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Dr.李
alpha-mind
Commits
a19fddd6
Commit
a19fddd6
authored
May 23, 2018
by
Dr.李
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fixed bug in data preparing
parent
48fc6a88
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1
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3 deletions
+2
-3
data_preparing.py
alphamind/model/data_preparing.py
+2
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alphamind/model/data_preparing.py
View file @
a19fddd6
...
@@ -108,7 +108,7 @@ def prepare_data(engine: SqlEngine,
...
@@ -108,7 +108,7 @@ def prepare_data(engine: SqlEngine,
df
.
dropna
(
inplace
=
True
)
df
.
dropna
(
inplace
=
True
)
return
dates
,
df
[[
'trade_date'
,
'code'
,
'dx'
]],
df
[
return
dates
,
df
[[
'trade_date'
,
'code'
,
'dx'
]],
df
[
[
'trade_date'
,
'code'
,
'weight'
,
'i
sOpen'
,
'i
ndustry_code'
,
'industry'
]
+
transformer
.
names
]
[
'trade_date'
,
'code'
,
'weight'
,
'industry_code'
,
'industry'
]
+
transformer
.
names
]
def
batch_processing
(
names
,
def
batch_processing
(
names
,
...
@@ -231,7 +231,6 @@ def fetch_data_package(engine: SqlEngine,
...
@@ -231,7 +231,6 @@ def fetch_data_package(engine: SqlEngine,
target_df
[
'weight'
]
=
train_x
[
'weight'
]
target_df
[
'weight'
]
=
train_x
[
'weight'
]
target_df
[
'industry'
]
=
train_x
[
'industry'
]
target_df
[
'industry'
]
=
train_x
[
'industry'
]
target_df
[
'industry_code'
]
=
train_x
[
'industry_code'
]
target_df
[
'industry_code'
]
=
train_x
[
'industry_code'
]
target_df
[
'isOpen'
]
=
train_x
[
'isOpen'
]
if
neutralized_risk
:
if
neutralized_risk
:
for
i
,
name
in
enumerate
(
neutralized_risk
):
for
i
,
name
in
enumerate
(
neutralized_risk
):
...
@@ -314,7 +313,7 @@ def fetch_train_phase(engine,
...
@@ -314,7 +313,7 @@ def fetch_train_phase(engine,
df
=
pd
.
merge
(
factor_df
,
target_df
,
on
=
[
'trade_date'
,
'code'
])
.
dropna
()
df
=
pd
.
merge
(
factor_df
,
target_df
,
on
=
[
'trade_date'
,
'code'
])
.
dropna
()
target_df
,
factor_df
=
df
[[
'trade_date'
,
'code'
,
'dx'
]],
df
[
target_df
,
factor_df
=
df
[[
'trade_date'
,
'code'
,
'dx'
]],
df
[
[
'trade_date'
,
'code'
,
'isOpen'
]
+
transformer
.
names
]
[
'trade_date'
,
'code'
]
+
transformer
.
names
]
target_df
,
dates
,
date_label
,
risk_exp
,
x_values
,
y_values
,
_
,
_
,
codes
=
\
target_df
,
dates
,
date_label
,
risk_exp
,
x_values
,
y_values
,
_
,
_
,
codes
=
\
_merge_df
(
engine
,
transformer
.
names
,
factor_df
,
target_df
,
universe
,
dates
,
risk_model
,
neutralized_risk
)
_merge_df
(
engine
,
transformer
.
names
,
factor_df
,
target_df
,
universe
,
dates
,
risk_model
,
neutralized_risk
)
...
...
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