deletions
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7
scripts/data_collector/index.py
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@@ -24,6 +24,7 @@ class IndexBase:
INSTRUMENTS_COLUMNS = [SYMBOL_FIELD_NAME, START_DATE_FIELD, END_DATE_FIELD]
REMOVE = "remove"
ADD = "add"
INST_PREFIX = ""
def __init__(self, index_name: str, qlib_dir: [str, Path] = None, request_retry: int = 5, retry_sleep: int = 3):
"""
@@ -196,7 +197,11 @@ class IndexBase:
_tmp_df = pd.DataFrame([[_row.symbol, self.bench_start_date, _row.date]], columns=instruments_columns)
new_df = new_df.append(_tmp_df, sort=False)
new_df.loc[:, instruments_columns].to_csv(
inst_df = new_df.loc[:, instruments_columns]
_inst_prefix = self.INST_PREFIX.strip()
if _inst_prefix:
inst_df["save_inst"] = inst_df[self.SYMBOL_FIELD_NAME].apply(lambda x: f"{_inst_prefix}{x}")
inst_df.to_csv(
self.instruments_dir.joinpath(f"{self.index_name.lower()}.txt"), sep="\t", index=False, header=None
)
logger.info(f"parse {self.index_name.lower()} companies finished.")