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download orderbook data

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This commit is contained in:
Linlang
2024-03-05 17:01:13 +08:00
parent 98f569eed2
commit fbe5695eda
3 changed files with 10 additions and 4 deletions
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3
examples/orderbook_data/README.md
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@@ -27,8 +27,7 @@ pip install arctic # NOTE: pip may fail to resolve the right package dependency
2. Please follow following steps to download example data
```bash
cd examples/orderbook_data/
wget http://fintech.msra.cn/stock_data/downloads/highfreq_orderboook_example_data.tar.bz2
tar xf highfreq_orderboook_example_data.tar.bz2
python scripts/get_data.py qlib_data --target_dir "~/.qlib/orderbook_data" --name orderbook_data
```
3. Please import the example data to your mongo db

8
qlib/data/dataset/utils.py
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@@ -71,11 +71,15 @@ def fetch_df_by_index(
if fetch_orig:
for slc in idx_slc:
if slc != slice(None, None):
return df.loc[pd.IndexSlice[idx_slc],] # noqa: E231
return df.loc[
pd.IndexSlice[idx_slc],
] # noqa: E231
else: # pylint: disable=W0120
return df
else:
return df.loc[pd.IndexSlice[idx_slc],] # noqa: E231
return df.loc[
pd.IndexSlice[idx_slc],
] # noqa: E231
def fetch_df_by_col(df: pd.DataFrame, col_set: Union[str, List[str]]) -> pd.DataFrame:

3
qlib/tests/data.py
View File

@@ -183,6 +183,9 @@ class GetData:
def _get_file_name_with_version(qlib_version, dataset_version):
dataset_version = "v2" if dataset_version is None else dataset_version
file_name_with_version = f"{dataset_version}/{name}_{region.lower()}_{interval.lower()}_{qlib_version}.zip"
file_name_with_version = (
"highfreq_orderbook_example_data.zip" if name == "orderbook_data" else file_name_with_version
)
return file_name_with_version
file_name = _get_file_name_with_version(qlib_version, dataset_version=version)