add highfreq example

examples/high_freq/highfreq_ops.py

@@ -0,0 +1,62 @@
+import numpy as np
+import pandas as pd
+import importlib
+from qlib.data.ops import ElemOperator, PairOperator
+from qlib.config import C
+from qlib.data.data import Cal
+
+
+class DayFirst(ElemOperator):
+    def __init__(self, feature):
+        super(DayFirst, self).__init__(feature, "day_first")
+    
+    def _load_internal(self, instrument, start_index, end_index, freq):
+        _calendar = Cal.get_calender_day(freq=freq)[0]
+        series = self.feature.load(instrument, start_index, end_index, freq)
+        return series.groupby(_calendar[series.index]).transform("first")
+
+
+class DayLast(ElemOperator):
+    def __init__(self, feature):
+        super(DayLast, self).__init__(feature, "day_last")
+
+    def _load_internal(self, instrument, start_index, end_index, freq):
+        _calendar = Cal.get_calender_day(freq=freq)[0]
+        series = self.feature.load(instrument, start_index, end_index, freq)
+        return series.groupby(_calendar[series.index]).transform("last")
+
+
+class FFillNan(ElemOperator):
+    def __init__(self, feature):
+        super(FFillNan, self).__init__(feature, "fill_nan")
+
+    def _load_internal(self, instrument, start_index, end_index, freq):
+        series = self.feature.load(instrument, start_index, end_index, freq)
+        return series.fillna(method="ffill")
+
+
+class Date(ElemOperator):
+    def __init__(self, feature):
+        super(Date, self).__init__(feature, "date")
+
+    def _load_internal(self, instrument, start_index, end_index, freq):
+        _calendar = Cal.get_calender_day(freq=freq)[0]
+        series = self.feature.load(instrument, start_index, end_index, freq)
+        return pd.Series(_calendar[series.index], index=series.index)
+
+class Select(PairOperator):
+    def __init__(self, condition, feature):
+        super(Select, self).__init__(condition, feature, "select")
+
+    def _load_internal(self, instrument, start_index, end_index, freq):
+        series_condition = self.feature_left.load(instrument, start_index, end_index, freq)
+        series_feature = self.feature_right.load(instrument, start_index, end_index, freq)
+        return series_feature.loc[series_condition]
+
+class IsNull(ElemOperator):
+    def __init__(self, feature):
+        super(IsNull, self).__init__(feature, "isnull")
+
+    def _load_internal(self, instrument, start_index, end_index, freq):
+        series = self.feature.load(instrument, start_index, end_index, freq)
+        return series.isnull()