More dataloader example (#1823)

* More dataloader example

* optimize code

* optimeze code

* optimeze code

* optimeze code

* optimeze code

* optimeze code

* fix pylint error

* fix CI error

* fix CI error

* Comments

* fix error type

---------

Co-authored-by: Young <afe.young@gmail.com>

.github/workflows/test_qlib_from_pip.yml

@@ -16,7 +16,7 @@ jobs:
         # Since macos-latest changed from 12.7.4 to 14.4.1,
         # the minimum python version that matches a 14.4.1 version of macos is 3.10,
         # so we limit the macos version to macos-12.
-        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-11, macos-12]
+        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-12]
         # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
         python-version: [3.7, 3.8]
 

.github/workflows/test_qlib_from_source.yml

@@ -17,7 +17,7 @@ jobs:
         # Since macos-latest changed from 12.7.4 to 14.4.1,
         # the minimum python version that matches a 14.4.1 version of macos is 3.10,
         # so we limit the macos version to macos-12.
-        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-11, macos-12]
+        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-12]
         # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
         python-version: [3.7, 3.8]
 

.github/workflows/test_qlib_from_source_slow.yml

@@ -17,7 +17,7 @@ jobs:
         # Since macos-latest changed from 12.7.4 to 14.4.1,
         # the minimum python version that matches a 14.4.1 version of macos is 3.10,
         # so we limit the macos version to macos-12.
-        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-11, macos-12]
+        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-12]
         # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
         python-version: [3.7, 3.8]
 

qlib/data/dataset/loader.py

@@ -41,6 +41,7 @@ class DataLoader(abc.ABC):
         ----------
         instruments : str or dict
             it can either be the market name or the config file of instruments generated by InstrumentProvider.
+            If the value of instruments is None, it means that no filtering is done.
         start_time : str
             start of the time range.
         end_time : str
@@ -50,6 +51,11 @@ class DataLoader(abc.ABC):
         -------
         pd.DataFrame:
             data load from the under layer source
+
+        Raise
+        -----
+        KeyError:
+            if the instruments filter is not supported, raise KeyError
         """
 
 
@@ -320,7 +326,13 @@ class NestedDataLoader(DataLoader):
     def load(self, instruments=None, start_time=None, end_time=None) -> pd.DataFrame:
         df_full = None
         for dl in self.data_loader_l:
-            df_current = dl.load(instruments, start_time, end_time)
+            try:
+                df_current = dl.load(instruments, start_time, end_time)
+            except KeyError:
+                warnings.warn(
+                    "If the value of `instruments` cannot be processed, it will set instruments to None to get all the data."
+                )
+                df_current = dl.load(instruments=None, start_time=start_time, end_time=end_time)
             if df_full is None:
                 df_full = df_current
             else:

tests/data_mid_layer_tests/test_dataloader.py

@@ -7,8 +7,10 @@ import qlib
 from pathlib import Path
 
 sys.path.append(str(Path(__file__).resolve().parent))
-from qlib.data.dataset.loader import NestedDataLoader
+from qlib.data.dataset.loader import NestedDataLoader, QlibDataLoader
+from qlib.data.dataset.handler import DataHandlerLP
 from qlib.contrib.data.loader import Alpha158DL, Alpha360DL
+from qlib.data import D
 
 
 class TestDataLoader(unittest.TestCase):
@@ -44,6 +46,35 @@ class TestDataLoader(unittest.TestCase):
         assert "LABEL0" in columns_list
 
         # Then you can use it wth DataHandler;
+        # NOTE: please note that the data processors are missing!!!  You should add based on your requirements
+
+        """
+        dataset.to_pickle("test_df.pkl")
+        nested_data_loader = NestedDataLoader(
+            dataloader_l=[
+                {
+                    "class": "qlib.contrib.data.loader.Alpha158DL",
+                    "kwargs": {"config": {"label": (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])}},
+                },
+                {
+                    "class": "qlib.contrib.data.loader.Alpha360DL",
+                },
+                {
+                    "class": "qlib.data.dataset.loader.StaticDataLoader",
+                    "kwargs": {"config": "test_df.pkl"},
+                },
+            ]
+        )
+        data_handler_config = {
+            "start_time": "2008-01-01",
+            "end_time": "2020-08-01",
+            "instruments": "csi300",
+            "data_loader": nested_data_loader,
+        }
+        data_handler = DataHandlerLP(**data_handler_config)
+        data = data_handler.fetch()
+        print(data)
+        """
 
 
 if __name__ == "__main__":