qlib/qlib/contrib/data/highfreq_handler.py

from qlib.data.dataset.handler import DataHandler, DataHandlerLP

EPSILON = 1e-4


class HighFreqHandler(DataHandlerLP):
    def __init__(
        self,
        instruments="csi300",
        start_time=None,
        end_time=None,
        infer_processors=[],
        learn_processors=[],
        fit_start_time=None,
        fit_end_time=None,
        drop_raw=True,
    ):
        def check_transform_proc(proc_l):
            new_l = []
            for p in proc_l:
                p["kwargs"].update(
                    {
                        "fit_start_time": fit_start_time,
                        "fit_end_time": fit_end_time,
                    }
                )
                new_l.append(p)
            return new_l

        infer_processors = check_transform_proc(infer_processors)
        learn_processors = check_transform_proc(learn_processors)

        data_loader = {
            "class": "QlibDataLoader",
            "kwargs": {
                "config": self.get_feature_config(),
                "swap_level": False,
                "freq": "1min",
            },
        }
        super().__init__(
            instruments=instruments,
            start_time=start_time,
            end_time=end_time,
            data_loader=data_loader,
            infer_processors=infer_processors,
            learn_processors=learn_processors,
            drop_raw=drop_raw,
        )

    def get_feature_config(self):
        fields = []
        names = []

        template_if = "If(IsNull({1}), {0}, {1})"
        template_paused = "Select(Gt($hx_paused_num, 1.001), {0})"

        def get_normalized_price_feature(price_field, shift=0):
            # norm with the close price of 237th minute of yesterday.
            if shift == 0:
                template_norm = "{0}/DayLast(Ref({1}, 243))"
            else:
                template_norm = "Ref({0}, " + str(shift) + ")/DayLast(Ref({1}, 243))"

            template_fillnan = "FFillNan({0})"
            # calculate -> ffill -> remove paused
            feature_ops = template_paused.format(
                template_fillnan.format(
                    template_norm.format(template_if.format("$close", price_field), template_fillnan.format("$close"))
                )
            )
            return feature_ops

        fields += [get_normalized_price_feature("$open", 0)]
        fields += [get_normalized_price_feature("$high", 0)]
        fields += [get_normalized_price_feature("$low", 0)]
        fields += [get_normalized_price_feature("$close", 0)]
        fields += [get_normalized_price_feature("$vwap", 0)]
        names += ["$open", "$high", "$low", "$close", "$vwap"]

        fields += [get_normalized_price_feature("$open", 240)]
        fields += [get_normalized_price_feature("$high", 240)]
        fields += [get_normalized_price_feature("$low", 240)]
        fields += [get_normalized_price_feature("$close", 240)]
        fields += [get_normalized_price_feature("$vwap", 240)]
        names += ["$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1"]

        # calculate and fill nan with 0
        template_gzero = "If(Ge({0}, 0), {0}, 0)"
        fields += [
            template_gzero.format(
                template_paused.format(
                    "If(IsNull({0}), 0, {0})".format("{0}/Ref(DayLast(Mean({0}, 7200)), 240)".format("$volume"))
                )
            )
        ]
        names += ["$volume"]

        fields += [
            template_gzero.format(
                template_paused.format(
                    "If(IsNull({0}), 0, {0})".format(
                        "Ref({0}, 240)/Ref(DayLast(Mean({0}, 7200)), 240)".format("$volume")
                    )
                )
            )
        ]
        names += ["$volume_1"]

        return fields, names


class HighFreqBacktestHandler(DataHandler):
    def __init__(
        self,
        instruments="csi300",
        start_time=None,
        end_time=None,
    ):
        data_loader = {
            "class": "QlibDataLoader",
            "kwargs": {
                "config": self.get_feature_config(),
                "swap_level": False,
                "freq": "1min",
            },
        }
        super().__init__(
            instruments=instruments,
            start_time=start_time,
            end_time=end_time,
            data_loader=data_loader,
        )

    def get_feature_config(self):
        fields = []
        names = []

        template_if = "If(IsNull({1}), {0}, {1})"
        template_paused = "Select(Gt($hx_paused_num, 1.001), {0})"
        # template_paused = "{0}"
        template_fillnan = "FFillNan({0})"
        fields += [
            template_fillnan.format(template_paused.format("$close")),
        ]
        names += ["$close0"]

        fields += [
            template_paused.format(
                template_if.format(
                    template_fillnan.format("$close"),
                    "$vwap",
                )
            )
        ]
        names += ["$vwap0"]

        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$volume"))]
        names += ["$volume0"]

        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$factor"))]
        names += ["$factor0"]

        return fields, names