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Code Activity

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

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* 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
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15
qlib/config.py
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@@ -19,7 +19,7 @@ import logging
import platform
import multiprocessing
from pathlib import Path
from typing import Optional, Union
from typing import Callable, Optional, Union
from typing import TYPE_CHECKING
from qlib.constant import REG_CN, REG_US
@@ -40,7 +40,7 @@ class Config:
if attr in self.__dict__["_config"]:
return self.__dict__["_config"][attr]
raise AttributeError(f"No such {attr} in self._config")
raise AttributeError(f"No such `{attr}` in self._config")
def get(self, key, default=None):
return self.__dict__["_config"].get(key, default)
@@ -112,6 +112,8 @@ _default_config = {
"calendar_cache": None,
# for simple dataset cache
"local_cache_path": None,
# kernels can be a fixed value or a callable function lie `def (freq: str) -> int`
# If the kernels are arctic_kernels, `min(NUM_USABLE_CPU, 30)` may be a good value
"kernels": NUM_USABLE_CPU,
# pickle.dump protocol version
"dump_protocol_version": PROTOCOL_VERSION,
@@ -121,11 +123,10 @@ _default_config = {
"joblib_backend": "multiprocessing",
"default_disk_cache": 1, # 0:skip/1:use
"mem_cache_size_limit": 500,
"mem_cache_limit_type": "length",
# memory cache expire second, only in used 'DatasetURICache' and 'client D.calendar'
# default 1 hour
"mem_cache_expire": 60 * 60,
# memory cache space limit, default 5GB, only in used client
"mem_cache_space_limit": 1024 * 1024 * 1024 * 5,
# cache dir name
"dataset_cache_dir_name": "dataset_cache",
"features_cache_dir_name": "features_cache",
@@ -462,6 +463,12 @@ class QlibConfig(Config):
# Due to a bug? that converting __version__ to _QlibConfig__version__bak
# Using __version__bak instead of __version__
def get_kernels(self, freq: str):
"""get number of processors given frequency"""
if isinstance(self["kernels"], Callable):
return self["kernels"](freq)
return self["kernels"]
@property
def registered(self):
return self._registered