MVP for Indian Stocks in qlib using yahooquery

[2796gaurav]

Added NSE stock data option using yahooquery.

Description

created new class -> YahooCollectorIN1d, YahooCollectorIN
and function get_in_stock_symbols() to get NSE stock symbols which works for Indian stock market.
It doesnt conflict with existing code and if we really need to support Indian stock data, we would have to change in workflow and interface layer. Currently i have completed for data layer.

you can check to download the data from below commands

Get data:
python scripts/data_collector/yahoo/collector.py download_data --source_dir ~/.qlib/stock_data/source/in_1min --region IN --start 2020-11-01 --end 2020-11-10 --delay 0.1 --interval 1d

Convert to .bin
python scripts/dump_bin.py dump_all --csv_path ~/.qlib/stock_data/source/in_1min --qlib_dir ~/.qlib/qlib_data/my_data --include_fields open,close,high,low,volume,factor

Motivation and Context

No this is a feature request

It will provide more reach and capability for Indian stock data.

How Has This Been Tested?

• Pass the test by running: pytest qlib/tests/test_all_pipeline.py under upper directory of qlib.
• If you are adding a new feature, test on your own test scripts.

Screenshots of Test Results (if appropriate):

1. Pipeline test:
2. Your own tests:

Types of changes

• Fix bugs
• Add new feature
• Update documentation

[ghost]

All CLA requirements met.

[2796gaurav]

Hi It looks like the code was not formated by black previously. When i applied it have reformatted many other functions too.

[zhupr]

@2796gaurav Hi,
Thanks for the PR, black add the -l parameter: black qlib -l 120

[zhupr]

Need to add YahooNormalizeIN(get the trading calendar for Indian stocks) and YahooNormalizeIN1d, ref: YahooNormalizeUS YahooNormalizeUS1d

[2796gaurav]

Hi @zhupr I have added the calender for indian stocks, however i didnt quite understand fully how this would work?

[zhupr]

@2796gaurav Hi,
Needed when normalizing stock data(collector and normalize : python scripts/data_collector/yahoo/collector.py normalize_data);
normalize requires aligning each stock to a "standard trading calendar" and then doing some calculations (calculating adjusted price: normalize yahoo data, etc.)

[zhupr]

@2796gaurav You can add "region IN" the document: Collector YahooFinance data to qlib

[2796gaurav]

Hi @zhupr Updated readme ad mentioned.
For Normalization, added function get_calendar_list("IN_ALL") to get Indian Normalized data
also added code for 1min data

[2796gaurav]

Thanks 👍

[you-n-g]

It looks great!
Thanks so much! @2796gaurav

[2796gaurav]

Hi @you-n-g
In order to utilize the Indian qlib data from what I think below code is only option to perform, however there is error in region parameter

qlib.init(provider_uri="~/.qlib/qlib_data/qlib_in_1d", region="in")

If there is any alternative? or do we have to resolve this issue?