quantlab.factor.config.IntradayAverageConfig#

class quantlab.factor.config.IntradayAverageConfig(*, warmup_bars=0, dataset=None, file_path=None, factor_names=None, kwargs=None, resample_freq=None, resample_how=None, name=None, factor, window=20, min_count=10, njobs=128)[source]#

Bases: BaseFactorConfig

Config of quantlab.factor.predefined.intraday.IntradayAverage.

factor is the factor whose stored values are averaged, usually a resampled IntradayStats; it keeps its own config and store, which must cover the range asked for. dataset is filled with the wrapped factor’s dataset.

Examples

With daily an IntradayStats resampled to "1d":

>>> cfg = IntradayAverageConfig(factor=daily, window=20, min_count=10)
>>> cfg.warmup_bars, cfg.window
(0, 20)

dataset = None#: Filled with the wrapped factor’s dataset by the factor’s config setter.

factor#: The factor whose stored values are averaged.

min_count = 10#: Fewest present values a window needs; fewer gives NaN.

njobs = 128#: Threads used by the KunQuant executor.

warmup_bars = 0#: The window’s history is read from the wrapped store; anything but 0 is refused.

window = 20#: Bars of the wrapped store averaged over, the current one included.