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653c082e7a
* Waiting for bin data * Complete readme * CI * Add inst filter by time * Update qlib/data/dataset/processor.py * typo * Fix time filter bug * Add Filter and set Universe * Complete data pipeline * Fix Provider Logger Info Args * Add DQN; a minor bugfix in ppo reward. * update readme. modify assertion logic in strategy check. * Fix Doc issues and fix black * Fix pylint Error --------- Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
47 lines
1.7 KiB
Python
Executable File
47 lines
1.7 KiB
Python
Executable File
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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import yaml
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import argparse
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import os
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import shutil
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from copy import deepcopy
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from qlib.contrib.data.highfreq_provider import HighFreqProvider
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loader = yaml.FullLoader
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if __name__ == "__main__":
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parser = argparse.ArgumentParser()
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parser.add_argument("-c", "--config", type=str, default="config.yml")
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parser.add_argument("-d", "--dest", type=str, default=".")
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parser.add_argument("-s", "--split", type=str, choices=["none", "date", "stock", "both"], default="stock")
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args = parser.parse_args()
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conf = yaml.load(open(args.config), Loader=loader)
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for k, v in conf.items():
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if isinstance(v, dict) and "path" in v:
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v["path"] = os.path.join(args.dest, v["path"])
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provider = HighFreqProvider(**conf)
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# Gen dataframe
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if "feature_conf" in conf:
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feature = provider._gen_dataframe(deepcopy(provider.feature_conf))
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if "backtest_conf" in conf:
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backtest = provider._gen_dataframe(deepcopy(provider.backtest_conf))
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provider.feature_conf["path"] = os.path.splitext(provider.feature_conf["path"])[0] + "/"
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provider.backtest_conf["path"] = os.path.splitext(provider.backtest_conf["path"])[0] + "/"
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# Split by date
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if args.split == "date" or args.split == "both":
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provider._gen_day_dataset(deepcopy(provider.feature_conf), "feature")
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provider._gen_day_dataset(deepcopy(provider.backtest_conf), "backtest")
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# Split by stock
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if args.split == "stock" or args.split == "both":
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provider._gen_stock_dataset(deepcopy(provider.feature_conf), "feature")
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provider._gen_stock_dataset(deepcopy(provider.backtest_conf), "backtest")
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shutil.rmtree("stat/", ignore_errors=True)
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