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add highfreq example

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This commit is contained in:
bxdd
2021-01-25 17:58:45 +00:00
parent 3f9f295a87
commit ffedb6382f
10 changed files with 585 additions and 29 deletions
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25
qlib/data/dataset/loader.py
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@@ -19,7 +19,7 @@ class DataLoader(abc.ABC):
"""
@abc.abstractmethod
def load(self, instruments, start_time=None, end_time=None) -> pd.DataFrame:
def load(self, instruments, start_time=None, end_time=None, freq="day") -> pd.DataFrame:
"""
load the data as pd.DataFrame.
@@ -94,7 +94,7 @@ class DLWParser(DataLoader):
return exprs, names
@abc.abstractmethod
def load_group_df(self, instruments, exprs: list, names: list, start_time=None, end_time=None) -> pd.DataFrame:
def load_group_df(self, instruments, exprs: list, names: list, start_time=None, end_time=None, freq="day") -> pd.DataFrame:
"""
load the dataframe for specific group
@@ -114,25 +114,25 @@ class DLWParser(DataLoader):
"""
pass
def load(self, instruments=None, start_time=None, end_time=None) -> pd.DataFrame:
def load(self, instruments=None, start_time=None, end_time=None, freq="day") -> pd.DataFrame:
if self.is_group:
df = pd.concat(
{
grp: self.load_group_df(instruments, exprs, names, start_time, end_time)
grp: self.load_group_df(instruments, exprs, names, start_time, end_time, freq)
for grp, (exprs, names) in self.fields.items()
},
axis=1,
)
else:
exprs, names = self.fields
df = self.load_group_df(instruments, exprs, names, start_time, end_time)
df = self.load_group_df(instruments, exprs, names, start_time, end_time, freq)
return df
class QlibDataLoader(DLWParser):
"""Same as QlibDataLoader. The fields can be define by config"""
def __init__(self, config: Tuple[list, tuple, dict], filter_pipe=None):
def __init__(self, config: Tuple[list, tuple, dict], filter_pipe=None, swap_level=True):
"""
Parameters
----------
@@ -140,11 +140,15 @@ class QlibDataLoader(DLWParser):
Please refer to the doc of DLWParser
filter_pipe :
Filter pipe for the instruments
swap_level :
Whether to swap level of MultiIndex
"""
self.filter_pipe = filter_pipe
self.swap_level = swap_level
print("swap level", swap_level)
super().__init__(config)
def load_group_df(self, instruments, exprs: list, names: list, start_time=None, end_time=None) -> pd.DataFrame:
def load_group_df(self, instruments, exprs: list, names: list, start_time=None, end_time=None, freq="day") -> pd.DataFrame:
if instruments is None:
warnings.warn("`instruments` is not set, will load all stocks")
instruments = "all"
@@ -153,9 +157,10 @@ class QlibDataLoader(DLWParser):
elif self.filter_pipe is not None:
warnings.warn("`filter_pipe` is not None, but it will not be used with `instruments` as list")
df = D.features(instruments, exprs, start_time, end_time)
df = D.features(instruments, exprs, start_time, end_time, freq)
df.columns = names
df = df.swaplevel().sort_index() # NOTE: always return <datetime, instrument>
if self.swap_level:
df = df.swaplevel().sort_index() # NOTE: if swaplevel, return <datetime, instrument>
return df
@@ -177,7 +182,7 @@ class StaticDataLoader(DataLoader):
self.join = join
self._data = None
def load(self, instruments=None, start_time=None, end_time=None) -> pd.DataFrame:
def load(self, instruments=None, start_time=None, end_time=None, freq="day") -> pd.DataFrame:
self._maybe_load_raw_data()
if instruments is None:
df = self._data