mirror of
https://github.com/microsoft/qlib.git
synced 2026-06-06 05:51:17 +08:00
14d54aa2a1
* Add util function to help automatically get horizon * Reformat for CI * Leverage horizon change * Udpate config yaml * Update for formatting * Adapt to pickled handler * Fix CI error * remove blank * Fix lint * Update tests * Remove redundant check * modify the code as suggested * format code with pylint * fix pytest error --------- Co-authored-by: Linlang <Lv.Linlang@hotmail.com>
137 lines
4.6 KiB
Python
137 lines
4.6 KiB
Python
from typing import List
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from unittest.case import TestCase
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import unittest
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import pandas as pd
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import numpy as np
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from datetime import datetime
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from qlib import init
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from qlib.config import C
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from qlib.log import TimeInspector
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from qlib.constant import REG_CN, REG_US, REG_TW
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from qlib.utils.time import cal_sam_minute as cal_sam_minute_new, get_min_cal, CN_TIME, US_TIME, TW_TIME
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from qlib.utils.data import guess_horizon
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REG_MAP = {REG_CN: CN_TIME, REG_US: US_TIME, REG_TW: TW_TIME}
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def cal_sam_minute(x: pd.Timestamp, sam_minutes: int, region: str):
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"""
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Sample raw calendar into calendar with sam_minutes freq, shift represents the shift minute the market time
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- open time of stock market is [9:30 - shift*pd.Timedelta(minutes=1)]
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- mid close time of stock market is [11:29 - shift*pd.Timedelta(minutes=1)]
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- mid open time of stock market is [13:00 - shift*pd.Timedelta(minutes=1)]
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- close time of stock market is [14:59 - shift*pd.Timedelta(minutes=1)]
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"""
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# TODO: actually, this version is much faster when no cache or optimization
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day_time = pd.Timestamp(x.date())
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shift = C.min_data_shift
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region_time = REG_MAP[region]
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open_time = (
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day_time
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+ pd.Timedelta(hours=region_time[0].hour, minutes=region_time[0].minute)
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- shift * pd.Timedelta(minutes=1)
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)
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close_time = (
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day_time
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+ pd.Timedelta(hours=region_time[-1].hour, minutes=region_time[-1].minute)
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- shift * pd.Timedelta(minutes=1)
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)
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if region_time == CN_TIME:
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mid_close_time = (
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day_time
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+ pd.Timedelta(hours=region_time[1].hour, minutes=region_time[1].minute - 1)
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- shift * pd.Timedelta(minutes=1)
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)
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mid_open_time = (
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day_time
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+ pd.Timedelta(hours=region_time[2].hour, minutes=region_time[2].minute)
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- shift * pd.Timedelta(minutes=1)
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)
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else:
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mid_close_time = close_time
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mid_open_time = open_time
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if open_time <= x <= mid_close_time:
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minute_index = (x - open_time).seconds // 60
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elif mid_open_time <= x <= close_time:
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minute_index = (x - mid_open_time).seconds // 60 + 120
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else:
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raise ValueError("datetime of calendar is out of range")
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minute_index = minute_index // sam_minutes * sam_minutes
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if 0 <= minute_index < 120 or region_time != CN_TIME:
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return open_time + minute_index * pd.Timedelta(minutes=1)
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elif 120 <= minute_index < 240:
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return mid_open_time + (minute_index - 120) * pd.Timedelta(minutes=1)
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else:
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raise ValueError("calendar minute_index error, check `min_data_shift` in qlib.config.C")
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class TimeUtils(TestCase):
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@classmethod
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def setUpClass(cls):
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init()
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def test_cal_sam_minute(self):
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# test the correctness of the code
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random_n = 1000
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regions = [REG_CN, REG_US, REG_TW]
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def gen_args(cal: List):
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for time in np.random.choice(cal, size=random_n, replace=True):
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sam_minutes = np.random.choice([1, 2, 3, 4, 5, 6])
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dt = pd.Timestamp(
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datetime(
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2021,
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month=3,
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day=3,
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hour=time.hour,
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minute=time.minute,
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second=time.second,
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microsecond=time.microsecond,
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)
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)
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args = dt, sam_minutes
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yield args
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for region in regions:
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cal_time = get_min_cal(region=region)
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for args in gen_args(cal_time):
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assert cal_sam_minute(*args, region) == cal_sam_minute_new(*args, region=region)
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# test the performance of the code
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args_l = list(gen_args(cal_time))
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with TimeInspector.logt():
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for args in args_l:
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cal_sam_minute(*args, region=region)
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with TimeInspector.logt():
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for args in args_l:
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cal_sam_minute_new(*args, region=region)
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class DataUtils(TestCase):
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@classmethod
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def setUpClass(cls):
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init()
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def test_guess_horizon(self):
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label = ["Ref($close, -2) / Ref($close, -1) - 1"]
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result = guess_horizon(label)
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assert result == 2
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label = ["Ref($close, -5) / Ref($close, -1) - 1"]
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result = guess_horizon(label)
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assert result == 5
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label = ["Ref($close, -1) / Ref($close, -1) - 1"]
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result = guess_horizon(label)
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assert result == 1
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if __name__ == "__main__":
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unittest.main()
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