download orderbook data (#1754)

* download orderbook data

* fix CI error

* fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* test fix CI error

* optimize get_data code

* optimize get_data code

* optimize get_data code

* optimize README

---------

Co-authored-by: Linlang <v-linlanglv@microsoft.com>

qlib/backtest/__init__.py

@@ -162,13 +162,15 @@ def create_account_instance(
         init_cash=init_cash,
         position_dict=position_dict,
         pos_type=pos_type,
-        benchmark_config={}
-        if benchmark is None
-        else {
-            "benchmark": benchmark,
-            "start_time": start_time,
-            "end_time": end_time,
-        },
+        benchmark_config=(
+            {}
+            if benchmark is None
+            else {
+                "benchmark": benchmark,
+                "start_time": start_time,
+                "end_time": end_time,
+            }
+        ),
     )
 
 

qlib/backtest/report.py

@@ -622,9 +622,11 @@ class Indicator:
             print(
                 "[Indicator({}) {}]: FFR: {}, PA: {}, POS: {}".format(
                     freq,
-                    trade_start_time
-                    if isinstance(trade_start_time, str)
-                    else trade_start_time.strftime("%Y-%m-%d %H:%M:%S"),
+                    (
+                        trade_start_time
+                        if isinstance(trade_start_time, str)
+                        else trade_start_time.strftime("%Y-%m-%d %H:%M:%S")
+                    ),
                     fulfill_rate,
                     price_advantage,
                     positive_rate,

qlib/contrib/eva/alpha.py

@@ -3,6 +3,7 @@ Here is a batch of evaluation functions.
 
 The interface should be redesigned carefully in the future.
 """
+
 import pandas as pd
 from typing import Tuple
 from qlib import get_module_logger

qlib/contrib/model/pytorch_tra.py

@@ -511,7 +511,6 @@ class TRAModel(Model):
 
 
 class RNN(nn.Module):
-
     """RNN Model
 
     Args:
@@ -601,7 +600,6 @@ class PositionalEncoding(nn.Module):
 
 
 class Transformer(nn.Module):
-
     """Transformer Model
 
     Args:
@@ -649,7 +647,6 @@ class Transformer(nn.Module):
 
 
 class TRA(nn.Module):
-
     """Temporal Routing Adaptor (TRA)
 
     TRA takes historical prediction errors & latent representation as inputs,

qlib/contrib/strategy/signal_strategy.py

@@ -373,7 +373,6 @@ class WeightStrategyBase(BaseSignalStrategy):
 
 
 class EnhancedIndexingStrategy(WeightStrategyBase):
-
     """Enhanced Indexing Strategy
 
     Enhanced indexing combines the arts of active management and passive management,

qlib/model/ens/ensemble.py

@@ -30,7 +30,6 @@ class Ensemble:
 
 
 class SingleKeyEnsemble(Ensemble):
-
     """
     Extract the object if there is only one key and value in the dict. Make the result more readable.
     {Only key: Only value} -> Only value
@@ -64,7 +63,6 @@ class SingleKeyEnsemble(Ensemble):
 
 
 class RollingEnsemble(Ensemble):
-
     """Merge a dict of rolling dataframe like `prediction` or `IC` into an ensemble.
 
     NOTE: The values of dict must be pd.DataFrame, and have the index "datetime".

qlib/model/riskmodel/shrink.py

@@ -247,9 +247,7 @@ class ShrinkCovEstimator(RiskModel):
         v1 = y.T.dot(z) / t - cov_mkt[:, None] * S
         roff1 = np.sum(v1 * cov_mkt[:, None].T) / var_mkt - np.sum(np.diag(v1) * cov_mkt) / var_mkt
         v3 = z.T.dot(z) / t - var_mkt * S
-        roff3 = (
-            np.sum(v3 * np.outer(cov_mkt, cov_mkt)) / var_mkt**2 - np.sum(np.diag(v3) * cov_mkt**2) / var_mkt**2
-        )
+        roff3 = np.sum(v3 * np.outer(cov_mkt, cov_mkt)) / var_mkt**2 - np.sum(np.diag(v3) * cov_mkt**2) / var_mkt**2
         roff = 2 * roff1 - roff3
         rho = rdiag + roff
 

qlib/workflow/online/strategy.py

@@ -90,7 +90,6 @@ class OnlineStrategy:
 
 
 class RollingStrategy(OnlineStrategy):
-
     """
     This example strategy always uses the latest rolling model sas online models.
     """