wehub-resource-sync
28 lines
737 B
Python
Executable File
28 lines
737 B
Python
Executable File
import qlib
|
|
|
|
qlib.init(provider_uri="~/.qlib/qlib_data/cn_data")
|
|
|
|
from qlib.data import D
|
|
|
|
instruments = D.instruments()
|
|
fields = ["$open", "$close", "$high", "$low", "$volume", "$factor"]
|
|
data = D.features(instruments, fields, freq="day").swaplevel().sort_index().loc["2008-12-29":].sort_index()
|
|
|
|
data.to_hdf("./daily_pv_all.h5", key="data")
|
|
|
|
|
|
fields = ["$open", "$close", "$high", "$low", "$volume", "$factor"]
|
|
data = (
|
|
(
|
|
D.features(instruments, fields, start_time="2018-01-01", end_time="2019-12-31", freq="day")
|
|
.swaplevel()
|
|
.sort_index()
|
|
)
|
|
.swaplevel()
|
|
.loc[data.reset_index()["instrument"].unique()[:100]]
|
|
.swaplevel()
|
|
.sort_index()
|
|
)
|
|
|
|
data.to_hdf("./daily_pv_debug.h5", key="data")
|