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igor17400 56cfa480dc Ibovespa index support (#990) 
* feat: download ibovespa index historic composition

ibovespa(ibov) is the largest index in Brazil's stocks exchange.
The br_index folder has support for downloading new companies for the current index composition.
And has support, as well, for downloading companies from historic composition of ibov index.

Partially resolves issue #956

* fix: typo error instead of end_date, it was written end_ate

* feat: adds support for downloading stocks historic prices from Brazil's stocks exchange (B3)

Together with commit c2f933 it resolves issue #956

* fix: code formatted with black.

* wip: Creating code logic for brazils stock market data normalization

* docs: brazils stock market data normalization code documentation

* fix: code formatted the with black

* docs: fixed typo

* docs: more info about python version used to generate requirements.txt file

* docs: added BeautifulSoup requirements

* feat: removed debug prints

* feat: added ibov_index_composition variable as a class attribute of IBOVIndex

* feat: added increment to generate the four month period used by the ibov index

* refactor: Added get_instruments() method inside utils.py for better code usability.

Message in the PR request to understand the context of the change

In the course of reviewing this PR we found two issues.

    1. there are multiple places where the get_instruments() method is used,
	and we feel that scripts.index.py is the best place for the
	get_instruments() method to go.
    2. data_collector.utils has some very generic stuff put inside it.

* refactor: improve brazils stocks download speed

The reason to use retry=2 is due to the fact that
Yahoo Finance unfortunately does not keep track of the majority
of Brazilian stocks.

Therefore, the decorator deco_retry with retry argument
set to 5 will keep trying to get the stock data 5 times,
which makes the code to download Brazilians stocks very slow.

In future, this may change, but for now
I suggest to leave retry argument to 1 or 2 in
order to improve download speed.

In order to achieve this code logic an argument called retry_config
was added into YahooCollectorBR1d and YahooCollectorBR1min

* fix: added __main__ at the bottom of the script

* refactor: changed interface inside each index

Using partial as `fire.Fire(partial(get_instruments, market_index="br_index" ))`
will make the interface easier for the user to execute the script.
Then all the collector.py CLI in each folder can remove a redundant arguments.

* refactor: implemented  class interface retry into YahooCollectorBR

* docs: added BR as a possible region into the documentation

* refactor: make retry attribute part of the interface

This way we don't have to use hasattr to access the retry attribute as previously done
2022-04-06 09:01:29 +08:00
..
br_index
Ibovespa index support (#990)
2022-04-06 09:01:29 +08:00
cn_index
Ibovespa index support (#990)
2022-04-06 09:01:29 +08:00
contrib
Add a check if change is mutated to YahooNormalize1d
2021-07-15 19:13:25 +08:00
crypto
Support Point-in-time Data Operation (#343)
2022-03-10 14:27:52 +08:00
fund
[949] - Remove argument internal in BaseRun::download_data. (#953)
2022-03-08 10:26:35 +08:00
pit
Add PRef operator (#988) (#1000)
2022-03-24 15:29:08 +08:00
us_index
Ibovespa index support (#990)
2022-04-06 09:01:29 +08:00
yahoo
Ibovespa index support (#990)
2022-04-06 09:01:29 +08:00
base.py
Fix pit download_data script TypeError (#978) (#979)
2022-03-15 14:02:14 +08:00
future_calendar_collector.py
Add future calendar collector (#795)
2022-01-16 10:14:27 +08:00
index.py
Ibovespa index support (#990)
2022-04-06 09:01:29 +08:00
README.md
add description of dataset document (#742)
2021-12-12 09:49:10 +08:00
utils.py
Ibovespa index support (#990)
2022-04-06 09:01:29 +08:00

README.md

Data Collector

Introduction

Scripts for data collection

Custom Data Collection

Specific implementation reference: https://github.com/microsoft/qlib/tree/main/scripts/data_collector/yahoo

  1. Create a dataset code directory in the current directory
  2. Add collector.py
    • add collector class: 
      CUR_DIR = Path(__file__).resolve().parent
sys.path.append(str(CUR_DIR.parent.parent))
from data_collector.base import BaseCollector, BaseNormalize, BaseRun
class UserCollector(BaseCollector):
    ...
    • add normalize class: 
      class UserNormalzie(BaseNormalize):
    ...
    • add CLI class: 
      class Run(BaseRun):
    ...
  3. add README.md
  4. add requirements.txt

Description of dataset

Basic data
Features Price/Volume:
   - $close/$open/$low/$high/$volume/$change/$factor
Calendar <freq>.txt:
   - day.txt
   - 1min.txt
Instruments <market>.txt:
   - required: all.txt;
   - csi300.txt/csi500.txt/sp500.txt
  • Features: data, digital
    • if not adjusted, factor=1

Data-dependent component

To make the component running correctly, the dependent data are required

Component required data
Data retrieval Features, Calendar, Instrument
Backtest Features[Price/Volume], Calendar, Instruments