Migrate amc4th training (#1316)

* Migrate amc4th training

* Refine RL example scripts

* Resolve PR comments

Co-authored-by: luocy16 <luocy16@mails.tsinghua.edu.cn>

examples/rl/scripts/gen_training_orders.py

@@ -0,0 +1,37 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import argparse
+import os
+import pandas as pd
+import numpy as np
+import pickle
+
+parser = argparse.ArgumentParser()
+parser.add_argument("--seed", type=int, default=20220926)
+parser.add_argument("--stock", type=str, default="AAPL")
+parser.add_argument("--train_size", type=int, default=10)
+parser.add_argument("--valid_size", type=int, default=2)
+parser.add_argument("--test_size", type=int, default=2)
+args = parser.parse_args()
+
+np.random.seed(args.seed)
+
+os.makedirs(os.path.join("data", "training_order_split"), exist_ok=True)
+
+for group, n in zip(("train", "valid", "test"), (args.train_size, args.valid_size, args.test_size)):
+    path = os.path.join("data", "pickle", f"backtest{group}.pkl")
+    df = pickle.load(open(path, "rb")).reset_index()
+    df["date"] = df["datetime"].dt.date.astype("datetime64")
+    
+    dates = sorted(set([str(d).split(" ")[0] for d in df["date"]]))
+
+    data_df = pd.DataFrame({
+        "date": sorted(np.random.choice(dates, size=n, replace=False)),
+        "instrument": [args.stock] * n,
+        "amount": np.random.randint(low=3, high=11, size=n) * 100.0,
+        "order_type": [0] * n,
+    }).set_index(["date", "instrument"])
+
+    os.makedirs(os.path.join("data", "training_order_split", group), exist_ok=True)
+    pickle.dump(data_df, open(os.path.join("data", "training_order_split", group, f"{args.stock}.pkl"), "wb"))