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sort index after loader #538

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Jul 29, 2021
Merged

sort index after loader #538

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4 changes: 3 additions & 1 deletion qlib/data/dataset/handler.py
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Original file line number Diff line number Diff line change
Expand Up @@ -18,6 +18,7 @@
from ...utils import parse_config, transform_end_date, init_instance_by_config
from ...utils.serial import Serializable
from .utils import fetch_df_by_index
from ...utils import lazy_sort_index
from pathlib import Path
from .loader import DataLoader

Expand Down Expand Up @@ -146,7 +147,8 @@ def setup_data(self, enable_cache: bool = False):
# Setup data.
# _data may be with multiple column index level. The outer level indicates the feature set name
with TimeInspector.logt("Loading data"):
self._data = self.data_loader.load(self.instruments, self.start_time, self.end_time)
# make sure the fetch method is based on a index-sorted pd.DataFrame
self._data = lazy_sort_index(self.data_loader.load(self.instruments, self.start_time, self.end_time))
# TODO: cache

CS_ALL = "__all" # return all columns with single-level index column
Expand Down