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Merge remote-tracking branch 'microsoft/main' into online_srv

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lzh222333
2021-06-01 08:29:02 +00:00
parent ab6b88ce14 4ff0c4fb0f
commit 231bdf8608
43 changed files with 1685 additions and 889 deletions
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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.task.gen import RollingGen
from qlib.workflow.task.manage import TaskManager
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,
}
from qlib.tests.config import CSI100_RECORD_LGB_TASK_CONFIG, CSI100_RECORD_XGBOOST_TASK_CONFIG
class OnlineSimulationExample:
@@ -84,7 +28,7 @@ class OnlineSimulationExample:
rolling_step=80,
start_time="2018-09-10",
end_time="2018-10-31",
tasks=[task_xgboost_config, task_lgb_config],
tasks=None,
):
"""
Init OnlineManagerExample.
@@ -101,6 +45,8 @@ class OnlineSimulationExample:
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
"""
if tasks is None:
tasks = [CSI100_RECORD_XGBOOST_TASK_CONFIG, CSI100_RECORD_LGB_TASK_CONFIG]
self.exp_name = exp_name
self.task_pool = task_pool
self.start_time = start_time

66
examples/online_srv/rolling_online_management.py
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@@ -18,63 +18,7 @@ from qlib.workflow import R
from qlib.workflow.online.strategy import RollingStrategy
from qlib.workflow.task.gen import RollingGen
from qlib.workflow.online.manager import OnlineManager
from qlib.workflow.task.manage import TaskManager, run_task
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,
}
from qlib.tests.config import CSI100_RECORD_XGBOOST_TASK_CONFIG, CSI100_RECORD_LGB_TASK_CONFIG
class RollingOnlineExample:
@@ -86,9 +30,13 @@ class RollingOnlineExample:
task_url="mongodb://10.0.0.4:27017/", # not necessary when using TrainerR or DelayTrainerR
task_db_name="rolling_db", # not necessary when using TrainerR or DelayTrainerR
rolling_step=550,
tasks=[task_xgboost_config],
add_tasks=[task_lgb_config],
tasks=None,
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 = {
"task_url": task_url, # your MongoDB url
"task_db_name": task_db_name, # database name

49
examples/online_srv/update_online_pred.py
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@@ -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.
Next, we will finish updating online predictions.
"""
import copy
import fire
import qlib
from qlib.config import REG_CN
from qlib.model.trainer import task_train
from qlib.workflow.online.utils import OnlineToolR
from qlib.tests.config import CSI300_GBDT_TASK
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",
}
task = copy.deepcopy(CSI300_GBDT_TASK)
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"),
},
},
},
"record": {
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
},
task["record"] = {
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
}