microsoft / microsoft/qlib

Add PIT backend file storage

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enhancement
Dominant language
Python
Stars
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Description

🌟 Feature Description

Add PIT backend file storage, split the functions of P operator and PFeature, make PFeature work independently.

Motivation

  1. Improve readability of existing PIT-related code.
  2. Support to directly read the release date of the financial report.
  3. improve the performance of P operator.

Alternatives

PFeature finds data for the corresponding reporting period based on the incoming start time and end time quarter.
The returned data looks like this:

>>> D.features(["sh600519"], ["$$roewa_q", "$$yoyni_q"], start_time="2018-01-01", end_time="2019-01-01")
                                             $$roewa_q     $$yoyni_q
        instrument period     datetime
        sh600519   201801     2018-04-28     1.305041      1.305434 
                   201802     2018-08-02     2.000000      2.305041
                   201803     2018-10-29     3.000000      3.305041
                   201804     2019-03-29     4.175322      4.252650
                   201901     2019-04-25     5.342443      5.343440

Additional Notes

Contributor guide

No contributing guide indexed for this repository

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Locate the PIT-related P operator and PFeature entry points first; the issue names no files or tests, so map their current responsibilities before planning the split and storage backend. Done means file storage is added, PFeature works independently, financial report release dates can be read directly, and the P operator's performance goal is addressed.

Written by the indexing model from the issue text.

Assessment

Tech stack
python
Domain
backend, data
Issue type
Feature
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
20/100

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