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Support monrhly interval in PIT.

Open ChiahungTai opened this issue 2 years ago • 2 comments

🌟 Feature Description

Support monthly interval in PIT.

Motivation

  1. Application scenario
  2. Related works (Papers, Github repos etc.):
  3. Any other relevant and important information:

Some markets(ex: Taiwan Stock Market) will provide monthly revenue every month. So that make senese to support monthly in PIT.

Alternatives

N/A

Additional Notes

Related codes

  1. dump_pit.py
  2. pit/collector.py
  3. qlib/data/data.py: LocalPITProvider
  4. qlib/utils/init.py: get_period_list, get_period_offset, read_period_data
  5. test_pit.py

@bxdd @you-n-g, how do you think? Is there any related code I am missing?

ChiahungTai avatar May 27 '22 00:05 ChiahungTai

@ChiahungTai I reviewed this PR again https://github.com/microsoft/qlib/pull/343/files . And I think you have considered all the related code. Looking forward to your PR :)

Thanks :)

you-n-g avatar Jun 06 '22 11:06 you-n-g

Thanks for your comment. I will do my best.

ChiahungTai avatar Jun 06 '22 11:06 ChiahungTai