Add minute bar feature pipeline
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@@ -26,6 +26,24 @@ DATA_COLUMNS: Final[list[str]] = [
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"pcfNcfTTM", # float64: P/CF (net cash flow, TTM)
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]
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# Required columns for raw intraday minute bar parquet files.
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MINUTE_BAR_COLUMNS: Final[list[str]] = [
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"symbol_id", # str: internal code like 'sh600000'
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"symbol_name", # str: stock name like '浦发银行'
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"datetime", # datetime64: intraday bar timestamp
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"date", # date component, aligned with daily DATA_COLUMNS date
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"time", # str: HH:MM:SS bar time
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"frequency", # str: e.g. '5m'
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"open", # float64
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"high", # float64
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"low", # float64
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"close", # float64
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"volume", # float64 (shares)
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"amount", # float64 (turnover in yuan, raw/unadjusted)
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"vwap", # float64: amount / volume
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"adjustflag", # str: baostock adjustment flag; '3' for raw/unadjusted
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]
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# Required columns for alpha parquet files.
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# Alphas are position WEIGHTS: positive=long, negative=short.
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ALPHA_COLUMNS: Final[list[str]] = [
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