Add minute bar feature pipeline

This commit is contained in:
Yuxuan Yan
2026-06-16 13:57:17 +08:00
parent 17fa75495d
commit 83a006bbe4
19 changed files with 1289 additions and 11 deletions
+18
View File
@@ -26,6 +26,24 @@ DATA_COLUMNS: Final[list[str]] = [
"pcfNcfTTM", # float64: P/CF (net cash flow, TTM)
]
# Required columns for raw intraday minute bar parquet files.
MINUTE_BAR_COLUMNS: Final[list[str]] = [
"symbol_id", # str: internal code like 'sh600000'
"symbol_name", # str: stock name like '浦发银行'
"datetime", # datetime64: intraday bar timestamp
"date", # date component, aligned with daily DATA_COLUMNS date
"time", # str: HH:MM:SS bar time
"frequency", # str: e.g. '5m'
"open", # float64
"high", # float64
"low", # float64
"close", # float64
"volume", # float64 (shares)
"amount", # float64 (turnover in yuan, raw/unadjusted)
"vwap", # float64: amount / volume
"adjustflag", # str: baostock adjustment flag; '3' for raw/unadjusted
]
# Required columns for alpha parquet files.
# Alphas are position WEIGHTS: positive=long, negative=short.
ALPHA_COLUMNS: Final[list[str]] = [