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feat(Data): resample exogenous/other datasource when their frequency is different (#234)

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* feat(Data): resample exogenous/other datasource when their frequency is different

* fix(Linter): ran

* fix(Data): resampling done properly
This commit is contained in:
Mark Aron Szulyovszky
2022-03-10 20:00:06 +01:00
committed by GitHub
parent 4a9f74d645
commit b656f790f5
10 changed files with 69 additions and 37 deletions
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data_loader/collections.py
+11 -7
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@@ -1,9 +1,11 @@
from .types import Path, FileName, DataSource, DataCollection
from utils.helpers import flatten
from typing import Literal
from .types import DataSource, DataCollection
def transform_to_data_collection(path: str, file_names: list[str]) -> DataCollection:
return list(zip([path] * len(file_names), file_names))
def transform_to_data_collection(
path: str, file_names: list[str], freq: Literal["5m", "1h", "1d"]
) -> DataCollection:
return [DataSource(path, file_name, freq) for file_name in file_names]
__daily_etf = ["GLD", "IEF", "QQQ", "SPY", "TLT"]
@@ -52,9 +54,11 @@ __daily_glassnode = [
data_collections = dict(
daily_etf=transform_to_data_collection("data/daily_etf", __daily_etf),
fivemin_crypto=transform_to_data_collection("data/5min_crypto", __5min_crypto),
daily_etf=transform_to_data_collection("data/daily_etf", __daily_etf, "1d"),
fivemin_crypto=transform_to_data_collection(
"data/5min_crypto", __5min_crypto, "5m"
),
daily_glassnode=transform_to_data_collection(
"data/daily_glassnode", __daily_glassnode
"data/daily_glassnode", __daily_glassnode, "1d"
),
)