liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-06-06 05:51:17 +08:00
Code Activity

fixed a problem with multi index caused by the default value of groupkey (#1917)

Browse Source 
* fixed a problem with multi index caused by the default value of groupkey

* modify group_key default value

* limit pandas verion

* format with black

* fix docs error

* fix docs error

* fixed bugs caused by pandas upgrade

* remove needless code

* reformat with black

* limit version & add docs
This commit is contained in:
Linlang
2025-05-13 16:02:49 +08:00
committed by GitHub
parent df557d29d5
commit fbba768006
43 changed files with 153 additions and 98 deletions
Download Patch File Download Diff File Expand all files Collapse all files

4
examples/rl_order_execution/scripts/gen_training_orders.py
View File

@@ -19,9 +19,9 @@ def generate_order(stock: str, start_idx: int, end_idx: int) -> bool:
df["date"] = df["datetime"].dt.date.astype("datetime64")
df = df.set_index(["instrument", "datetime", "date"])
df = df.groupby("date").take(range(start_idx, end_idx)).droplevel(level=0)
df = df.groupby("date", group_keys=False).take(range(start_idx, end_idx)).droplevel(level=0)
order_all = pd.DataFrame(df.groupby(level=(2, 0)).mean().dropna())
order_all = pd.DataFrame(df.groupby(level=(2, 0), group_keys=False).mean().dropna())
order_all["amount"] = np.random.lognormal(-3.28, 1.14) * order_all["$volume0"]
order_all = order_all[order_all["amount"] > 0.0]
order_all["order_type"] = 0