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Collect Data From Yahoo Finance

Please pay ATTENTION that the data is collected from Yahoo Finance and the data might not be perfect. We recommend users to prepare their own data if they have high-quality dataset. For more information, users can refer to the related document

Examples of abnormal data

We have considered STOCK PRICE ADJUSTMENT, but some price series seem still very abnormal.

Requirements

pip install -r requirements.txt

Collector Data

CN Data

1d from yahoo

# download from yahoo finance
python collector.py download_data --source_dir ~/.qlib/stock_data/source/cn_1d --region CN --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1d

# normalize
python collector.py normalize_data --source_dir ~/.qlib/stock_data/source/cn_1d --normalize_dir ~/.qlib/stock_data/source/cn_1d_nor --region CN --interval 1d

# dump data
cd qlib/scripts
python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/cn_1d_nor --qlib_dir ~/.qlib/qlib_data/qlib_cn_1d --freq day --exclude_fields date,adjclose,dividends,splits,symbol

1d from qlib

python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_cn_1d --region cn

using data

import qlib
from qlib.data import D

qlib.init(provider_uri="~/.qlib/qlib_data/qlib_cn_1d", region="CN")
df = D.features(D.instruments("all"), ["$close"], freq="day")

1min from yahoo

# download from yahoo finance
python collector.py download_data --source_dir ~/.qlib/stock_data/source/cn_1min --region CN --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1min

# normalize
python collector.py normalize_data --source_dir ~/.qlib/stock_data/source/cn_1min --normalize_dir ~/.qlib/stock_data/source/cn_1min_nor --region CN --interval 1min

# dump data
cd qlib/scripts
python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/cn_1min_nor --qlib_dir ~/.qlib/qlib_data/qlib_cn_1min --freq 1min --exclude_fields date,adjclose,dividends,splits,symbol

1min from qlib

python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_cn_1min --interval 1min --region cn

using data

import qlib
from qlib.data import D

qlib.init(provider_uri="~/.qlib/qlib_data/qlib_cn_1min", region="CN")
df = D.features(D.instruments("all"), ["$close"], freq="1min")

US Data

1d from yahoo

# download from yahoo finance
python collector.py download_data --source_dir ~/.qlib/stock_data/source/us_1d --region US --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1d

# normalize
python collector.py normalize_data --source_dir ~/.qlib/stock_data/source/us_1d --normalize_dir ~/.qlib/stock_data/source/us_1d_nor --region US --interval 1d

# dump data
cd qlib/scripts
python dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/cn_1d_nor --qlib_dir ~/.qlib/stock_data/source/qlib_us_1d --freq day --exclude_fields date,adjclose,dividends,splits,symbol

1d from qlib

python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_us_1d --region us

using data

# using
import qlib
from qlib.data import D

qlib.init(provider_uri="~/.qlib/qlib_data/qlib_us_1d", region="US")
df = D.features(D.instruments("all"), ["$close"], freq="day")

Help

pythono collector.py collector_data --help

Parameters

  • interval: 1min or 1d
  • region: CN or US