liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-06 12:30:57 +08:00
Code Activity

update

Browse Source
This commit is contained in:
bxdd
2021-01-28 14:25:55 +00:00
parent f6dd006c35
commit ffa68fd010
5 changed files with 21 additions and 57 deletions
Download Patch File Download Diff File Expand all files Collapse all files

40
examples/highfreq/highfreq_handler.py
View File

@@ -60,9 +60,14 @@ class HighFreqHandler(DataHandlerLP):
# Because there is no vwap field in the yahoo data, a method similar to Simpson integration is used to approximate vwap
simpson_vwap = "($open + 2*$high + 2*$low + $close)/6"
def get_04_price_feature(price_field):
def get_normalized_price_feature(price_field, shift=0):
"""Get 0~4 column price feature ops"""
feature_ops = "{0}/Ref(DayLast({1}), 240)".format(
if shift == 0:
template_norm = "{0}/Ref(DayLast({1}), 240)"
else:
template_norm = "Ref({0}, " + str(shift) + ")/Ref(DayLast({1}), 240)"
feature_ops = template_norm.format(
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(price_field),
@@ -71,29 +76,18 @@ class HighFreqHandler(DataHandlerLP):
)
return feature_ops
fields += [get_04_price_feature("$open")]
fields += [get_04_price_feature("$high")]
fields += [get_04_price_feature("$low")]
fields += [get_04_price_feature("$close")]
fields += [get_04_price_feature(simpson_vwap)]
fields += [get_normalized_price_feature("$open", 0)]
fields += [get_normalized_price_feature("$high", 0)]
fields += [get_normalized_price_feature("$low", 0)]
fields += [get_normalized_price_feature("$close", 0)]
fields += [get_normalized_price_feature(simpson_vwap, 0)]
names += ["$open", "$high", "$low", "$close", "$vwap"]
def get_59_price_feature(price_field):
"""Get 5~9 column price feature ops"""
feature_ops = "Ref({0}, 240)/Ref(DayLast({1}), 240)".format(
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(price_field),
),
template_fillnan.format(template_paused.format("$close")),
)
return feature_ops
fields += [get_59_price_feature("$open")]
fields += [get_59_price_feature("$high")]
fields += [get_59_price_feature("$low")]
fields += [get_59_price_feature("$close")]
fields += [get_59_price_feature(simpson_vwap)]
fields += [get_normalized_price_feature("$open", 240)]
fields += [get_normalized_price_feature("$high", 240)]
fields += [get_normalized_price_feature("$low", 240)]
fields += [get_normalized_price_feature("$close", 240)]
fields += [get_normalized_price_feature(simpson_vwap, 240)]
names += ["$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1"]
fields += [