factor_agent.config.DataConfig

class DataConfig(prices, label, membership=None, intraday=None)

Bases: object

The data the Evaluator reads.

prices is the whole-market price dataset, label the forward label (masked by day-t membership when there is a membership) and membership the members of each day (an IndexConstituentDataset) or None, when every symbol is scored. intraday is the whole-market intraday dataset an intraday family’s fields read (one-minute trade bars, say), or None without an intraday family.

Methods

DataConfig.load

Rebuild the component name; a list of components is rebuilt item by item.

Attributes

DataConfig.intraday = None

DataConfig.membership = None

DataConfig.prices

DataConfig.label