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Support Point-in-time Data Operation (#343)

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* add period ops class

* black format

* add pit data read

* fix bug in period ops

* update ops runnable

* update PIT test example

* black format

* update PIT test

* update tets_PIT

* update code format

* add check_feature_exist

* black format

* optimize the PIT Algorithm

* fix bug

* update example

* update test_PIT name

* add pit collector

* black format

* fix bugs

* fix try

* fix bug & add dump_pit.py

* Successfully run and understand PIT

* Add some docs and remove a bug

* mv crypto collector

* black format

* Run succesfully after merging master

* Pass test and fix code

* remove useless PIT code

* fix PYlint

* Rename

Co-authored-by: Young <afe.young@gmail.com>
This commit is contained in:
bxdd
2022-03-10 14:27:52 +08:00
committed by GitHub
parent 3a911bc09b
commit faa99f30fa
19 changed files with 1459 additions and 141 deletions
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33
scripts/data_collector/utils.py
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@@ -19,7 +19,6 @@ from yahooquery import Ticker
from tqdm import tqdm
from functools import partial
from concurrent.futures import ProcessPoolExecutor
from pycoingecko import CoinGeckoAPI
HS_SYMBOLS_URL = "http://app.finance.ifeng.com/hq/list.php?type=stock_a&class={s_type}"
@@ -43,7 +42,6 @@ _HS_SYMBOLS = None
_US_SYMBOLS = None
_IN_SYMBOLS = None
_EN_FUND_SYMBOLS = None
_CG_CRYPTO_SYMBOLS = None
_CALENDAR_MAP = {}
# NOTE: Until 2020-10-20 20:00:00
@@ -379,37 +377,6 @@ def get_en_fund_symbols(qlib_data_path: [str, Path] = None) -> list:
return _EN_FUND_SYMBOLS
def get_cg_crypto_symbols(qlib_data_path: [str, Path] = None) -> list:
"""get crypto symbols in coingecko
Returns
-------
crypto symbols in given exchanges list of coingecko
"""
global _CG_CRYPTO_SYMBOLS
@deco_retry
def _get_coingecko():
try:
cg = CoinGeckoAPI()
resp = pd.DataFrame(cg.get_coins_markets(vs_currency="usd"))
except:
raise ValueError("request error")
try:
_symbols = resp["id"].to_list()
except Exception as e:
logger.warning(f"request error: {e}")
raise
return _symbols
if _CG_CRYPTO_SYMBOLS is None:
_all_symbols = _get_coingecko()
_CG_CRYPTO_SYMBOLS = sorted(set(_all_symbols))
return _CG_CRYPTO_SYMBOLS
def symbol_suffix_to_prefix(symbol: str, capital: bool = True) -> str:
"""symbol suffix to prefix