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Jactus
2021-02-22 11:42:36 +08:00
parent 37871389b9
commit dc4aa67503
13 changed files with 147 additions and 33 deletions
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33
examples/highfreq/highfreq_handler.py
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@@ -20,7 +20,10 @@ class HighFreqHandler(DataHandlerLP):
new_l = []
for p in proc_l:
p["kwargs"].update(
{"fit_start_time": fit_start_time, "fit_end_time": fit_end_time,}
{
"fit_start_time": fit_start_time,
"fit_end_time": fit_end_time,
}
)
new_l.append(p)
return new_l
@@ -30,7 +33,11 @@ class HighFreqHandler(DataHandlerLP):
data_loader = {
"class": "QlibDataLoader",
"kwargs": {"config": self.get_feature_config(), "swap_level": False, "freq": "1min",},
"kwargs": {
"config": self.get_feature_config(),
"swap_level": False,
"freq": "1min",
},
}
super().__init__(
instruments=instruments,
@@ -61,7 +68,8 @@ class HighFreqHandler(DataHandlerLP):
feature_ops = template_norm.format(
template_if.format(
template_fillnan.format(template_paused.format("$close")), template_paused.format(price_field),
template_fillnan.format(template_paused.format("$close")),
template_paused.format(price_field),
),
template_fillnan.format(template_paused.format("$close")),
)
@@ -111,14 +119,24 @@ class HighFreqHandler(DataHandlerLP):
class HighFreqBacktestHandler(DataHandler):
def __init__(
self, instruments="csi300", start_time=None, end_time=None,
self,
instruments="csi300",
start_time=None,
end_time=None,
):
data_loader = {
"class": "QlibDataLoader",
"kwargs": {"config": self.get_feature_config(), "swap_level": False, "freq": "1min",},
"kwargs": {
"config": self.get_feature_config(),
"swap_level": False,
"freq": "1min",
},
}
super().__init__(
instruments=instruments, start_time=start_time, end_time=end_time, data_loader=data_loader,
instruments=instruments,
start_time=start_time,
end_time=end_time,
data_loader=data_loader,
)
def get_feature_config(self):
@@ -137,7 +155,8 @@ class HighFreqBacktestHandler(DataHandler):
fields += [
"Cut({0}, 240, None)".format(
template_if.format(
template_fillnan.format(template_paused.format("$close")), template_paused.format(simpson_vwap),
template_fillnan.format(template_paused.format("$close")),
template_paused.format(simpson_vwap),
)
)
]