split code into core and contrib for data&model

qlib/contrib/data/handler.py

@@ -0,0 +1,63 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from ...data.dataset.handler import ConfigQLibDataHandler
+from ...log import TimeInspector
+
+
+class ALPHA360(ConfigQLibDataHandler):
+    config_template = {
+        "price": {"windows": range(60)},
+        "volume": {"windows": range(60)},
+    }
+
+
+class QLibDataHandlerV1(ConfigQLibDataHandler):
+    config_template = {
+        "kbar": {},
+        "price": {
+            "windows": [0],
+            "feature": ["OPEN", "HIGH", "LOW", "VWAP"],
+        },
+        "rolling": {},
+    }
+
+    def __init__(self, start_date, end_date, processors=None, **kwargs):
+        if processors is None:
+            processors = ["PanelProcessor"]  # V1 default processor
+        super().__init__(start_date, end_date, processors, **kwargs)
+
+    def setup_label(self):
+        """
+        load the labels df
+        :return:  df_labels
+        """
+        TimeInspector.set_time_mark()
+
+        df_labels = super().setup_label()
+
+        ## calculate new labels
+        df_labels["LABEL1"] = df_labels["LABEL0"].groupby(level="datetime").apply(lambda x: (x - x.mean()) / x.std())
+
+        df_labels = df_labels.drop(["LABEL0"], axis=1)
+
+        TimeInspector.log_cost_time("Finished loading labels.")
+
+        return df_labels
+
+
+class Alpha158(QLibDataHandlerV1):
+    config_template = {
+        "kbar": {},
+        "price": {
+            "windows": [0],
+            "feature": ["OPEN", "HIGH", "LOW", "CLOSE"],
+        },
+        "rolling": {},
+    }
+
+    def _init_kwargs(self, **kwargs):
+        kwargs["labels"] = ["Ref($close, -2)/Ref($close, -1) - 1"]
+        super(Alpha158, self)._init_kwargs(**kwargs)
+
+