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Add sample_config to QlibDataLoader, support multi-freq

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This commit is contained in:
zhupr
2021-08-26 14:29:32 +08:00
committed by you-n-g
parent e8126b0c39
commit c99494eb76
3 changed files with 115 additions and 16 deletions
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8
qlib/contrib/data/handler.py
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@@ -58,6 +58,8 @@ class Alpha360(DataHandlerLP):
fit_start_time=None,
fit_end_time=None,
filter_pipe=None,
sample_config=None,
sample_benchmark=None,
**kwargs,
):
infer_processors = check_transform_proc(infer_processors, fit_start_time, fit_end_time)
@@ -72,6 +74,8 @@ class Alpha360(DataHandlerLP):
},
"filter_pipe": filter_pipe,
"freq": freq,
"sample_config": sample_config,
"sample_benchmark": sample_benchmark,
},
}
@@ -144,6 +148,8 @@ class Alpha158(DataHandlerLP):
fit_end_time=None,
process_type=DataHandlerLP.PTYPE_A,
filter_pipe=None,
sample_config=None,
sample_benchmark=None,
**kwargs,
):
infer_processors = check_transform_proc(infer_processors, fit_start_time, fit_end_time)
@@ -158,6 +164,8 @@ class Alpha158(DataHandlerLP):
},
"filter_pipe": filter_pipe,
"freq": freq,
"sample_config": sample_config,
"sample_benchmark": sample_benchmark,
},
}
super().__init__(