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fixed a problem with multi index caused by the default value of groupkey #1917

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fixed a problem with multi index caused by the default value of groupkey #1917

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6 changes: 3 additions & 3 deletions qlib/utils/paral.py
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Original file line number Diff line number Diff line change
Expand Up @@ -25,7 +25,7 @@ def __init__(self, *args, **kwargs):


def datetime_groupby_apply(
df, apply_func: Union[Callable, Text], axis=0, level="datetime", resample_rule="M", n_jobs=-1
df, apply_func: Union[Callable, Text], axis=0, level="datetime", resample_rule="ME", n_jobs=-1
):
"""datetime_groupby_apply
This function will apply the `apply_func` on the datetime level index.
Expand All @@ -52,11 +52,11 @@ def datetime_groupby_apply(
def _naive_group_apply(df):
if isinstance(apply_func, str):
return getattr(df.groupby(axis=axis, level=level), apply_func)()
return df.groupby(axis=axis, level=level).apply(apply_func)
return df.groupby(level=level, group_keys=False).apply(apply_func)

if n_jobs != 1:
dfs = ParallelExt(n_jobs=n_jobs)(
delayed(_naive_group_apply)(sub_df) for idx, sub_df in df.resample(resample_rule, axis=axis, level=level)
delayed(_naive_group_apply)(sub_df) for idx, sub_df in df.resample(resample_rule, level=level)
)
return pd.concat(dfs, axis=axis).sort_index()
else:
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