replace multi processing with joblib (#477)

* replace multi processing with joblib

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* Fix Parallel support for maxtasksperchild

Co-authored-by: wangw <1666490690@qq.com>
Co-authored-by: zhupr <zhu.pengrong@foxmail.com>

qlib/config.py

@@ -92,6 +92,8 @@ _default_config = {
     "kernels": NUM_USABLE_CPU,
     # How many tasks belong to one process. Recommend 1 for high-frequency data and None for daily data.
     "maxtasksperchild": None,
+    # If joblib_backend is None, use loky
+    "joblib_backend": "multiprocessing",
     "default_disk_cache": 1,  # 0:skip/1:use
     "mem_cache_size_limit": 500,
     # memory cache expire second, only in used 'DatasetURICache' and 'client D.calendar'

qlib/data/data.py

@@ -9,16 +9,15 @@ import os
 import re
 import abc
 import copy
-import time
 import queue
 import bisect
-import logging
-import importlib
-import traceback
 from typing import List, Union
+
 import numpy as np
 import pandas as pd
-from multiprocessing import Pool
+
+# For supporting multiprocessing in outter code, joblib is used
+from joblib import delayed
 
 from .cache import H
 from ..config import C
@@ -29,6 +28,7 @@ from .base import Feature
 from .cache import DiskDatasetCache, DiskExpressionCache
 from ..utils import Wrapper, init_instance_by_config, register_wrapper, get_module_by_module_path
 from ..utils.resam import resam_calendar
+from ..utils.paral import ParallelExt
 
 
 class ProviderBackendMixin:
@@ -418,16 +418,7 @@ class DatasetProvider(abc.ABC):
         """
         raise NotImplementedError("Subclass of DatasetProvider must implement `Dataset` method")
 
-    def _uri(
-        self,
-        instruments,
-        fields,
-        start_time=None,
-        end_time=None,
-        freq="day",
-        disk_cache=1,
-        **kwargs,
-    ):
+    def _uri(self, instruments, fields, start_time=None, end_time=None, freq="day", disk_cache=1, **kwargs):
         """Get task uri, used when generating rabbitmq task in qlib_server
 
         Parameters
@@ -494,51 +485,37 @@ class DatasetProvider(abc.ABC):
 
         """
         normalize_column_names = normalize_cache_fields(column_names)
-        data = dict()
         # One process for one task, so that the memory will be freed quicker.
         workers = max(min(C.kernels, len(instruments_d)), 1)
 
-        if C.maxtasksperchild is None:
-            p = Pool(processes=workers)
-        else:
-            p = Pool(processes=workers, maxtasksperchild=C.maxtasksperchild)
+        # create iterator
         if isinstance(instruments_d, dict):
-            for inst, spans in instruments_d.items():
-                data[inst] = p.apply_async(
-                    DatasetProvider.expression_calculator,
-                    args=(
-                        inst,
-                        start_time,
-                        end_time,
-                        freq,
-                        normalize_column_names,
-                        spans,
-                        C,
-                    ),
-                )
+            it = instruments_d.items()
         else:
-            for inst in instruments_d:
-                data[inst] = p.apply_async(
-                    DatasetProvider.expression_calculator,
-                    args=(
-                        inst,
-                        start_time,
-                        end_time,
-                        freq,
-                        normalize_column_names,
-                        None,
-                        C,
-                    ),
-                )
+            it = zip(instruments_d, [None] * len(instruments_d))
 
-        p.close()
-        p.join()
+        inst_l = []
+        task_l = []
+        for inst, spans in it:
+            inst_l.append(inst)
+            task_l.append(
+                delayed(DatasetProvider.expression_calculator)(
+                    inst, start_time, end_time, freq, normalize_column_names, spans, C
+                )
+            )
+
+        data = dict(
+            zip(
+                inst_l,
+                ParallelExt(n_jobs=workers, backend=C.joblib_backend, maxtasksperchild=C.maxtasksperchild)(task_l),
+            )
+        )
 
         new_data = dict()
         for inst in sorted(data.keys()):
-            if len(data[inst].get()) > 0:
+            if len(data[inst]) > 0:
                 # NOTE: Python version >= 3.6; in versions after python3.6, dict will always guarantee the insertion order
-                new_data[inst] = data[inst].get()
+                new_data[inst] = data[inst]
 
         if len(new_data) > 0:
             data = pd.concat(new_data, names=["instrument"], sort=False)
@@ -755,25 +732,11 @@ class LocalDatasetProvider(DatasetProvider):
         start_time = cal[0]
         end_time = cal[-1]
         workers = max(min(C.kernels, len(instruments_d)), 1)
-        if C.maxtasksperchild is None:
-            p = Pool(processes=workers)
-        else:
-            p = Pool(processes=workers, maxtasksperchild=C.maxtasksperchild)
 
-        for inst in instruments_d:
-            p.apply_async(
-                LocalDatasetProvider.cache_walker,
-                args=(
-                    inst,
-                    start_time,
-                    end_time,
-                    freq,
-                    column_names,
-                ),
-            )
-
-        p.close()
-        p.join()
+        ParallelExt(n_jobs=workers, backend=C.joblib_backend, maxtasksperchild=C.maxtasksperchild)(
+            delayed(LocalDatasetProvider.cache_walker)(inst, start_time, end_time, freq, column_names)
+            for inst in instruments_d
+        )
 
     @staticmethod
     def cache_walker(inst, start_time, end_time, freq, column_names):
@@ -803,12 +766,7 @@ class ClientCalendarProvider(CalendarProvider):
 
         self.conn.send_request(
             request_type="calendar",
-            request_content={
-                "start_time": str(start_time),
-                "end_time": str(end_time),
-                "freq": freq,
-                "future": future,
-            },
+            request_content={"start_time": str(start_time), "end_time": str(end_time), "freq": freq, "future": future},
             msg_queue=self.queue,
             msg_proc_func=lambda response_content: [pd.Timestamp(c) for c in response_content],
         )
@@ -871,16 +829,7 @@ class ClientDatasetProvider(DatasetProvider):
         self.conn = conn
         self.queue = queue.Queue()
 
-    def dataset(
-        self,
-        instruments,
-        fields,
-        start_time=None,
-        end_time=None,
-        freq="day",
-        disk_cache=0,
-        return_uri=False,
-    ):
+    def dataset(self, instruments, fields, start_time=None, end_time=None, freq="day", disk_cache=0, return_uri=False):
         if Inst.get_inst_type(instruments) == Inst.DICT:
             get_module_logger("data").warning(
                 "Getting features from a dict of instruments is not recommended because the features will not be "
@@ -984,15 +933,7 @@ class BaseProvider:
     def list_instruments(self, instruments, start_time=None, end_time=None, freq="day", as_list=False):
         return Inst.list_instruments(instruments, start_time, end_time, freq, as_list)
 
-    def features(
-        self,
-        instruments,
-        fields,
-        start_time=None,
-        end_time=None,
-        freq="day",
-        disk_cache=None,
-    ):
+    def features(self, instruments, fields, start_time=None, end_time=None, freq="day", disk_cache=None):
         """
         Parameters:
         -----------

qlib/utils/paral.py

@@ -1,8 +1,17 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 
-from joblib import Parallel, delayed
 import pandas as pd
+from joblib import Parallel, delayed
+from joblib._parallel_backends import MultiprocessingBackend
+
+
+class ParallelExt(Parallel):
+    def __init__(self, *args, **kwargs):
+        maxtasksperchild = kwargs.pop("maxtasksperchild", None)
+        super(ParallelExt, self).__init__(*args, **kwargs)
+        if isinstance(self._backend, MultiprocessingBackend):
+            self._backend_args["maxtasksperchild"] = maxtasksperchild
 
 
 def datetime_groupby_apply(df, apply_func, axis=0, level="datetime", resample_rule="M", n_jobs=-1, skip_group=False):
@@ -31,7 +40,7 @@ def datetime_groupby_apply(df, apply_func, axis=0, level="datetime", resample_ru
         return df.groupby(axis=axis, level=level).apply(apply_func)
 
     if n_jobs != 1:
-        dfs = Parallel(n_jobs=n_jobs)(
+        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)
         )
         return pd.concat(dfs, axis=axis).sort_index()

tests/misc/test_get_multi_proc.py

@@ -0,0 +1,39 @@
+#  Copyright (c) Microsoft Corporation.
+#  Licensed under the MIT License.
+
+import unittest
+
+import qlib
+from qlib.data import D
+from qlib.tests import TestAutoData
+from multiprocessing import Pool
+
+
+def get_features(fields):
+    qlib.init(provider_uri=TestAutoData.provider_uri, expression_cache=None, dataset_cache=None, joblib_backend="loky")
+    return D.features(D.instruments("csi300"), fields)
+
+
+class TestGetData(TestAutoData):
+    FIELDS = "$open,$close,$high,$low,$volume,$factor,$change".split(",")
+
+    def test_multi_proc(self):
+        """
+        For testing if it will raise error
+        """
+        iter_n = 2
+        pool = Pool(iter_n)
+
+        res = []
+        for _ in range(iter_n):
+            res.append(pool.apply_async(get_features, (self.FIELDS,), {}))
+
+        for r in res:
+            print(r.get())
+
+        pool.close()
+        pool.join()
+
+
+if __name__ == "__main__":
+    unittest.main()