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microsoft / qlib

Qlib is an AI-oriented quantitative investment platform that aims to realize the potential, empower research, and create value using AI technologies in quantitative investment, from exploring ideas to implementing productions. Qlib supports diverse machine learning modeling paradigms. including supervised learning, market dynamics modeling, and RL.
https://qlib.readthedocs.io/en/latest/
MIT License
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Calendar bug #121

Open YifanDengWHU opened 3 years ago

YifanDengWHU commented 3 years ago

🐛 Bug Description

To Reproduce

Steps to reproduce the behavior:

1.open calendars\day.txt 1.There aren't days like "2009-05-05". According to the record, however, 2009-05-05 is trading day.
image image

Expected Behavior

The data should contain days like 2009-05-05. Here is the data of SH600004 I found online. image

Screenshot

image However, there isn't data on 2009-05-05 of SH600004 when I use D.features()

Environment

Note: One could run python scripts/collect_info.py under the qlib directory to get the following information.

Additional Notes

I supposed that reason was due to the calendar was made by the data of SH600000, while the data source didn't contain days like "2009-05-05" of SH600000.

you-n-g commented 3 years ago

@YifanDengWHU Thanks for your reporting. We are trying to fix the data if the problem is our crawler instead of the data source.