File size: 3,135 Bytes
ab8be8f | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 | # Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
import sys
import shutil
import unittest
from pathlib import Path
import qlib
import numpy as np
import pandas as pd
from qlib.data import D
sys.path.append(str(Path(__file__).resolve().parent.parent.joinpath("scripts")))
from get_data import GetData
from dump_bin import DumpDataAll, DumpDataFix
DATA_DIR = Path(__file__).parent.joinpath("test_dump_data")
SOURCE_DIR = DATA_DIR.joinpath("source")
SOURCE_DIR.mkdir(exist_ok=True, parents=True)
QLIB_DIR = DATA_DIR.joinpath("qlib")
QLIB_DIR.mkdir(exist_ok=True, parents=True)
class TestDumpData(unittest.TestCase):
FIELDS = "open,close,high,low,volume".split(",")
QLIB_FIELDS = list(map(lambda x: f"${x}", FIELDS))
DUMP_DATA = None
STOCK_NAMES = None
# simpe data
SIMPLE_DATA = None
@classmethod
def setUpClass(cls) -> None:
GetData().download_data(file_name="csv_data_cn.zip", target_dir=SOURCE_DIR)
TestDumpData.DUMP_DATA = DumpDataAll(data_path=SOURCE_DIR, qlib_dir=QLIB_DIR, include_fields=cls.FIELDS)
TestDumpData.STOCK_NAMES = list(map(lambda x: x.name[:-4].upper(), SOURCE_DIR.glob("*.csv")))
provider_uri = str(QLIB_DIR.resolve())
qlib.init(
provider_uri=provider_uri,
expression_cache=None,
dataset_cache=None,
)
@classmethod
def tearDownClass(cls) -> None:
shutil.rmtree(str(DATA_DIR.resolve()))
def test_0_dump_bin(self):
self.DUMP_DATA.dump()
def test_1_dump_calendars(self):
ori_calendars = set(
map(
pd.Timestamp,
pd.read_csv(QLIB_DIR.joinpath("calendars", "day.txt"), header=None).loc[:, 0].values,
)
)
res_calendars = set(D.calendar())
assert len(ori_calendars - res_calendars) == len(res_calendars - ori_calendars) == 0, "dump calendars failed"
def test_2_dump_instruments(self):
ori_ins = set(map(lambda x: x.name[:-4].upper(), SOURCE_DIR.glob("*.csv")))
res_ins = set(D.list_instruments(D.instruments("all"), as_list=True))
assert len(ori_ins - res_ins) == len(ori_ins - res_ins) == 0, "dump instruments failed"
def test_3_dump_features(self):
df = D.features(self.STOCK_NAMES, self.QLIB_FIELDS)
TestDumpData.SIMPLE_DATA = df.loc(axis=0)[self.STOCK_NAMES[0], :]
self.assertFalse(df.dropna().empty, "features data failed")
self.assertListEqual(list(df.columns), self.QLIB_FIELDS, "features columns failed")
def test_4_dump_features_simple(self):
stock = self.STOCK_NAMES[0]
dump_data = DumpDataFix(
data_path=SOURCE_DIR.joinpath(f"{stock.lower()}.csv"), qlib_dir=QLIB_DIR, include_fields=self.FIELDS
)
dump_data.dump()
df = D.features([stock], self.QLIB_FIELDS)
self.assertEqual(len(df), len(TestDumpData.SIMPLE_DATA), "dump features simple failed")
self.assertTrue(np.isclose(df.dropna(), self.SIMPLE_DATA.dropna()).all(), "dump features simple failed")
if __name__ == "__main__":
unittest.main()
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