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add Cut ops

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This commit is contained in:
bxdd
2021-01-29 07:09:45 +00:00
committed by you-n-g
parent b84686b215
commit d702c8bcb1
3 changed files with 38 additions and 14 deletions
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22
examples/highfreq/highfreq_handler.py
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@@ -62,9 +62,9 @@ class HighFreqHandler(DataHandlerLP):
def get_normalized_price_feature(price_field, shift=0):
"""Get normalized price feature ops"""
if shift == 0:
template_norm = "{0}/Ref(DayLast({1}), 240)"
template_norm = "Cut({0}/Ref(DayLast({1}), 240), 240, None)"
else:
template_norm = "Ref({0}, " + str(shift) + ")/Ref(DayLast({1}), 240)"
template_norm = "Cut(Ref({0}, " + str(shift) + ")/Ref(DayLast({1}), 240), 240, None)"
feature_ops = template_norm.format(
template_if.format(
@@ -90,7 +90,7 @@ class HighFreqHandler(DataHandlerLP):
names += ["$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1"]
fields += [
"{0}/Ref(DayLast(Mean({0}, 7200)), 240)".format(
"Cut({0}/Ref(DayLast(Mean({0}, 7200)), 240), 240, None)".format(
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
template_paused.format("$volume"),
template_paused.format(simpson_vwap),
@@ -101,7 +101,7 @@ class HighFreqHandler(DataHandlerLP):
]
names += ["$volume"]
fields += [
"Ref({0}, 240)/Ref(DayLast(Mean({0}, 7200)), 240)".format(
"Cut(Ref({0}, 240)/Ref(DayLast(Mean({0}, 7200)), 240), 240, None)".format(
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
template_paused.format("$volume"),
template_paused.format(simpson_vwap),
@@ -112,7 +112,7 @@ class HighFreqHandler(DataHandlerLP):
]
names += ["$volume_1"]
fields += [template_paused.format("Date($close)")]
fields += ["Cut({0}, 240, None)".format(template_paused.format("Date($close)"))]
names += ["date"]
return fields, names
@@ -149,18 +149,20 @@ class HighFreqBacktestHandler(DataHandler):
# Because there is no vwap field in the yahoo data, a method similar to Simpson integration is used to approximate vwap
simpson_vwap = "($open + 2*$high + 2*$low + $close)/6"
fields += [
template_fillnan.format(template_paused.format("$close")),
"Cut({0}, 240, None)".format(template_fillnan.format(template_paused.format("$close"))),
]
names += ["$close0"]
fields += [
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(simpson_vwap),
"Cut({0}, 240, None)".format(
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(simpson_vwap),
)
)
]
names += ["$vwap0"]
fields += [
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
"Cut(If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0})), 240, None)".format(
template_paused.format("$volume"),
template_paused.format(simpson_vwap),
template_paused.format("$low"),