File size: 2,830 Bytes
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# 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.dataset.processor import Fillna
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(instruments="csi300", 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
assert dataset.isna().any().any()
fn = Fillna(fields_group="feature", fill_value=0)
fn_dataset = fn.__call__(dataset)
assert not fn_dataset.isna().any().any()
# 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()
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