import numpy as np
import pandas as pd
import importlib
from qlib.data.ops import ElemOperator, PairOperator
from qlib.config import C
from qlib.data.cache import H
from qlib.data.data import Cal
from qlib.contrib.ops.high_freq import get_calendar_day
class DayLast(ElemOperator):
"""DayLast Operator
Parameters
----------
feature : Expression
feature instance
Returns
----------
feature:
a series of that each value equals the last value of its day
"""
def _load_internal(self, instrument, start_index, end_index, freq):
_calendar = get_calendar_day(freq=freq)
series = self.feature.load(instrument, start_index, end_index, freq)
return series.groupby(_calendar[series.index], group_keys=False).transform("last")
class FFillNan(ElemOperator):
"""FFillNan Operator
Parameters
----------
feature : Expression
feature instance
Returns
----------
feature:
a forward fill nan feature
"""
def _load_internal(self, instrument, start_index, end_index, freq):
series = self.feature.load(instrument, start_index, end_index, freq)
return series.ffill()
class BFillNan(ElemOperator):
"""BFillNan Operator
Parameters
----------
feature : Expression
feature instance
Returns
----------
feature:
a backfoward fill nan feature
"""
def _load_internal(self, instrument, start_index, end_index, freq):
series = self.feature.load(instrument, start_index, end_index, freq)
return series.bfill()
class Date(ElemOperator):
"""Date Operator
Parameters
----------
feature : Expression
feature instance
Returns
----------
feature:
a series of that each value is the date corresponding to feature.index
"""
def _load_internal(self, instrument, start_index, end_index, freq):
_calendar = get_calendar_day(freq=freq)
series = self.feature.load(instrument, start_index, end_index, freq)
return pd.Series(_calendar[series.index], index=series.index)
class Select(PairOperator):
"""Select Operator
Parameters
----------
feature_left : Expression
feature instance, select condition
feature_right : Expression
feature instance, select value
Returns
----------
feature:
value(feature_right) that meets the condition(feature_left)
"""
def _load_internal(self, instrument, start_index, end_index, freq):
series_condition = self.feature_left.load(instrument, start_index, end_index, freq)
series_feature = self.feature_right.load(instrument, start_index, end_index, freq)
return series_feature.loc[series_condition]
class IsNull(ElemOperator):
"""IsNull Operator
Parameters
----------
feature : Expression
feature instance
Returns
----------
feature:
A series indicating whether the feature is nan
"""
def _load_internal(self, instrument, start_index, end_index, freq):
series = self.feature.load(instrument, start_index, end_index, freq)
return series.isnull()
class Cut(ElemOperator):
"""Cut Operator
Parameters
----------
feature : Expression
feature instance
l : int
l > 0, delete the first l elements of feature (default is None, which means 0)
r : int
r < 0, delete the last -r elements of feature (default is None, which means 0)
Returns
----------
feature:
A series with the first l and last -r elements deleted from the feature.
Note: It is deleted from the raw data, not the sliced data
"""
def __init__(self, feature, l=None, r=None):
self.l = l
self.r = r
if (self.l is not None and self.l <= 0) or (self.r is not None and self.r >= 0):
raise ValueError("Cut operator l should > 0 and r should < 0")
super(Cut, self).__init__(feature)
def _load_internal(self, instrument, start_index, end_index, freq):
series = self.feature.load(instrument, start_index, end_index, freq)
return series.iloc[self.l : self.r]
def get_extended_window_size(self):
ll = 0 if self.l is None else self.l
rr = 0 if self.r is None else abs(self.r)
lft_etd, rght_etd = self.feature.get_extended_window_size()
lft_etd = lft_etd + ll
rght_etd = rght_etd + rr
return lft_etd, rght_etd