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Fix $volume normalization issue #792

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you-n-g merged 4 commits into from
Jan 1, 2022
+3 −3
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Fix $volume normalization issue #792

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525dd17
Fix $volume normalization issue
2young-2simple-sometimes-naive Jan 1, 2022
2ee0c83
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2young-2simple-sometimes-naive Jan 1, 2022
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2young-2simple-sometimes-naive Jan 1, 2022
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2young-2simple-sometimes-naive Jan 1, 2022
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Fix $volume normalization issue 
Fix: #765
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@2young-2simple-sometimes-naive
2young-2simple-sometimes-naive authored Jan 1, 2022
commit 525dd170482724555da047004d571ddfb81a528f
6 changes: 3 additions & 3 deletions qlib/contrib/data/handler.py
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Original file line number Diff line number Diff line change
Expand Up @@ -126,9 +126,9 @@ def get_feature_config(self):
fields += ["$vwap/$close"]
names += ["VWAP0"]
for i in range(59, 0, -1):
fields += ["Ref($volume, %d)/$volume" % (i)]
fields += ["Ref($volume, %d)/($volume+1e-12)" % (i)]
names += ["VOLUME%d" % (i)]
fields += ["$volume/$volume"]
fields += ["($volume+1e-12)/($volume+1e-12)"]
names += ["VOLUME0"]

return fields, names
Expand Down Expand Up @@ -249,7 +249,7 @@ def parse_config_to_fields(config):
names += [field.upper() + str(d) for d in windows]
if "volume" in config:
windows = config["volume"].get("windows", range(5))
fields += ["Ref($volume, %d)/$volume" % d if d != 0 else "$volume/$volume" for d in windows]
fields += ["Ref($volume, %d)/($volume+1e-12)" % d if d != 0 else "($volume+1e-12)/($volume+1e-12)" for d in windows]
names += ["VOLUME" + str(d) for d in windows]
if "rolling" in config:
windows = config["rolling"].get("windows", [5, 10, 20, 30, 60])
Expand Down