mirror of
https://github.com/microsoft/qlib.git
synced 2026-07-02 10:31:00 +08:00
79 lines
2.8 KiB
Python
79 lines
2.8 KiB
Python
import numpy as np
|
|
import pandas as pd
|
|
import importlib
|
|
from qlib.data.ops import ElemOperator, PairOperator
|
|
from qlib.config import C
|
|
from qlib.data.cache import H
|
|
from qlib.data.data import Cal
|
|
|
|
|
|
def get_calendar_day(freq="day", future=False):
|
|
flag = f"{freq}_future_{future}_day"
|
|
if flag in H["c"]:
|
|
_calendar = H["c"][flag]
|
|
else:
|
|
_calendar = np.array(list(map(lambda x: x.date(), Cal.load_calendar(freq, future))))
|
|
H["c"][flag] = _calendar
|
|
return _calendar
|
|
|
|
|
|
class DayLast(ElemOperator):
|
|
def _load_internal(self, instrument, start_index, end_index, freq):
|
|
_calendar = get_calendar_day(freq=freq)
|
|
series = self.feature.load(instrument, start_index, end_index, freq)
|
|
return series.groupby(_calendar[series.index]).transform("last")
|
|
|
|
|
|
class FFillNan(ElemOperator):
|
|
def _load_internal(self, instrument, start_index, end_index, freq):
|
|
series = self.feature.load(instrument, start_index, end_index, freq)
|
|
return series.fillna(method="ffill")
|
|
|
|
|
|
class BFillNan(ElemOperator):
|
|
def _load_internal(self, instrument, start_index, end_index, freq):
|
|
series = self.feature.load(instrument, start_index, end_index, freq)
|
|
return series.fillna(method="bfill")
|
|
|
|
|
|
class Date(ElemOperator):
|
|
def _load_internal(self, instrument, start_index, end_index, freq):
|
|
_calendar = get_calendar_day(freq=freq)
|
|
series = self.feature.load(instrument, start_index, end_index, freq)
|
|
return pd.Series(_calendar[series.index], index=series.index)
|
|
|
|
|
|
class Select(PairOperator):
|
|
def _load_internal(self, instrument, start_index, end_index, freq):
|
|
series_condition = self.feature_left.load(instrument, start_index, end_index, freq)
|
|
series_feature = self.feature_right.load(instrument, start_index, end_index, freq)
|
|
return series_feature.loc[series_condition]
|
|
|
|
|
|
class IsNull(ElemOperator):
|
|
def _load_internal(self, instrument, start_index, end_index, freq):
|
|
series = self.feature.load(instrument, start_index, end_index, freq)
|
|
return series.isnull()
|
|
|
|
|
|
class Cut(ElemOperator):
|
|
def __init__(self, feature, l=None, r=None):
|
|
self.l = l
|
|
self.r = r
|
|
if (self.l != None and self.l <= 0) or (self.r != None and self.r >= 0):
|
|
raise ValueError("Cut operator l shoud > 0 and r should < 0")
|
|
|
|
super(Cut, self).__init__(feature)
|
|
|
|
def _load_internal(self, instrument, start_index, end_index, freq):
|
|
series = self.feature.load(instrument, start_index, end_index, freq)
|
|
return series.iloc[self.l : self.r]
|
|
|
|
def get_extended_window_size(self):
|
|
ll = 0 if self.l == None else self.l
|
|
rr = 0 if self.r == None else abs(self.r)
|
|
lft_etd, rght_etd = self.feature.get_extended_window_size()
|
|
lft_etd = lft_etd + ll
|
|
rght_etd = rght_etd + rr
|
|
return lft_etd, rght_etd
|