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bxdd
2021-06-01 17:46:47 +08:00
parent a183d8a631 4ff0c4fb0f
commit 04fff8ca36
31 changed files with 606 additions and 765 deletions
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21
docs/component/data.rst
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@@ -72,12 +72,19 @@ Converting CSV Format into Qlib Format
``Qlib`` has provided the script ``scripts/dump_bin.py`` to convert **any** data in CSV format into `.bin` files (``Qlib`` format) as long as they are in the correct format. ``Qlib`` has provided the script ``scripts/dump_bin.py`` to convert **any** data in CSV format into `.bin` files (``Qlib`` format) as long as they are in the correct format.
Users can download the demo china-stock data in CSV format as follows for reference to the CSV format. Besides downloading the prepared demo data, users could download demo data directly from the Collector as follows for reference to the CSV format.
Here are some example:
.. code-block:: bash for daily data:
.. code-block:: bash
python scripts/get_data.py csv_data_cn --target_dir ~/.qlib/csv_data/cn_data python scripts/get_data.py csv_data_cn --target_dir ~/.qlib/csv_data/cn_data
for 1min data:
.. code-block:: bash
python scripts/data_collector/yahoo/collector.py download_data --source_dir ~/.qlib/stock_data/source/cn_1min --region CN --start 2021-05-20 --end 2021-05-23 --delay 0.1 --interval 1min --limit_nums 10
Users can also provide their own data in CSV format. However, the CSV data **must satisfies** following criterions: Users can also provide their own data in CSV format. However, the CSV data **must satisfies** following criterions:
- CSV file is named after a specific stock *or* the CSV file includes a column of the stock name - CSV file is named after a specific stock *or* the CSV file includes a column of the stock name
@@ -145,6 +152,16 @@ After conversion, users can find their Qlib format data in the directory `~/.qli
In the convention of `Qlib` data processing, `open, close, high, low, volume, money and factor` will be set to NaN if the stock is suspended. In the convention of `Qlib` data processing, `open, close, high, low, volume, money and factor` will be set to NaN if the stock is suspended.
Stock Pool (Market)
--------------------------------
``Qlib`` defines `stock pool <https://github.com/microsoft/qlib/blob/main/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml#L4>`_ as stock list and their date ranges. Predefined stock pools (e.g. csi300) may be imported as follows.
.. code-block:: bash
python collector.py --index_name CSI300 --qlib_dir <user qlib data dir> --method parse_instruments
Multiple Stock Modes Multiple Stock Modes
-------------------------------- --------------------------------

2
docs/component/report.rst
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@@ -101,7 +101,7 @@ Graphical Result
- Axis Y: - Axis Y:
- `ic` - `ic`
The `Pearson correlation coefficient` series between `label` and `prediction score`. The `Pearson correlation coefficient` series between `label` and `prediction score`.
In the above example, the `label` is formulated as `Ref($close, -1)/$close - 1`. Please refer to `Data Featrue <data.html#feature>`_ for more details. In the above example, the `label` is formulated as `Ref($close, -1)/$close - 1`. Please refer to `Data Feature <data.html#feature>`_ for more details.
- `rank_ic` - `rank_ic`
The `Spearman's rank correlation coefficient` series between `label` and `prediction score`. The `Spearman's rank correlation coefficient` series between `label` and `prediction score`.

2
docs/component/strategy.rst
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@@ -111,8 +111,6 @@ Usage & Example
pred_score, strategy=strategy, **BACKTEST_CONFIG pred_score, strategy=strategy, **BACKTEST_CONFIG
) )
Also, the above example has been given in ``examples/train_backtest_analyze.ipynb``.
To know more about the `prediction score` `pred_score` output by ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction <model.html>`_. To know more about the `prediction score` `pred_score` output by ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction <model.html>`_.
To know more about ``Intraday Trading``, please refer to `Intraday Trading: Model&Strategy Testing <backtest.html>`_. To know more about ``Intraday Trading``, please refer to `Intraday Trading: Model&Strategy Testing <backtest.html>`_.

2
docs/start/integration.rst
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@@ -82,7 +82,7 @@ The Custom models need to inherit `qlib.model.base.Model <../reference/api.html#
return pd.Series(self.model.predict(x_test.values), index=x_test.index) return pd.Series(self.model.predict(x_test.values), index=x_test.index)
- Override the `finetune` method (Optional) - Override the `finetune` method (Optional)
- This method is optional to the users, and when users one to use this method on their own models, they should inherit the ``ModelFT`` base class, which includes the interface of `finetune`. - This method is optional to the users. When users want to use this method on their own models, they should inherit the ``ModelFT`` base class, which includes the interface of `finetune`.
- The parameters must include the parameter `dataset`. - The parameters must include the parameter `dataset`.
- Code Example: In the following example, users will use `LightGBM` as the model and finetune it. - Code Example: In the following example, users will use `LightGBM` as the model and finetune it.
.. code-block:: Python .. code-block:: Python

17
examples/highfreq/workflow.py
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@@ -1,24 +1,13 @@
# Copyright (c) Microsoft Corporation. # Copyright (c) Microsoft Corporation.
# Licensed under the MIT License. # Licensed under the MIT License.
import sys
import fire import fire
from pathlib import Path
import qlib import qlib
import pickle import pickle
import numpy as np
import pandas as pd
from qlib.config import REG_CN, HIGH_FREQ_CONFIG from qlib.config import REG_CN, HIGH_FREQ_CONFIG
from qlib.contrib.model.gbdt import LGBModel
from qlib.contrib.data.handler import Alpha158
from qlib.contrib.strategy.strategy import TopkDropoutStrategy
from qlib.contrib.evaluate import (
backtest as normal_backtest,
risk_analysis,
)
from qlib.utils import init_instance_by_config, exists_qlib_data from qlib.utils import init_instance_by_config
from qlib.data.dataset.handler import DataHandlerLP from qlib.data.dataset.handler import DataHandlerLP
from qlib.data.ops import Operators from qlib.data.ops import Operators
from qlib.data.data import Cal from qlib.data.data import Cal
@@ -96,9 +85,7 @@ class HighfreqWorkflow:
# use yahoo_cn_1min data # use yahoo_cn_1min data
QLIB_INIT_CONFIG = {**HIGH_FREQ_CONFIG, **self.SPEC_CONF} QLIB_INIT_CONFIG = {**HIGH_FREQ_CONFIG, **self.SPEC_CONF}
provider_uri = QLIB_INIT_CONFIG.get("provider_uri") provider_uri = QLIB_INIT_CONFIG.get("provider_uri")
if not exists_qlib_data(provider_uri): GetData().qlib_data(target_dir=provider_uri, interval="1min", region=REG_CN, exists_skip=True)
print(f"Qlib data is not found in {provider_uri}")
GetData().qlib_data(target_dir=provider_uri, interval="1min", region=REG_CN)
qlib.init(**QLIB_INIT_CONFIG) qlib.init(**QLIB_INIT_CONFIG)
def _prepare_calender_cache(self): def _prepare_calender_cache(self):

58
examples/hyperparameter/LightGBM/hyperparameter_158.py
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@@ -1,46 +1,9 @@
import qlib import qlib
from qlib.config import REG_CN
from qlib.utils import exists_qlib_data, init_instance_by_config
import optuna import optuna
from qlib.config import REG_CN
provider_uri = "~/.qlib/qlib_data/cn_data" from qlib.utils import init_instance_by_config
if not exists_qlib_data(provider_uri): from qlib.tests.config import CSI300_DATASET_CONFIG
print(f"Qlib data is not found in {provider_uri}") from qlib.tests.data import GetData
sys.path.append(str(scripts_dir))
from get_data import GetData
GetData().qlib_data(target_dir=provider_uri, region="cn")
qlib.init(provider_uri=provider_uri, region="cn")
market = "csi300"
benchmark = "SH000300"
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": market,
}
dataset_task = {
"dataset": {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
},
}
dataset = init_instance_by_config(dataset_task["dataset"])
def objective(trial): def objective(trial):
@@ -65,12 +28,19 @@ def objective(trial):
}, },
}, },
} }
evals_result = dict() evals_result = dict()
model = init_instance_by_config(task["model"]) model = init_instance_by_config(task["model"])
model.fit(dataset, evals_result=evals_result) model.fit(dataset, evals_result=evals_result)
return min(evals_result["valid"]) return min(evals_result["valid"])
study = optuna.Study(study_name="LGBM_158", storage="sqlite:///db.sqlite3") if __name__ == "__main__":
study.optimize(objective, n_jobs=6)
provider_uri = "~/.qlib/qlib_data/cn_data"
GetData().qlib_data(target_dir=provider_uri, region=REG_CN, exists_skip=True)
qlib.init(provider_uri=provider_uri, region="cn")
dataset = init_instance_by_config(CSI300_DATASET_CONFIG)
study = optuna.Study(study_name="LGBM_158", storage="sqlite:///db.sqlite3")
study.optimize(objective, n_jobs=6)

57
examples/hyperparameter/LightGBM/hyperparameter_360.py
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@@ -1,46 +1,11 @@
import qlib import qlib
from qlib.config import REG_CN
from qlib.utils import exists_qlib_data, init_instance_by_config
import optuna import optuna
from qlib.config import REG_CN
from qlib.utils import init_instance_by_config
from qlib.tests.data import GetData
from qlib.tests.config import get_dataset_config, CSI300_MARKET, DATASET_ALPHA360_CLASS
provider_uri = "~/.qlib/qlib_data/cn_data" DATASET_CONFIG = get_dataset_config(market=CSI300_MARKET, dataset_class=DATASET_ALPHA360_CLASS)
if not exists_qlib_data(provider_uri):
print(f"Qlib data is not found in {provider_uri}")
sys.path.append(str(scripts_dir))
from get_data import GetData
GetData().qlib_data(target_dir=provider_uri, region="cn")
qlib.init(provider_uri=provider_uri, region="cn")
market = "csi300"
benchmark = "SH000300"
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": market,
}
dataset_task = {
"dataset": {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha360",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
},
}
dataset = init_instance_by_config(dataset_task["dataset"])
def objective(trial): def objective(trial):
@@ -72,5 +37,13 @@ def objective(trial):
return min(evals_result["valid"]) return min(evals_result["valid"])
study = optuna.Study(study_name="LGBM_360", storage="sqlite:///db.sqlite3") if __name__ == "__main__":
study.optimize(objective, n_jobs=6)
provider_uri = "~/.qlib/qlib_data/cn_data"
GetData().qlib_data(target_dir=provider_uri, region=REG_CN, exists_skip=True)
qlib.init(provider_uri=provider_uri, region=REG_CN)
dataset = init_instance_by_config(DATASET_CONFIG)
study = optuna.Study(study_name="LGBM_360", storage="sqlite:///db.sqlite3")
study.optimize(objective, n_jobs=6)

32
examples/model_interpreter/feature.py Normal file
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@@ -0,0 +1,32 @@
# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
import qlib
from qlib.config import REG_CN
from qlib.utils import init_instance_by_config
from qlib.tests.data import GetData
from qlib.tests.config import CSI300_GBDT_TASK
if __name__ == "__main__":
# use default data
provider_uri = "~/.qlib/qlib_data/cn_data" # target_dir
GetData().qlib_data(target_dir=provider_uri, region=REG_CN, exists_skip=True)
qlib.init(provider_uri=provider_uri, region=REG_CN)
###################################
# train model
###################################
# model initialization
model = init_instance_by_config(CSI300_GBDT_TASK["model"])
dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
model.fit(dataset)
# get model feature importance
feature_importance = model.get_feature_importance()
print("feature importance:")
print(feature_importance)

62
examples/model_rolling/task_manager_rolling.py
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@@ -17,63 +17,7 @@ from qlib.workflow.task.manage import TaskManager
from qlib.workflow.task.collect import RecorderCollector from qlib.workflow.task.collect import RecorderCollector
from qlib.model.ens.group import RollingGroup from qlib.model.ens.group import RollingGroup
from qlib.model.trainer import TrainerRM from qlib.model.trainer import TrainerRM
from qlib.tests.config import CSI100_RECORD_LGB_TASK_CONFIG, CSI100_RECORD_XGBOOST_TASK_CONFIG
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": "csi100",
}
dataset_config = {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
}
record_config = [
{
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
},
{
"class": "SigAnaRecord",
"module_path": "qlib.workflow.record_temp",
},
]
# use lgb
task_lgb_config = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
},
"dataset": dataset_config,
"record": record_config,
}
# use xgboost
task_xgboost_config = {
"model": {
"class": "XGBModel",
"module_path": "qlib.contrib.model.xgboost",
},
"dataset": dataset_config,
"record": record_config,
}
class RollingTaskExample: class RollingTaskExample:
@@ -85,11 +29,13 @@ class RollingTaskExample:
task_db_name="rolling_db", task_db_name="rolling_db",
experiment_name="rolling_exp", experiment_name="rolling_exp",
task_pool="rolling_task", task_pool="rolling_task",
task_config=[task_xgboost_config, task_lgb_config], task_config=None,
rolling_step=550, rolling_step=550,
rolling_type=RollingGen.ROLL_SD, rolling_type=RollingGen.ROLL_SD,
): ):
# TaskManager config # TaskManager config
if task_config is None:
task_config = [CSI100_RECORD_XGBOOST_TASK_CONFIG, CSI100_RECORD_LGB_TASK_CONFIG]
mongo_conf = { mongo_conf = {
"task_url": task_url, "task_url": task_url,
"task_db_name": task_db_name, "task_db_name": task_db_name,

62
examples/online_srv/online_management_simulate.py
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@@ -13,63 +13,7 @@ from qlib.workflow.online.manager import OnlineManager
from qlib.workflow.online.strategy import RollingStrategy from qlib.workflow.online.strategy import RollingStrategy
from qlib.workflow.task.gen import RollingGen from qlib.workflow.task.gen import RollingGen
from qlib.workflow.task.manage import TaskManager from qlib.workflow.task.manage import TaskManager
from qlib.tests.config import CSI100_RECORD_LGB_TASK_CONFIG, CSI100_RECORD_XGBOOST_TASK_CONFIG
data_handler_config = {
"start_time": "2018-01-01",
"end_time": "2018-10-31",
"fit_start_time": "2018-01-01",
"fit_end_time": "2018-03-31",
"instruments": "csi100",
}
dataset_config = {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2018-01-01", "2018-03-31"),
"valid": ("2018-04-01", "2018-05-31"),
"test": ("2018-06-01", "2018-09-10"),
},
},
}
record_config = [
{
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
},
{
"class": "SigAnaRecord",
"module_path": "qlib.workflow.record_temp",
},
]
# use lgb model
task_lgb_config = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
},
"dataset": dataset_config,
"record": record_config,
}
# use xgboost model
task_xgboost_config = {
"model": {
"class": "XGBModel",
"module_path": "qlib.contrib.model.xgboost",
},
"dataset": dataset_config,
"record": record_config,
}
class OnlineSimulationExample: class OnlineSimulationExample:
@@ -84,7 +28,7 @@ class OnlineSimulationExample:
rolling_step=80, rolling_step=80,
start_time="2018-09-10", start_time="2018-09-10",
end_time="2018-10-31", end_time="2018-10-31",
tasks=[task_xgboost_config, task_lgb_config], tasks=None,
): ):
""" """
Init OnlineManagerExample. Init OnlineManagerExample.
@@ -101,6 +45,8 @@ class OnlineSimulationExample:
end_time (str, optional): the end time of simulating. Defaults to "2018-10-31". end_time (str, optional): the end time of simulating. Defaults to "2018-10-31".
tasks (dict or list[dict]): a set of the task config waiting for rolling and training tasks (dict or list[dict]): a set of the task config waiting for rolling and training
""" """
if tasks is None:
tasks = [CSI100_RECORD_XGBOOST_TASK_CONFIG, CSI100_RECORD_LGB_TASK_CONFIG]
self.exp_name = exp_name self.exp_name = exp_name
self.task_pool = task_pool self.task_pool = task_pool
self.start_time = start_time self.start_time = start_time

65
examples/online_srv/rolling_online_management.py
View File

@@ -17,62 +17,7 @@ from qlib.workflow import R
from qlib.workflow.online.strategy import RollingStrategy from qlib.workflow.online.strategy import RollingStrategy
from qlib.workflow.task.gen import RollingGen from qlib.workflow.task.gen import RollingGen
from qlib.workflow.online.manager import OnlineManager from qlib.workflow.online.manager import OnlineManager
from qlib.tests.config import CSI100_RECORD_XGBOOST_TASK_CONFIG, CSI100_RECORD_LGB_TASK_CONFIG
data_handler_config = {
"start_time": "2013-01-01",
"end_time": "2020-09-25",
"fit_start_time": "2013-01-01",
"fit_end_time": "2014-12-31",
"instruments": "csi100",
}
dataset_config = {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2013-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2015-12-31"),
"test": ("2016-01-01", "2020-07-10"),
},
},
}
record_config = [
{
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
},
{
"class": "SigAnaRecord",
"module_path": "qlib.workflow.record_temp",
},
]
# use lgb model
task_lgb_config = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
},
"dataset": dataset_config,
"record": record_config,
}
# use xgboost model
task_xgboost_config = {
"model": {
"class": "XGBModel",
"module_path": "qlib.contrib.model.xgboost",
},
"dataset": dataset_config,
"record": record_config,
}
class RollingOnlineExample: class RollingOnlineExample:
@@ -83,9 +28,13 @@ class RollingOnlineExample:
task_url="mongodb://10.0.0.4:27017/", task_url="mongodb://10.0.0.4:27017/",
task_db_name="rolling_db", task_db_name="rolling_db",
rolling_step=550, rolling_step=550,
tasks=[task_xgboost_config], tasks=None,
add_tasks=[task_lgb_config], add_tasks=None,
): ):
if add_tasks is None:
add_tasks = [CSI100_RECORD_LGB_TASK_CONFIG]
if tasks is None:
tasks = [CSI100_RECORD_XGBOOST_TASK_CONFIG]
mongo_conf = { mongo_conf = {
"task_url": task_url, # your MongoDB url "task_url": task_url, # your MongoDB url
"task_db_name": task_db_name, # database name "task_db_name": task_db_name, # database name

49
examples/online_srv/update_online_pred.py
View File

@@ -7,56 +7,19 @@ There are two parts including first_train and update_online_pred.
Firstly, we will finish the training and set the trained models to the `online` models. Firstly, we will finish the training and set the trained models to the `online` models.
Next, we will finish updating online predictions. Next, we will finish updating online predictions.
""" """
import copy
import fire import fire
import qlib import qlib
from qlib.config import REG_CN from qlib.config import REG_CN
from qlib.model.trainer import task_train from qlib.model.trainer import task_train
from qlib.workflow.online.utils import OnlineToolR from qlib.workflow.online.utils import OnlineToolR
from qlib.tests.config import CSI300_GBDT_TASK
data_handler_config = { task = copy.deepcopy(CSI300_GBDT_TASK)
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": "csi100",
}
task = { task["record"] = {
"model": { "class": "SignalRecord",
"class": "LGBModel", "module_path": "qlib.workflow.record_temp",
"module_path": "qlib.contrib.model.gbdt",
"kwargs": {
"loss": "mse",
"colsample_bytree": 0.8879,
"learning_rate": 0.0421,
"subsample": 0.8789,
"lambda_l1": 205.6999,
"lambda_l2": 580.9768,
"max_depth": 8,
"num_leaves": 210,
"num_threads": 20,
},
},
"dataset": {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
},
"record": {
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
},
} }

8
examples/rolling_process_data/workflow.py
View File

@@ -4,13 +4,11 @@
import qlib import qlib
import fire import fire
import pickle import pickle
import pandas as pd
from datetime import datetime from datetime import datetime
from qlib.config import REG_CN from qlib.config import REG_CN
from qlib.data.dataset.handler import DataHandlerLP from qlib.data.dataset.handler import DataHandlerLP
from qlib.contrib.data.handler import Alpha158 from qlib.utils import init_instance_by_config
from qlib.utils import exists_qlib_data, init_instance_by_config
from qlib.tests.data import GetData from qlib.tests.data import GetData
@@ -24,9 +22,7 @@ class RollingDataWorkflow:
def _init_qlib(self): def _init_qlib(self):
"""initialize qlib""" """initialize qlib"""
provider_uri = "~/.qlib/qlib_data/cn_data" # target_dir provider_uri = "~/.qlib/qlib_data/cn_data" # target_dir
if not exists_qlib_data(provider_uri): GetData().qlib_data(target_dir=provider_uri, region=REG_CN, exists_skip=True)
print(f"Qlib data is not found in {provider_uri}")
GetData().qlib_data(target_dir=provider_uri, region=REG_CN)
qlib.init(provider_uri=provider_uri, region=REG_CN) qlib.init(provider_uri=provider_uri, region=REG_CN)
def _dump_pre_handler(self, path): def _dump_pre_handler(self, path):

11
examples/run_all_model.py
View File

@@ -5,13 +5,11 @@ import os
import sys import sys
import fire import fire
import time import time
import venv
import glob import glob
import shutil import shutil
import signal import signal
import inspect import inspect
import tempfile import tempfile
import traceback
import functools import functools
import statistics import statistics
import subprocess import subprocess
@@ -23,8 +21,7 @@ from pprint import pprint
import qlib import qlib
from qlib.config import REG_CN from qlib.config import REG_CN
from qlib.workflow import R from qlib.workflow import R
from qlib.workflow.cli import workflow from qlib.tests.data import GetData
from qlib.utils import exists_qlib_data
# init qlib # init qlib
@@ -39,12 +36,8 @@ exp_manager = {
"default_exp_name": "Experiment", "default_exp_name": "Experiment",
}, },
} }
if not exists_qlib_data(provider_uri):
print(f"Qlib data is not found in {provider_uri}")
sys.path.append(str(Path(__file__).resolve().parent.parent.joinpath("scripts")))
from get_data import GetData
GetData().qlib_data(target_dir=provider_uri, region=REG_CN) GetData().qlib_data(target_dir=provider_uri, region=REG_CN, exists_skip=True)
qlib.init(provider_uri=provider_uri, region=REG_CN, exp_manager=exp_manager) qlib.init(provider_uri=provider_uri, region=REG_CN, exp_manager=exp_manager)
# decorator to check the arguments # decorator to check the arguments

7
examples/workflow_by_code.py
View File

@@ -12,10 +12,7 @@ if __name__ == "__main__":
# use default data # use default data
provider_uri = "~/.qlib/qlib_data/cn_data" # target_dir provider_uri = "~/.qlib/qlib_data/cn_data" # target_dir
if not exists_qlib_data(provider_uri): GetData().qlib_data(target_dir=provider_uri, region=REG_CN, exists_skip=True)
print(f"Qlib data is not found in {provider_uri}")
GetData().qlib_data(target_dir=provider_uri, region=REG_CN)
qlib.init(provider_uri=provider_uri, region=REG_CN) qlib.init(provider_uri=provider_uri, region=REG_CN)
market = "csi300" market = "csi300"
@@ -112,7 +109,7 @@ if __name__ == "__main__":
# start exp # start exp
with R.start(experiment_name="workflow"): with R.start(experiment_name="workflow"):
R.log_params(**flatten_dict(task)) R.log_params(**flatten_dict(CSI300_GBDT_TASK))
model.fit(dataset) model.fit(dataset)
R.save_objects(**{"params.pkl": model}) R.save_objects(**{"params.pkl": model})

15
qlib/contrib/model/catboost_model.py
View File

@@ -10,9 +10,10 @@ from catboost.utils import get_gpu_device_count
from ...model.base import Model from ...model.base import Model
from ...data.dataset import DatasetH from ...data.dataset import DatasetH
from ...data.dataset.handler import DataHandlerLP from ...data.dataset.handler import DataHandlerLP
from ...model.interpret.base import FeatureInt
class CatBoostModel(Model): class CatBoostModel(Model, FeatureInt):
"""CatBoost Model""" """CatBoost Model"""
def __init__(self, loss="RMSE", **kwargs): def __init__(self, loss="RMSE", **kwargs):
@@ -69,6 +70,18 @@ class CatBoostModel(Model):
x_test = dataset.prepare(segment, col_set="feature", data_key=DataHandlerLP.DK_I) x_test = dataset.prepare(segment, col_set="feature", data_key=DataHandlerLP.DK_I)
return pd.Series(self.model.predict(x_test.values), index=x_test.index) return pd.Series(self.model.predict(x_test.values), index=x_test.index)
def get_feature_importance(self, *args, **kwargs) -> pd.Series:
"""get feature importance
Notes
-----
parameters references:
https://catboost.ai/docs/concepts/python-reference_catboost_get_feature_importance.html#python-reference_catboost_get_feature_importance
"""
return pd.Series(
data=self.model.get_feature_importance(*args, **kwargs), index=self.model.feature_names_
).sort_values(ascending=False)
if __name__ == "__main__": if __name__ == "__main__":
cat = CatBoostModel() cat = CatBoostModel()

24
qlib/contrib/model/double_ensemble.py
View File

@@ -8,10 +8,11 @@ from typing import Text, Union
from ...model.base import Model from ...model.base import Model
from ...data.dataset import DatasetH from ...data.dataset import DatasetH
from ...data.dataset.handler import DataHandlerLP from ...data.dataset.handler import DataHandlerLP
from ...model.interpret.base import FeatureInt
from ...log import get_module_logger from ...log import get_module_logger
class DEnsembleModel(Model): class DEnsembleModel(Model, FeatureInt):
"""Double Ensemble Model""" """Double Ensemble Model"""
def __init__( def __init__(
@@ -121,8 +122,8 @@ class DEnsembleModel(Model):
else: else:
raise ValueError("LightGBM doesn't support multi-label training") raise ValueError("LightGBM doesn't support multi-label training")
dtrain = lgb.Dataset(x_train.values, label=y_train, weight=weights) dtrain = lgb.Dataset(x_train, label=y_train, weight=weights)
dvalid = lgb.Dataset(x_valid.values, label=y_valid) dvalid = lgb.Dataset(x_valid, label=y_valid)
return dtrain, dvalid return dtrain, dvalid
def sample_reweight(self, loss_curve, loss_values, k_th): def sample_reweight(self, loss_curve, loss_values, k_th):
@@ -203,8 +204,8 @@ class DEnsembleModel(Model):
for i_b, b in enumerate(sorted_bins): for i_b, b in enumerate(sorted_bins):
b_feat = features[g["bins"] == b] b_feat = features[g["bins"] == b]
num_feat = int(np.ceil(self.sample_ratios[i_b] * len(b_feat))) num_feat = int(np.ceil(self.sample_ratios[i_b] * len(b_feat)))
res_feat = res_feat + np.random.choice(b_feat, size=num_feat).tolist() res_feat = res_feat + np.random.choice(b_feat, size=num_feat, replace=False).tolist()
return pd.Index(res_feat) return pd.Index(set(res_feat))
def get_loss(self, label, pred): def get_loss(self, label, pred):
if self.loss == "mse": if self.loss == "mse":
@@ -249,3 +250,16 @@ class DEnsembleModel(Model):
x_data, y_data = df_data["feature"].loc[:, features], df_data["label"] x_data, y_data = df_data["feature"].loc[:, features], df_data["label"]
pred_sub = pd.Series(submodel.predict(x_data.values), index=x_data.index) pred_sub = pd.Series(submodel.predict(x_data.values), index=x_data.index)
return pred_sub return pred_sub
def get_feature_importance(self, *args, **kwargs) -> pd.Series:
"""get feature importance
Notes
-----
parameters reference:
https://lightgbm.readthedocs.io/en/latest/pythonapi/lightgbm.Booster.html?highlight=feature_importance#lightgbm.Booster.feature_importance
"""
res = []
for _model, _weight in zip(self.ensemble, self.sub_weights):
res.append(pd.Series(_model.feature_importance(*args, **kwargs), index=_model.feature_name()) * _weight)
return pd.concat(res, axis=1, sort=False).sum(axis=1).sort_values(ascending=False)

7
qlib/contrib/model/gbdt.py
View File

@@ -8,9 +8,10 @@ from typing import Text, Union
from ...model.base import ModelFT from ...model.base import ModelFT
from ...data.dataset import DatasetH from ...data.dataset import DatasetH
from ...data.dataset.handler import DataHandlerLP from ...data.dataset.handler import DataHandlerLP
from ...model.interpret.base import LightGBMFInt
class LGBModel(ModelFT): class LGBModel(ModelFT, LightGBMFInt):
"""LightGBM Model""" """LightGBM Model"""
def __init__(self, loss="mse", **kwargs): def __init__(self, loss="mse", **kwargs):
@@ -33,8 +34,8 @@ class LGBModel(ModelFT):
else: else:
raise ValueError("LightGBM doesn't support multi-label training") raise ValueError("LightGBM doesn't support multi-label training")
dtrain = lgb.Dataset(x_train.values, label=y_train) dtrain = lgb.Dataset(x_train, label=y_train)
dvalid = lgb.Dataset(x_valid.values, label=y_valid) dvalid = lgb.Dataset(x_valid, label=y_valid)
return dtrain, dvalid return dtrain, dvalid
def fit( def fit(

15
qlib/contrib/model/highfreq_gdbt_model.py
View File

@@ -1,17 +1,18 @@
# Copyright (c) Microsoft Corporation. # Copyright (c) Microsoft Corporation.
# Licensed under the MIT License. # Licensed under the MIT License.
import warnings
import numpy as np import numpy as np
import pandas as pd import pandas as pd
import lightgbm as lgb import lightgbm as lgb
from qlib.model.base import ModelFT from ...model.base import ModelFT
from qlib.data.dataset import DatasetH from ...data.dataset import DatasetH
from qlib.data.dataset.handler import DataHandlerLP from ...data.dataset.handler import DataHandlerLP
import warnings from ...model.interpret.base import LightGBMFInt
class HFLGBModel(ModelFT): class HFLGBModel(ModelFT, LightGBMFInt):
"""LightGBM Model for high frequency prediction""" """LightGBM Model for high frequency prediction"""
def __init__(self, loss="mse", **kwargs): def __init__(self, loss="mse", **kwargs):
@@ -97,8 +98,8 @@ class HFLGBModel(ModelFT):
else: else:
raise ValueError("LightGBM doesn't support multi-label training") raise ValueError("LightGBM doesn't support multi-label training")
dtrain = lgb.Dataset(x_train.values, label=y_train) dtrain = lgb.Dataset(x_train, label=y_train)
dvalid = lgb.Dataset(x_valid.values, label=y_valid) dvalid = lgb.Dataset(x_valid, label=y_valid)
return dtrain, dvalid return dtrain, dvalid
def fit( def fit(

17
qlib/contrib/model/xgboost.py
View File

@@ -8,9 +8,10 @@ from typing import Text, Union
from ...model.base import Model from ...model.base import Model
from ...data.dataset import DatasetH from ...data.dataset import DatasetH
from ...data.dataset.handler import DataHandlerLP from ...data.dataset.handler import DataHandlerLP
from ...model.interpret.base import FeatureInt
class XGBModel(Model): class XGBModel(Model, FeatureInt):
"""XGBModel Model""" """XGBModel Model"""
def __init__(self, **kwargs): def __init__(self, **kwargs):
@@ -42,8 +43,8 @@ class XGBModel(Model):
else: else:
raise ValueError("XGBoost doesn't support multi-label training") raise ValueError("XGBoost doesn't support multi-label training")
dtrain = xgb.DMatrix(x_train.values, label=y_train_1d) dtrain = xgb.DMatrix(x_train, label=y_train_1d)
dvalid = xgb.DMatrix(x_valid.values, label=y_valid_1d) dvalid = xgb.DMatrix(x_valid, label=y_valid_1d)
self.model = xgb.train( self.model = xgb.train(
self._params, self._params,
dtrain=dtrain, dtrain=dtrain,
@@ -62,3 +63,13 @@ class XGBModel(Model):
raise ValueError("model is not fitted yet!") raise ValueError("model is not fitted yet!")
x_test = dataset.prepare(segment, col_set="feature", data_key=DataHandlerLP.DK_I) x_test = dataset.prepare(segment, col_set="feature", data_key=DataHandlerLP.DK_I)
return pd.Series(self.model.predict(xgb.DMatrix(x_test.values)), index=x_test.index) return pd.Series(self.model.predict(xgb.DMatrix(x_test.values)), index=x_test.index)
def get_feature_importance(self, *args, **kwargs) -> pd.Series:
"""get feature importance
Notes
-------
parameters reference:
https://xgboost.readthedocs.io/en/latest/python/python_api.html#xgboost.Booster.get_score
"""
return pd.Series(self.model.get_score(*args, **kwargs)).sort_values(ascending=False)

0
qlib/model/interpret/__init__.py Normal file
View File

40
qlib/model/interpret/base.py Normal file
View File

@@ -0,0 +1,40 @@
# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
"""
Interfaces to interpret models
"""
import pandas as pd
from abc import abstractmethod
class FeatureInt:
"""Feature (Int)erpreter"""
@abstractmethod
def get_feature_importance(self) -> pd.Series:
"""get feature importance
Returns
-------
The index is the feature name.
The greater the value, the higher importance.
"""
class LightGBMFInt(FeatureInt):
"""LightGBM (F)eature (Int)erpreter"""
def get_feature_importance(self, *args, **kwargs) -> pd.Series:
"""get feature importance
Notes
-----
parameters reference:
https://lightgbm.readthedocs.io/en/latest/pythonapi/lightgbm.Booster.html?highlight=feature_importance#lightgbm.Booster.feature_importance
"""
return pd.Series(self.model.feature_importance(*args, **kwargs), index=self.model.feature_name()).sort_values(
ascending=False
)

19
qlib/tests/__init__.py
View File

@@ -1,6 +1,4 @@
import sys
import unittest import unittest
from ..utils import exists_qlib_data
from .data import GetData from .data import GetData
from .. import init from .. import init
from ..config import REG_CN from ..config import REG_CN
@@ -14,14 +12,13 @@ class TestAutoData(unittest.TestCase):
@classmethod @classmethod
def setUpClass(cls) -> None: def setUpClass(cls) -> None:
# use default data # use default data
if not exists_qlib_data(cls.provider_uri):
print(f"Qlib data is not found in {cls.provider_uri}")
GetData().qlib_data( GetData().qlib_data(
name="qlib_data_simple", name="qlib_data_simple",
region="cn", region=REG_CN,
interval="1d", interval="1d",
target_dir=cls.provider_uri, target_dir=cls.provider_uri,
delete_old=False, delete_old=False,
) exists_skip=True,
)
init(provider_uri=cls.provider_uri, region=REG_CN, **cls._setup_kwargs) init(provider_uri=cls.provider_uri, region=REG_CN, **cls._setup_kwargs)

108
qlib/tests/config.py Normal file
View File

@@ -0,0 +1,108 @@
# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
CSI300_MARKET = "csi300"
CSI100_MARKET = "csi100"
CSI300_BENCH = "SH000300"
DATASET_ALPHA158_CLASS = "Alpha158"
DATASET_ALPHA360_CLASS = "Alpha360"
###################################
# config
###################################
GBDT_MODEL = {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
"kwargs": {
"loss": "mse",
"colsample_bytree": 0.8879,
"learning_rate": 0.0421,
"subsample": 0.8789,
"lambda_l1": 205.6999,
"lambda_l2": 580.9768,
"max_depth": 8,
"num_leaves": 210,
"num_threads": 20,
},
}
RECORD_CONFIG = [
{
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
},
{
"class": "SigAnaRecord",
"module_path": "qlib.workflow.record_temp",
},
]
def get_data_handler_config(market=CSI300_MARKET):
return {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": market,
}
def get_dataset_config(market=CSI300_MARKET, dataset_class=DATASET_ALPHA158_CLASS):
return {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": dataset_class,
"module_path": "qlib.contrib.data.handler",
"kwargs": get_data_handler_config(market),
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
}
def get_gbdt_task(market=CSI300_MARKET):
return {
"model": GBDT_MODEL,
"dataset": get_dataset_config(market),
}
def get_record_lgb_config(market=CSI300_MARKET):
return {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
},
"dataset": get_dataset_config(market),
"record": RECORD_CONFIG,
}
def get_record_xgboost_config(market=CSI300_MARKET):
return {
"model": {
"class": "XGBModel",
"module_path": "qlib.contrib.model.xgboost",
},
"dataset": get_dataset_config(market),
"record": RECORD_CONFIG,
}
CSI300_DATASET_CONFIG = get_dataset_config(market=CSI300_MARKET)
CSI300_GBDT_TASK = get_gbdt_task(market=CSI300_MARKET)
CSI100_RECORD_XGBOOST_TASK_CONFIG = get_record_xgboost_config(market=CSI100_MARKET)
CSI100_RECORD_LGB_TASK_CONFIG = get_record_lgb_config(market=CSI100_MARKET)

11
qlib/tests/data.py
View File

@@ -10,6 +10,7 @@ import datetime
from tqdm import tqdm from tqdm import tqdm
from pathlib import Path from pathlib import Path
from loguru import logger from loguru import logger
from qlib.utils import exists_qlib_data
class GetData: class GetData:
@@ -112,6 +113,7 @@ class GetData:
interval="1d", interval="1d",
region="cn", region="cn",
delete_old=True, delete_old=True,
exists_skip=False,
): ):
"""download cn qlib data from remote """download cn qlib data from remote
@@ -129,6 +131,8 @@ class GetData:
data region, value from [cn, us], by default cn data region, value from [cn, us], by default cn
delete_old: bool delete_old: bool
delete an existing directory, by default True delete an existing directory, by default True
exists_skip: bool
exists skip, by default False
Examples Examples
--------- ---------
@@ -140,6 +144,13 @@ class GetData:
------- -------
""" """
if exists_skip and exists_qlib_data(target_dir):
logger.warning(
f"Data already exists: {target_dir}, the data download will be skipped\n"
f"\tIf downloading is required: `exists_skip=False` or `change target_dir`"
)
return
qlib_version = ".".join(re.findall(r"(\d+)\.+", qlib.__version__)) qlib_version = ".".join(re.findall(r"(\d+)\.+", qlib.__version__))
def _get_file_name(v): def _get_file_name(v):

1
scripts/data_collector/yahoo/requirements.txt
View File

@@ -5,5 +5,4 @@ numpy
pandas pandas
tqdm tqdm
lxml lxml
loguru
yahooquery yahooquery

22
tests/dataset_tests/test_datalayer.py
View File

@@ -1,26 +1,10 @@
import sys
from pathlib import Path
import qlib
from qlib.data import D
from qlib.config import REG_CN
import unittest import unittest
import numpy as np import numpy as np
from qlib.utils import exists_qlib_data from qlib.data import D
from qlib.tests import TestAutoData
class TestDataset(unittest.TestCase): class TestDataset(TestAutoData):
@classmethod
def setUpClass(cls) -> None:
# use default data
provider_uri = "~/.qlib/qlib_data/cn_data_simple" # target_dir
if not exists_qlib_data(provider_uri):
print(f"Qlib data is not found in {provider_uri}")
sys.path.append(str(Path(__file__).resolve().parent.parent.parent.joinpath("scripts")))
from get_data import GetData
GetData().qlib_data(name="qlib_data_simple", target_dir=provider_uri)
qlib.init(provider_uri=provider_uri, region=REG_CN)
def testCSI300(self): def testCSI300(self):
close_p = D.features(D.instruments("csi300"), ["$close"]) close_p = D.features(D.instruments("csi300"), ["$close"])
size = close_p.groupby("datetime").size() size = close_p.groupby("datetime").size()

66
tests/test_all_pipeline.py
View File

@@ -12,55 +12,7 @@ from qlib.utils import init_instance_by_config, flatten_dict
from qlib.workflow import R from qlib.workflow import R
from qlib.workflow.record_temp import SignalRecord, SigAnaRecord, PortAnaRecord from qlib.workflow.record_temp import SignalRecord, SigAnaRecord, PortAnaRecord
from qlib.tests import TestAutoData from qlib.tests import TestAutoData
from qlib.tests.config import CSI300_GBDT_TASK, CSI300_BENCH
market = "csi300"
benchmark = "SH000300"
###################################
# train model
###################################
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": market,
}
task = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
"kwargs": {
"loss": "mse",
"colsample_bytree": 0.8879,
"learning_rate": 0.0421,
"subsample": 0.8789,
"lambda_l1": 205.6999,
"lambda_l2": 580.9768,
"max_depth": 8,
"num_leaves": 210,
"num_threads": 20,
},
},
"dataset": {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
},
}
port_analysis_config = { port_analysis_config = {
"strategy": { "strategy": {
@@ -75,7 +27,7 @@ port_analysis_config = {
"verbose": False, "verbose": False,
"limit_threshold": 0.095, "limit_threshold": 0.095,
"account": 100000000, "account": 100000000,
"benchmark": benchmark, "benchmark": CSI300_BENCH,
"deal_price": "close", "deal_price": "close",
"open_cost": 0.0005, "open_cost": 0.0005,
"close_cost": 0.0015, "close_cost": 0.0015,
@@ -96,15 +48,15 @@ def train():
""" """
# model initiaiton # model initiaiton
model = init_instance_by_config(task["model"]) model = init_instance_by_config(CSI300_GBDT_TASK["model"])
dataset = init_instance_by_config(task["dataset"]) dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
# To test __repr__ # To test __repr__
print(dataset) print(dataset)
print(R) print(R)
# start exp # start exp
with R.start(experiment_name="workflow"): with R.start(experiment_name="workflow"):
R.log_params(**flatten_dict(task)) R.log_params(**flatten_dict(CSI300_GBDT_TASK))
model.fit(dataset) model.fit(dataset)
# prediction # prediction
@@ -137,12 +89,12 @@ def train_with_sigana():
performance: dict performance: dict
model performance model performance
""" """
model = init_instance_by_config(task["model"]) model = init_instance_by_config(CSI300_GBDT_TASK["model"])
dataset = init_instance_by_config(task["dataset"]) dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
# start exp # start exp
with R.start(experiment_name="workflow_with_sigana"): with R.start(experiment_name="workflow_with_sigana"):
R.log_params(**flatten_dict(task)) R.log_params(**flatten_dict(CSI300_GBDT_TASK))
model.fit(dataset) model.fit(dataset)
# predict and calculate ic and ric # predict and calculate ic and ric
@@ -171,7 +123,7 @@ def fake_experiment():
default_uri = R.get_uri() default_uri = R.get_uri()
current_uri = "file:./temp-test-exp-mag" current_uri = "file:./temp-test-exp-mag"
with R.start(experiment_name="fake_workflow_for_expm", uri=current_uri): with R.start(experiment_name="fake_workflow_for_expm", uri=current_uri):
R.log_params(**flatten_dict(task)) R.log_params(**flatten_dict(CSI300_GBDT_TASK))
current_uri_to_check = R.get_uri() current_uri_to_check = R.get_uri()
default_uri_to_check = R.get_uri() default_uri_to_check = R.get_uri()

65
tests/test_contrib_workflow.py
View File

@@ -1,73 +1,22 @@
# Copyright (c) Microsoft Corporation. # Copyright (c) Microsoft Corporation.
# Licensed under the MIT License. # Licensed under the MIT License.
import sys
import shutil import shutil
import unittest import unittest
from pathlib import Path from pathlib import Path
import qlib
from qlib.config import C
from qlib.contrib.workflow import MultiSegRecord, SignalMseRecord from qlib.contrib.workflow import MultiSegRecord, SignalMseRecord
from qlib.utils import init_instance_by_config, flatten_dict from qlib.utils import init_instance_by_config, flatten_dict
from qlib.workflow import R from qlib.workflow import R
from qlib.tests import TestAutoData from qlib.tests import TestAutoData
from qlib.tests.config import CSI300_GBDT_TASK
market = "csi300"
benchmark = "SH000300"
###################################
# train model
###################################
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": market,
}
task = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
"kwargs": {
"loss": "mse",
"colsample_bytree": 0.8879,
"learning_rate": 0.0421,
"subsample": 0.8789,
"lambda_l1": 205.6999,
"lambda_l2": 580.9768,
"max_depth": 8,
"num_leaves": 210,
"num_threads": 20,
},
},
"dataset": {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
},
}
def train_multiseg(): def train_multiseg():
model = init_instance_by_config(task["model"]) model = init_instance_by_config(CSI300_GBDT_TASK["model"])
dataset = init_instance_by_config(task["dataset"]) dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
with R.start(experiment_name="workflow"): with R.start(experiment_name="workflow"):
R.log_params(**flatten_dict(task)) R.log_params(**flatten_dict(CSI300_GBDT_TASK))
model.fit(dataset) model.fit(dataset)
recorder = R.get_recorder() recorder = R.get_recorder()
sr = MultiSegRecord(model, dataset, recorder) sr = MultiSegRecord(model, dataset, recorder)
@@ -77,10 +26,10 @@ def train_multiseg():
def train_mse(): def train_mse():
model = init_instance_by_config(task["model"]) model = init_instance_by_config(CSI300_GBDT_TASK["model"])
dataset = init_instance_by_config(task["dataset"]) dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
with R.start(experiment_name="workflow"): with R.start(experiment_name="workflow"):
R.log_params(**flatten_dict(task)) R.log_params(**flatten_dict(CSI300_GBDT_TASK))
model.fit(dataset) model.fit(dataset)
recorder = R.get_recorder() recorder = R.get_recorder()
sr = SignalMseRecord(recorder, model=model, dataset=dataset) sr = SignalMseRecord(recorder, model=model, dataset=dataset)

9
tests/test_get_data.py
View File

@@ -1,16 +1,13 @@
# Copyright (c) Microsoft Corporation. # Copyright (c) Microsoft Corporation.
# Licensed under the MIT License. # Licensed under the MIT License.
import sys
import shutil import shutil
import unittest import unittest
from pathlib import Path from pathlib import Path
sys.path.append(str(Path(__file__).resolve().parent.parent.joinpath("scripts")))
from get_data import GetData
import qlib import qlib
from qlib.data import D from qlib.data import D
from qlib.tests.data import GetData
DATA_DIR = Path(__file__).parent.joinpath("test_get_data") DATA_DIR = Path(__file__).parent.joinpath("test_get_data")
SOURCE_DIR = DATA_DIR.joinpath("source") SOURCE_DIR = DATA_DIR.joinpath("source")
@@ -37,7 +34,9 @@ class TestGetData(unittest.TestCase):
def test_0_qlib_data(self): def test_0_qlib_data(self):
GetData().qlib_data(name="qlib_data_simple", target_dir=QLIB_DIR, region="cn", interval="1d", delete_old=False) GetData().qlib_data(
name="qlib_data_simple", target_dir=QLIB_DIR, region="cn", interval="1d", delete_old=False, exists_skip=True
)
df = D.features(D.instruments("csi300"), self.FIELDS) df = D.features(D.instruments("csi300"), self.FIELDS)
self.assertListEqual(list(df.columns), self.FIELDS, "get qlib data failed") self.assertListEqual(list(df.columns), self.FIELDS, "get qlib data failed")
self.assertFalse(df.dropna().empty, "get qlib data failed") self.assertFalse(df.dropna().empty, "get qlib data failed")

5
tests/test_register_ops.py
View File

@@ -1,17 +1,12 @@
# Copyright (c) Microsoft Corporation. # Copyright (c) Microsoft Corporation.
# Licensed under the MIT License. # Licensed under the MIT License.
import sys
import unittest import unittest
import numpy as np import numpy as np
import qlib
from qlib.data import D from qlib.data import D
from qlib.data.ops import ElemOperator, PairOperator from qlib.data.ops import ElemOperator, PairOperator
from qlib.config import REG_CN
from qlib.utils import exists_qlib_data
from qlib.tests import TestAutoData from qlib.tests import TestAutoData
from qlib.tests.data import GetData
class Diff(ElemOperator): class Diff(ElemOperator):