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>
2026-07-12 15:26:54 +08:00 · 2021-10-01 02:15:30 +08:00
parent 163e3c6266
commit 3760a18a8d
145 changed files with 3982 additions and 1221 deletions
--- a/tests/backtest/test_file_strategy.py
+++ b/tests/backtest/test_file_strategy.py
@@ -2,7 +2,7 @@
 # Licensed under the MIT License.

 import unittest
-from qlib.backtest import backtest, order
+from qlib.backtest import backtest, decision
 from qlib.tests import TestAutoData
 import pandas as pd
 from pathlib import Path
@@ -82,7 +82,7 @@ class FileStrTest(TestAutoData):
            "module_path": "qlib.backtest.executor",
            "kwargs": {
                "time_per_step": freq,
-                "generate_report": False,
+                "generate_portfolio_metrics": False,
                "verbose": True,
                "indicator_config": {
                    "show_indicator": False,
--- a/tests/backtest/test_high_freq_trading.py
+++ b/tests/backtest/test_high_freq_trading.py
@@ -1,7 +1,7 @@
 from typing import List, Tuple, Union
 from qlib.backtest.position import Position
 from qlib.backtest import collect_data, format_decisions
-from qlib.backtest.order import BaseTradeDecision, TradeRangeByTime
+from qlib.backtest.decision import BaseTradeDecision, TradeRangeByTime
 import qlib
 from qlib.tests import TestAutoData
 import unittest
@@ -87,7 +87,7 @@ class TestHFBacktest(TestAutoData):
                            "module_path": "qlib.backtest.executor",
                            "kwargs": {
                                "time_per_step": freq_l2,
-                                "generate_report": False,
+                                "generate_portfolio_metrics": False,
                                "verbose": True,
                                "indicator_config": {
                                    "show_indicator": False,
@@ -99,7 +99,7 @@ class TestHFBacktest(TestAutoData):
                            "class": "TWAPStrategy",
                            "module_path": "qlib.contrib.strategy.rule_strategy",
                        },
-                        "generate_report": False,
+                        "generate_portfolio_metrics": False,
                        "indicator_config": {
                            "show_indicator": True,
                        },
@@ -110,7 +110,7 @@ class TestHFBacktest(TestAutoData):
                    "class": "TWAPStrategy",
                    "module_path": "qlib.contrib.strategy.rule_strategy",
                },
-                "generate_report": False,
+                "generate_portfolio_metrics": False,
                "indicator_config": {
                    "show_indicator": True,
                },
--- a/tests/storage_tests/test_storage.py
+++ b/tests/storage_tests/test_storage.py
@@ -5,7 +5,6 @@
 from pathlib import Path
 from collections.abc import Iterable

-import pytest
 import numpy as np
 from qlib.tests import TestAutoData

@@ -33,13 +32,13 @@ class TestStorage(TestAutoData):
        print(f"calendar[-1]: {calendar[-1]}")

        calendar = CalendarStorage(freq="1min", future=False, provider_uri="not_found")
-        with pytest.raises(ValueError):
+        with self.assertRaises(ValueError):
            print(calendar.data)

-        with pytest.raises(ValueError):
+        with self.assertRaises(ValueError):
            print(calendar[:])

-        with pytest.raises(ValueError):
+        with self.assertRaises(ValueError):
            print(calendar[0])

    def test_instrument_storage(self):
@@ -90,10 +89,10 @@ class TestStorage(TestAutoData):
        print(f"instrument['SH600000']: {instrument['SH600000']}")

        instrument = InstrumentStorage(market="csi300", provider_uri="not_found")
-        with pytest.raises(ValueError):
+        with self.assertRaises(ValueError):
            print(instrument.data)

-        with pytest.raises(ValueError):
+        with self.assertRaises(ValueError):
            print(instrument["sSH600000"])

    def test_feature_storage(self):
@@ -152,7 +151,7 @@ class TestStorage(TestAutoData):

        feature = FeatureStorage(instrument="SH600004", field="close", freq="day", provider_uri=self.provider_uri)

-        with pytest.raises(IndexError):
+        with self.assertRaises(IndexError):
            print(feature[0])
        assert isinstance(
            feature[815][1], (float, np.float32)
--- a/tests/test_all_pipeline.py
+++ b/tests/test_all_pipeline.py
@@ -15,7 +15,7 @@ from qlib.tests import TestAutoData
 from qlib.tests.config import CSI300_GBDT_TASK, CSI300_BENCH


-def train():
+def train(uri_path: str = None):
    """train model

    Returns
@@ -34,7 +34,7 @@ def train():
    print(R)

    # start exp
-    with R.start(experiment_name="workflow"):
+    with R.start(experiment_name="workflow", uri=uri_path):
        R.log_params(**flatten_dict(CSI300_GBDT_TASK))
        model.fit(dataset)
        R.save_objects(trained_model=model)
@@ -57,7 +57,7 @@ def train():
    return {"ic": ic, "ric": ric}, rid


-def train_with_sigana():
+def train_with_sigana(uri_path: str = None):
    """train model followed by SigAnaRecord

    Returns
@@ -69,9 +69,8 @@ def train_with_sigana():
    """
    model = init_instance_by_config(CSI300_GBDT_TASK["model"])
    dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
-
    # start exp
-    with R.start(experiment_name="workflow_with_sigana"):
+    with R.start(experiment_name="workflow_with_sigana", uri=uri_path):
        R.log_params(**flatten_dict(CSI300_GBDT_TASK))
        model.fit(dataset)

@@ -107,13 +106,15 @@ def fake_experiment():
    return default_uri == default_uri_to_check, current_uri == current_uri_to_check, current_uri


-def backtest_analysis(rid):
+def backtest_analysis(pred, rid, uri_path: str = None):
    """backtest and analysis

    Parameters
    ----------
    rid : str
        the id of the recorder to be used in this function
+    uri_path: str
+        mlflow uri path

    Returns
    -------
@@ -122,7 +123,6 @@ def backtest_analysis(rid):

    """
    recorder = R.get_recorder(experiment_name="workflow", recorder_id=rid)
-
    dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
    model = recorder.load_object("trained_model")

@@ -132,7 +132,7 @@ def backtest_analysis(rid):
            "module_path": "qlib.backtest.executor",
            "kwargs": {
                "time_per_step": "day",
-                "generate_report": True,
+                "generate_portfolio_metrics": True,
            },
        },
        "strategy": {
@@ -160,7 +160,6 @@ def backtest_analysis(rid):
            },
        },
    }
-
    # backtest
    par = PortAnaRecord(recorder, port_analysis_config, risk_analysis_freq="day")
    par.generate()
@@ -173,24 +172,24 @@ class TestAllFlow(TestAutoData):
    REPORT_NORMAL = None
    POSITIONS = None
    RID = None
+    URI_PATH = "file:" + str(Path(__file__).parent.joinpath("test_all_flow_mlruns").resolve())

    @classmethod
    def tearDownClass(cls) -> None:
-        shutil.rmtree(str(Path(C["exp_manager"]["kwargs"]["uri"].strip("file:")).resolve()))
+        shutil.rmtree(cls.URI_PATH.lstrip("file:"))

    def test_0_train_with_sigana(self):
-        ic_ric, uri_path = train_with_sigana()
+        TestAllFlow.PRED_SCORE, ic_ric, uri_path = train_with_sigana(self.URI_PATH)
        self.assertGreaterEqual(ic_ric["ic"].all(), 0, "train failed")
        self.assertGreaterEqual(ic_ric["ric"].all(), 0, "train failed")
-        shutil.rmtree(str(Path(uri_path.strip("file:")).resolve()))

    def test_1_train(self):
-        ic_ric, TestAllFlow.RID = train()
+        TestAllFlow.PRED_SCORE, ic_ric, TestAllFlow.RID = train(self.URI_PATH)
        self.assertGreaterEqual(ic_ric["ic"].all(), 0, "train failed")
        self.assertGreaterEqual(ic_ric["ric"].all(), 0, "train failed")

    def test_2_backtest(self):
-        analyze_df = backtest_analysis(TestAllFlow.RID)
+        analyze_df = backtest_analysis(TestAllFlow.PRED_SCORE, TestAllFlow.RID, self.URI_PATH)
        self.assertGreaterEqual(
            analyze_df.loc(axis=0)["excess_return_with_cost", "annualized_return"].values[0],
            0.10,
--- a/tests/test_contrib_workflow.py
+++ b/tests/test_contrib_workflow.py
@@ -12,10 +12,10 @@ from qlib.tests import TestAutoData
 from qlib.tests.config import CSI300_GBDT_TASK


-def train_multiseg():
+def train_multiseg(uri_path: str = None):
    model = init_instance_by_config(CSI300_GBDT_TASK["model"])
    dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
-    with R.start(experiment_name="workflow"):
+    with R.start(experiment_name="workflow", uri=uri_path):
        R.log_params(**flatten_dict(CSI300_GBDT_TASK))
        model.fit(dataset)
        recorder = R.get_recorder()
@@ -25,10 +25,10 @@ def train_multiseg():
    return uri


-def train_mse():
+def train_mse(uri_path: str = None):
    model = init_instance_by_config(CSI300_GBDT_TASK["model"])
    dataset = init_instance_by_config(CSI300_GBDT_TASK["dataset"])
-    with R.start(experiment_name="workflow"):
+    with R.start(experiment_name="workflow", uri=uri_path):
        R.log_params(**flatten_dict(CSI300_GBDT_TASK))
        model.fit(dataset)
        recorder = R.get_recorder()
@@ -39,13 +39,17 @@ def train_mse():


 class TestAllFlow(TestAutoData):
+    URI_PATH = "file:" + str(Path(__file__).parent.joinpath("test_contrib_mlruns").resolve())
+
+    @classmethod
+    def tearDownClass(cls) -> None:
+        shutil.rmtree(cls.URI_PATH.lstrip("file:"))
+
    def test_0_multiseg(self):
-        uri_path = train_multiseg()
-        shutil.rmtree(str(Path(uri_path.strip("file:")).resolve()))
+        uri_path = train_multiseg(self.URI_PATH)

    def test_1_mse(self):
-        uri_path = train_mse()
-        shutil.rmtree(str(Path(uri_path.strip("file:")).resolve()))
+        uri_path = train_mse(self.URI_PATH)


 def suite():