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Fix high-freq data (#702)

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* fix the collector.py yahoo 1min factor calculation

* fix HFSignalRecord
This commit is contained in:
Pengrong Zhu
2021-11-20 15:03:53 +08:00
committed by GitHub
parent 9265b66e09
commit d224ea447e
6 changed files with 112 additions and 22 deletions
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32
scripts/data_collector/cn_index/collector.py
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@@ -96,6 +96,27 @@ class CSIIndex(IndexBase):
"""
raise NotImplementedError()
def format_datetime(self, inst_df: pd.DataFrame) -> pd.DataFrame:
"""formatting the datetime in an instrument
Parameters
----------
inst_df: pd.DataFrame
inst_df.columns = [self.SYMBOL_FIELD_NAME, self.START_DATE_FIELD, self.END_DATE_FIELD]
Returns
-------
"""
if self.freq != "day":
inst_df[self.START_DATE_FIELD] = inst_df[self.START_DATE_FIELD].apply(
lambda x: (pd.Timestamp(x) + pd.Timedelta(hours=9, minutes=30)).strftime("%Y-%m-%d %H:%M:%S")
)
inst_df[self.END_DATE_FIELD] = inst_df[self.END_DATE_FIELD].apply(
lambda x: (pd.Timestamp(x) + pd.Timedelta(hours=15, minutes=0)).strftime("%Y-%m-%d %H:%M:%S")
)
return inst_df
def get_changes(self) -> pd.DataFrame:
"""get companies changes
@@ -284,7 +305,12 @@ class CSI100(CSIIndex):
def get_instruments(
qlib_dir: str, index_name: str, method: str = "parse_instruments", request_retry: int = 5, retry_sleep: int = 3
qlib_dir: str,
index_name: str,
method: str = "parse_instruments",
freq: str = "day",
request_retry: int = 5,
retry_sleep: int = 3,
):
"""
@@ -296,6 +322,8 @@ def get_instruments(
index name, value from ["csi100", "csi300"]
method: str
method, value from ["parse_instruments", "save_new_companies"]
freq: str
freq, value from ["day", "1min"]
request_retry: int
request retry, by default 5
retry_sleep: int
@@ -312,7 +340,7 @@ def get_instruments(
"""
_cur_module = importlib.import_module("data_collector.cn_index.collector")
obj = getattr(_cur_module, f"{index_name.upper()}")(
qlib_dir=qlib_dir, index_name=index_name, request_retry=request_retry, retry_sleep=retry_sleep
qlib_dir=qlib_dir, index_name=index_name, freq=freq, request_retry=request_retry, retry_sleep=retry_sleep
)
getattr(obj, method)()