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Jactus
2020-10-29 13:22:49 +08:00
parent 490dbd908b
commit da9d1c8ac6
20 changed files with 290 additions and 251 deletions
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57
qlib/data/dataset/loader.py
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@@ -8,44 +8,46 @@ from typing import Tuple
class DataLoader(ABC):
'''
"""
DataLoader is designed for loading raw data from original data source.
'''
"""
@abstractmethod
def load(self, instruments, start_time=None, end_time=None) -> pd.DataFrame:
"""
load the data as pd.DataFrame
load the data as pd.DataFrame
Parameters
----------
self : [TODO:type]
[TODO:description]
instruments : [TODO:type]
[TODO:description]
start_time : [TODO:type]
[TODO:description]
end_time : [TODO:type]
[TODO:description]
Parameters
----------
self : [TODO:type]
[TODO:description]
instruments : [TODO:type]
[TODO:description]
start_time : [TODO:type]
[TODO:description]
end_time : [TODO:type]
[TODO:description]
Returns
-------
pd.DataFrame:
data load from the under layer source
Returns
-------
pd.DataFrame:
data load from the under layer source
Example of the data:
The multi-index of the columns is optional.
feature label
$close $volume Ref($close, 1) Mean($close, 3) $high-$low LABEL0
datetime instrument
2010-01-04 SH600000 81.807068 17145150.0 83.737389 83.016739 2.741058 0.0032
SH600004 13.313329 11800983.0 13.313329 13.317701 0.183632 0.0042
SH600005 37.796539 12231662.0 38.258602 37.919757 0.970325 0.0289
Example of the data:
The multi-index of the columns is optional.
feature label
$close $volume Ref($close, 1) Mean($close, 3) $high-$low LABEL0
datetime instrument
2010-01-04 SH600000 81.807068 17145150.0 83.737389 83.016739 2.741058 0.0032
SH600004 13.313329 11800983.0 13.313329 13.317701 0.183632 0.0042
SH600005 37.796539 12231662.0 38.258602 37.919757 0.970325 0.0289
"""
pass
class QlibDataLoader(DataLoader):
'''Same as QlibDataLoader. The fields can be define by config'''
"""Same as QlibDataLoader. The fields can be define by config"""
def __init__(self, config: Tuple[list, tuple, dict], filter_pipe=None):
"""
Parameters
@@ -65,7 +67,7 @@ class QlibDataLoader(DataLoader):
Here is a few examples to describe the fields
TODO:
"""
self.is_group = isinstance(config, dict)
self.is_group = isinstance(config, dict)
if self.is_group:
self.fields = {grp: self._parse_fields_info(fields_info) for grp, fields_info in config.items()}
@@ -88,6 +90,7 @@ class QlibDataLoader(DataLoader):
df = D.features(D.instruments(instruments, filter_pipe=self.filter_pipe), exprs, start_time, end_time)
df.columns = names
return df
if self.is_group:
df = pd.concat({grp: _get_df(exprs, names) for grp, (exprs, names) in self.fields.items()}, axis=1)
else: