5Min frequency data sample

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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5Min frequency data sample #1798

Open l0ngc opened 1 month ago

l0ngc commented 1 month ago

❓ Questions and Help

We sincerely suggest you to carefully read the documentation of our library as well as the official paper. After that, if you still feel puzzled, please describe the question clearly under this issue.

I understand that the backtest configuration and dataset reading are set to a 5-minute frequency. However, the current cached dataset only has a 1-minute frequency. I am wondering if there are any scripts available that could oversample the frequency from 1-minute to 5-minute.

Thanks.

SunsetWolf commented 1 week ago

Sorry, there is no script to sample 5min data from 1min data, but we do have a publicly available 5min data that can be used, which was created based on CSI300. Download method: python scripts/get_data.py qlib_data --name qlib_data --target _dir ~/.qlib/qlib_data/cn_data_5min --region hs300 --interval 5min Of course, if you can create a script that samples from 1min to 5min data, you are more than welcome to do so.