def _init_stock_frames_data(self, start_date, end_date):
# Remove invalid codes first.
self._remove_invalid_codes()
# Init columns and data set.
columns, dates_set = ['open', 'high', 'low', 'close', 'volume'], set()
# Init stocks data.
for code in self.codes:
# Get stocks data by code.
stocks = Stock.get_k_data(code, start_date, end_date)
# Init stocks dicts.
stock_dicts = [stock.to_dic() for stock in stocks]
# Get dates and stock data, build frames, save date.
stocks_date, stocks_data = [stock[1] for stock in stock_dicts], [stock[2:] for stock in stock_dicts]
# Update dates set.
dates_set = dates_set.union(stocks_date)
# Cache stock data.
stocks_scaled = preprocessing.MinMaxScaler().fit_transform(stocks_data)
origin_stock_frame = pd.DataFrame(data=stocks_data, index=stocks_date, columns=columns)
scaled_stock_frame = pd.DataFrame(data=stocks_scaled, index=stocks_date, columns=columns)
self.origin_stock_frames[code] = origin_stock_frame
self.scaled_stock_frames[code] = scaled_stock_frame
# Init dates and date iter.
self.dates = sorted(list(dates_set))
# Rebuild index.
for code in self.codes:
origin_stock_frame = self.origin_stock_frames[code]
scaled_stock_frame = self.scaled_stock_frames[code]
self.origin_stock_frames[code] = origin_stock_frame.reindex(self.dates, method='bfill')
self.scaled_stock_frames[code] = scaled_stock_frame.reindex(self.dates, method='bfill')
def _data_fetch(self):
# Remove invalid codes first.
self._validate_codes()
# Init columns and data set.
columns, dates_set = ['open', 'high', 'low', 'close', 'volume'], set()
# Load data.
for index, code in enumerate(self.state_codes):
# Load instrument docs by code.
instrument_docs = Stock.get_k_data(code, self._start_date,
self._end_date)
# Init instrument dicts.
instrument_dicts = [
instrument.to_dic() for instrument in instrument_docs
]
# Split dates.
dates = [instrument[1] for instrument in instrument_dicts]
# Split instruments.
instruments = [instrument[2:] for instrument in instrument_dicts]
# Update dates set.
dates_set = dates_set.union(dates)
# Build origin and scaled frames.
scaler = self._scaler
scaler.fit(instruments)
instruments_scaled = scaler.transform(instruments)
origin_frame = pd.DataFrame(data=instruments,
index=dates,
columns=columns)
scaled_frame = pd.DataFrame(data=instruments_scaled,
index=dates,
columns=columns)
# Build code - frame map.
self._origin_frame = origin_frame
self._scaled_frames = scaled_frame
# Init date iter.
self.dates = sorted(list(dates_set))
# Rebuild index.
for code in self.state_codes:
origin_frame = self.origin_frames[code]
scaled_frame = self.scaled_frames[code]
self.origin_frames[code] = origin_frame.reindex(self.dates,
method='bfill')
self.scaled_frames[code] = scaled_frame.reindex(self.dates,
method='bfill')
class LSTMAlgorithm(BaseAlgorithm):
def __init__(self, params):
super(LSTMAlgorithm, self).__init__(params)
def init_model(self):
self.model.add(LSTM(10, input_dim=self.params.get('input_dim'), return_sequences=True))
self.model.add(TimeDistributed(Dense(1)))
self.model.compile(loss="mse", optimizer="adam")
self.model.summary()
return self.model
def run(self, x, y):
return self.model.fit(x, y, epochs=1000, batch_size=128)
def to_scale(data):
scale = MinMaxScaler()
scale.fit(data)
return scale.transform(data)
if __name__ == '__main__':
doc_class = Stock()
data_docs = doc_class.get_k_data('600036', '2017-01-01', '2018-01-01')
data_dicts = [row.to_dict() for row in data_docs]
data = [row[2:] for row in data_dicts]
x = to_scale(data)
y = x[4][2:]
algorithm = LSTMAlgorithm({'input_dim': 5})