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* add_baostock_collector * modify_comments * fix_pylint_error * solve_duplication_methods * modified the logic of update_data_to_bin * modified the logic of update_data_to_bin * optimize code * optimize pylint issue * fix pylint error * changes suggested by the review * fix CI faild * fix CI faild * fix issue 1121 * format with black * optimize code logic * optimize code logic * fix error code * drop warning during code runs * optimize code * format with black * fix bug * format with black * optimize code * optimize code * add comments
231 lines
13 KiB
Markdown
231 lines
13 KiB
Markdown
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- [Collector Data](#collector-data)
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- [Get Qlib data](#get-qlib-databin-file)
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- [Collector *YahooFinance* data to qlib](#collector-yahoofinance-data-to-qlib)
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- [Automatic update of daily frequency data](#automatic-update-of-daily-frequency-datafrom-yahoo-finance)
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- [Using qlib data](#using-qlib-data)
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# Collect Data From Yahoo Finance
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> *Please pay **ATTENTION** that the data is collected from [Yahoo Finance](https://finance.yahoo.com/lookup) 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](https://qlib.readthedocs.io/en/latest/component/data.html#converting-csv-format-into-qlib-format)*
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**NOTE**: Yahoo! Finance has blocked the access from China. Please change your network if you want to use the Yahoo data crawler.
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> **Examples of abnormal data**
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- [SH000661](https://finance.yahoo.com/quote/000661.SZ/history?period1=1558310400&period2=1590796800&interval=1d&filter=history&frequency=1d)
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- [SZ300144](https://finance.yahoo.com/quote/300144.SZ/history?period1=1557446400&period2=1589932800&interval=1d&filter=history&frequency=1d)
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We have considered **STOCK PRICE ADJUSTMENT**, but some price series seem still very abnormal.
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## Requirements
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```bash
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pip install -r requirements.txt
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```
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## Collector Data
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### Get Qlib data(`bin file`)
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> `qlib-data` from *YahooFinance*, is the data that has been dumped and can be used directly in `qlib`.
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> This ready-made qlib-data is not updated regularly. If users want the latest data, please follow [these steps](#collector-yahoofinance-data-to-qlib) download the latest data.
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- get data: `python scripts/get_data.py qlib_data`
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- parameters:
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- `target_dir`: save dir, by default *~/.qlib/qlib_data/cn_data*
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- `version`: dataset version, value from [`v1`, `v2`], by default `v1`
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- `v2` end date is *2021-06*, `v1` end date is *2020-09*
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- If users want to incrementally update data, they need to use yahoo collector to [collect data from scratch](#collector-yahoofinance-data-to-qlib).
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- **the [benchmarks](https://github.com/microsoft/qlib/tree/main/examples/benchmarks) for qlib use `v1`**, *due to the unstable access to historical data by YahooFinance, there are some differences between `v2` and `v1`*
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- `interval`: `1d` or `1min`, by default `1d`
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- `region`: `cn` or `us` or `in`, by default `cn`
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- `delete_old`: delete existing data from `target_dir`(*features, calendars, instruments, dataset_cache, features_cache*), value from [`True`, `False`], by default `True`
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- `exists_skip`: traget_dir data already exists, skip `get_data`, value from [`True`, `False`], by default `False`
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- examples:
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```bash
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# cn 1d
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python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data --region cn
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# cn 1min
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python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data_1min --region cn --interval 1min
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# us 1d
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python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/us_data --region us --interval 1d
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# us 1min
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python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/us_data_1min --region us --interval 1min
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# in 1d
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python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/in_data --region in --interval 1d
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# in 1min
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python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/in_data_1min --region in --interval 1min
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```
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### Collector *YahooFinance* data to qlib
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> collector *YahooFinance* data and *dump* into `qlib` format.
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> If the above ready-made data can't meet users' requirements, users can follow this section to crawl the latest data and convert it to qlib-data.
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1. download data to csv: `python scripts/data_collector/yahoo/collector.py download_data`
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This will download the raw data such as high, low, open, close, adjclose price from yahoo to a local directory. One file per symbol.
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- parameters:
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- `source_dir`: save the directory
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- `interval`: `1d` or `1min`, by default `1d`
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> **due to the limitation of the *YahooFinance API*, only the last month's data is available in `1min`**
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- `region`: `CN` or `US` or `IN` or `BR`, by default `CN`
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- `delay`: `time.sleep(delay)`, by default *0.5*
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- `start`: start datetime, by default *"2000-01-01"*; *closed interval(including start)*
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- `end`: end datetime, by default `pd.Timestamp(datetime.datetime.now() + pd.Timedelta(days=1))`; *open interval(excluding end)*
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- `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*
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- `check_data_length`: check the number of rows per *symbol*, by default `None`
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> 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
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- `max_collector_count`: number of *"failed"* symbol retries, by default 2
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- examples:
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```bash
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# cn 1d data
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python collector.py download_data --source_dir ~/.qlib/stock_data/source/cn_data --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region CN
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# cn 1min data
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python collector.py download_data --source_dir ~/.qlib/stock_data/source/cn_data_1min --delay 1 --interval 1min --region CN
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# us 1d data
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python collector.py download_data --source_dir ~/.qlib/stock_data/source/us_data --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region US
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# us 1min data
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python collector.py download_data --source_dir ~/.qlib/stock_data/source/us_data_1min --delay 1 --interval 1min --region US
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# in 1d data
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python collector.py download_data --source_dir ~/.qlib/stock_data/source/in_data --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region IN
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# in 1min data
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python collector.py download_data --source_dir ~/.qlib/stock_data/source/in_data_1min --delay 1 --interval 1min --region IN
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# br 1d data
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python collector.py download_data --source_dir ~/.qlib/stock_data/source/br_data --start 2003-01-03 --end 2022-03-01 --delay 1 --interval 1d --region BR
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# br 1min data
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python collector.py download_data --source_dir ~/.qlib/stock_data/source/br_data_1min --delay 1 --interval 1min --region BR
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```
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2. normalize data: `python scripts/data_collector/yahoo/collector.py normalize_data`
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This will:
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1. Normalize high, low, close, open price using adjclose.
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2. Normalize the high, low, close, open price so that the first valid trading date's close price is 1.
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- parameters:
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- `source_dir`: csv directory
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- `normalize_dir`: result directory
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- `max_workers`: number of concurrent, by default *1*
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- `interval`: `1d` or `1min`, by default `1d`
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> if **`interval == 1min`**, `qlib_data_1d_dir` cannot be `None`
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- `region`: `CN` or `US` or `IN`, by default `CN`
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- `date_field_name`: column *name* identifying time in csv files, by default `date`
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- `symbol_field_name`: column *name* identifying symbol in csv files, by default `symbol`
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- `end_date`: if not `None`, normalize the last date saved (*including end_date*); if `None`, it will ignore this parameter; by default `None`
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- `qlib_data_1d_dir`: qlib directory(1d data)
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```
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if interval==1min, qlib_data_1d_dir cannot be None, normalize 1min needs to use 1d data;
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qlib_data_1d can be obtained like this:
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$ python scripts/get_data.py qlib_data --target_dir <qlib_data_1d_dir> --interval 1d
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$ python scripts/data_collector/yahoo/collector.py update_data_to_bin --qlib_data_1d_dir <qlib_data_1d_dir> --end_date <end_date>
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or:
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download 1d data from YahooFinance
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```
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- examples:
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```bash
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# normalize 1d cn
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python collector.py normalize_data --source_dir ~/.qlib/stock_data/source/cn_data --normalize_dir ~/.qlib/stock_data/source/cn_1d_nor --region CN --interval 1d
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# normalize 1min cn
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python collector.py normalize_data --qlib_data_1d_dir ~/.qlib/qlib_data/cn_data --source_dir ~/.qlib/stock_data/source/cn_data_1min --normalize_dir ~/.qlib/stock_data/source/cn_1min_nor --region CN --interval 1min
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# normalize 1d br
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python scripts/data_collector/yahoo/collector.py normalize_data --source_dir ~/.qlib/stock_data/source/br_data --normalize_dir ~/.qlib/stock_data/source/br_1d_nor --region BR --interval 1d
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# normalize 1min br
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python collector.py normalize_data --qlib_data_1d_dir ~/.qlib/qlib_data/br_data --source_dir ~/.qlib/stock_data/source/br_data_1min --normalize_dir ~/.qlib/stock_data/source/br_1min_nor --region BR --interval 1min
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```
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3. dump data: `python scripts/dump_bin.py dump_all`
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This will convert the normalized csv in `feature` directory as numpy array and store the normalized data one file per column and one symbol per directory.
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- parameters:
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- `csv_path`: stock data path or directory, **normalize result(normalize_dir)**
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- `qlib_dir`: qlib(dump) data director
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- `freq`: transaction frequency, by default `day`
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> `freq_map = {1d:day, 1mih: 1min}`
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- `max_workers`: number of threads, by default *16*
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- `include_fields`: dump fields, by default `""`
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- `exclude_fields`: fields not dumped, by default `"""
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> dump_fields = `include_fields if include_fields else set(symbol_df.columns) - set(exclude_fields) exclude_fields else symbol_df.columns`
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- `symbol_field_name`: column *name* identifying symbol in csv files, by default `symbol`
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- `date_field_name`: column *name* identifying time in csv files, by default `date`
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- examples:
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```bash
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# dump 1d cn
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python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/cn_1d_nor --qlib_dir ~/.qlib/qlib_data/cn_data --freq day --exclude_fields date,symbol
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# dump 1min cn
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python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/cn_1min_nor --qlib_dir ~/.qlib/qlib_data/cn_data_1min --freq 1min --exclude_fields date,symbol
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```
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### Automatic update of daily frequency data(from yahoo finance)
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> It is recommended that users update the data manually once (--trading_date 2021-05-25) and then set it to update automatically.
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>
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> **NOTE**: Users can't incrementally update data based on the offline data provided by Qlib(some fields are removed to reduce the data size). Users should use [yahoo collector](https://github.com/microsoft/qlib/tree/main/scripts/data_collector/yahoo#automatic-update-of-daily-frequency-datafrom-yahoo-finance) to download Yahoo data from scratch and then incrementally update it.
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>
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* Automatic update of data to the "qlib" directory each trading day(Linux)
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* use *crontab*: `crontab -e`
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* set up timed tasks:
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```
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* * * * 1-5 python <script path> update_data_to_bin --qlib_data_1d_dir <user data dir>
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```
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* **script path**: *scripts/data_collector/yahoo/collector.py*
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* Manual update of data
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```
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python scripts/data_collector/yahoo/collector.py update_data_to_bin --qlib_data_1d_dir <user data dir> --end_date <end date>
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```
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* `end_date`: end of trading day(not included)
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* `check_data_length`: check the number of rows per *symbol*, by default `None`
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> 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
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* `scripts/data_collector/yahoo/collector.py update_data_to_bin` parameters:
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* `source_dir`: The directory where the raw data collected from the Internet is saved, default "Path(__file__).parent/source"
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* `normalize_dir`: Directory for normalize data, default "Path(__file__).parent/normalize"
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* `qlib_data_1d_dir`: the qlib data to be updated for yahoo, usually from: [download qlib data](https://github.com/microsoft/qlib/tree/main/scripts#download-cn-data)
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* `end_date`: end datetime, default ``pd.Timestamp(trading_date + pd.Timedelta(days=1))``; open interval(excluding end)
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* `region`: region, value from ["CN", "US"], default "CN"
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* `interval`: interval, default "1d"(Currently only supports 1d data)
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* `exists_skip`: exists skip, by default False
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## Using qlib data
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```python
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import qlib
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from qlib.data import D
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# 1d data cn
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# freq=day, freq default day
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qlib.init(provider_uri="~/.qlib/qlib_data/cn_data", region="cn")
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df = D.features(D.instruments("all"), ["$close"], freq="day")
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# 1min data cn
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# freq=1min
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qlib.init(provider_uri="~/.qlib/qlib_data/cn_data_1min", region="cn")
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inst = D.list_instruments(D.instruments("all"), freq="1min", as_list=True)
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# get 100 symbols
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df = D.features(inst[:100], ["$close"], freq="1min")
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# get all symbol data
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# df = D.features(D.instruments("all"), ["$close"], freq="1min")
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# 1d data us
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qlib.init(provider_uri="~/.qlib/qlib_data/us_data", region="us")
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df = D.features(D.instruments("all"), ["$close"], freq="day")
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# 1min data us
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qlib.init(provider_uri="~/.qlib/qlib_data/us_data_1min", region="cn")
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inst = D.list_instruments(D.instruments("all"), freq="1min", as_list=True)
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# get 100 symbols
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df = D.features(inst[:100], ["$close"], freq="1min")
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# get all symbol data
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# df = D.features(D.instruments("all"), ["$close"], freq="1min")
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```
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