fix us instruments

qlib/config.py

@@ -155,6 +155,7 @@ def update(self, *args, **kwargs):
         # cache
         "expression_cache": "DiskExpressionCache",
         "dataset_cache": "DiskDatasetCache",
+        "mount_path": None,
     },
     "client": {
         # data provider config

qlib/data/data.py

@@ -15,6 +15,7 @@
 import traceback
 import numpy as np
 import pandas as pd
+from pathlib import Path
 from multiprocessing import Pool
 
 from .cache import H
@@ -211,6 +212,20 @@ def get_inst_type(cls, inst):
             return cls.LIST
         raise ValueError(f"Unknown instrument type {inst}")
 
+    def convert_instruments(self, instrument):
+        _instruments_map = getattr(self, "_instruments_map", None)
+        if _instruments_map is None:
+            _df_list = []
+            # FIXME: each process will read these files
+            for _path in Path(C.get_data_path()).joinpath("instruments").glob("*.txt"):
+                _df = pd.read_csv(_path, sep="\t", names=["inst", "start_datetime", "end_datetime", "save_inst"])
+                _df_list.append(_df.iloc[:, [0, -1]])
+            df = pd.concat(_df_list, sort=False).sort_values("save_inst")
+            df = df.drop_duplicates(subset=["save_inst"], keep="first").fillna(axis=1, method="ffill")
+            _instruments_map = df.set_index("inst").iloc[:, 0].to_dict()
+            setattr(self, "_instruments_map", _instruments_map)
+        return _instruments_map.get(instrument, instrument)
+
 
 class FeatureProvider(abc.ABC):
     """Feature provider class
@@ -570,19 +585,11 @@ def _load_instruments(self, market):
         if not os.path.exists(fname):
             raise ValueError("instruments not exists for market " + market)
         _instruments = dict()
-        with open(fname) as f:
-            for line in f:
-                inst_time = line.strip().split()
-                inst = inst_time[0]
-                if len(inst_time) == 3:
-                    # `day`
-                    begin = inst_time[1]
-                    end = inst_time[2]
-                elif len(inst_time) == 5:
-                    # `1min`
-                    begin = inst_time[1] + " " + inst_time[2]
-                    end = inst_time[3] + " " + inst_time[4]
-                _instruments.setdefault(inst, []).append((pd.Timestamp(begin), pd.Timestamp(end)))
+        df = pd.read_csv(fname, sep="\t", names=["inst", "start_datetime", "end_datetime", "save_inst"])
+        df["start_datetime"] = pd.to_datetime(df["start_datetime"])
+        df["end_datetime"] = pd.to_datetime(df["end_datetime"])
+        for row in df.itertuples(index=False):
+            _instruments.setdefault(row[0], []).append((row[1], row[2]))
         return _instruments
 
     def list_instruments(self, instruments, start_time=None, end_time=None, freq="day", as_list=False):
@@ -637,6 +644,7 @@ def _uri_data(self):
     def feature(self, instrument, field, start_index, end_index, freq):
         # validate
         field = str(field).lower()[1:]
+        instrument = Inst.convert_instruments(instrument)
         uri_data = self._uri_data.format(instrument.lower(), field, freq)
         if not os.path.exists(uri_data):
             get_module_logger("data").warning("WARN: data not found for %s.%s" % (instrument, field))

qlib/utils/__init__.py

@@ -613,7 +613,9 @@ def exists_qlib_data(qlib_dir):
     # check instruments
     code_names = set(map(lambda x: x.name.lower(), features_dir.iterdir()))
     _instrument = instruments_dir.joinpath("all.txt")
-    miss_code = set(pd.read_csv(_instrument, sep="\t", header=None).loc[:, 0].apply(str.lower)) - set(code_names)
+    df = pd.read_csv(_instrument, sep="\t", names=["inst", "start_datetime", "end_datetime", "save_inst"])
+    df = df.iloc[:, [0, -1]].fillna(axis=1, method="ffill")
+    miss_code = set(df.iloc[:, -1].apply(str.lower)) - set(code_names)
     if miss_code and any(map(lambda x: "sht" not in x, miss_code)):
         return False
 

scripts/README.md

@@ -20,7 +20,6 @@ python get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data --region cn
 
 ### Downlaod US Data
 
-> The US stock code contains 'PRN', and the directory cannot be created on Windows system: https://superuser.com/questions/613313/why-cant-we-make-con-prn-null-folder-in-windows
 
 ```bash
 python get_data.py qlib_data --target_dir ~/.qlib/qlib_data/us_data --region us

scripts/data_collector/index.py

@@ -24,6 +24,7 @@ class IndexBase:
     INSTRUMENTS_COLUMNS = [SYMBOL_FIELD_NAME, START_DATE_FIELD, END_DATE_FIELD]
     REMOVE = "remove"
     ADD = "add"
+    INST_PREFIX = ""
 
     def __init__(self, index_name: str, qlib_dir: [str, Path] = None, request_retry: int = 5, retry_sleep: int = 3):
         """
@@ -196,7 +197,11 @@ def parse_instruments(self):
                 _tmp_df = pd.DataFrame([[_row.symbol, self.bench_start_date, _row.date]], columns=instruments_columns)
                 new_df = new_df.append(_tmp_df, sort=False)
 
-        new_df.loc[:, instruments_columns].to_csv(
+        inst_df = new_df.loc[:, instruments_columns]
+        _inst_prefix = self.INST_PREFIX.strip()
+        if _inst_prefix:
+            inst_df["save_inst"] = inst_df[self.SYMBOL_FIELD_NAME].apply(lambda x: f"{_inst_prefix}{x}")
+        inst_df.to_csv(
             self.instruments_dir.joinpath(f"{self.index_name.lower()}.txt"), sep="\t", index=False, header=None
         )
         logger.info(f"parse {self.index_name.lower()} companies finished.")

scripts/data_collector/us_index/collector.py

@@ -33,6 +33,10 @@
 
 
 class WIKIIndex(IndexBase):
+    # NOTE: The US stock code contains "PRN", and the directory cannot be created on Windows system, use the "_" prefix
+    # https://superuser.com/questions/613313/why-cant-we-make-con-prn-null-folder-in-windows
+    INST_PREFIX = "_"
+
     def __init__(self, index_name: str, qlib_dir: [str, Path] = None, request_retry: int = 5, retry_sleep: int = 3):
         super(WIKIIndex, self).__init__(
             index_name=index_name, qlib_dir=qlib_dir, request_retry=request_retry, retry_sleep=retry_sleep

scripts/data_collector/utils.py

@@ -184,9 +184,14 @@ def _get_nyse():
                     names=["symbol", "start_date", "end_date"],
                 )
                 _all_symbols += ins_df["symbol"].unique().tolist()
-        _US_SYMBOLS = sorted(
-            set(map(lambda x: x.replace(".", "-"), filter(lambda x: len(x) < 8 and not x.endswith("WS"), _all_symbols)))
-        )
+
+        def _format(s_):
+            s_ = s_.replace(".", "-")
+            s_ = s_.strip("$")
+            s_ = s_.strip("*")
+            return s_
+
+        _US_SYMBOLS = sorted(set(map(_format, filter(lambda x: len(x) < 8 and not x.endswith("WS"), _all_symbols))))
 
     return _US_SYMBOLS
 

scripts/dump_bin.py

@@ -27,6 +27,7 @@ class DumpDataBase:
     HIGH_FREQ_FORMAT = "%Y-%m-%d %H:%M:%S"
     INSTRUMENTS_SEP = "\t"
     INSTRUMENTS_FILE_NAME = "all.txt"
+    SAVE_INST_FIELD = "save_inst"
 
     UPDATE_MODE = "update"
     ALL_MODE = "all"
@@ -44,6 +45,7 @@ def __init__(
         exclude_fields: str = "",
         include_fields: str = "",
         limit_nums: int = None,
+        inst_prefix: str = "",
     ):
         """
 
@@ -71,6 +73,9 @@ def __init__(
             fields not dumped
         limit_nums: int
             Use when debugging, default None
+        inst_prefix: str
+            add a column to the instruments file and record the saved instrument name,
+            the US stock code contains "PRN", and the directory cannot be created on Windows system, use the "_" prefix.
         """
         csv_path = Path(csv_path).expanduser()
         if isinstance(exclude_fields, str):
@@ -79,6 +84,7 @@ def __init__(
             include_fields = include_fields.split(",")
         self._exclude_fields = tuple(filter(lambda x: len(x) > 0, map(str.strip, exclude_fields)))
         self._include_fields = tuple(filter(lambda x: len(x) > 0, map(str.strip, include_fields)))
+        self._inst_prefix = inst_prefix.strip()
         self.file_suffix = file_suffix
         self.symbol_field_name = symbol_field_name
         self.csv_files = sorted(csv_path.glob(f"*{self.file_suffix}") if csv_path.is_dir() else [csv_path])
@@ -160,12 +166,19 @@ def _read_calendars(calendar_path: Path) -> List[pd.Timestamp]:
         )
 
     def _read_instruments(self, instrument_path: Path) -> pd.DataFrame:
-        return pd.read_csv(
+        df = pd.read_csv(
             instrument_path,
             sep=self.INSTRUMENTS_SEP,
-            names=[self.symbol_field_name, self.INSTRUMENTS_START_FIELD, self.INSTRUMENTS_END_FIELD],
+            names=[
+                self.symbol_field_name,
+                self.INSTRUMENTS_START_FIELD,
+                self.INSTRUMENTS_END_FIELD,
+                self.SAVE_INST_FIELD,
+            ],
         )
 
+        return df
+
     def save_calendars(self, calendars_data: list):
         self._calendars_dir.mkdir(parents=True, exist_ok=True)
         calendars_path = str(self._calendars_dir.joinpath(f"{self.freq}.txt").expanduser().resolve())
@@ -176,7 +189,13 @@ def save_instruments(self, instruments_data: Union[list, pd.DataFrame]):
         self._instruments_dir.mkdir(parents=True, exist_ok=True)
         instruments_path = str(self._instruments_dir.joinpath(self.INSTRUMENTS_FILE_NAME).resolve())
         if isinstance(instruments_data, pd.DataFrame):
-            instruments_data = instruments_data.loc[:, [self.INSTRUMENTS_START_FIELD, self.INSTRUMENTS_END_FIELD]]
+            _df_fields = [self.symbol_field_name, self.INSTRUMENTS_START_FIELD, self.INSTRUMENTS_END_FIELD]
+            if self._inst_prefix:
+                _df_fields.append(self.SAVE_INST_FIELD)
+                instruments_data[self.SAVE_INST_FIELD] = instruments_data[self.symbol_field_name].apply(
+                    lambda x: f"{self._inst_prefix}{x}"
+                )
+            instruments_data = instruments_data.loc[:, _df_fields]
             instruments_data.to_csv(instruments_path, header=False, sep=self.INSTRUMENTS_SEP)
         else:
             np.savetxt(instruments_path, instruments_data, fmt="%s", encoding="utf-8")
@@ -234,6 +253,7 @@ def _dump_bin(self, file_or_data: [Path, pd.DataFrame], calendar_list: List[pd.T
             logger.warning(f"{code} data is None or empty")
             return
         # features save dir
+        code = self._inst_prefix + code if self._inst_prefix else code
         features_dir = self._features_dir.joinpath(code)
         features_dir.mkdir(parents=True, exist_ok=True)
         self._data_to_bin(df, calendar_list, features_dir)
@@ -262,7 +282,10 @@ def _get_all_date(self):
                         _begin_time = self._format_datetime(_begin_time)
                         _end_time = self._format_datetime(_end_time)
                         symbol = self.get_symbol_from_file(file_path)
-                        date_range_list.append(f"{self.INSTRUMENTS_SEP.join((symbol.upper(), _begin_time, _end_time))}")
+                        _inst_fields = [symbol.upper(), _begin_time, _end_time]
+                        if self._inst_prefix:
+                            _inst_fields.append(self._inst_prefix + symbol.upper())
+                        date_range_list.append(f"{self.INSTRUMENTS_SEP.join(_inst_fields)}")
                     p_bar.update()
         self._kwargs["all_datetime_set"] = all_datetime
         self._kwargs["date_range_list"] = date_range_list

scripts/get_data.py

@@ -79,9 +79,6 @@ def qlib_data(
         -------
 
         """
-        # TODO: The US stock code contains "PRN", and the directory cannot be created on Windows system
-        if region.lower() == "us":
-            logger.warning(f"The US stock code contains 'PRN', and the directory cannot be created on Windows system")
         file_name = f"{name}_{region.lower()}_{interval.lower()}_{version}.zip"
         self._download_data(file_name.lower(), target_dir)