liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-06 12:30:57 +08:00
Code Activity

Supporting Arctic Backend Provider & Orderbook, Tick Data Example (#744)

Browse Source 
* change weight_decay & batchsize

* del weight_decay

* big weight_decay

* mid weight_decay

* small layer

* 2 layer

* full layer

* no weight decay

* divide into two data source

* change parse field

* delete some debug

* add Toperator

* new format of arctic

* fix cache bug to arctic read

* fix connection problem

* add some operator

* final version for arcitc

* clear HZ cache

* remove not used function

* add topswrappers

* successfully import data and run first test

* A simpler version to support arctic

* Successfully run all high-freq expressions

* Black format and fix add docs

* Add docs for download and test data

* update scripts and docs

* Add docs

* fix bug

* Refine docs

* fix test bug

* fix CI error

* clean code

Co-authored-by: bxdd <bxddream@gmail.com>
Co-authored-by: wangwenxi.handsome <wangwenxi.handsome@gmail.com>
Co-authored-by: Young <afe.young@gmail.com>
This commit is contained in:
luocy16
2022-01-18 09:13:11 +08:00
committed by GitHub
parent 7f274b1e4e
commit 2bb8a4ce0e
16 changed files with 923 additions and 90 deletions
Download Patch File Download Diff File Expand all files Collapse all files

36
README.md
View File

@@ -11,23 +11,24 @@
Recent released features
| Feature | Status |
| -- | ------ |
| Meta-Learning-based framework & DDG-DA | [Released](https://github.com/microsoft/qlib/pull/743) on Jan 10, 2022 |
| Planning-based portfolio optimization | [Released](https://github.com/microsoft/qlib/pull/754) on Dec 28, 2021 |
| Release Qlib v0.8.0 | [Released](https://github.com/microsoft/qlib/releases/tag/v0.8.0) on Dec 8, 2021 |
| ADD model | [Released](https://github.com/microsoft/qlib/pull/704) on Nov 22, 2021 |
| ADARNN model | [Released](https://github.com/microsoft/qlib/pull/689) on Nov 14, 2021 |
| TCN model | [Released](https://github.com/microsoft/qlib/pull/668) on Nov 4, 2021 |
| Nested Decision Framework | [Released](https://github.com/microsoft/qlib/pull/438) on Oct 1, 2021. [Example](https://github.com/microsoft/qlib/blob/main/examples/nested_decision_execution/workflow.py) and [Doc](https://qlib.readthedocs.io/en/latest/component/highfreq.html) |
|Temporal Routing Adaptor (TRA) | [Released](https://github.com/microsoft/qlib/pull/531) on July 30, 2021 |
| Transformer & Localformer | [Released](https://github.com/microsoft/qlib/pull/508) on July 22, 2021 |
| Release Qlib v0.7.0 | [Released](https://github.com/microsoft/qlib/releases/tag/v0.7.0) on July 12, 2021 |
| TCTS Model | [Released](https://github.com/microsoft/qlib/pull/491) on July 1, 2021 |
| Online serving and automatic model rolling | :star: [Released](https://github.com/microsoft/qlib/pull/290) on May 17, 2021 |
| DoubleEnsemble Model | [Released](https://github.com/microsoft/qlib/pull/286) on Mar 2, 2021 |
| High-frequency data processing example | [Released](https://github.com/microsoft/qlib/pull/257) on Feb 5, 2021 |
| High-frequency trading example | [Part of code released](https://github.com/microsoft/qlib/pull/227) on Jan 28, 2021 |
| High-frequency data(1min) | [Released](https://github.com/microsoft/qlib/pull/221) on Jan 27, 2021 |
| Tabnet Model | [Released](https://github.com/microsoft/qlib/pull/205) on Jan 22, 2021 |
| Arctic Provider Backend & Orderbook data example | :hammer: [Rleased](https://github.com/microsoft/qlib/pull/744) on Jan 17, 2022 |
| Meta-Learning-based framework & DDG-DA | :chart_with_upwards_trend: :hammer: [Released](https://github.com/microsoft/qlib/pull/743) on Jan 10, 2022 |
| Planning-based portfolio optimization | :hammer: [Released](https://github.com/microsoft/qlib/pull/754) on Dec 28, 2021 |
| Release Qlib v0.8.0 | :octocat: [Released](https://github.com/microsoft/qlib/releases/tag/v0.8.0) on Dec 8, 2021 |
| ADD model | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/704) on Nov 22, 2021 |
| ADARNN model | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/689) on Nov 14, 2021 |
| TCN model | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/668) on Nov 4, 2021 |
| Nested Decision Framework | :hammer: [Released](https://github.com/microsoft/qlib/pull/438) on Oct 1, 2021. [Example](https://github.com/microsoft/qlib/blob/main/examples/nested_decision_execution/workflow.py) and [Doc](https://qlib.readthedocs.io/en/latest/component/highfreq.html) |
| Temporal Routing Adaptor (TRA) | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/531) on July 30, 2021 |
| Transformer & Localformer | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/508) on July 22, 2021 |
| Release Qlib v0.7.0 | :octocat: [Released](https://github.com/microsoft/qlib/releases/tag/v0.7.0) on July 12, 2021 |
| TCTS Model | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/491) on July 1, 2021 |
| Online serving and automatic model rolling | :hammer: [Released](https://github.com/microsoft/qlib/pull/290) on May 17, 2021 |
| DoubleEnsemble Model | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/286) on Mar 2, 2021 |
| High-frequency data processing example | :hammer: [Released](https://github.com/microsoft/qlib/pull/257) on Feb 5, 2021 |
| High-frequency trading example | :chart_with_upwards_trend: [Part of code released](https://github.com/microsoft/qlib/pull/227) on Jan 28, 2021 |
| High-frequency data(1min) | :rice: [Released](https://github.com/microsoft/qlib/pull/221) on Jan 27, 2021 |
| Tabnet Model | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/205) on Jan 22, 2021 |
Features released before 2021 are not listed here.
@@ -72,7 +73,6 @@ Your feedbacks about the features are very important.
| Feature | Status |
| -- | ------ |
| Point-in-Time database | Under review: https://github.com/microsoft/qlib/pull/343 |
| Orderbook database | Under review: https://github.com/microsoft/qlib/pull/744 |
# Framework of Qlib