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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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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