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320bd65e19
* fix fillna bug * fix flake8 error * fix pylint error * update ubuntu version for action * fix pytest error * fix pylint error * fix black error * fix pylint error * add Fillna test * fix black error * add instruments * remove code
90 lines
2.8 KiB
Python
90 lines
2.8 KiB
Python
# TODO:
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# dump alpha 360 to dataframe and merge it with Alpha158
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import sys
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import unittest
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import qlib
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from pathlib import Path
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sys.path.append(str(Path(__file__).resolve().parent))
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from qlib.data.dataset.loader import NestedDataLoader, QlibDataLoader
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from qlib.data.dataset.handler import DataHandlerLP
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from qlib.contrib.data.loader import Alpha158DL, Alpha360DL
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from qlib.data.dataset.processor import Fillna
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from qlib.data import D
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class TestDataLoader(unittest.TestCase):
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def test_nested_data_loader(self):
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qlib.init(kernels=1)
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nd = NestedDataLoader(
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dataloader_l=[
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{
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"class": "qlib.contrib.data.loader.Alpha158DL",
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},
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{
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"class": "qlib.contrib.data.loader.Alpha360DL",
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"kwargs": {"config": {"label": (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])}},
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},
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]
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)
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# Of course you can use StaticDataLoader
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dataset = nd.load(instruments="csi300", start_time="2020-01-01", end_time="2020-01-31")
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assert dataset is not None
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columns = dataset.columns.tolist()
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columns_list = [tup[1] for tup in columns]
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for col in Alpha158DL.get_feature_config()[1]:
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assert col in columns_list
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for col in Alpha360DL.get_feature_config()[1]:
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assert col in columns_list
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assert "LABEL0" in columns_list
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assert dataset.isna().any().any()
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fn = Fillna(fields_group="feature", fill_value=0)
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fn_dataset = fn.__call__(dataset)
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assert not fn_dataset.isna().any().any()
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# Then you can use it wth DataHandler;
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# NOTE: please note that the data processors are missing!!! You should add based on your requirements
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"""
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dataset.to_pickle("test_df.pkl")
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nested_data_loader = NestedDataLoader(
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dataloader_l=[
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{
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"class": "qlib.contrib.data.loader.Alpha158DL",
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"kwargs": {"config": {"label": (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])}},
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},
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{
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"class": "qlib.contrib.data.loader.Alpha360DL",
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},
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{
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"class": "qlib.data.dataset.loader.StaticDataLoader",
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"kwargs": {"config": "test_df.pkl"},
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},
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]
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)
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data_handler_config = {
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"start_time": "2008-01-01",
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"end_time": "2020-08-01",
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"instruments": "csi300",
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"data_loader": nested_data_loader,
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}
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data_handler = DataHandlerLP(**data_handler_config)
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data = data_handler.fetch()
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print(data)
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"""
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if __name__ == "__main__":
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unittest.main()
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