add task_generator method and update some hint

qlib/workflow/task/gen.py

@@ -9,11 +9,64 @@ import typing
 from .utils import TimeAdjuster
 
 
+def task_generator(*args, **kwargs) -> list:
+    """
+    Accept the dict of task config and the TaskGen to generate different tasks.
+    There is no limit to the number and position of input.
+    The key of input will add to task config.
+
+    for example:
+        There are 3 task_config(a,b,c) and 2 TaskGen(A,B). A will double the task_config and B will triple.
+        task_generator(a=a, b=b, c=c, A=A, B=B) will finally generate 18 task_config.
+
+    Parameters
+    ----------
+    args : dict or TaskGen
+    kwargs : dict or TaskGen
+
+    Returns
+    -------
+    gen_task_list : list
+        a list of task config after generating
+    """
+    tasks_list = []
+    gen_list = []
+
+    tmp_id = 1
+    for task in args:
+        if isinstance(task, dict):
+            task["task_key"] = tmp_id
+            tmp_id += 1
+            tasks_list.append(task)
+        elif isinstance(task, TaskGen):
+            gen_list.append(task)
+        else:
+            raise NotImplementedError(f"{type(task)} is not supported in task_generator")
+
+    for key, task in kwargs.items():
+        if isinstance(task, dict):
+            task["task_key"] = key
+            tasks_list.append(task)
+        elif isinstance(task, TaskGen):
+            gen_list.append(task)
+        else:
+            raise NotImplementedError(f"{type(task)} is not supported in task_generator")
+
+    # generate gen_task_list
+    gen_task_list = []
+    for gen in gen_list:
+        new_task_list = []
+        for task in tasks_list:
+            new_task_list.extend(gen(task))
+        gen_task_list = new_task_list
+    return gen_task_list
+
+
 class TaskGen(metaclass=abc.ABCMeta):
     @abc.abstractmethod
     def __call__(self, *args, **kwargs) -> typing.List[dict]:
         """
-        generate
+        the base class for generate different tasks
 
         Parameters
         ----------
@@ -35,9 +88,8 @@ class TaskGen(metaclass=abc.ABCMeta):
 
 
 class RollingGen(TaskGen):
-
-    ROLL_EX = TimeAdjuster.SHIFT_EX
-    ROLL_SD = TimeAdjuster.SHIFT_SD
+    ROLL_EX = TimeAdjuster.SHIFT_EX  # fixed start date, expanding end date
+    ROLL_SD = TimeAdjuster.SHIFT_SD  # fixed window size, slide it from start date
 
     def __init__(self, step: int = 40, rtype: str = ROLL_EX):
         """
@@ -48,7 +100,7 @@ class RollingGen(TaskGen):
         step : int
             step to rolling
         rtype : str
-            rolling type (expanding, rolling)
+            rolling type (expanding, sliding)
         """
         self.step = step
         self.rtype = rtype
@@ -111,12 +163,12 @@ class RollingGen(TaskGen):
                 segments = {}
                 try:
                     for k, seg in prev_seg.items():
-                        # 决定怎么shift
+                        # decide how to shift
                         if k == self.train_key and self.rtype == self.ROLL_EX:
                             rtype = self.ta.SHIFT_EX
                         else:
                             rtype = self.ta.SHIFT_SD
-                        # 整段数据做shift
+                        # shift the segments data
                         segments[k] = self.ta.shift(seg, step=self.step, rtype=rtype)
                     if segments[self.test_key][0] > test_end:
                         break