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1.7 KiB
1.7 KiB
CTA 1D Parquet Dataset
This directory contains requirements for CTA (Commodity Trading Advisor) futures Parquet datasets used by alpha_lab.
Tables
cta_alpha158_1d
Alpha158 features for CTA futures.
- Source:
dfs://daily_stock_run.stg_1day_tinysoft_cta_alpha159_0_7_beta - Output:
/data/parquet/dataset/cta_alpha158_1d/ - Columns: ~163 feature columns + code, m_nDate
cta_hffactor_1d
High-frequency factor features (8 columns).
- Source:
dfs://daily_stock_run.stg_1day_tinysoft_cta_hffactor - Output:
/data/parquet/dataset/cta_hffactor_1d/ - Transformation: Pivot from long to wide format
- Input columns: code, m_nDate, factor_name, value
- Output columns: code, m_nDate, vol_1min, skew_1min, ... (8 features)
- Filter: Only include factor_name in [vol_1min, skew_1min, volp_1min, volp_ratio_1min, voln_ratio_1min, trend_strength_1min, pv_corr_1min, flowin_ratio_1min]
cta_dom_1d
Dominant contract mapping for continuous contracts.
- Source:
dfs://daily_stock_run.dwm_1day_cta_dom - Output:
/data/parquet/dataset/cta_dom_1d/ - Filter: version = 'vp_csmax_roll2_cummax'
- Aggregation: GROUP BY m_nDate, code_init; SELECT first(code) as code
cta_labels_1d
Return labels for different return types.
- Source:
dfs://daily_stock_run.stg_1day_tinysoft_cta_hfvalue - Output:
/data/parquet/dataset/cta_labels_1d/ - Filter: indicator in [twap_open1m@1_twap_close1m@1, twap_open1m@1_twap_open1m@2]
- Columns: code, m_nDate, indicator, value
Consumer
Used by: alpha_lab/cta_1d/src/loader_parquet.py
The alpha_lab project will create a parallel loader that reads from these Parquet tables instead of DolphinDB.