support check_transform_proc module_path

microsoft · Jul 2, 2021 · 946c939 · 946c939
1 parent b523b27
commit 946c939
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Showing 4 changed files with 10 additions and 20 deletions.
diff --git a/examples/highfreq/highfreq_handler.py b/examples/highfreq/highfreq_handler.py
@@ -1,7 +1,6 @@
 from qlib.data.dataset.handler import DataHandler, DataHandlerLP
-from qlib.data.dataset.processor import Processor
-from qlib.utils import get_cls_kwargs
-from qlib.log import TimeInspector
+from qlib.contrib.data.handler import check_transform_proc
+
 
 
 class HighFreqHandler(DataHandlerLP):
@@ -16,20 +15,9 @@ def __init__(
         fit_end_time=None,
         drop_raw=True,
     ):
-        def check_transform_proc(proc_l):
-            new_l = []
-            for p in proc_l:
-                p["kwargs"].update(
-                    {
-                        "fit_start_time": fit_start_time,
-                        "fit_end_time": fit_end_time,
-                    }
-                )
-                new_l.append(p)
-            return new_l
 
-        infer_processors = check_transform_proc(infer_processors)
-        learn_processors = check_transform_proc(learn_processors)
+        infer_processors = check_transform_proc(infer_processors, fit_start_time, fit_end_time)
+        learn_processors = check_transform_proc(learn_processors, fit_start_time, fit_end_time)
 
         data_loader = {
             "class": "QlibDataLoader",

diff --git a/examples/highfreq/highfreq_ops.py b/examples/highfreq/highfreq_ops.py
@@ -26,7 +26,7 @@ def get_calendar_day(freq="day", future=False):
     if flag in H["c"]:
         _calendar = H["c"][flag]
     else:
-        _calendar = np.array(list(map(lambda x: x.date(), Cal.load_calendar(freq, future))))
+        _calendar = np.array(list(map(lambda x: pd.Timestamp(x.date()), Cal.load_calendar(freq, future))))
         H["c"][flag] = _calendar
     return _calendar
 

diff --git a/examples/highfreq/workflow.py b/examples/highfreq/workflow.py
@@ -33,7 +33,7 @@ class HighfreqWorkflow:
         "fit_start_time": start_time,
         "fit_end_time": train_end_time,
         "instruments": MARKET,
-        "infer_processors": [{"class": "HighFreqNorm", "module_path": "highfreq_processor", "kwargs": {}}],
+        "infer_processors": [{"class": "HighFreqNorm", "module_path": "highfreq_processor"}],
     }
     DATA_HANDLER_CONFIG1 = {
         "start_time": start_time,

diff --git a/qlib/contrib/data/handler.py b/qlib/contrib/data/handler.py
@@ -26,8 +26,10 @@ def check_transform_proc(proc_l, fit_start_time, fit_end_time):
                         "fit_end_time": fit_end_time,
                     }
                 )
-            # FIXME: the `module_path` parameter is missed.
-            new_l.append({"class": klass.__name__, "kwargs": pkwargs})
+            proc_config = {"class": klass.__name__, "kwargs": pkwargs}
+            if isinstance(p, dict) and "module_path" in p:
+                proc_config["module_path"] = p["module_path"]
+            new_l.append(proc_config)
         else:
             new_l.append(p)
     return new_l