Metadata-Version: 2.0
Name: alpha-factory
Version: 0.0.4
Summary: generate alpha factors
Home-page: UNKNOWN
Author: Yili Peng
Author-email: yili.peng@outlook.com
License: UNKNOWN
Keywords: quant factor model
Platform: UNKNOWN
Requires-Dist: RNWS

sample:

from alpha_factory import factor_gen,df_gen
import pandas as pd
from RNWS import read

# 1
df_gen.generator(20,'.../frames_new.csv')

# 2
factor_path='.../factor_path_test'

df=pd.read_csv('.../frames_new.csv',index_col=0)
factor_gen.find_dependency(df)

exr=read.read_df('.../exr',file_pattern='exr',start=20140101,end=20140201)
cap=read.read_df('.../cap',file_pattern='cap',header=0,dat_col='cap',start=20140101,end=20140201)
open_price,close,vwap,high,low,volume=read.read_df(r'.../mkt_data',file_pattern='mkt',start=20140101,end=20140201,header=0,dat_col=['open','close','vwap','high','low','volume'])
ind1,ind2,ind3=read.read_df(r'.../ind',file_pattern='ind',start=20140101,end=20140201,header=0,dat_col=['level1','level2','level3'])
parms={'exr':exr
       ,'cap':cap
       ,'open':open_price
       ,'close':close
       ,'vwap':vwap
       ,'high':high
       ,'low':low
       ,'volume':volume
       ,'ind1':ind1
       ,'ind2':ind2
       ,'ind3':ind3}

#3 generate new factors
with factor_gen.generator_class(df=df,factor_path=factor_path,**parms) as gc:
    gc=factor_gen.generator_class(df=df,factor_path=factor_path,**parms)
    gc.generator(batch_size=3)
    gc.generator(batch_size=5)

# update
with factor_gen.generator_class(df=df,factor_path=factor_path,**parms) as gc:
    gc.reload_factors()
    gc.generator(batch_size=3)


