Merge nested main (#597)

* MVP for Indian Stocks in qlib using yahooquery * cleaned with black * cleaned with black * add YahooNormalizeIN and YahooNormalizeIN1d * cleaned the code * added 1min for IN and also updated readme * update comments * fix comments * recorder support upload both raw file and directory * fix comments * Update README.md * Fix docs of QlibRecorder * sort index after loader (#538) make sure the fetch method is based on a index-sorted pd.DataFrame * refactor online serving rolling api * refactor TRA * format by black * fix horizon * fix TRA when use single head * clean up * improve pretrain * update README * fix tra when logdir is None * fix tra when logdir is None * Update strategy.py * Update README.md * Update README.md * Conda Suggestion * code standard docs * Update ensemble.py (#560) * Fix CI Bug (#575) Co-authored-by: yuxwang <anduinnn@foxmail.com> * Update gen.py (#576) * Fix multi-process loop calls (#574) * check lexsort in the 'lazy_sort_index' function (#566) * check lexsort * check lexsort * lexsort comment * lexsort comment * Delete .DS_Store * Update README.md * bug fix & use oracle transport pretrain * mend * Add `backend_freq_config` parameter, support multi-freq uri * Add sample_config to QlibDataLoader, support multi-freq * add multi-freq example * get_cls_kwargs renamed get_callable_kwargs * support multi-freq uri * Add inst_processors to D.features * Fix typo * Fix the index type of the multi-freq example * Fix duplicate mlflow directories in tests * Add DataPathManager to QlibConfig && modify inst_processors to supports list only * Modify the default value in the multi_freq example * Modify client-server mode and dataset-cache to disable inst_processor * Add wheel package to github CI * fix comment * Update FAQ.rst * Update README.md Fix wrong link * Update the docs of TaskManager (#586) * Update manage.py * update yaml * update run_all_model * Modify the Feature to be case sensitive (#589) * update README * remove verbose * fix spell bug * fix typos (#592) * Update Release Note * fix portfolio bug * Add calendar support for resample * add freq kwargs * test.yml: Remove redundant code (#595) * Supporting shared processor (#596) * Supporting shared processor * fix readonly reverse bug * remove pytests dependency * with fit bug * fix parameter error * fix comments * Fix undefined names in Python code (#599) * Update pytorch_tabnet.py $ `flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics` ``` ./qlib/qlib/contrib/model/pytorch_tabnet.py:567:38: F821 undefined name 'inp' self.independ.append(GLU(inp, out_dim, vbs=vbs)) ^ ./qlib/examples/model_rolling/task_manager_rolling.py:75:18: F821 undefined name 'task_train' run_task(task_train, self.task_pool, experiment_name=self.experiment_name) ^ 2 F821 undefined name 'task_train' 2 ``` * Fix undefined names in Python code * from qlib.model.trainer import task_train * update seed * fix some docstring * add comments * Fix SimpleDatasetCache * Update setup.py updated classifiers * Update setup.py change to matplotlib==3.3 * Update python-publish.yml added python 3.9 * updategrade version number * Update model list * fix the type of filter_pipe * fix comment * fix record_temp * update cvxpy version * Update code_standard.rst (#587) * Update code_standard.rst * Update docs/developer/code_standard.rst Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * Add file lock for MLflowExpManager (#619) * fix torch version * Share version number (#620) * Update initialization.rst (#622) * Update initialization.rst * Update docs/start/initialization.rst Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * Update docs/start/initialization.rst Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * fix bugs for running previous exmaple * fix deal amount bug * update change doc (#623) * Add files via upload * Update README.md * Update README.md * Update README.md * Delete change doc.gif * Add files via upload * Update README.md * Delete change doc.gif * Add files via upload * Delete change doc.gif * Add files via upload * Update README.md Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * update doc * simplify run all model * fix run all model bug * Fix Models (#483) * fix gat dataset * fix tft model * Update tft.py * Fix tft.py Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com> * type and skip empty exp * fix model yaml config * fix tft import bug * skip empty result * fix model and yaml bug * fix wrong generate parameter * Modify multi-freq example (#626) * modify the example of multi-freq * add Copyright * add a comment to average_ops.py * modify the example of multi-freq * add comment to multi_freq_handler.py * add the Ref expression description to multi_freq_handler.py * add expression description to multi_freq_handler.py * update images * fix workflow and update framework Co-authored-by: Gaurav <2796gaurav@gmail.com> Co-authored-by: 2796gaurav <17353992+2796gaurav@users.noreply.github.com> Co-authored-by: bxdd <bxd98@126.com> Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: Dong Zhou <Zhou.Dong@microsoft.com> Co-authored-by: ZhangTP1996 <ztp18@mails.tsinghua.edu.cn> Co-authored-by: demon143 <59681577+demon143@users.noreply.github.com> Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com> Co-authored-by: yuxwang <anduinnn@foxmail.com> Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com> Co-authored-by: Mark Zhao <50850474+markzhao98@users.noreply.github.com> Co-authored-by: cslwqxx <cslwqxx@users.noreply.github.com> Co-authored-by: Dong Zhou <evanzd@users.noreply.github.com> Co-authored-by: SaintMalik <37118134+saintmalik@users.noreply.github.com> Co-authored-by: Christian Clauss <cclauss@me.com> Co-authored-by: Anurag Kumar <mailanu98@gmail.com> Co-authored-by: demon143 <785696300@qq.com>
2026-07-05 20:11:08 +08:00 · 2021-10-01 02:15:30 +08:00
parent 163e3c6266
commit 3760a18a8d
145 changed files with 3982 additions and 1221 deletions
--- a/scripts/README.md
+++ b/scripts/README.md
@@ -1,7 +1,7 @@

 - [Download Qlib Data](#Download-Qlib-Data)
  - [Download CN Data](#Download-CN-Data)
-  - [Downlaod US Data](#Downlaod-US-Data)
+  - [Download US Data](#Download-US-Data)
  - [Download CN Simple Data](#Download-CN-Simple-Data)
  - [Help](#Help)
 - [Using in Qlib](#Using-in-Qlib)
--- a/scripts/data_collector/utils.py
+++ b/scripts/data_collector/utils.py
@@ -32,6 +32,7 @@ CALENDAR_BENCH_URL_MAP = {
    "ALL": CALENDAR_URL_BASE.format(market=1, bench_code="000905"),
    # NOTE: Use the time series of ^GSPC(SP500) as the sequence of all stocks
    "US_ALL": "^GSPC",
+    "IN_ALL": "^NSEI",
 }


@@ -39,6 +40,7 @@ _BENCH_CALENDAR_LIST = None
 _ALL_CALENDAR_LIST = None
 _HS_SYMBOLS = None
 _US_SYMBOLS = None
+_IN_SYMBOLS = None
 _EN_FUND_SYMBOLS = None
 _CALENDAR_MAP = {}

@@ -67,7 +69,7 @@ def get_calendar_list(bench_code="CSI300") -> List[pd.Timestamp]:

    calendar = _CALENDAR_MAP.get(bench_code, None)
    if calendar is None:
-        if bench_code.startswith("US_"):
+        if bench_code.startswith("US_") or bench_code.startswith("IN_"):
            df = Ticker(CALENDAR_BENCH_URL_MAP[bench_code]).history(interval="1d", period="max")
            calendar = df.index.get_level_values(level="date").map(pd.Timestamp).unique().tolist()
        else:
@@ -298,6 +300,47 @@ def get_us_stock_symbols(qlib_data_path: [str, Path] = None) -> list:
    return _US_SYMBOLS


+def get_in_stock_symbols(qlib_data_path: [str, Path] = None) -> list:
+    """get IN stock symbols
+
+    Returns
+    -------
+        stock symbols
+    """
+    global _IN_SYMBOLS
+
+    @deco_retry
+    def _get_nifty():
+        url = f"https://www1.nseindia.com/content/equities/EQUITY_L.csv"
+        df = pd.read_csv(url)
+        df = df.rename(columns={"SYMBOL": "Symbol"})
+        df["Symbol"] = df["Symbol"] + ".NS"
+        _symbols = df["Symbol"].dropna()
+        _symbols = _symbols.unique().tolist()
+        return _symbols
+
+    if _IN_SYMBOLS is None:
+        _all_symbols = _get_nifty()
+        if qlib_data_path is not None:
+            for _index in ["nifty"]:
+                ins_df = pd.read_csv(
+                    Path(qlib_data_path).joinpath(f"instruments/{_index}.txt"),
+                    sep="\t",
+                    names=["symbol", "start_date", "end_date"],
+                )
+                _all_symbols += ins_df["symbol"].unique().tolist()
+
+        def _format(s_):
+            s_ = s_.replace(".", "-")
+            s_ = s_.strip("$")
+            s_ = s_.strip("*")
+            return s_
+
+        _IN_SYMBOLS = sorted(set(_all_symbols))
+
+    return _IN_SYMBOLS
+
+
 def get_en_fund_symbols(qlib_data_path: [str, Path] = None) -> list:
    """get en fund symbols

--- a/scripts/data_collector/yahoo/README.md
+++ b/scripts/data_collector/yahoo/README.md
@@ -37,7 +37,7 @@ pip install -r requirements.txt
      - user can append data to `v2`: [automatic update of daily frequency data](#automatic-update-of-daily-frequency-datafrom-yahoo-finance)
      - **the [benchmarks](https://github.com/microsoft/qlib/tree/main/examples/benchmarks) for qlib use `v1`**, *due to the unstable access to historical data by YahooFinance, there are some differences between `v2` and `v1`*
    - `interval`: `1d` or `1min`, by default `1d`
-    - `region`: `cn` or `us`, by default `cn`
+    - `region`: `cn` or `us` or `in`, by default `cn`
    - `delete_old`: delete existing data from `target_dir`(*features, calendars, instruments, dataset_cache, features_cache*), value from [`True`, `False`], by default `True`
    - `exists_skip`: traget_dir data already exists, skip `get_data`, value from [`True`, `False`], by default `False`
  - examples:
@@ -50,6 +50,10 @@ pip install -r requirements.txt
    python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_us_1d --region us --interval 1d
    # us 1min
    python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_us_1min --region us --interval 1min
+    # in 1d
+    python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_in_1d --region in --interval 1d
+    # in 1min
+    python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/qlib_in_1min --region in --interval 1min
    ```

 ### Collector *YahooFinance* data to qlib
@@ -60,7 +64,7 @@ pip install -r requirements.txt
          - `source_dir`: save the directory
          - `interval`: `1d` or `1min`, by default `1d`
            > **due to the limitation of the *YahooFinance API*, only the last month's data is available in `1min`**
-          - `region`: `CN` or `US`, by default `CN`
+          - `region`: `CN` or `US` or `IN`, by default `CN`
          - `delay`: `time.sleep(delay)`, by default *0.5*
          - `start`: start datetime, by default *"2000-01-01"*; *closed interval(including start)*
          - `end`: end datetime, by default `pd.Timestamp(datetime.datetime.now() + pd.Timedelta(days=1))`; *open interval(excluding end)*
@@ -78,6 +82,10 @@ pip install -r requirements.txt
          python collector.py download_data --source_dir ~/.qlib/stock_data/source/us_1d --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region US
          # us 1min data
          python collector.py download_data --source_dir ~/.qlib/stock_data/source/us_1min --delay 1 --interval 1min --region US
+          # in 1d data
+          python collector.py download_data --source_dir ~/.qlib/stock_data/source/in_1d --start 2020-01-01 --end 2020-12-31 --delay 1 --interval 1d --region IN
+          # in 1min data
+          python collector.py download_data --source_dir ~/.qlib/stock_data/source/in_1min --delay 1 --interval 1min --region IN
          ```
  2. normalize data: `python scripts/data_collector/yahoo/collector.py normalize_data`
     
@@ -87,7 +95,7 @@ pip install -r requirements.txt
          - `max_workers`: number of concurrent, by default *1*
          - `interval`: `1d` or `1min`, by default `1d`
            > if **`interval == 1min`**, `qlib_data_1d_dir` cannot be `None`
-          - `region`: `CN` or `US`, by default `CN`
+          - `region`: `CN` or `US` or `IN`, by default `CN`
          - `date_field_name`: column *name* identifying time in csv files, by default `date`
          - `symbol_field_name`: column *name* identifying symbol in csv files, by default `symbol`
          - `end_date`: if not `None`, normalize the last date saved (*including end_date*); if `None`, it will ignore this parameter; by default `None`
--- a/scripts/data_collector/yahoo/collector.py
+++ b/scripts/data_collector/yahoo/collector.py
@@ -34,6 +34,7 @@ from data_collector.utils import (
    get_calendar_list,
    get_hs_stock_symbols,
    get_us_stock_symbols,
+    get_in_stock_symbols,
    generate_minutes_calendar_from_daily,
 )

@@ -279,6 +280,32 @@ class YahooCollectorUS1min(YahooCollectorUS):
    pass


+class YahooCollectorIN(YahooCollector, ABC):
+    def get_instrument_list(self):
+        logger.info("get INDIA stock symbols......")
+        symbols = get_in_stock_symbols()
+        logger.info(f"get {len(symbols)} symbols.")
+        return symbols
+
+    def download_index_data(self):
+        pass
+
+    def normalize_symbol(self, symbol):
+        return code_to_fname(symbol).upper()
+
+    @property
+    def _timezone(self):
+        return "Asia/Kolkata"
+
+
+class YahooCollectorIN1d(YahooCollectorIN):
+    pass
+
+
+class YahooCollectorIN1min(YahooCollectorIN):
+    pass
+
+
 class YahooNormalize(BaseNormalize):
    COLUMNS = ["open", "close", "high", "low", "volume"]
    DAILY_FORMAT = "%Y-%m-%d"
@@ -738,6 +765,29 @@ class YahooNormalizeUS1min(YahooNormalizeUS, YahooNormalize1minOffline):
        return fname_to_code(symbol)


+class YahooNormalizeIN:
+    def _get_calendar_list(self) -> Iterable[pd.Timestamp]:
+        return get_calendar_list("IN_ALL")
+
+
+class YahooNormalizeIN1d(YahooNormalizeIN, YahooNormalize1d):
+    pass
+
+
+class YahooNormalizeIN1min(YahooNormalizeIN, YahooNormalize1minOffline):
+    CALC_PAUSED_NUM = False
+
+    def _get_calendar_list(self) -> Iterable[pd.Timestamp]:
+        # TODO: support 1min
+        raise ValueError("Does not support 1min")
+
+    def _get_1d_calendar_list(self):
+        return get_calendar_list("IN_ALL")
+
+    def symbol_to_yahoo(self, symbol):
+        return fname_to_code(symbol)
+
+
 class YahooNormalizeCN:
    def _get_calendar_list(self) -> Iterable[pd.Timestamp]:
        # TODO: from MSN