Support for Financial Report period data.

[Yolanflower]

❓ Questions and Help

Dear developers,

I want to define some Alpha using data from financial report period data. Does qlib support this type of frequency? Or how can I dump in my own report period data into qlib_data.

[zhupr]

• corresponding "financial report period data" to the trading day (if data exists for non-trading days).
• use dump_bin.py dump_fix --csv_path <financial data csv dir> --qlib_dir <qlib data dir> --include_fields <your dump fields>

[you-n-g]

@Yolanflower
Besides method proposed by @zhupr , you can keep an eye on #343
Thanks for your attention

[github-actions]

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