Add daily derived data pipeline

This commit is contained in:
Yuxuan Yan
2026-06-16 15:55:30 +08:00
parent 83a006bbe4
commit 8d908477e2
19 changed files with 897 additions and 231 deletions
+9
View File
@@ -7,6 +7,7 @@ import pandas as pd
import pytest
from pipeline.features.compute import compute_feature, validate_feature_frame
from pipeline.features.library.minute_daily_summary import MinuteDailySummaryFeature
from pipeline.features.registry import (
available_features,
get_feature,
@@ -68,6 +69,14 @@ def test_built_in_minute_daily_summary():
assert pd.isna(missing["minute_vwap"])
def test_minute_daily_summary_feature_preserves_legacy_positional_compute():
direct = MinuteDailySummaryFeature().compute(_minute_bars())
via_registry = get_feature("minute_daily_summary").compute(_minute_bars())
assert "minute_vwap" in direct.columns
pd.testing.assert_frame_equal(direct, via_registry)
def test_load_external_feature_module_and_filter_params(tmp_path):
module_path = tmp_path / "external_feature.py"
module_path.write_text(textwrap.dedent('''