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fix df_features.index conține np.nan

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This commit is contained in:
zhupr
2021-07-21 00:02:33 +08:00
committed by you-n-g
parent 3f5334ab39
commit bf7732e284
2 changed files with 3 additions and 2 deletions
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2
examples/highfreq/highfreq_handler.py
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@@ -99,8 +99,6 @@ class HighFreqHandler(DataHandlerLP):
] ]
names += ["$volume_1"] names += ["$volume_1"]
fields += ["Cut({0}, 240, None)".format(template_paused.format("Date($close)"))]
names += ["date"]
return fields, names return fields, names

3
examples/highfreq/highfreq_processor.py
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@@ -33,6 +33,9 @@ class HighFreqNorm(Processor):
self.feature_vmin[name] = np.nanmin(part_values) self.feature_vmin[name] = np.nanmin(part_values)
def __call__(self, df_features): def __call__(self, df_features):
df_features["date"] = pd.to_datetime(
df_features.index.get_level_values(level="datetime").to_series().dt.date.values
)
df_features.set_index("date", append=True, drop=True, inplace=True) df_features.set_index("date", append=True, drop=True, inplace=True)
df_values = df_features.values df_values = df_features.values
names = { names = {