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| import copy | |
| import datetime | |
| import os | |
| from typing import List | |
| import jqdatasdk as jq | |
| import numpy as np | |
| from meta.data_processors._base import _Base | |
| class Joinquant(_Base): | |
| def __init__( | |
| self, | |
| data_source: str, | |
| start_date: str, | |
| end_date: str, | |
| time_interval: str, | |
| **kwargs, | |
| ): | |
| super().__init__(data_source, start_date, end_date, time_interval, **kwargs) | |
| if "username" in kwargs.keys() and "password" in kwargs.keys(): | |
| jq.auth(kwargs["username"], kwargs["password"]) | |
| def download_data( | |
| self, ticker_list: List[str], save_path: str = "./data/dataset.csv" | |
| ): | |
| # joinquant supports: '1m', '5m', '15m', '30m', '60m', '120m', '1d', '1w', '1M'。'1w' denotes one week，‘1M' denotes one month。 | |
| count = len(self.get_trading_days(self.start_date, self.end_date)) | |
| df = jq.get_bars( | |
| security=ticker_list, | |
| count=count, | |
| unit=self.time_interval, | |
| fields=["date", "open", "high", "low", "close", "volume"], | |
| end_dt=self.end_date, | |
| ) | |
| df = df.reset_index().rename(columns={"level_0": "tic"}) | |
| self.dataframe = df | |
| self.save_data(save_path) | |
| print( | |
| f"Download complete! Dataset saved to {save_path}. \nShape of DataFrame: {self.dataframe.shape}" | |
| ) | |
| def preprocess(df, stock_list): | |
| n = len(stock_list) | |
| N = df.shape[0] | |
| assert N % n == 0 | |
| d = int(N / n) | |
| stock1_ary = df.iloc[0:d, 1:].values | |
| temp_ary = stock1_ary | |
| for j in range(1, n): | |
| stocki_ary = df.iloc[j * d : (j + 1) * d, 1:].values | |
| temp_ary = np.hstack((temp_ary, stocki_ary)) | |
| return temp_ary | |
| # start_day: str | |
| # end_day: str | |
| # output: list of str_of_trade_day, e.g., ['2021-09-01', '2021-09-02'] | |
| def get_trading_days(self, start_day: str, end_day: str) -> List[str]: | |
| dates = jq.get_trade_days(start_day, end_day) | |
| str_dates = [] | |
| for d in dates: | |
| tmp = datetime.date.strftime(d, "%Y-%m-%d") | |
| str_dates.append(tmp) | |
| # str_dates = [date2str(dt) for dt in dates] | |
| return str_dates | |