mirror of
https://github.com/microsoft/qlib.git
synced 2026-06-06 05:51:17 +08:00
a0cef033cb
* update python version * fix: Correct selector handling and add time filtering in storage.py * fix: convert index and columns to list in repr methods * feat: Add Makefile for managing project prerequisites * feat: Add Cython extensions for rolling and expanding operations * resolve install error * fix lint error * fix lint error * fix lint error * fix lint error * fix lint error * update build package * update makefile * update ci yaml * fix docs build error * fix ubuntu install error * fix docs build error * fix install error * fix install error * fix install error * fix install error * fix pylint error * fix pylint error * fix pylint error * fix pylint error * fix pylint error E1123 * fix pylint error R0917 * fix pytest error * fix pytest error * fix pytest error * update code * update code * fix ci error * fix pylint error * fix black error * fix pytest error * fix CI error * fix CI error * add python version to CI * add python version to CI * add python version to CI * fix pylint error * fix pytest general nn error * fix CI error * optimize code * add coments * Extended macos version * remove build package --------- Co-authored-by: Young <afe.young@gmail.com>
82 lines
2.5 KiB
Python
82 lines
2.5 KiB
Python
# TODO:
|
|
# dump alpha 360 to dataframe and merge it with Alpha158
|
|
|
|
import sys
|
|
import unittest
|
|
import qlib
|
|
from pathlib import Path
|
|
|
|
sys.path.append(str(Path(__file__).resolve().parent))
|
|
from qlib.data.dataset.loader import NestedDataLoader, QlibDataLoader
|
|
from qlib.data.dataset.handler import DataHandlerLP
|
|
from qlib.contrib.data.loader import Alpha158DL, Alpha360DL
|
|
from qlib.data import D
|
|
|
|
|
|
class TestDataLoader(unittest.TestCase):
|
|
|
|
def test_nested_data_loader(self):
|
|
qlib.init(kernels=1)
|
|
nd = NestedDataLoader(
|
|
dataloader_l=[
|
|
{
|
|
"class": "qlib.contrib.data.loader.Alpha158DL",
|
|
},
|
|
{
|
|
"class": "qlib.contrib.data.loader.Alpha360DL",
|
|
"kwargs": {"config": {"label": (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])}},
|
|
},
|
|
]
|
|
)
|
|
# Of course you can use StaticDataLoader
|
|
|
|
dataset = nd.load(start_time="2020-01-01", end_time="2020-01-31")
|
|
|
|
assert dataset is not None
|
|
|
|
columns = dataset.columns.tolist()
|
|
columns_list = [tup[1] for tup in columns]
|
|
|
|
for col in Alpha158DL.get_feature_config()[1]:
|
|
assert col in columns_list
|
|
|
|
for col in Alpha360DL.get_feature_config()[1]:
|
|
assert col in columns_list
|
|
|
|
assert "LABEL0" in columns_list
|
|
|
|
# Then you can use it wth DataHandler;
|
|
# NOTE: please note that the data processors are missing!!! You should add based on your requirements
|
|
|
|
"""
|
|
dataset.to_pickle("test_df.pkl")
|
|
nested_data_loader = NestedDataLoader(
|
|
dataloader_l=[
|
|
{
|
|
"class": "qlib.contrib.data.loader.Alpha158DL",
|
|
"kwargs": {"config": {"label": (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])}},
|
|
},
|
|
{
|
|
"class": "qlib.contrib.data.loader.Alpha360DL",
|
|
},
|
|
{
|
|
"class": "qlib.data.dataset.loader.StaticDataLoader",
|
|
"kwargs": {"config": "test_df.pkl"},
|
|
},
|
|
]
|
|
)
|
|
data_handler_config = {
|
|
"start_time": "2008-01-01",
|
|
"end_time": "2020-08-01",
|
|
"instruments": "csi300",
|
|
"data_loader": nested_data_loader,
|
|
}
|
|
data_handler = DataHandlerLP(**data_handler_config)
|
|
data = data_handler.fetch()
|
|
print(data)
|
|
"""
|
|
|
|
|
|
if __name__ == "__main__":
|
|
unittest.main()
|