import yaml
import argparse
import os
import shutil
from copy import deepcopy
from qlib.contrib.data.highfreq_provider import HighFreqProvider
loader = yaml.FullLoader
if __name__ == "__main__":
parser = argparse.ArgumentParser()
parser.add_argument("-c", "--config", type=str, default="config.yml")
parser.add_argument("-d", "--dest", type=str, default=".")
parser.add_argument("-s", "--split", type=str, choices=["none", "date", "stock", "both"], default="stock")
args = parser.parse_args()
conf = yaml.load(open(args.config), Loader=loader)
for k, v in conf.items():
if isinstance(v, dict) and "path" in v:
v["path"] = os.path.join(args.dest, v["path"])
provider = HighFreqProvider(**conf)
if "feature_conf" in conf:
feature = provider._gen_dataframe(deepcopy(provider.feature_conf))
if "backtest_conf" in conf:
backtest = provider._gen_dataframe(deepcopy(provider.backtest_conf))
provider.feature_conf["path"] = os.path.splitext(provider.feature_conf["path"])[0] + "/"
provider.backtest_conf["path"] = os.path.splitext(provider.backtest_conf["path"])[0] + "/"
if args.split == "date" or args.split == "both":
provider._gen_day_dataset(deepcopy(provider.feature_conf), "feature")
provider._gen_day_dataset(deepcopy(provider.backtest_conf), "backtest")
if args.split == "stock" or args.split == "both":
provider._gen_stock_dataset(deepcopy(provider.feature_conf), "feature")
provider._gen_stock_dataset(deepcopy(provider.backtest_conf), "backtest")
shutil.rmtree("stat/", ignore_errors=True)