# Copyright (c) Microsoft Corporation. # Licensed under the MIT License. import struct from pathlib import Path from typing import Iterator, Iterable, Union, Dict, Mapping, Tuple import numpy as np import pandas as pd from qlib.data.storage import CalendarStorage, InstrumentStorage, FeatureStorage, CalVT, InstKT, InstVT class FileCalendarStorage(CalendarStorage): def __init__(self, freq: str, future: bool, uri: str): super(FileCalendarStorage, self).__init__(freq, future, uri) _file_name = f"{freq}_future.txt" if future else f"{freq}.txt" self.uri = Path(self.uri).expanduser().joinpath(_file_name.lower()) def _read_calendar(self, skip_rows: int = 0, n_rows: int = None) -> np.ndarray: if not self.uri.exists(): self._write_calendar(values=[]) with self.uri.open("rb") as fp: return np.loadtxt(fp, str, skiprows=skip_rows, max_rows=n_rows, encoding="utf-8") def _write_calendar(self, values: Iterable[CalVT], mode: str = "wb"): with self.uri.open(mode=mode) as fp: np.savetxt(fp, values, fmt="%s", encoding="utf-8") @property def data(self) -> Iterable[CalVT]: return self._read_calendar() def extend(self, values: Iterable[CalVT]) -> None: self._write_calendar(values, mode="ab") def clear(self) -> None: self._write_calendar(values=[]) def index(self, value: CalVT) -> int: calendar = self._read_calendar() return int(np.argwhere(calendar == value)[0]) def insert(self, index: int, value: CalVT): calendar = self._read_calendar() calendar = np.insert(calendar, index, value) self._write_calendar(values=calendar) def remove(self, value: CalVT) -> None: index = self.index(value) calendar = self._read_calendar() calendar = np.delete(calendar, index) self._write_calendar(values=calendar) def __setitem__(self, i: Union[int, slice], values: Union[CalVT, Iterable[CalVT]]) -> None: calendar = self._read_calendar() calendar[i] = values self._write_calendar(values=calendar) def __delitem__(self, i: Union[int, slice]) -> None: calendar = self._read_calendar() calendar = np.delete(calendar, i) self._write_calendar(values=calendar) def __getitem__(self, i: Union[int, slice]) -> Union[CalVT, Iterable[CalVT]]: return self._read_calendar()[i] def __len__(self) -> int: return len(self._read_calendar()) def __iter__(self): return iter(self._read_calendar()) class FileInstrumentStorage(InstrumentStorage): INSTRUMENT_SEP = "\t" INSTRUMENT_START_FIELD = "start_datetime" INSTRUMENT_END_FIELD = "end_datetime" SYMBOL_FIELD_NAME = "instrument" def __init__(self, market: str, uri: str): super(FileInstrumentStorage, self).__init__(market, uri) self.uri = Path(self.uri).expanduser().joinpath(f"{market.lower()}.txt") def _read_instrument(self) -> Dict[InstKT, InstVT]: if not self.uri.exists(): self._write_instrument() _instruments = dict() df = pd.read_csv( self.uri, sep="\t", usecols=[0, 1, 2], names=[self.SYMBOL_FIELD_NAME, self.INSTRUMENT_START_FIELD, self.INSTRUMENT_END_FIELD], dtype={self.SYMBOL_FIELD_NAME: str}, parse_dates=[self.INSTRUMENT_START_FIELD, self.INSTRUMENT_END_FIELD], ) for row in df.itertuples(index=False): _instruments.setdefault(row[0], []).append((row[1], row[2])) return _instruments def _write_instrument(self, data: Dict[InstKT, InstVT] = None) -> None: if not data: with self.uri.open("w") as _: pass return res = [] for inst, v_list in data.items(): _df = pd.DataFrame(v_list, columns=[self.INSTRUMENT_START_FIELD, self.INSTRUMENT_END_FIELD]) _df[self.SYMBOL_FIELD_NAME] = inst res.append(_df) df = pd.concat(res, sort=False) df.loc[:, [self.SYMBOL_FIELD_NAME, self.INSTRUMENT_START_FIELD, self.INSTRUMENT_END_FIELD]].to_csv( self.uri, header=False, sep=self.INSTRUMENT_SEP, index=False ) df.to_csv(self.uri, sep="\t", encoding="utf-8", header=False, index=False) def clear(self) -> None: self._write_instrument(data={}) @property def data(self) -> Dict[InstKT, InstVT]: return self._read_instrument() def __setitem__(self, k: InstKT, v: InstVT) -> None: inst = self._read_instrument() inst[k] = v self._write_instrument(inst) def __delitem__(self, k: InstKT) -> None: inst = self._read_instrument() del inst[k] self._write_instrument(inst) def __getitem__(self, k: InstKT) -> InstVT: return self._read_instrument()[k] def __len__(self) -> int: inst = self._read_instrument() return len(inst) def __iter__(self) -> Iterator[InstKT]: for _inst in self._read_instrument().keys(): yield _inst def update(self, *args, **kwargs) -> None: if len(args) > 1: raise TypeError(f"update expected at most 1 arguments, got {len(args)}") inst = self._read_instrument() if args: other = args[0] # type: dict if isinstance(other, Mapping): for key in other: inst[key] = other[key] elif hasattr(other, "keys"): for key in other.keys(): inst[key] = other[key] else: for key, value in other: inst[key] = value for key, value in kwargs.items(): inst[key] = value self._write_instrument(inst) class FileFeatureStorage(FeatureStorage): def __init__(self, instrument: str, field: str, freq: str, uri: str): super(FileFeatureStorage, self).__init__(instrument, field, freq, uri) self.uri = ( Path(self.uri).expanduser().joinpath(instrument.lower()).joinpath(f"{field.lower()}.{freq.lower()}.bin") ) def clear(self): with self.uri.open("wb") as _: pass @property def data(self) -> pd.Series: return self[:] def extend(self, series: pd.Series) -> None: extend_start_index = self[0][0] + len(self) if self.uri.exists() else series.index[0] series = series.reindex(pd.RangeIndex(extend_start_index, series.index[-1] + 1)) with self.uri.open("ab") as fp: np.array(series.values).astype(" None: origin_series = self[:] series = series.append(origin_series.loc[origin_series.index > series.index[-1]]) series = series.reindex(pd.RangeIndex(series.index[0], series.index[-1])) with self.uri.open("wb") as fp: np.array(series.values).astype(" Union[Tuple[int, float], pd.Series]: if not self.uri.exists(): if isinstance(i, int): return None, None elif isinstance(i, slice): return pd.Series() else: raise TypeError(f"type(i) = {type(i)}") with open(self.uri, "rb") as fp: ref_start_index = int(np.frombuffer(fp.read(4), dtype=" i: raise IndexError(f"{i}: start index is {ref_start_index}") fp.seek(4 * (i - ref_start_index) + 4) return i, struct.unpack("f", fp.read(4))[0] elif isinstance(i, slice): start_index = i.start end_index = i.stop - 1 si = max(ref_start_index, start_index) if si > end_index: return pd.Series() fp.seek(4 * (si - ref_start_index) + 4) # read n bytes count = end_index - si + 1 data = np.frombuffer(fp.read(4 * count), dtype=" int: return self.uri.stat().st_size // 4 - 1 if self.uri.exists() else 0 def __iter__(self): if not self.uri.exists(): return with open(self.uri, "rb") as fp: ref_start_index = int(np.frombuffer(fp.read(4), dtype="