qlib/scripts/data_collector/yahoo

• Collector Data
  • Get Qlib data
  • Collector YahooFinance data to qlib
  • Automatic update of daily frequency data
• Using qlib data

Collect Data From Yahoo Finance

Please pay ATTENTION that the data is collected from Yahoo Finance and the data might not be perfect. We recommend users to prepare their own data if they have high-quality dataset. For more information, users can refer to the related document

Examples of abnormal data

• SH000661
• SZ300144

We have considered STOCK PRICE ADJUSTMENT, but some price series seem still very abnormal.

Requirements

pip install -r requirements.txt

Collector Data

Get Qlib data(bin file)

qlib-data from YahooFinance, is the data that has been dumped and can be used directly in qlib

• get data: python scripts/get_data.py qlib_data
• parameters:
  • target_dir: save dir, by default ~/.qlib/qlib_data/cn_data
  • version: dataset version, value from [v1, v2], by default v1
    • v2 end date is 2021-06, v1 end date is 2020-09
    • user can append data to v2: automatic update of daily frequency data
    • the benchmarks for qlib use v1, due to the unstable access to historical data by YahooFinance, there are some differences between v2 and v1
  • interval: 1d or 1min, by default 1d
  • region: cn or us or in, by default cn
  • delete_old: delete existing data from target_dir(features, calendars, instruments, dataset_cache, features_cache), value from [True, False], by default True
  • exists_skip: traget_dir data already exists, skip get_data, value from [True, False], by default False
• examples:

  # cn 1d
  python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_cn_1d --region cn
  # cn 1min
  python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_cn_1min --region cn --interval 1min
  # us 1d
  python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_us_1d --region us --interval 1d
  # us 1min
  python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_us_1min --region us --interval 1min
  # in 1d
  python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_in_1d --region in --interval 1d
  # in 1min
  python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_in_1min --region in --interval 1min
  

Collector YahooFinance data to qlib

collector YahooFinance data and dump into qlib format

1. download data to csv: python scripts/data_collector/yahoo/collector.py download_data

   • parameters:
     • source_dir: save the directory
     • interval: 1d or 1min, by default 1d

       due to the limitation of the YahooFinance API, only the last month's data is available in 1min

     • region: CN or US or IN, by default CN
     • delay: time.sleep(delay), by default 0.5
     • start: start datetime, by default "2000-01-01"; closed interval(including start)
     • end: end datetime, by default pd.Timestamp(datetime.datetime.now() + pd.Timedelta(days=1)); open interval(excluding end)
     • max_workers: get the number of concurrent symbols, it is not recommended to change this parameter in order to maintain the integrity of the symbol data, by default 1
     • check_data_length: check the number of rows per symbol, by default None

       if len(symbol_df) < check_data_length, it will be re-fetched, with the number of re-fetches coming from the max_collector_count parameter

     • max_collector_count: number of "failed" symbol retries, by default 2
   • examples:

     # cn 1d data
     python collector.py download_data --source_dir ~/.qlib/stock_data/source/cn_1d --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region CN
     # cn 1min data
     python collector.py download_data --source_dir ~/.qlib/stock_data/source/cn_1min --delay 1 --interval 1min --region CN
     # us 1d data
     python collector.py download_data --source_dir ~/.qlib/stock_data/source/us_1d --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region US
     # us 1min data
     python collector.py download_data --source_dir ~/.qlib/stock_data/source/us_1min --delay 1 --interval 1min --region US
     # in 1d data
     python collector.py download_data --source_dir ~/.qlib/stock_data/source/in_1d --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region IN
     # in 1min data
     python collector.py download_data --source_dir ~/.qlib/stock_data/source/in_1min --delay 1 --interval 1min --region IN
     

2. normalize data: python scripts/data_collector/yahoo/collector.py normalize_data

   • parameters:
     • source_dir: csv directory
     • normalize_dir: result directory
     • max_workers: number of concurrent, by default 1
     • interval: 1d or 1min, by default 1d

       if interval == 1min, qlib_data_1d_dir cannot be None

     • region: CN or US or IN, by default CN
     • date_field_name: column name identifying time in csv files, by default date
     • symbol_field_name: column name identifying symbol in csv files, by default symbol
     • end_date: if not None, normalize the last date saved (including end_date); if None, it will ignore this parameter; by default None
     • qlib_data_1d_dir: qlib directory(1d data)

       if interval==1min, qlib_data_1d_dir cannot be None, normalize 1min needs to use 1d data;
       
           qlib_data_1d can be obtained like this:
               $ python scripts/get_data.py qlib_data --target_dir <qlib_data_1d_dir> --interval 1d
               $ python scripts/data_collector/yahoo/collector.py update_data_to_bin --qlib_data_1d_dir <qlib_data_1d_dir> --trading_date 2021-06-01
           or:
               download 1d data from YahooFinance
       
       

   • examples:

     # normalize 1d cn
     python collector.py normalize_data --source_dir ~/.qlib/stock_data/source/cn_1d --normalize_dir ~/.qlib/stock_data/source/cn_1d_nor --region CN --interval 1d
     # normalize 1min cn
     python collector.py normalize_data --qlib_data_1d_dir ~/.qlib/qlib_data/qlib_cn_1d --source_dir ~/.qlib/stock_data/source/cn_1min --normalize_dir ~/.qlib/stock_data/source/cn_1min_nor --region CN --interval 1min
     

3. dump data: python scripts/dump_bin.py dump_all

   • parameters:
     • csv_path: stock data path or directory, normalize result(normalize_dir)
     • qlib_dir: qlib(dump) data director
     • freq: transaction frequency, by default day

       freq_map = {1d:day, 1mih: 1min}

     • max_workers: number of threads, by default 16
     • include_fields: dump fields, by default ""
     • exclude_fields: fields not dumped, by default `"""

       dump_fields = include_fields if include_fields else set(symbol_df.columns) - set(exclude_fields) exclude_fields else symbol_df.columns

     • symbol_field_name: column name identifying symbol in csv files, by default symbol
     • date_field_name: column name identifying time in csv files, by default date
   • examples:

     # dump 1d cn
     python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/cn_1d_nor --qlib_dir ~/.qlib/qlib_data/qlib_cn_1d --freq day --exclude_fields date,symbol
     # dump 1min cn
     python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/cn_1min_nor --qlib_dir ~/.qlib/qlib_data/qlib_cn_1min --freq 1min --exclude_fields date,symbol
     

Automatic update of daily frequency data(from yahoo finance)

It is recommended that users update the data manually once (--trading_date 2021-05-25) and then set it to update automatically.

• Automatic update of data to the "qlib" directory each trading day(Linux)

  • use crontab: crontab -e

  • set up timed tasks:

    * * * * 1-5 python <script path> update_data_to_bin --qlib_data_1d_dir <user data dir>
    

    • script path: scripts/data_collector/yahoo/collector.py

• Manual update of data

  python scripts/data_collector/yahoo/collector.py update_data_to_bin --qlib_data_1d_dir <user data dir> --trading_date <start date> --end_date <end date>
  

  • trading_date: start of trading day
  • end_date: end of trading day(not included)
  • check_data_length: check the number of rows per symbol, by default None

    if len(symbol_df) < check_data_length, it will be re-fetched, with the number of re-fetches coming from the max_collector_count parameter

• scripts/data_collector/yahoo/collector.py update_data_to_bin parameters:

  • source_dir: The directory where the raw data collected from the Internet is saved, default "Path(file).parent/source"
  • normalize_dir: Directory for normalize data, default "Path(file).parent/normalize"
  • qlib_data_1d_dir: the qlib data to be updated for yahoo, usually from: download qlib data
  • trading_date: trading days to be updated, by default datetime.datetime.now().strftime("%Y-%m-%d")
  • end_date: end datetime, default pd.Timestamp(trading_date + pd.Timedelta(days=1)); open interval(excluding end)
  • region: region, value from ["CN", "US"], default "CN"

Using qlib data

import qlib
from qlib.data import D

# 1d data cn
# freq=day, freq default day
qlib.init(provider_uri="~/.qlib/qlib_data/qlib_cn_1d", region="cn")
df = D.features(D.instruments("all"), ["$close"], freq="day")

# 1min data cn
# freq=1min
qlib.init(provider_uri="~/.qlib/qlib_data/qlib_cn_1min", region="cn")
inst = D.list_instruments(D.instruments("all"), freq="1min", as_list=True)
# get 100 symbols
df = D.features(inst[:100], ["$close"], freq="1min")
# get all symbol data
# df = D.features(D.instruments("all"), ["$close"], freq="1min")

# 1d data us
qlib.init(provider_uri="~/.qlib/qlib_data/qlib_us_1d", region="us")
df = D.features(D.instruments("all"), ["$close"], freq="day")

# 1min data us
qlib.init(provider_uri="~/.qlib/qlib_data/qlib_us_1min", region="cn")
inst = D.list_instruments(D.instruments("all"), freq="1min", as_list=True)
# get 100 symbols
df = D.features(inst[:100], ["$close"], freq="1min")
# get all symbol data
# df = D.features(D.instruments("all"), ["$close"], freq="1min")