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ABuUmpMainPrice.py
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# -*- encoding:utf-8 -*-
"""示例ump价格特征模块"""
from __future__ import division
from __future__ import print_function
from __future__ import absolute_import
from ..TradeBu.ABuMLFeature import AbuFeaturePrice
from ..MLBu.ABuMLPd import AbuMLPd
from .ABuUmpBase import ump_main_make_xy, BuyUmpMixin
from .ABuUmpMainBase import AbuUmpMainBase
__author__ = '阿布'
__weixin__ = 'abu_quant'
class UmpPriceFiter(AbuMLPd):
"""
内部类，只需要实现make_xy，且使用ump_main_make_xy装饰
在__init__中通过：
self.fiter_cls = self.get_fiter_class()
self.fiter = self.fiter_cls(orders_pd=self.orders_pd, **kwarg)
构造裁判的filter以及重要的self.fiter.df，即pd.DataFrame对象特征
"""
@ump_main_make_xy
def make_xy(self, **kwarg):
"""
make_xy通过装饰器ump_main_make_xy进行二次包装
这里只需要使用filter选取需要的特征，即从self.order_has_ret中使用filter选取特征列形成df
:param kwarg: ump_main_make_xy装饰器中使用kwarg
kwargs['orders_pd'] 做为必须要有的关键字参数：交易训练集数据，pd.DataFrame对象
kwargs['scaler'] 做为可选关键字参数：控制在make_xy中返回的特征矩阵数据是否进行标准化处理
:return: self.order_has_ret中使用filter选取特征列形成price_df
ump_main_make_xy装饰器在make_xy返回price_df后做转换matrix，形成x，y等工作
"""
# regex='result|buy_price_rank120|buy_price_rank90|buy_price_rank60|buy_price_rank252'
regex = 'result|{}'.format('|'.join(AbuFeaturePrice().get_feature_ump_keys(ump_cls=AbuUmpMainPrice)))
# noinspection PyUnresolvedReferences
price_df = self.order_has_ret.filter(regex=regex)
"""
eg: price_df
result buy_price_rank120 buy_price_rank90 buy_price_rank60 \
2014-09-24 0 1.000 1.000 1.000
2014-10-24 0 1.000 1.000 1.000
2014-10-29 1 1.000 1.000 1.000
2014-10-29 1 0.925 0.900 0.883
2014-10-29 1 0.962 0.950 0.925
2014-10-29 1 1.000 1.000 1.000
2014-11-03 1 1.000 1.000 1.000
2014-11-11 1 0.954 0.939 0.992
2014-11-12 0 0.475 0.522 0.783
2014-11-26 0 0.642 0.733 1.000
... ... ... ... ...
2016-03-14 1 0.617 0.500 0.750
2016-03-14 0 0.683 0.589 0.850
2016-03-30 0 0.658 0.667 1.000
2016-04-04 1 0.400 0.511 0.767
2016-04-13 0 0.567 0.722 1.000
2016-04-14 0 0.875 0.878 0.967
2016-04-15 0 0.775 0.733 1.000
2016-04-15 0 0.775 0.733 1.000
2016-04-29 1 1.000 1.000 1.000
2016-04-29 1 1.000 1.000 1.000
buy_price_rank252
2014-09-24 1.000
2014-10-24 1.000
2014-10-29 1.000
2014-10-29 0.750
2014-10-29 0.982
2014-10-29 1.000
2014-11-03 1.000
2014-11-11 0.808
2014-11-12 0.560
2014-11-26 0.762
... ...
2016-03-14 0.444
2016-03-14 0.623
2016-03-30 0.536
2016-04-04 0.190
2016-04-13 0.270
2016-04-14 0.940
2016-04-15 0.631
2016-04-15 0.631
2016-04-29 1.000
2016-04-29 1.000
"""
return price_df
class AbuUmpMainPrice(AbuUmpMainBase, BuyUmpMixin):
"""主裁价格特征类，AbuUmpMainBase子类，混入BuyUmpMixin，做为买入ump类"""
def get_predict_col(self):
"""
主裁价格特征keys：['buy_price_rank120', 'buy_price_rank90', 'buy_price_rank60', 'buy_price_rank252']
:return: ['buy_price_rank120', 'buy_price_rank90', 'buy_price_rank60', 'buy_price_rank252']
"""
return AbuFeaturePrice().get_feature_ump_keys(ump_cls=AbuUmpMainPrice)
def get_fiter_class(self):
"""
主裁价格特征返回的AbuMLPd子类：AbuUmpMainPrice.UmpPriceFiter
:return: AbuUmpMainPrice.UmpPriceFiter
"""
return UmpPriceFiter
@classmethod
def class_unique_id(cls):
"""
具体ump类关键字唯一名称，类方法：return 'price_main'
主要针对外部user设置自定义ump使用, 需要user自己保证class_unique_id的唯一性，内部不做检测
具体使用见ABuUmpManager中extend_ump_block方法
"""
return 'price_main'