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https://github.com/microsoft/qlib.git
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add highfreq example
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bxdd
220
examples/high_freq/highfreq_handler.py
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220
examples/high_freq/highfreq_handler.py
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from qlib.data.dataset.handler import DataHandler, DataHandlerLP
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from qlib.data.dataset.processor import Processor
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from qlib.utils import get_cls_kwargs
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from qlib.log import TimeInspector
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class HighFreqHandler(DataHandlerLP):
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def __init__(
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self,
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instruments="csi500",
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start_time=None,
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end_time=None,
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freq="1min",
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infer_processors=[],
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learn_processors=[],
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fit_start_time=None,
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fit_end_time=None,
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drop_raw=True,
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):
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def check_transform_proc(proc_l):
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new_l = []
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for p in proc_l:
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p["kwargs"].update(
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{
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"fit_start_time": fit_start_time,
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"fit_end_time": fit_end_time,
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}
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)
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new_l.append(p)
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return new_l
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infer_processors = []
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learn_processors = []
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data_loader = {
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"class": "QlibDataLoader",
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"kwargs": {
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"config": self.get_feature_config(),
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"swap_level": False,
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},
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}
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super().__init__(
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instruments=instruments,
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start_time=start_time,
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end_time=end_time,
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freq=freq,
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data_loader=data_loader,
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infer_processors=infer_processors,
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learn_processors=learn_processors,
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drop_raw=drop_raw,
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)
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def get_feature_config(self):
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fields = []
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names = []
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template_if = "If(IsNull({1}), {0}, {1})"
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template_paused = "Select(Eq($paused, 0.0), {0})"
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template_fillnan = "FFillNan({0})"
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fields += [
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"{0}/Ref(DayLast({1}), 240)".format(
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template_if.format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$open"),
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),
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template_fillnan.format(template_paused.format("$close")),
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)
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]
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fields += [
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"{0}/Ref(DayLast({1}), 240)".format(
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template_if.format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$high"),
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),
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template_fillnan.format(template_paused.format("$close")),
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)
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]
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fields += [
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"{0}/Ref(DayLast({1}), 240)".format(
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template_if.format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$low"),
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),
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template_fillnan.format(template_paused.format("$close")),
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)
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]
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fields += ["{0}/Ref(DayLast({0}), 240)".format(template_fillnan.format(template_paused.format("$close")))]
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fields += [
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"{0}/Ref(DayLast({1}), 240)".format(
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"If(IsNull({1}), {0}, If(Or(Or(Or(Eq({1}, np.inf), Eq({1}, -np.inf)), Eq({1}, 0)), Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2})))), {0}, {1}))".format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$vwap"),
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template_paused.format("$low"),
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template_paused.format("$high"),
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),
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template_fillnan.format(template_paused.format("$close")),
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)
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]
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names += ["$open", "$high", "$low", "$close", "$vwap"]
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fields += [
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"Ref({0}, 240)/Ref(DayLast({1}), 240)".format(
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template_if.format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$open"),
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),
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template_fillnan.format(template_paused.format("$close")),
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)
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]
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fields += [
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"Ref({0}, 240)/Ref(DayLast({1}), 240)".format(
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template_if.format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$high"),
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),
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template_fillnan.format(template_paused.format("$close")),
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)
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]
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fields += [
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"Ref({0}, 240)/Ref(DayLast({1}), 240)".format(
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template_if.format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$low"),
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),
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template_fillnan.format(template_paused.format("$close")),
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)
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]
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fields += [
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"Ref({0}, 240)/Ref(DayLast({0}), 240)".format(template_fillnan.format(template_paused.format("$close")))
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]
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fields += [
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"Ref({0}, 240)/Ref(DayLast({1}), 240)".format(
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"If(IsNull({1}), {0}, If(Or(Or(Or(Eq({1}, np.inf), Eq({1}, -np.inf)), Eq({1}, 0)), Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2})))), {0}, {1}))".format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$vwap"),
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template_paused.format("$low"),
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template_paused.format("$high"),
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),
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template_fillnan.format(template_paused.format("$close")),
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)
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]
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names += ["$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1"]
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fields += [
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"{0}/Ref(DayLast(Mean({0}, 7200)), 240)".format(
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"If(IsNull({1}), 0, If(Or(Gt({2}, Mul(1.001, {4})), Lt({2}, Mul(0.999, {3}))), 0, {1}))".format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$volume"),
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template_paused.format("$vwap"),
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template_paused.format("$low"),
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template_paused.format("$high"),
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)
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)
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]
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names += ["$volume"]
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fields += [
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"Ref({0}, 240)/Ref(DayLast(Mean({0}, 7200)), 240)".format(
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"If(IsNull({1}), 0, If(Or(Gt({2}, Mul(1.001, {4})), Lt({2}, Mul(0.999, {3}))), 0, {1}))".format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$volume"),
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template_paused.format("$vwap"),
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template_paused.format("$low"),
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template_paused.format("$high"),
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)
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)
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]
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names += ["$volume_1"]
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fields += [template_paused.format("Date($close)")]
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names += ["date"]
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return fields, names
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class HighFreqBacktestHandler(DataHandler):
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def __init__(
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self,
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instruments="csi300",
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start_time=None,
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end_time=None,
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freq="1min",
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):
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infer_processors = check_transform_proc(infer_processors)
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learn_processors = check_transform_proc(learn_processors)
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data_loader = {
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"class": "QlibDataLoader",
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"kwargs": {
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"config": self.get_feature_config(),
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"swap_level": False,
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},
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}
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super().__init__(
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instruments=instruments,
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start_time=start_time,
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end_time=end_time,
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freq=freq,
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data_loader=data_loader,
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)
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def get_feature_config(self):
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fields = []
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names = []
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template_if = "If(Eq({1}, np.nan), {0}, {1})"
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template_paused = "Select(Eq($paused, 0.0), {0})"
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template_fillnan = "FFillNan({0})"
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fields += [template_fillnan.format(template_paused.format("$close")),]
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names += ["$close0"]
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fields += [
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"If(Eq({1}, np.nan), 0, If(Or(Gt({2}, Mul(1.001, {4})), Lt({2}, Mul(0.999, {3}))), 0, {1}))".format(
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template_fillnan.format(template_paused.format("$close")),
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template_paused.format("$volume"),
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template_paused.format("$vwap"),
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template_paused.format("$low"),
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template_paused.format("$high"),
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)
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]
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names += ["$volume0"]
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return fields, names
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