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update rolling process

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bxdd
2021-03-25 16:14:22 +08:00
parent 1fcfe8e4ba
commit f6dc25b229
5 changed files with 192 additions and 11 deletions
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2
qlib/data/dataset/handler.py
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@@ -16,7 +16,7 @@ from ...data import D
from ...config import C
from ...utils import parse_config, transform_end_date, init_instance_by_config
from ...utils.serial import Serializable
from .utils import get_level_index, fetch_df_by_index
from .utils import fetch_df_by_index
from pathlib import Path
from .loader import DataLoader

21
qlib/data/dataset/loader.py
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@@ -219,14 +219,14 @@ class StaticDataLoader(DataLoader):
self._data.sort_index(inplace=True)
class DataHandlerDL(DataLoader):
"""DataHandlerDL
DataHandler-based (D)ata (L)oader
class DataLoaderDH(DataLoader):
"""DataLoaderDH
DataLoader based on (D)ata (H)andler
It is designed to load multiple data from data handler
- If you just want to load data from single datahandler, you can write them in single data handler
"""
def __init__(self, handler_config: dict, fetch_config: dict = {}, is_group=False):
def __init__(self, handler_config: dict, fetch_kwargs: dict = {}, is_group=False):
"""
Parameters
----------
@@ -243,8 +243,8 @@ class DataHandlerDL(DataLoader):
<handler_config> := <handler>
<handler> := DataHandler Instance | DataHandler Config
fetch_config : dict
fetch_config will be used to describe the different arguments of fetch method, such as squeeze, data_key, etc.
fetch_kwargs : dict
fetch_kwargs will be used to describe the different arguments of fetch method, such as col_set, squeeze, data_key, etc.
is_group: bool
is_group will be used to describe whether the key of handler_config is group
@@ -258,7 +258,10 @@ class DataHandlerDL(DataLoader):
self.handlers = init_instance_by_config(handler_config, accept_types=DataHandler)
self.is_group = is_group
self.fetch_config = fetch_config
self.fetch_kwargs = {
"col_set":DataHandler.CS_RAW
}
self.fetch_kwargs = {**self.fetch_kwargs, **fetch_kwargs}
def load(self, instruments=None, start_time=None, end_time=None) -> pd.DataFrame:
if instruments is not None:
@@ -267,11 +270,11 @@ class DataHandlerDL(DataLoader):
if self.is_group:
df = pd.concat(
{
grp: dh.fetch(slice(start_time, end_time), col_set=DataHandler.CS_RAW, **fetch_config)
grp: dh.fetch(selector=slice(start_time, end_time), level="datetime", **self.fetch_kwargs)
for grp, dh in self.handlers.items()
},
axis=1,
)
else:
df = self.handler.fetch(slice(start_time, end_time), col_set=DataHandler.CS_RAW, **fetch_config)
df = self.handler.fetch(selector=slice(start_time, end_time), level="datetime", **self.fetch_kwargs)
return df