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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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11
scripts/data_collector/utils.py
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@@ -184,9 +184,14 @@ def get_us_stock_symbols(qlib_data_path: [str, Path] = None) -> list:
names=["symbol", "start_date", "end_date"],
)
_all_symbols += ins_df["symbol"].unique().tolist()
_US_SYMBOLS = sorted(
set(map(lambda x: x.replace(".", "-"), filter(lambda x: len(x) < 8 and not x.endswith("WS"), _all_symbols)))
)
def _format(s_):
s_ = s_.replace(".", "-")
s_ = s_.strip("$")
s_ = s_.strip("*")
return s_
_US_SYMBOLS = sorted(set(map(_format, filter(lambda x: len(x) < 8 and not x.endswith("WS"), _all_symbols))))
return _US_SYMBOLS