From be0d9e6a229c047c3c8d3d9830317e0a8c298c12 Mon Sep 17 00:00:00 2001 From: "wangwenxi.handsome" Date: Wed, 18 Aug 2021 14:29:15 +0000 Subject: [PATCH] update freq --- qlib/backtest/high_performance_ds.py | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/qlib/backtest/high_performance_ds.py b/qlib/backtest/high_performance_ds.py index 38488b1f7..3e4d418f0 100644 --- a/qlib/backtest/high_performance_ds.py +++ b/qlib/backtest/high_performance_ds.py @@ -104,6 +104,7 @@ class PandasQuote(BaseQuote): for stock_id, stock_val in quote_df.groupby(level="instrument"): quote_dict[stock_id] = stock_val.droplevel(level="instrument") self.data = quote_dict + self.freq = np.timedelta64(1, "m") def get_all_stock(self): return self.data.keys() @@ -117,7 +118,7 @@ class PandasQuote(BaseQuote): raise ValueError(f"fields must be None, str or list") def _if_single_data(self, start_time, end_time): - if end_time - start_time < np.timedelta64(1, "m"): + if end_time - start_time < self.freq: return True if start_time.hour == 11 and start_time.minute == 29 and start_time.second == 0: return True