liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-12 07:16:54 +08:00
Code Activity

fix vol limit bug

Browse Source
This commit is contained in:
wangwenxi.handsome
2021-08-02 03:49:03 +00:00
parent 0f2d85d098
commit f5db0e1b05
4 changed files with 57 additions and 49 deletions
Download Patch File Download Diff File Expand all files Collapse all files

14
qlib/contrib/ops/high_freq.py
View File

@@ -10,6 +10,7 @@ from qlib.data import D
from qlib.data.cache import H
from qlib.data.data import Cal
from qlib.data.ops import ElemOperator
from qlib.utils.time import time_to_day_index
def get_calendar_day(freq="1min", future=False):
@@ -71,18 +72,11 @@ class DayCumsum(ElemOperator):
self.noon_open = datetime.strptime("13:00", "%H:%M")
self.noon_close = datetime.strptime("15:00", "%H:%M")
self.start_id = self.time_to_index(self.start)
self.end_id = self.time_to_index(self.end)
def time_to_index(self, t):
if t >= self.morning_open and t < self.morning_close:
return int((t - self.morning_open).total_seconds() / 60)
elif t >= self.noon_open and t < self.noon_close:
return int((t - self.noon_open).total_seconds() / 60) + 120
else:
raise ValueError(f"{t} is not the opening time of the stock market")
self.start_id = time_to_day_index(self.start)
self.end_id = time_to_day_index(self.end)
def period_cusum(self, df):
df = df.copy()
assert len(df) == 240
df.iloc[0 : self.start_id] = 0
df = df.cumsum()