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Support extend data #463

Merged
merged 15 commits into from
Jun 24, 2021
Merged

Support extend data #463

merged 15 commits into from
Jun 24, 2021

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zhupr
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@zhupr zhupr commented Jun 8, 2021

Description

  • add normalised 1min data using local 1d data
  • add fill in missing stocks with 1min data via 1d data
  • support for incremental updates of yahoo 1d data
  • modify YahooCollector's default parameters, get 1min data more stable

Motivation and Context

How Has This Been Tested?

  • Pass the test by running: pytest qlib/tests/test_all_pipeline.py under upper directory of qlib.
  • If you are adding a new feature, test on your own test scripts.

Screenshots of Test Results (if appropriate):

  1. Pipeline test:
  2. Your own tests:

Types of changes

  • Fix bugs
  • Add new feature
  • Update documentation

if interval==1min, qlib_data_1d_dir cannot be None, normalize 1min needs to use 1d data;

qlib_data_1d can be obtained like this:
$ python scripts/get_data.py qlilb_data --target_dir <qlib_data_1d_dir> --interval 1d
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Is qlilb_data a typo?

@you-n-g you-n-g merged commit 8ebdb1e into microsoft:main Jun 24, 2021
qianyun210603 pushed a commit to qianyun210603/qlib that referenced this pull request Mar 23, 2023
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2 participants