Add FileFinancialStorage #1250
Add FileFinancialStorage #1250
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Thanks for your contribution! |
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@you-n-g thank you for your reply. |
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@you-n-g CI bug fixed. |
| from .data import PITD # pylint: disable=C0415 | ||
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| return PITD.period_feature(instrument, str(self), start_index, end_index, cur_time, period) | ||
| return PITD.financial(instrument, str(self), start_index, end_index, freq) |
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Why do you think financial is a better name?
Will period_feature be a more general name (financial data is an instance of period_feature)?
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The name of storage(FinancialStorage) and the name here are to be consistent with the name of the directory where PIT data is currently stored(financial)
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Do you think renaming both of them to pit or period_feature will make this feature more general?
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PIT is not limited to storing financial data, period_feature looks easier to understand.
| @@ -153,8 +166,8 @@ def test_expr(self): | |||
| 2019-07-15 0.000000 0.000000 0.047369 0.094737 0.047369 | |||
| 2019-07-16 0.000000 0.000000 0.047369 0.094737 0.047369 | |||
| 2019-07-17 0.000000 0.000000 0.047369 0.094737 0.047369 | |||
| 2019-07-18 0.175322 0.175322 0.135029 0.094737 0.135029 | |||
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Could you please explain why this should be 0.087661 instead of 0.135029?
According to the content of data here.
The mean of last two quarters (201901, 201902) on 2019-07-18 should be the average of (0.094737 + 0.175322) /2 = 0.1350295.
Which is not the same as the changed version you committed.
Thanks
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I used the last two data to calculate the average:
(1.75322 + 0) / 2 = 0.087661
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Mean($$roewa_q, 2) operator does not declare an observation point, why use 1.75322 instead of 0?
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Mean($$roewa_q, 2) means calculate the average of the latest value of the last two quarters at the current observation time point.
The last two quarters are 201901 and 201902. Its latest value is 0.094737 and 0.175322 respectively.
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Mean($$roewa_q, 2)means calculate the average of the latest value of the last two quarters at the current observation time point. The last two quarters are201901and201902. Its latest value is0.094737and0.175322respectively.
I don't think the Mean operator has so much meaning, it just calculates the last two values of the given df (it doesn't matter the quarter).
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@Chaoyingz
Yes, it just calculates the last two values of a given df.
But each row in the df indicates the value in a specific quarter in the PIT quarter data.
There are a lot of typical use cases. For example, the average XXX of the last 4 quarters.
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Having a lot of typical use cases does not mean that we need to change the purpose of the Mean operator. I think it is possible to write an operator specifically to handle this use case. And it should be difficult to implement this function in the current PitStorage.
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Sorry for the late response. |
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This PR is stale because it has been open for a year with no activity. Remove the stale label or comment on the PR otherwise this will be closed in 5 days |
Description
See #1241.
Changes:
Pfeaturecan be used independently.FinancialIntervalclass makes extendingIntervaleasier.dump_pitscript to make the behavior of reading and writing pit data more uniform.Motivation and Context
How Has This Been Tested?
pytest qlib/tests/test_all_pipeline.pyunder upper directory ofqlib.Screenshots of Test Results (if appropriate):
Pipeline test:
Your own tests:
Types of changes
Notes
related PR #1000