AI4Finance-Foundation / FinRL-Trading

For trading. Please star.
https://ai4finance.org
MIT License
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Fixed one bug and add two code blocks #53

Closed robinbg closed 2 years ago

robinbg commented 2 years ago
  1. Fixed improper data backfill
  2. Add codes that downloading price data from yfinance
  3. Add codes that generate quarterly data from price and fundamental data
BruceYanghy commented 2 years ago

Data Preprocessing: get a model-ready data inlcudes end-to-end data preprocessing pipline Inputs:

  1. price data downloaded from YahooFinance (1996-2022, S&P 500 Components)
  2. fundamental raw data,queried from WRDS (1996-2022, S&P 500 Components) Outputs:
  3. processed_full.csv,daily data: 693(tics) * 9557 (1996-2022) = 6 million rows data
  4. processed_full_quarterly.csv, quarterly data: 693(tics) 26 years 4 quarter=around 80,000 rows data