Metadata-Version: 1.0
Name: alpha-factory
Version: 0.1.1
Summary: generate alpha factors
Home-page: UNKNOWN
Author: Yili Peng
Author-email: yili.peng@outlook.com
License: UNKNOWN
Description: 
        from alpha_factory import generator_class
        from RNWS import read
        import numpy as np
        import pandas as pd
        
        factor_path='.'
        frame_path='.'
        
        df=pd.read_csv(frame_path+'/frames.csv')
        
        exr=read.read_df(r'.\exr',file_pattern='exr',start=20160101,end=20170201)
        cap=read.read_df(r'.\cap',file_pattern='cap',header=0,dat_col='cap',start=20160101,end=20170201)
        open_price,close,vwap,high,low,volume=read.read_df(r'.\mkt_data',file_pattern='mkt',start=20160101,end=20170201,header=0,dat_col=['open','close','vwap','high','low','volume'])
        ind1,ind2,ind3=read.read_df(r'.\ind',file_pattern='ind',start=20160101,end=20170201,header=0,dat_col=['level1','level2','level3'])
        
        parms={'exr':exr
               ,'cap':cap
               ,'open_price':open_price
               ,'close':close
               ,'vwap':vwap
               ,'high':high
               ,'low':low
               ,'volume':volume
               ,'ind1':ind1
               ,'ind2':ind2
               ,'ind3':ind3}
        
        # generate starting:
        gc=generator_class(df,factor_path,**parms) 
        gc.generator(batch_size=3)
        gc.generator(batch_size=3)
        gc.output_df(path=frame_path+'/frames_new.csv')
        
        # generate continue:
        with generator_class(df,factor_path,**parms) as gc:
            gc.reload_df(path=frame_path+'/frames_new.csv')
            gc.reload_factors()
            gc.generator(batch_size=2)
            gc.output_df(path=frame_path+'/frames_new2.csv')
        
        # multiprocessing
        if __name__=='__main__':
            with generator_class(df,factor_path,**parms) as gc:
                gc.reload_df(path=frame_path+'/frames_new.csv')
                gc.reload_factors()
                gc.generator(batch_size=5)
                gc.generator(batch_size=10,multi=True,processors=3)
                gc.generator(batch_size=10,multi=True,processors=3)
                gc.output_df(path=frame_path+'/frames_new.csv')
        
Keywords: quant factor model
Platform: UNKNOWN
