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fix: debug data generation crashes on universes with delisted instruments #1463

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fix: debug data generation crashes on universes with delisted instruments #1463

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18 changes: 8 additions & 10 deletions rdagent/scenarios/qlib/experiment/factor_data_template/generate.py
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Original file line number Diff line number Diff line change
Expand Up @@ -12,16 +12,14 @@


fields = ["$open", "$close", "$high", "$low", "$volume", "$factor"]
data = (
(
D.features(instruments, fields, start_time="2018-01-01", end_time="2019-12-31", freq="day")
.swaplevel()
.sort_index()
)
.swaplevel()
.loc[data.reset_index()["instrument"].unique()[:100]]
.swaplevel()
# Debug slice: pick instruments that actually trade in the debug window.
# (Taking the first 100 of the full-history panel breaks on universes with
# delisted securities: names dead before 2018 are absent from this window.)
data_debug = (
D.features(instruments, fields, start_time="2018-01-01", end_time="2019-12-31", freq="day")
.sort_index()
)
keep = data_debug.index.get_level_values("instrument").unique()[:100]
data_debug = data_debug.loc[keep].swaplevel().sort_index()

data.to_hdf("./daily_pv_debug.h5", key="data")
data_debug.to_hdf("./daily_pv_debug.h5", key="data")
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