diff --git a/.github/ISSUE_TEMPLATE/bug-report.md b/.github/ISSUE_TEMPLATE/bug-report.md index 0ba45684e..803459be1 100644 --- a/.github/ISSUE_TEMPLATE/bug-report.md +++ b/.github/ISSUE_TEMPLATE/bug-report.md @@ -28,7 +28,8 @@ Steps to reproduce the behavior: ## Environment -**Note**: One could run `python scripts/collect_info.py` under the `qlib` directory to get the following information. +**Note**: User could run `cd scripts && python collect_info.py all` under project directory to get system information +and paste them here directly. - Qlib version: - Python version: @@ -37,4 +38,4 @@ Steps to reproduce the behavior: ## Additional Notes - \ No newline at end of file + diff --git a/.github/stale.yml b/.github/stale.yml new file mode 100644 index 000000000..3d025c987 --- /dev/null +++ b/.github/stale.yml @@ -0,0 +1,62 @@ +# Configuration for probot-stale - https://github.com/probot/stale + +# Number of days of inactivity before an Issue or Pull Request becomes stale +daysUntilStale: 60 + +# Number of days of inactivity before an Issue or Pull Request with the stale label is closed. +# Set to false to disable. If disabled, issues still need to be closed manually, but will remain marked as stale. +daysUntilClose: 7 + +# Only issues or pull requests with all of these labels are check if stale. Defaults to `[]` (disabled) +onlyLabels: [] + +# Issues or Pull Requests with these labels will never be considered stale. Set to `[]` to disable +exemptLabels: + - bug + - pinned + - security + - "[Status] Maybe Later" + +# Set to true to ignore issues in a project (defaults to false) +exemptProjects: false + +# Set to true to ignore issues in a milestone (defaults to false) +exemptMilestones: false + +# Set to true to ignore issues with an assignee (defaults to false) +exemptAssignees: false + +# Label to use when marking as stale +staleLabel: wontfix + +# Comment to post when marking as stale. Set to `false` to disable +markComment: > + This issue has been automatically marked as stale because it has not had + recent activity. It will be closed if no further activity occurs. Thank you + for your contributions. + +# Comment to post when removing the stale label. +# unmarkComment: > +# Your comment here. + +# Comment to post when closing a stale Issue or Pull Request. +# closeComment: > +# Your comment here. + +# Limit the number of actions per hour, from 1-30. Default is 30 +limitPerRun: 30 + +# Limit to only `issues` or `pulls` +# only: issues + +# Optionally, specify configuration settings that are specific to just 'issues' or 'pulls': +# pulls: +# daysUntilStale: 30 +# markComment: > +# This pull request has been automatically marked as stale because it has not had +# recent activity. It will be closed if no further activity occurs. Thank you +# for your contributions. + +# issues: +# exemptLabels: +# - confirmed \ No newline at end of file diff --git a/.github/workflows/test.yml b/.github/workflows/test.yml index 81bbea097..eab6607b1 100644 --- a/.github/workflows/test.yml +++ b/.github/workflows/test.yml @@ -12,8 +12,8 @@ jobs: runs-on: ${{ matrix.os }} strategy: matrix: - os: [windows-latest, ubuntu-16.04, ubuntu-18.04, macos-latest] - python-version: [3.7, 3.8] + os: [windows-latest, ubuntu-16.04, ubuntu-18.04, ubuntu-20.04, macos-latest] + python-version: [3.6, 3.7, 3.8, 3.9] steps: - uses: actions/checkout@v2 @@ -23,38 +23,96 @@ jobs: with: python-version: ${{ matrix.python-version }} - - name: Install dependencies + - name: Lint with Black run: | - pip install --upgrade cython - pip install numpy jupyter jupyter_contrib_nbextensions - pip install -U scipy scikit-learn # installing without this line will cause errors on GitHub Actions, while instsalling locally won't - python setup.py install + cd .. + if [ "$RUNNER_OS" == "Windows" ]; then + $CONDA\\python.exe -m pip install black + $CONDA\\python.exe -m black qlib -l 120 --check --diff + else + sudo $CONDA/bin/python -m pip install black + $CONDA/bin/python -m black qlib -l 120 --check --diff + fi + shell: bash + # Test Qlib installed with pip + - name: Install Qlib with pip + run: | + if [ "$RUNNER_OS" == "Windows" ]; then + $CONDA\\python.exe -m pip install pyqlib --ignore-installed ruamel.yaml --user + else + sudo $CONDA/bin/python -m pip install pyqlib --ignore-installed ruamel.yaml + fi + shell: bash + - name: Install Lightgbm for MacOS if: runner.os == 'macOS' run: | /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)" HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm + - name: Test data downloads + run: | + if [ "$RUNNER_OS" == "Windows" ]; then + $CONDA\\python.exe scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data --interval 1d --region cn + else + $CONDA/bin/python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data --interval 1d --region cn + fi + shell: bash + + - name: Test workflow by config (install from pip) + run: | + if [ "$RUNNER_OS" == "Windows" ]; then + $CONDA\\python.exe qlib\\workflow\\cli.py examples\\benchmarks\\LightGBM\\workflow_config_lightgbm_Alpha158.yaml + $CONDA\\python.exe -m pip uninstall -y pyqlib + else + $CONDA/bin/python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml + sudo $CONDA/bin/python -m pip uninstall -y pyqlib + fi + shell: bash + + # Test Qlib installed from source + - name: Install Qlib from source + run: | + if [ "$RUNNER_OS" == "Windows" ]; then + $CONDA\\python.exe -m pip install --upgrade cython + $CONDA\\python.exe -m pip install numpy jupyter jupyter_contrib_nbextensions + $CONDA\\python.exe -m pip install -U scipy scikit-learn # installing without this line will cause errors on GitHub Actions, while instsalling locally won't + $CONDA\\python.exe setup.py install + else + sudo $CONDA/bin/python -m pip install --upgrade cython + sudo $CONDA/bin/python -m pip install numpy jupyter jupyter_contrib_nbextensions + sudo $CONDA/bin/python -m pip install -U scipy scikit-learn # installing without this line will cause errors on GitHub Actions, while instsalling locally won't + sudo $CONDA/bin/python setup.py install + fi + shell: bash + - name: Install test dependencies run: | - python -m pip install --upgrade pip - pip install black pytest - - - name: Lint with Black - run: | - cd .. - python -m black qlib -l 120 --check --diff + if [ "$RUNNER_OS" == "Windows" ]; then + $CONDA\\python.exe -m pip install --upgrade pip + $CONDA\\python.exe -m pip install black pytest + else + sudo $CONDA/bin/python -m pip install --upgrade pip + sudo $CONDA/bin/python -m pip install black pytest + fi + shell: bash - name: Unit tests with Pytest run: | cd tests - pytest . --durations=0 + if [ "$RUNNER_OS" == "Windows" ]; then + $CONDA\\python.exe -m pytest . --durations=0 + else + $CONDA/bin/python -m pytest . --durations=0 + fi + shell: bash - - name: Test data downloads + - name: Test workflow by config (install from source) run: | - python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data --interval 1d --region cn - - - name: Test workflow by config - run: | - qrun examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml + if [ "$RUNNER_OS" == "Windows" ]; then + $CONDA\\python.exe qlib\\workflow\\cli.py examples\\benchmarks\\LightGBM\\workflow_config_lightgbm_Alpha158.yaml + else + $CONDA/bin/python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml + fi + shell: bash \ No newline at end of file diff --git a/.readthedocs.yml b/.readthedocs.yml index 657981243..2abc662ce 100644 --- a/.readthedocs.yml +++ b/.readthedocs.yml @@ -18,5 +18,4 @@ python: install: - requirements: docs/requirements.txt - method: setuptools - path: . - system_packages: true \ No newline at end of file + path: . \ No newline at end of file diff --git a/README.md b/README.md index 8895ecf18..735e080a0 100644 --- a/README.md +++ b/README.md @@ -34,6 +34,7 @@ For more details, please refer to our paper ["Qlib: An AI-oriented Quantitative - [More About Qlib](#more-about-qlib) - [Offline Mode and Online Mode](#offline-mode-and-online-mode) - [Performance of Qlib Data Server](#performance-of-qlib-data-server) +- [Related Reports](#related-reports) - [Contributing](#contributing) @@ -61,17 +62,36 @@ At the module level, Qlib is a platform that consists of the above components. T This quick start guide tries to demonstrate 1. It's very easy to build a complete Quant research workflow and try your ideas with _Qlib_. -1. Though with *public data* and *simple models*, machine learning technologies **work very well** in practical Quant investment. +2. Though with *public data* and *simple models*, machine learning technologies **work very well** in practical Quant investment. + +Here is a quick **[demo](https://terminalizer.com/view/3f24561a4470)** shows how to install ``Qlib``, and run LightGBM with ``qrun``. **But**, please make sure you have already prepared the data following the [instruction](#data-preparation). + ## Installation -Users can easily install ``Qlib`` by pip according to the following command +This table demonstrates the supported Python version of `Qlib`: +| | install with pip | install from source | plot | +| ------------- |:---------------------:|:--------------------:|:----:| +| Python 3.6 | :heavy_check_mark: | :heavy_check_mark: (only with `Anaconda`) | :heavy_check_mark: | +| Python 3.7 | :heavy_check_mark: | :heavy_check_mark: | :heavy_check_mark: | +| Python 3.8 | :heavy_check_mark: | :heavy_check_mark: | :heavy_check_mark: | +| Python 3.9 | :x: | :heavy_check_mark: | :x: | + +**Note**: +1. Please pay attention that installing cython in Python 3.6 will raise some error when installing ``Qlib`` from source. If users use Python 3.6 on their machines, it is recommended to *upgrade* Python to version 3.7 or use `conda`'s Python to install ``Qlib`` from source. +2. For Python 3.9, `Qlib` supports running workflows such as training models, doing backtest and plot most of the related figures (those included in [notebook](examples/workflow_by_code.ipynb)). However, plotting for the *model performance* is not supported for now and we will fix this when the dependent packages are upgraded in the future. + +### Install with pip +Users can easily install ``Qlib`` by pip according to the following command. ```bash pip install pyqlib ``` -Also, users can install ``Qlib`` by the source code according to the following steps: +**Note**: pip will install the latest stable qlib. However, the main branch of qlib is in active development. If you want to test the latest scripts or functions in the main branch. Please install qlib with the methods below. + +### Install from source +Also, users can install the latest dev version ``Qlib`` by the source code according to the following steps: * Before installing ``Qlib`` from source, users need to install some dependencies: @@ -80,13 +100,20 @@ Also, users can install ``Qlib`` by the source code according to the following s pip install --upgrade cython ``` -* Clone the repository and install ``Qlib``: - - ```bash - git clone https://github.com/microsoft/qlib.git && cd qlib - python setup.py install - ``` +* Clone the repository and install ``Qlib`` as follows. + * If you haven't installed qlib by the command ``pip install pyqlib`` before: + ```bash + git clone https://github.com/microsoft/qlib.git && cd qlib + python setup.py install + ``` + * If you have already installed the stable version by the command ``pip install pyqlib``: + ```bash + git clone https://github.com/microsoft/qlib.git && cd qlib + pip install . + ``` + **Note**: **Only** the command ``pip install .`` **can** overwrite the stable version installed by ``pip install pyqlib``, while the command ``python setup.py install`` **can't**. +**Tips**: If you fail to install `Qlib` or run the examples in your environment, comparing your steps and the [CI workflow](.github/workflows/test.yml) may help you find the problem. ## Data Preparation Load and prepare data by running the following code: @@ -130,12 +157,16 @@ Users could create the same dataset with it. ## Auto Quant Research Workflow Qlib provides a tool named `qrun` to run the whole workflow automatically (including building dataset, training models, backtest and evaluation). You can start an auto quant research workflow and have a graphical reports analysis according to the following steps: -1. Quant Research Workflow: Run `qrun` with lightgbm workflow config ([workflow_config_lightgbm.yaml](examples/benchmarks/LightGBM/workflow_config_lightgbm.yaml)) as following. +1. Quant Research Workflow: Run `qrun` with lightgbm workflow config ([workflow_config_lightgbm_Alpha158.yaml](examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml) as following. ```bash cd examples # Avoid running program under the directory contains `qlib` - qrun benchmarks/LightGBM/workflow_config_lightgbm.yaml + qrun benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml ``` - The result of `qrun` is as follows, please refer to please refer to [Intraday Trading](https://qlib.readthedocs.io/en/latest/component/backtest.html) for more details about the result. + If users want to use `qrun` under debug mode, please use the following command: + ```bash + python -m pdb qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml + ``` + The result of `qrun` is as follows, please refer to [Intraday Trading](https://qlib.readthedocs.io/en/latest/component/backtest.html) for more details about the result. ```bash @@ -190,16 +221,16 @@ The automatic workflow may not suite the research workflow of all Quant research # [Quant Model Zoo](examples/benchmarks) Here is a list of models built on `Qlib`. -- [GBDT based on LightGBM](qlib/contrib/model/gbdt.py) -- [GBDT based on Catboost](qlib/contrib/model/catboost_model.py) -- [GBDT based on XGBoost](qlib/contrib/model/xgboost.py) +- [GBDT based on LightGBM (Guolin Ke, et al.)](qlib/contrib/model/gbdt.py) +- [GBDT based on Catboost (Liudmila Prokhorenkova, et al.)](qlib/contrib/model/catboost_model.py) +- [GBDT based on XGBoost (Tianqi Chen, et al.)](qlib/contrib/model/xgboost.py) - [MLP based on pytorch](qlib/contrib/model/pytorch_nn.py) -- [GRU based on pytorch](qlib/contrib/model/pytorch_gru.py) -- [LSTM based on pytorcn](qlib/contrib/model/pytorch_lstm.py) -- [ALSTM based on pytorcn](qlib/contrib/model/pytorch_alstm.py) -- [GATs based on pytorch](qlib/contrib/model/pytorch_gats.py) -- [SFM based on pytorch](qlib/contrib/model/pytorch_sfm.py) -- [TFT based on tensorflow](examples/benchmarks/TFT/tft.py) +- [GRU based on pytorch (Kyunghyun Cho, et al.)](qlib/contrib/model/pytorch_gru.py) +- [LSTM based on pytorcn (Sepp Hochreiter, et al.)](qlib/contrib/model/pytorch_lstm.py) +- [ALSTM based on pytorcn (Yao Qin, et al.)](qlib/contrib/model/pytorch_alstm.py) +- [GATs based on pytorch (Petar Velickovic, et al.)](qlib/contrib/model/pytorch_gats.py) +- [SFM based on pytorch (Liheng Zhang, et al.)](qlib/contrib/model/pytorch_sfm.py) +- [TFT based on tensorflow (Bryan Lim, et al.)](examples/benchmarks/TFT/tft.py) Your PR of new Quant models is highly welcomed. @@ -280,7 +311,10 @@ Such overheads greatly slow down the data loading process. Qlib data are stored in a compact format, which is efficient to be combined into arrays for scientific computation. - +# Related Reports +- [【华泰金工林晓明团队】微软AI量化投资平台Qlib体验——华泰人工智能系列之四十](https://mp.weixin.qq.com/s/Brcd7im4NibJOJzZfMn6tQ) +- [微软也搞AI量化平台？还是开源的！](https://mp.weixin.qq.com/s/47bP5YwxfTp2uTHjUBzJQQ) +- [微矿Qlib：业内首个AI量化投资开源平台](https://mp.weixin.qq.com/s/vsJv7lsgjEi-ALYUz4CvtQ) # Contributing diff --git a/docs/_static/demo.sh b/docs/_static/demo.sh new file mode 100644 index 000000000..bd2367a92 --- /dev/null +++ b/docs/_static/demo.sh @@ -0,0 +1,12 @@ +#!/bin/sh +git clone https://github.com/microsoft/qlib.git +cd qlib +ls +pip install pyqlib +# or +# pip install numpy +# pip install --upgrade cython +# python setup.py install +cd examples +ls +qrun benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml \ No newline at end of file diff --git a/docs/advanced/alpha.rst b/docs/advanced/alpha.rst index e6146dd0c..3e73158c8 100644 --- a/docs/advanced/alpha.rst +++ b/docs/advanced/alpha.rst @@ -50,57 +50,37 @@ Users can use ``Data Handler`` to build formulaic alphas `MACD` in qlib: .. code-block:: python - >> from qlib.data.dataset.handler import QLibDataHandler + >> from qlib.data.dataset.loader import QlibDataLoader >> MACD_EXP = '(EMA($close, 12) - EMA($close, 26))/$close - EMA((EMA($close, 12) - EMA($close, 26))/$close, 9)/$close' >> fields = [MACD_EXP] # MACD >> names = ['MACD'] - >> labels = ['$close'] # label + >> labels = ['Ref($close, -2)/Ref($close, -1) - 1'] # label >> label_names = ['LABEL'] - >> data_handler = QLibDataHandler(start_date='2010-01-01', end_date='2017-12-31', fields=fields, names=names, labels=labels, label_names=label_names) - >> TRAINER_CONFIG = { - .. "train_start_date": "2007-01-01", - .. "train_end_date": "2014-12-31", - .. "validate_start_date": "2015-01-01", - .. "validate_end_date": "2016-12-31", - .. "test_start_date": "2017-01-01", - .. "test_end_date": "2020-08-01", + >> data_loader_config = { + .. "feature": (fields, names), + .. "label": (labels, label_names) .. } - >> feature_train, label_train, feature_validate, label_validate, feature_test, label_test = data_handler.get_split_data(**TRAINER_CONFIG) - >> print(feature_train, label_train) - MACD - instrument datetime - SH600000 2010-01-04 -0.008625 - 2010-01-05 -0.007234 - 2010-01-06 -0.007693 - 2010-01-07 -0.009633 - 2010-01-08 -0.009891 - ... ... - SZ300251 2014-12-25 0.043072 - 2014-12-26 0.041345 - 2014-12-29 0.042733 - 2014-12-30 0.042066 - 2014-12-31 0.036299 - - [322025 rows x 1 columns] - LABEL - instrument datetime - SH600000 2010-01-04 4.260015 - 2010-01-05 4.292182 - 2010-01-06 4.207747 - 2010-01-07 4.113258 - 2010-01-08 4.159496 - ... ... - SZ300251 2014-12-25 4.343212 - 2014-12-26 4.470587 - 2014-12-29 4.762474 - 2014-12-30 4.369748 - 2014-12-31 4.182222 - - [322025 rows x 1 columns] + >> data_loader = QlibDataLoader(config=data_loader_config) + >> df = data_loader.load(instruments='csi300', start_time='2010-01-01', end_time='2017-12-31') + >> print(df) + feature label + MACD LABEL + datetime instrument + 2010-01-04 SH600000 -0.011547 -0.019672 + SH600004 0.002745 -0.014721 + SH600006 0.010133 0.002911 + SH600008 -0.001113 0.009818 + SH600009 0.025878 -0.017758 + ... ... ... + 2017-12-29 SZ300124 0.007306 -0.005074 + SZ300136 -0.013492 0.056352 + SZ300144 -0.000966 0.011853 + SZ300251 0.004383 0.021739 + SZ300315 -0.030557 0.012455 Reference =========== -To learn more about ``Data Handler``, please refer to `Data Handler <../component/data.html>`_ +To learn more about ``Data Loader``, please refer to `Data Loader <../component/data.html#data-loader>`_ To learn more about ``Data API``, please refer to `Data API <../component/data.html>`_ diff --git a/docs/component/data.rst b/docs/component/data.rst index c1e000b15..abb655f9b 100644 --- a/docs/component/data.rst +++ b/docs/component/data.rst @@ -126,17 +126,17 @@ After conversion, users can find their Qlib format data in the directory `~/.qli The arguments of `--include_fields` should correspond with the column names of CSV files. The columns names of dataset provided by ``Qlib`` should include open, close, high, low, volume and factor at least. - `open` - The opening price + The adjusted opening price - `close` - The closing price + The adjusted closing price - `high` - The highest price + The adjusted highest price - `low` - The lowest price + The adjusted lowest price - `volume` - The trading volume + The adjusted trading volume - `factor` - The Restoration factor + The Restoration factor. Normally, original_price = adj_price / factor In the convention of `Qlib` data processing, `open, close, high, low, volume, money and factor` will be set to NaN if the stock is suspended. @@ -296,6 +296,7 @@ The ``Processor`` module in ``Qlib`` is designed to be learnable and it is respo - ``RobustZScoreNorm``: `processor` that applies robust z-score normalization. - ``CSZScoreNorm``: `processor` that applies cross sectional z-score normalization. - ``CSRankNorm``: `processor` that applies cross sectional rank normalization. +- ``CSZFillna``: `processor` that fills N/A values in a cross sectional way by the mean of the column. Users can also create their own `processor` by inheriting the base class of ``Processor``. Please refer to the implementation of all the processors for more information (`Processor Link `_). diff --git a/docs/component/recorder.rst b/docs/component/recorder.rst index baf12448b..5e01140cf 100644 --- a/docs/component/recorder.rst +++ b/docs/component/recorder.rst @@ -34,8 +34,9 @@ Here is a general view of the structure of the system: - Recorder 2 - ... - ... -This experiment management system defines a set of interface and provided a concrete implementation based on the machine learning platform: ``MLFlow`` (`link `_). +This experiment management system defines a set of interface and provided a concrete implementation ``MLflowExpManager``, which is based on the machine learning platform: ``MLFlow`` (`link `_). +If users set the implementation of ``ExpManager`` to be ``MLflowExpManager``, they can use the command `mlflow ui` to visualize and check the experiment results. For more information, pleaes refer to the related documents `here `_. Qlib Recorder =================== @@ -91,7 +92,7 @@ Record Template The ``RecordTemp`` class is a class that enables generate experiment results such as IC and backtest in a certain format. We have provided three different `Record Template` class: -- ``SignalRecord``: This class generates the `preidction` results of the model. +- ``SignalRecord``: This class generates the `prediction` results of the model. - ``SigAnaRecord``: This class generates the `IC`, `ICIR`, `Rank IC` and `Rank ICIR` of the model. - ``PortAnaRecord``: This class generates the results of `backtest`. The detailed information about `backtest` as well as the available `strategy`, users can refer to `Strategy <../component/strategy.html>`_ and `Backtest <../component/backtest.html>`_. diff --git a/docs/component/workflow.rst b/docs/component/workflow.rst index 5b81c7e78..96a764de1 100644 --- a/docs/component/workflow.rst +++ b/docs/component/workflow.rst @@ -103,6 +103,12 @@ After saving the config into `configuration.yaml`, users could start the workflo qrun configuration.yaml +If users want to use ``qrun`` under debug mode, please use the following command: + +.. code-block:: bash + + python -m pdb qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml + .. note:: `qrun` will be placed in your $PATH directory when installing ``Qlib``. diff --git a/docs/conf.py b/docs/conf.py index 5359d08ed..6e52b0e34 100644 --- a/docs/conf.py +++ b/docs/conf.py @@ -226,3 +226,8 @@ epub_exclude_files = ["search.html"] autodoc_member_order = "bysource" autodoc_default_flags = ["members"] +autodoc_default_options = { + "members": True, + "member-order": "bysource", + "special-members": "__init__", +} diff --git a/docs/requirements.txt b/docs/requirements.txt index ea9582e0a..5f27c38e7 100644 --- a/docs/requirements.txt +++ b/docs/requirements.txt @@ -1 +1,5 @@ -Cython==0.29.21 \ No newline at end of file +Cython +cmake +numpy +scipy +scikit-learn diff --git a/docs/start/initialization.rst b/docs/start/initialization.rst index 05a329df7..15aa957d1 100644 --- a/docs/start/initialization.rst +++ b/docs/start/initialization.rst @@ -63,6 +63,7 @@ Besides `provider_uri` and `region`, `qlib.init` has other parameters. The follo If Qlib fails to connect redis via `redis_host` and `redis_port`, cache mechanism will not be used! Please refer to `Cache <../component/data.html#cache>`_ for details. - `exp_manager` Type: dict, optional parameter, the setting of `experiment manager` to be used in qlib. Users can specify an experiment manager class, as well as the tracking URI for all the experiments. However, please be aware that we only support input of a dictionary in the following style for `exp_manager`. For more information about `exp_manager`, users can refer to `Recorder: Experiment Management <../component/recorder.html>`_. + .. code-block:: Python # For example, if you want to set your tracking_uri to a , you can initialize qlib below diff --git a/examples/README.md b/examples/README.md index b3728a1ec..124c34363 100644 --- a/examples/README.md +++ b/examples/README.md @@ -1,6 +1,6 @@ # Requirements -Here is the minimal hardware requirements to run the example. +Here is the minimal hardware requirements to run the `workflow_by_code` example. - Memory: 16G - Free Disk: 5G diff --git a/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml b/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml index 13c2794bf..d3078314c 100755 --- a/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml +++ b/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml @@ -64,7 +64,6 @@ task: loss: mse n_jobs: 20 GPU: 0 - rnn_type: GRU dataset: class: TSDatasetH module_path: qlib.data.dataset diff --git a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml index eedff35a6..15fa20ec3 100755 --- a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml +++ b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml @@ -64,7 +64,6 @@ task: loss: mse n_jobs: 20 GPU: 0 - rnn_type: GRU dataset: class: TSDatasetH module_path: qlib.data.dataset diff --git a/examples/benchmarks/README.md b/examples/benchmarks/README.md index c561906d6..d440a967e 100644 --- a/examples/benchmarks/README.md +++ b/examples/benchmarks/README.md @@ -1,32 +1,34 @@ # Benchmarks Performance -Here are the results of each benchmark model running on Qlib's `Alpha360` and `Alpha158` dataset with China's A shared-stock & CSI300 data respectively. The values of each metric are the mean and std calculated based on 10 runs. +Here are the results of each benchmark model running on Qlib's `Alpha360` and `Alpha158` dataset with China's A shared-stock & CSI300 data respectively. The values of each metric are the mean and std calculated based on 20 runs. The numbers shown below demonstrate the performance of the entire `workflow` of each model. We will update the `workflow` as well as models in the near future for better results. ## Alpha360 dataset | Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown | |---|---|---|---|---|---|---|---|---| -| Linear | Alpha360 | 0.0150±0.00 | 0.1049±0.00| 0.0284±0.00 | 0.1970±0.00 | -0.0655±0.00 | -0.6985±0.00| -0.2961±0.00 | -| CatBoost | Alpha360 | 0.0397±0.00 | 0.2878±0.00| 0.0470±0.00 | 0.3703±0.00 | 0.0342±0.00 | 0.4092±0.00| -0.1057±0.00 | -| XGBoost | Alpha360 | 0.0400±0.00 | 0.3031±0.00| 0.0461±0.00 | 0.3862±0.00 | 0.0528±0.00 | 0.6307±0.00| -0.1113±0.00 | -| LightGBM | Alpha360 | 0.0399±0.00 | 0.3075±0.00| 0.0492±0.00 | 0.4019±0.00 | 0.0323±0.00 | 0.4370±0.00| -0.0917±0.00 | -| MLP | Alpha360 | 0.0253±0.01 | 0.1954±0.05| 0.0329±0.00 | 0.2687±0.04 | 0.0161±0.01 | 0.1989±0.19| -0.1275±0.03 | -| GRU | Alpha360 | 0.0503±0.01 | 0.3946±0.06| 0.0588±0.00 | 0.4737±0.05 | 0.0799±0.02 | 1.0940±0.26| -0.0810±0.03 | -| LSTM | Alpha360 | 0.0466±0.01 | 0.3644±0.06| 0.0555±0.00 | 0.4451±0.04 | 0.0783±0.05 | 1.0539±0.65| -0.0844±0.03 | -| ALSTM | Alpha360 | 0.0472±0.00 | 0.3558±0.04| 0.0577±0.00 | 0.4522±0.04 | 0.0522±0.02 | 0.7090±0.32| -0.1059±0.03 | -| GATs | Alpha360 | 0.0480±0.00 | 0.3555±0.02| 0.0598±0.00 | 0.4616±0.01 | 0.0857±0.03 | 1.1317±0.42| -0.0917±0.01 | +| Linear | Alpha360 | 0.0150±0.00 | 0.1049±0.00| 0.0284±0.00 | 0.1970±0.00 | -0.0659±0.00 | -0.7072±0.00| -0.2955±0.00 | +| CatBoost (Liudmila Prokhorenkova, et al.) | Alpha360 | 0.0397±0.00 | 0.2878±0.00| 0.0470±0.00 | 0.3703±0.00 | 0.0342±0.00 | 0.4092±0.00| -0.1057±0.00 | +| XGBoost (Tianqi Chen, et al.) | Alpha360 | 0.0400±0.00 | 0.3031±0.00| 0.0461±0.00 | 0.3862±0.00 | 0.0528±0.00 | 0.6307±0.00| -0.1113±0.00 | +| LightGBM (Guolin Ke, et al.) | Alpha360 | 0.0399±0.00 | 0.3075±0.00| 0.0492±0.00 | 0.4019±0.00 | 0.0323±0.00 | 0.4370±0.00| -0.0917±0.00 | +| MLP | Alpha360 | 0.0285±0.00 | 0.1981±0.02| 0.0402±0.00 | 0.2993±0.02 | 0.0073±0.02 | 0.0880±0.22| -0.1446±0.03 | +| GRU (Kyunghyun Cho, et al.) | Alpha360 | 0.0490±0.01 | 0.3787±0.05| 0.0581±0.00 | 0.4664±0.04 | 0.0726±0.02 | 0.9817±0.34| -0.0902±0.03 | +| LSTM (Sepp Hochreiter, et al.) | Alpha360 | 0.0443±0.01 | 0.3401±0.05| 0.0536±0.01 | 0.4248±0.05 | 0.0627±0.03 | 0.8441±0.48| -0.0882±0.03 | +| ALSTM (Yao Qin, et al.) | Alpha360 | 0.0493±0.01 | 0.3778±0.06| 0.0585±0.00 | 0.4606±0.04 | 0.0513±0.03 | 0.6727±0.38| -0.1085±0.02 | +| GATs (Petar Velickovic, et al.) | Alpha360 | 0.0475±0.00 | 0.3515±0.02| 0.0592±0.00 | 0.4585±0.01 | 0.0876±0.02 | 1.1513±0.27| -0.0795±0.02 | ## Alpha158 dataset | Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown | |---|---|---|---|---|---|---|---|---| | Linear | Alpha158 | 0.0393±0.00 | 0.2980±0.00| 0.0475±0.00 | 0.3546±0.00 | 0.0795±0.00 | 1.0712±0.00| -0.1449±0.00 | -| CatBoost | Alpha158 | 0.0503±0.00 | 0.3586±0.00| 0.0483±0.00 | 0.3667±0.00 | 0.1080±0.00 | 1.1567±0.00| -0.0787±0.00 | -| XGBoost | Alpha158 | 0.0481±0.00 | 0.3659±0.00| 0.0495±0.00 | 0.4033±0.00 | 0.1111±0.00 | 1.2915±0.00| -0.0893±0.00 | -| LightGBM | Alpha158 | 0.0475±0.00 | 0.3979±0.00| 0.0485±0.00 | 0.4123±0.00 | 0.1143±0.00 | 1.2744±0.00| -0.0800±0.00 | -| MLP | Alpha158 | 0.0363±0.00 | 0.2770±0.02| 0.0421±0.00 | 0.3167±0.01 | 0.0856±0.01 | 1.0397±0.12| -0.1134±0.01 | -| TFT | Alpha158 (with selected 20 features) | 0.0335±0.00 | 0.2009±0.01| 0.0090±0.00 | 0.0553±0.01 | 0.0605±0.01 | 0.5438±0.12| -0.1772±0.03 | -| GRU | Alpha158 (with selected 20 features) | 0.0313±0.00 | 0.2427±0.01 | 0.0416±0.00 | 0.3370±0.01 | 0.0335±0.01 | 0.4808±0.22 | -0.1112±0.03 | -| LSTM | Alpha158 (with selected 20 features) | 0.0337±0.01 | 0.2562±0.05 | 0.0427±0.01 | 0.3392±0.04 | 0.0269±0.06 | 0.3385±0.74 | -0.1285±0.04 | -| ALSTM | Alpha158 (with selected 20 features) | 0.0366±0.00 | 0.2803±0.04 | 0.0478±0.00 | 0.3770±0.02 | 0.0520±0.03 | 0.7115±0.30 | -0.0986±0.01 | -| GATs | Alpha158 (with selected 20 features) | 0.0355±0.00 | 0.2576±0.02 | 0.0465±0.00 | 0.3585±0.00 | 0.0509±0.02 | 0.7212±0.22 | -0.0821±0.01 | \ No newline at end of file +| CatBoost (Liudmila Prokhorenkova, et al.) | Alpha158 | 0.0503±0.00 | 0.3586±0.00| 0.0483±0.00 | 0.3667±0.00 | 0.1080±0.00 | 1.1561±0.00| -0.0787±0.00 | +| XGBoost (Tianqi Chen, et al.) | Alpha158 | 0.0481±0.00 | 0.3659±0.00| 0.0495±0.00 | 0.4033±0.00 | 0.1111±0.00 | 1.2915±0.00| -0.0893±0.00 | +| LightGBM (Guolin Ke, et al.) | Alpha158 | 0.0475±0.00 | 0.3979±0.00| 0.0485±0.00 | 0.4123±0.00 | 0.1143±0.00 | 1.2744±0.00| -0.0800±0.00 | +| MLP | Alpha158 | 0.0358±0.00 | 0.2738±0.03| 0.0425±0.00 | 0.3221±0.01 | 0.0836±0.02 | 1.0323±0.25| -0.1127±0.02 | +| TFT (Bryan Lim, et al.) | Alpha158 (with selected 20 features) | 0.0343±0.00 | 0.2071±0.02| 0.0107±0.00 | 0.0660±0.02 | 0.0623±0.02 | 0.5818±0.20| -0.1762±0.01 | +| GRU (Kyunghyun Cho, et al.) | Alpha158 (with selected 20 features) | 0.0311±0.00 | 0.2418±0.04| 0.0425±0.00 | 0.3434±0.02 | 0.0330±0.02 | 0.4805±0.30| -0.1021±0.02 | +| LSTM (Sepp Hochreiter, et al.) | Alpha158 (with selected 20 features) | 0.0312±0.00 | 0.2394±0.04| 0.0418±0.00 | 0.3324±0.03 | 0.0298±0.02 | 0.4198±0.33| -0.1348±0.03 | +| ALSTM (Yao Qin, et al.) | Alpha158 (with selected 20 features) | 0.0385±0.01 | 0.3022±0.06| 0.0478±0.00 | 0.3874±0.04 | 0.0486±0.03 | 0.7141±0.45| -0.1088±0.03 | +| GATs (Petar Velickovic, et al.) | Alpha158 (with selected 20 features) | 0.0349±0.00 | 0.2511±0.01| 0.0457±0.00 | 0.3537±0.01 | 0.0578±0.02 | 0.8221±0.25| -0.0824±0.02 | + +- The selected 20 features are based on the feature importance of a lightgbm-based model. diff --git a/examples/benchmarks/SFM/README.md b/examples/benchmarks/SFM/README.md index 5f74c15d2..ff54145af 100644 --- a/examples/benchmarks/SFM/README.md +++ b/examples/benchmarks/SFM/README.md @@ -1,3 +1,3 @@ # State-Frequency-Memory - State Frequency Memory (SFM) is a novel recurrent network that uses Discrete Fourier Transform to decompose the hidden states of memory cells and capture the multi-frequency trading patterns from past market data to make stock price predictions. -- Paper: Stock Price Prediction via Discovering Multi-Frequency Trading Patterns. [https://www.cs.ucf.edu/~gqi/publications/kdd2017_stock.pdf.](https://www.cs.ucf.edu/~gqi/publications/kdd2017_stock.pdf.) \ No newline at end of file +- Paper: Stock Price Prediction via Discovering Multi-Frequency Trading Patterns. [http://www.eecs.ucf.edu/~gqi/publications/kdd2017_stock.pdf.](http://www.eecs.ucf.edu/~gqi/publications/kdd2017_stock.pdf) \ No newline at end of file diff --git a/examples/benchmarks/TFT/expt_settings/configs.py b/examples/benchmarks/TFT/expt_settings/configs.py index 6aef0c395..62aa68c38 100644 --- a/examples/benchmarks/TFT/expt_settings/configs.py +++ b/examples/benchmarks/TFT/expt_settings/configs.py @@ -25,7 +25,7 @@ import os import data_formatters.qlib_Alpha158 -class ExperimentConfig(object): +class ExperimentConfig: """Defines experiment configs and paths to outputs. Attributes: diff --git a/examples/benchmarks/TFT/libs/tft_model.py b/examples/benchmarks/TFT/libs/tft_model.py index 658bae60f..b39f17825 100644 --- a/examples/benchmarks/TFT/libs/tft_model.py +++ b/examples/benchmarks/TFT/libs/tft_model.py @@ -320,7 +320,7 @@ class InterpretableMultiHeadAttention: return outputs, attn -class TFTDataCache(object): +class TFTDataCache: """Caches data for the TFT.""" _data_cache = {} @@ -348,7 +348,7 @@ class TFTDataCache(object): # TFT model definitions. -class TemporalFusionTransformer(object): +class TemporalFusionTransformer: """Defines Temporal Fusion Transformer. Attributes: @@ -972,7 +972,7 @@ class TemporalFusionTransformer(object): valid_quantiles = self.quantiles output_size = self.output_size - class QuantileLossCalculator(object): + class QuantileLossCalculator: """Computes the combined quantile loss for prespecified quantiles. Attributes: diff --git a/examples/run_all_model.py b/examples/run_all_model.py index 505a20bcb..d587eff15 100644 --- a/examples/run_all_model.py +++ b/examples/run_all_model.py @@ -69,9 +69,9 @@ def handler(signum, frame): os.system("kill -9 %d" % os.getpid()) -signal.signal(signal.SIGTSTP, handler) signal.signal(signal.SIGINT, handler) + # function to calculate the mean and std of a list in the results dictionary def cal_mean_std(results) -> dict: mean_std = dict() diff --git a/examples/workflow_by_code.py b/examples/workflow_by_code.py index 8fdb4332f..b8cf3f935 100644 --- a/examples/workflow_by_code.py +++ b/examples/workflow_by_code.py @@ -98,6 +98,7 @@ if __name__ == "__main__": "open_cost": 0.0005, "close_cost": 0.0015, "min_cost": 5, + "return_order": True, }, } diff --git a/qlib/__init__.py b/qlib/__init__.py index 1f0c73949..9f3bc693a 100644 --- a/qlib/__init__.py +++ b/qlib/__init__.py @@ -2,7 +2,7 @@ # Licensed under the MIT License. -__version__ = "0.6.0.dev" +__version__ = "0.6.1.dev" import os diff --git a/qlib/config.py b/qlib/config.py index c757fdb32..1737c5b37 100644 --- a/qlib/config.py +++ b/qlib/config.py @@ -20,17 +20,17 @@ import multiprocessing class Config: def __init__(self, default_conf): - self.__dict__["_default_config"] = default_conf # avoiding conflictions with __getattr__ + self.__dict__["_default_config"] = copy.deepcopy(default_conf) # avoiding conflictions with __getattr__ self.reset() def __getitem__(self, key): return self.__dict__["_config"][key] def __getattr__(self, attr): - try: + if attr in self.__dict__["_config"]: return self.__dict__["_config"][attr] - except KeyError: - return AttributeError(f"No such {attr} in self._config") + + raise AttributeError(f"No such {attr} in self._config") def __setitem__(self, key, value): self.__dict__["_config"][key] = value diff --git a/qlib/contrib/backtest/__init__.py b/qlib/contrib/backtest/__init__.py index 31746819c..aa24ffb0c 100644 --- a/qlib/contrib/backtest/__init__.py +++ b/qlib/contrib/backtest/__init__.py @@ -1,9 +1,324 @@ # Copyright (c) Microsoft Corporation. # Licensed under the MIT License. -# -*- coding: utf-8 -*- from .order import Order from .account import Account from .position import Position from .exchange import Exchange from .report import Report +from .backtest import backtest as backtest_func, get_date_range + +import numpy as np +import inspect +from ...utils import init_instance_by_config +from ...log import get_module_logger +from ...config import C + +logger = get_module_logger("backtest caller") + + +def get_strategy( + strategy=None, + topk=50, + margin=0.5, + n_drop=5, + risk_degree=0.95, + str_type="dropout", + adjust_dates=None, +): + """get_strategy + + There will be 3 ways to return a stratgy. Please follow the code. + + + Parameters + ---------- + + strategy : Strategy() + strategy used in backtest. + topk : int (Default value: 50) + top-N stocks to buy. + margin : int or float(Default value: 0.5) + - if isinstance(margin, int): + + sell_limit = margin + + - else: + + sell_limit = pred_in_a_day.count() * margin + + buffer margin, in single score_mode, continue holding stock if it is in nlargest(sell_limit). + sell_limit should be no less than topk. + n_drop : int + number of stocks to be replaced in each trading date. + risk_degree: float + 0-1, 0.95 for example, use 95% money to trade. + str_type: 'amount', 'weight' or 'dropout' + strategy type: TopkAmountStrategy ,TopkWeightStrategy or TopkDropoutStrategy. + + Returns + ------- + :class: Strategy + an initialized strategy object + """ + + # There will be 3 ways to return a strategy. + if strategy is None: + # 1) create strategy with param `strategy` + str_cls_dict = { + "amount": "TopkAmountStrategy", + "weight": "TopkWeightStrategy", + "dropout": "TopkDropoutStrategy", + } + logger.info("Create new strategy ") + from .. import strategy as strategy_pool + + str_cls = getattr(strategy_pool, str_cls_dict.get(str_type)) + strategy = str_cls( + topk=topk, + buffer_margin=margin, + n_drop=n_drop, + risk_degree=risk_degree, + adjust_dates=adjust_dates, + ) + elif isinstance(strategy, (dict, str)): + # 2) create strategy with init_instance_by_config + logger.info("Create new strategy ") + strategy = init_instance_by_config(strategy) + + from ..strategy.strategy import BaseStrategy + + # else: nothing happens. 3) Use the strategy directly + if not isinstance(strategy, BaseStrategy): + raise TypeError("Strategy not supported") + return strategy + + +def get_exchange( + pred, + exchange=None, + subscribe_fields=[], + open_cost=0.0015, + close_cost=0.0025, + min_cost=5.0, + trade_unit=None, + limit_threshold=None, + deal_price=None, + extract_codes=False, + shift=1, +): + """get_exchange + + Parameters + ---------- + + # exchange related arguments + exchange: Exchange(). + subscribe_fields: list + subscribe fields. + open_cost : float + open transaction cost. + close_cost : float + close transaction cost. + min_cost : float + min transaction cost. + trade_unit : int + 100 for China A. + deal_price: str + dealing price type: 'close', 'open', 'vwap'. + limit_threshold : float + limit move 0.1 (10%) for example, long and short with same limit. + extract_codes: bool + will we pass the codes extracted from the pred to the exchange. + NOTE: This will be faster with offline qlib. + + Returns + ------- + :class: Exchange + an initialized Exchange object + """ + + if trade_unit is None: + trade_unit = C.trade_unit + if limit_threshold is None: + limit_threshold = C.limit_threshold + if deal_price is None: + deal_price = C.deal_price + if exchange is None: + logger.info("Create new exchange") + # handle exception for deal_price + if deal_price[0] != "$": + deal_price = "$" + deal_price + if extract_codes: + codes = sorted(pred.index.get_level_values("instrument").unique()) + else: + codes = "all" # TODO: We must ensure that 'all.txt' includes all the stocks + + dates = sorted(pred.index.get_level_values("datetime").unique()) + dates = np.append(dates, get_date_range(dates[-1], left_shift=1, right_shift=shift)) + + exchange = Exchange( + trade_dates=dates, + codes=codes, + deal_price=deal_price, + subscribe_fields=subscribe_fields, + limit_threshold=limit_threshold, + open_cost=open_cost, + close_cost=close_cost, + min_cost=min_cost, + trade_unit=trade_unit, + ) + return exchange + + +def get_executor( + executor=None, + trade_exchange=None, + verbose=True, +): + """get_executor + + There will be 3 ways to return a executor. Please follow the code. + + Parameters + ---------- + + executor : BaseExecutor + executor used in backtest. + trade_exchange : Exchange + exchange used in executor + verbose : bool + whether to print log. + + Returns + ------- + :class: BaseExecutor + an initialized BaseExecutor object + """ + + # There will be 3 ways to return a executor. + if executor is None: + # 1) create executor with param `executor` + logger.info("Create new executor ") + from ..online.executor import SimulatorExecutor + + executor = SimulatorExecutor(trade_exchange=trade_exchange, verbose=verbose) + elif isinstance(executor, (dict, str)): + # 2) create executor with config + logger.info("Create new executor ") + executor = init_instance_by_config(executor) + + from ..online.executor import BaseExecutor + + # 3) Use the executor directly + if not isinstance(executor, BaseExecutor): + raise TypeError("Executor not supported") + return executor + + +# This is the API for compatibility for legacy code +def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, return_order=False, **kwargs): + """This function will help you set a reasonable Exchange and provide default value for strategy + Parameters + ---------- + + - **backtest workflow related or commmon arguments** + + pred : pandas.DataFrame + predict should has index and one `score` column. + account : float + init account value. + shift : int + whether to shift prediction by one day. + benchmark : str + benchmark code, default is SH000905 CSI 500. + verbose : bool + whether to print log. + return_order : bool + whether to return order list + + - **strategy related arguments** + + strategy : Strategy() + strategy used in backtest. + topk : int (Default value: 50) + top-N stocks to buy. + margin : int or float(Default value: 0.5) + - if isinstance(margin, int): + + sell_limit = margin + + - else: + + sell_limit = pred_in_a_day.count() * margin + + buffer margin, in single score_mode, continue holding stock if it is in nlargest(sell_limit). + sell_limit should be no less than topk. + n_drop : int + number of stocks to be replaced in each trading date. + risk_degree: float + 0-1, 0.95 for example, use 95% money to trade. + str_type: 'amount', 'weight' or 'dropout' + strategy type: TopkAmountStrategy ,TopkWeightStrategy or TopkDropoutStrategy. + + - **exchange related arguments** + + exchange: Exchange() + pass the exchange for speeding up. + subscribe_fields: list + subscribe fields. + open_cost : float + open transaction cost. The default value is 0.002(0.2%). + close_cost : float + close transaction cost. The default value is 0.002(0.2%). + min_cost : float + min transaction cost. + trade_unit : int + 100 for China A. + deal_price: str + dealing price type: 'close', 'open', 'vwap'. + limit_threshold : float + limit move 0.1 (10%) for example, long and short with same limit. + extract_codes: bool + will we pass the codes extracted from the pred to the exchange. + + .. note:: This will be faster with offline qlib. + + - **executor related arguments** + + executor : BaseExecutor() + executor used in backtest. + verbose : bool + whether to print log. + + """ + # check strategy: + spec = inspect.getfullargspec(get_strategy) + str_args = {k: v for k, v in kwargs.items() if k in spec.args} + strategy = get_strategy(**str_args) + + # init exchange: + spec = inspect.getfullargspec(get_exchange) + ex_args = {k: v for k, v in kwargs.items() if k in spec.args} + trade_exchange = get_exchange(pred, **ex_args) + + # init executor: + executor = get_executor(executor=kwargs.get("executor"), trade_exchange=trade_exchange, verbose=verbose) + + # run backtest + report_dict = backtest_func( + pred=pred, + strategy=strategy, + executor=executor, + trade_exchange=trade_exchange, + shift=shift, + verbose=verbose, + account=account, + benchmark=benchmark, + return_order=return_order, + ) + # for compatibility of the old API. return the dict positions + + positions = report_dict.get("positions") + report_dict.update({"positions": {k: p.position for k, p in positions.items()}}) + return report_dict diff --git a/qlib/contrib/backtest/backtest.py b/qlib/contrib/backtest/backtest.py index 7ee8dceb0..b87d6afe3 100644 --- a/qlib/contrib/backtest/backtest.py +++ b/qlib/contrib/backtest/backtest.py @@ -5,7 +5,6 @@ import numpy as np import pandas as pd from ...utils import get_date_by_shift, get_date_range -from ..online.executor import SimulatorExecutor from ...data import D from .account import Account from ...config import C @@ -15,7 +14,7 @@ from ...data.dataset.utils import get_level_index LOG = get_module_logger("backtest") -def backtest(pred, strategy, trade_exchange, shift, verbose, account, benchmark): +def backtest(pred, strategy, executor, trade_exchange, shift, verbose, account, benchmark, return_order): """Parameters ---------- pred : pandas.DataFrame @@ -69,9 +68,9 @@ def backtest(pred, strategy, trade_exchange, shift, verbose, account, benchmark) raise ValueError(f"The benchmark {_codes} does not exist. Please provide the right benchmark") bench = _temp_result.groupby(level="datetime")[_temp_result.columns.tolist()[0]].mean() - trade_dates = np.append(predict_dates[shift:], get_date_range(predict_dates[-1], shift=shift)) - executor = SimulatorExecutor(trade_exchange, verbose=verbose) - + trade_dates = np.append(predict_dates[shift:], get_date_range(predict_dates[-1], left_shift=1, right_shift=shift)) + if return_order: + multi_order_list = [] # trading apart for pred_date, trade_date in zip(predict_dates, trade_dates): # for loop predict date and trading date @@ -103,6 +102,8 @@ def backtest(pred, strategy, trade_exchange, shift, verbose, account, benchmark) ) else: order_list = [] + if return_order: + multi_order_list.append((trade_account, order_list, trade_date)) # 4. Get result after executing order list # NOTE: The following operation will modify order.amount. # NOTE: If it is buy and the cash is insufficient, the tradable amount will be recalculated @@ -115,7 +116,11 @@ def backtest(pred, strategy, trade_exchange, shift, verbose, account, benchmark) report_df = trade_account.report.generate_report_dataframe() report_df["bench"] = bench positions = trade_account.get_positions() - return report_df, positions + + report_dict = {"report_df": report_df, "positions": positions} + if return_order: + report_dict.update({"order_list": multi_order_list}) + return report_dict def update_account(trade_account, trade_info, trade_exchange, trade_date): diff --git a/qlib/contrib/evaluate.py b/qlib/contrib/evaluate.py index 4bb5e4372..4aa5b5515 100644 --- a/qlib/contrib/evaluate.py +++ b/qlib/contrib/evaluate.py @@ -6,17 +6,16 @@ from __future__ import print_function import numpy as np import pandas as pd -import inspect +import warnings from ..log import get_module_logger -from . import strategy as strategy_pool -from .strategy.strategy import BaseStrategy -from .backtest.exchange import Exchange -from .backtest.backtest import backtest as backtest_func, get_date_range +from .backtest import get_exchange, backtest as backtest_func +from .backtest.backtest import get_date_range from ..data import D from ..config import C from ..data.dataset.utils import get_level_index + logger = get_module_logger("Evaluate") @@ -46,144 +45,6 @@ def risk_analysis(r, N=252): return res -def get_strategy( - strategy=None, - topk=50, - margin=0.5, - n_drop=5, - risk_degree=0.95, - str_type="amount", - adjust_dates=None, -): - """get_strategy - - Parameters - ---------- - - strategy : Strategy() - strategy used in backtest. - topk : int (Default value: 50) - top-N stocks to buy. - margin : int or float(Default value: 0.5) - - if isinstance(margin, int): - - sell_limit = margin - - - else: - - sell_limit = pred_in_a_day.count() * margin - - buffer margin, in single score_mode, continue holding stock if it is in nlargest(sell_limit). - sell_limit should be no less than topk. - n_drop : int - number of stocks to be replaced in each trading date. - risk_degree: float - 0-1, 0.95 for example, use 95% money to trade. - str_type: 'amount', 'weight' or 'dropout' - strategy type: TopkAmountStrategy ,TopkWeightStrategy or TopkDropoutStrategy. - - Returns - ------- - :class: Strategy - an initialized strategy object - """ - if strategy is None: - str_cls_dict = { - "amount": "TopkAmountStrategy", - "weight": "TopkWeightStrategy", - "dropout": "TopkDropoutStrategy", - } - logger.info("Create new streategy ") - str_cls = getattr(strategy_pool, str_cls_dict.get(str_type)) - strategy = str_cls( - topk=topk, - buffer_margin=margin, - n_drop=n_drop, - risk_degree=risk_degree, - adjust_dates=adjust_dates, - ) - if not isinstance(strategy, BaseStrategy): - raise TypeError("Strategy not supported") - return strategy - - -def get_exchange( - pred, - exchange=None, - subscribe_fields=[], - open_cost=0.0015, - close_cost=0.0025, - min_cost=5.0, - trade_unit=None, - limit_threshold=None, - deal_price=None, - extract_codes=False, - shift=1, -): - """get_exchange - - Parameters - ---------- - - # exchange related arguments - exchange: Exchange(). - subscribe_fields: list - subscribe fields. - open_cost : float - open transaction cost. - close_cost : float - close transaction cost. - min_cost : float - min transaction cost. - trade_unit : int - 100 for China A. - deal_price: str - dealing price type: 'close', 'open', 'vwap'. - limit_threshold : float - limit move 0.1 (10%) for example, long and short with same limit. - extract_codes: bool - will we pass the codes extracted from the pred to the exchange. - NOTE: This will be faster with offline qlib. - - Returns - ------- - :class: Exchange - an initialized Exchange object - """ - - if trade_unit is None: - trade_unit = C.trade_unit - if limit_threshold is None: - limit_threshold = C.limit_threshold - if deal_price is None: - deal_price = C.deal_price - if exchange is None: - logger.info("Create new exchange") - # handle exception for deal_price - if deal_price[0] != "$": - deal_price = "$" + deal_price - if extract_codes: - codes = sorted(pred.index.get_level_values("instrument").unique()) - else: - codes = "all" # TODO: We must ensure that 'all.txt' includes all the stocks - - dates = sorted(pred.index.get_level_values("datetime").unique()) - dates = np.append(dates, get_date_range(dates[-1], shift=shift)) - - exchange = Exchange( - trade_dates=dates, - codes=codes, - deal_price=deal_price, - subscribe_fields=subscribe_fields, - limit_threshold=limit_threshold, - open_cost=open_cost, - close_cost=close_cost, - min_cost=min_cost, - trade_unit=trade_unit, - ) - return exchange - - # This is the API for compatibility for legacy code def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **kwargs): """This function will help you set a reasonable Exchange and provide default value for strategy @@ -249,30 +110,22 @@ def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **k will we pass the codes extracted from the pred to the exchange. .. note:: This will be faster with offline qlib. + + - **executor related arguments** + + executor : BaseExecutor() + executor used in backtest. + verbose : bool + whether to print log. + """ - # check strategy: - spec = inspect.getfullargspec(get_strategy) - str_args = {k: v for k, v in kwargs.items() if k in spec.args} - strategy = get_strategy(**str_args) - - # init exchange: - spec = inspect.getfullargspec(get_exchange) - ex_args = {k: v for k, v in kwargs.items() if k in spec.args} - trade_exchange = get_exchange(pred, **ex_args) - - # run backtest - report_df, positions = backtest_func( - pred=pred, - strategy=strategy, - trade_exchange=trade_exchange, - shift=shift, - verbose=verbose, - account=account, - benchmark=benchmark, + warnings.warn( + "this function is deprecated, please use backtest function in qlib.contrib.backtest", DeprecationWarning ) - # for compatibility of the old API. return the dict positions - positions = {k: p.position for k, p in positions.items()} - return report_df, positions + report_dict = backtest_func( + pred=pred, account=account, shift=shift, benchmark=benchmark, verbose=verbose, return_order=False, **kwargs + ) + return report_dict.get("report_df"), report_dict.get("positions") def long_short_backtest( @@ -340,7 +193,7 @@ def long_short_backtest( _pred_dates = pred.index.get_level_values(level="datetime") predict_dates = D.calendar(start_time=_pred_dates.min(), end_time=_pred_dates.max()) - trade_dates = np.append(predict_dates[shift:], get_date_range(predict_dates[-1], shift=shift)) + trade_dates = np.append(predict_dates[shift:], get_date_range(predict_dates[-1], left_shift=1, right_shift=shift)) long_returns = {} short_returns = {} diff --git a/qlib/contrib/model/pytorch_alstm_ts.py b/qlib/contrib/model/pytorch_alstm_ts.py index 41be0824d..fabdec831 100644 --- a/qlib/contrib/model/pytorch_alstm_ts.py +++ b/qlib/contrib/model/pytorch_alstm_ts.py @@ -204,8 +204,8 @@ class ALSTM(Model): verbose=True, save_path=None, ): - dl_train = dataset.prepare("train", data_key=DataHandlerLP.DK_L) - dl_valid = dataset.prepare("valid", data_key=DataHandlerLP.DK_L) + dl_train = dataset.prepare("train", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L) + dl_valid = dataset.prepare("valid", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L) dl_train.config(fillna_type="ffill+bfill") # process nan brought by dataloader dl_valid.config(fillna_type="ffill+bfill") # process nan brought by dataloader @@ -260,7 +260,7 @@ class ALSTM(Model): if not self._fitted: raise ValueError("model is not fitted yet!") - dl_test = dataset.prepare("test", data_key=DataHandlerLP.DK_I) + dl_test = dataset.prepare("test", col_set=["feature", "label"], data_key=DataHandlerLP.DK_I) dl_test.config(fillna_type="ffill+bfill") test_loader = DataLoader(dl_test, batch_size=self.batch_size, num_workers=self.n_jobs) self.ALSTM_model.eval() diff --git a/qlib/contrib/model/pytorch_gats_ts.py b/qlib/contrib/model/pytorch_gats_ts.py index 7b0669dba..c3b8a2f06 100644 --- a/qlib/contrib/model/pytorch_gats_ts.py +++ b/qlib/contrib/model/pytorch_gats_ts.py @@ -249,8 +249,8 @@ class GATs(Model): save_path=None, ): - dl_train = dataset.prepare("train", data_key=DataHandlerLP.DK_L) - dl_valid = dataset.prepare("valid", data_key=DataHandlerLP.DK_L) + dl_train = dataset.prepare("train", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L) + dl_valid = dataset.prepare("valid", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L) dl_train.config(fillna_type="ffill+bfill") # process nan brought by dataloader dl_valid.config(fillna_type="ffill+bfill") # process nan brought by dataloader @@ -332,7 +332,7 @@ class GATs(Model): if not self._fitted: raise ValueError("model is not fitted yet!") - dl_test = dataset.prepare("test", data_key=DataHandlerLP.DK_I) + dl_test = dataset.prepare("test", col_set=["feature", "label"], data_key=DataHandlerLP.DK_I) dl_test.config(fillna_type="ffill+bfill") sampler_test = DailyBatchSampler(dl_test) test_loader = DataLoader(dl_test, sampler=sampler_test, num_workers=self.n_jobs) diff --git a/qlib/contrib/model/pytorch_gru_ts.py b/qlib/contrib/model/pytorch_gru_ts.py index 149c9f8d0..144d97031 100755 --- a/qlib/contrib/model/pytorch_gru_ts.py +++ b/qlib/contrib/model/pytorch_gru_ts.py @@ -204,8 +204,8 @@ class GRU(Model): verbose=True, save_path=None, ): - dl_train = dataset.prepare("train", data_key=DataHandlerLP.DK_L) - dl_valid = dataset.prepare("valid", data_key=DataHandlerLP.DK_L) + dl_train = dataset.prepare("train", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L) + dl_valid = dataset.prepare("valid", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L) dl_train.config(fillna_type="ffill+bfill") # process nan brought by dataloader dl_valid.config(fillna_type="ffill+bfill") # process nan brought by dataloader @@ -260,7 +260,7 @@ class GRU(Model): if not self._fitted: raise ValueError("model is not fitted yet!") - dl_test = dataset.prepare("test", data_key=DataHandlerLP.DK_I) + dl_test = dataset.prepare("test", col_set=["feature", "label"], data_key=DataHandlerLP.DK_I) dl_test.config(fillna_type="ffill+bfill") test_loader = DataLoader(dl_test, batch_size=self.batch_size, num_workers=self.n_jobs) self.GRU_model.eval() diff --git a/qlib/contrib/model/pytorch_lstm_ts.py b/qlib/contrib/model/pytorch_lstm_ts.py index a7f8a2444..26409011f 100755 --- a/qlib/contrib/model/pytorch_lstm_ts.py +++ b/qlib/contrib/model/pytorch_lstm_ts.py @@ -204,8 +204,8 @@ class LSTM(Model): verbose=True, save_path=None, ): - dl_train = dataset.prepare("train", data_key=DataHandlerLP.DK_L) - dl_valid = dataset.prepare("valid", data_key=DataHandlerLP.DK_L) + dl_train = dataset.prepare("train", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L) + dl_valid = dataset.prepare("valid", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L) dl_train.config(fillna_type="ffill+bfill") # process nan brought by dataloader dl_valid.config(fillna_type="ffill+bfill") # process nan brought by dataloader @@ -260,7 +260,7 @@ class LSTM(Model): if not self._fitted: raise ValueError("model is not fitted yet!") - dl_test = dataset.prepare("test", data_key=DataHandlerLP.DK_I) + dl_test = dataset.prepare("test", col_set=["feature", "label"], data_key=DataHandlerLP.DK_I) dl_test.config(fillna_type="ffill+bfill") test_loader = DataLoader(dl_test, batch_size=self.batch_size, num_workers=self.n_jobs) self.LSTM_model.eval() diff --git a/qlib/contrib/model/pytorch_nn.py b/qlib/contrib/model/pytorch_nn.py index 308494443..a41eeabbb 100644 --- a/qlib/contrib/model/pytorch_nn.py +++ b/qlib/contrib/model/pytorch_nn.py @@ -296,7 +296,7 @@ class DNNModelPytorch(Model): self._fitted = True -class AverageMeter(object): +class AverageMeter: """Computes and stores the average and current value""" def __init__(self): diff --git a/qlib/contrib/model/pytorch_sfm.py b/qlib/contrib/model/pytorch_sfm.py index 15d945c89..ae175a202 100644 --- a/qlib/contrib/model/pytorch_sfm.py +++ b/qlib/contrib/model/pytorch_sfm.py @@ -464,7 +464,7 @@ class SFM(Model): return pd.Series(np.concatenate(preds), index=index) -class AverageMeter(object): +class AverageMeter: """Computes and stores the average and current value""" def __init__(self): diff --git a/qlib/contrib/online/operator.py b/qlib/contrib/online/operator.py index a00e17d40..c8b44f578 100644 --- a/qlib/contrib/online/operator.py +++ b/qlib/contrib/online/operator.py @@ -21,7 +21,7 @@ from .executor import SimulatorExecutor from .executor import save_score_series, load_score_series -class Operator(object): +class Operator: def __init__(self, client: str): """ Parameters diff --git a/qlib/contrib/report/analysis_position/report.py b/qlib/contrib/report/analysis_position/report.py index 438aab8b9..f82e654c4 100644 --- a/qlib/contrib/report/analysis_position/report.py +++ b/qlib/contrib/report/analysis_position/report.py @@ -38,7 +38,7 @@ def _calculate_report_data(df: pd.DataFrame) -> pd.DataFrame: :param df: :return: """ - + index_names = df.index.names df.index = df.index.strftime("%Y-%m-%d") report_df = pd.DataFrame() @@ -58,6 +58,8 @@ def _calculate_report_data(df: pd.DataFrame) -> pd.DataFrame: report_df["turnover"] = df["turnover"] report_df.sort_index(ascending=True, inplace=True) + + report_df.index.names = index_names return report_df diff --git a/qlib/contrib/report/graph.py b/qlib/contrib/report/graph.py index 3fa688d36..70e382fb1 100644 --- a/qlib/contrib/report/graph.py +++ b/qlib/contrib/report/graph.py @@ -17,7 +17,7 @@ from plotly.figure_factory import create_distplot from ...utils import get_module_by_module_path -class BaseGraph(object): +class BaseGraph: """""" _name = None @@ -204,7 +204,7 @@ class HistogramGraph(BaseGraph): return _data -class SubplotsGraph(object): +class SubplotsGraph: """Create subplots same as df.plot(subplots=True) Simple package for `plotly.tools.subplots` diff --git a/qlib/contrib/strategy/strategy.py b/qlib/contrib/strategy/strategy.py index 23e8b5185..74df39f3e 100644 --- a/qlib/contrib/strategy/strategy.py +++ b/qlib/contrib/strategy/strategy.py @@ -30,7 +30,7 @@ class BaseStrategy: Parameters ----------- - score_series : pd.Seires + score_series : pd.Series stock_id , score. current : Position() current state of position. diff --git a/qlib/contrib/tuner/config.py b/qlib/contrib/tuner/config.py index 4825ca092..f23d1b874 100644 --- a/qlib/contrib/tuner/config.py +++ b/qlib/contrib/tuner/config.py @@ -6,7 +6,7 @@ import copy import os -class TunerConfigManager(object): +class TunerConfigManager: def __init__(self, config_path): if not config_path: @@ -27,7 +27,7 @@ class TunerConfigManager(object): self.qlib_client_config = config.get("qlib_client", dict()) -class PipelineExperimentConfig(object): +class PipelineExperimentConfig: def __init__(self, config, TUNER_CONFIG_MANAGER): """ :param config: The config dict for tuner experiment @@ -53,7 +53,7 @@ class PipelineExperimentConfig(object): yaml.dump(TUNER_CONFIG_MANAGER.config, fp) -class OptimizationConfig(object): +class OptimizationConfig: def __init__(self, config, TUNER_CONFIG_MANAGER): self.report_type = config.get("report_type", "pred_long") diff --git a/qlib/contrib/tuner/pipeline.py b/qlib/contrib/tuner/pipeline.py index 3a76d071d..ee92db529 100644 --- a/qlib/contrib/tuner/pipeline.py +++ b/qlib/contrib/tuner/pipeline.py @@ -11,7 +11,7 @@ from ...log import get_module_logger, TimeInspector from ...utils import get_module_by_module_path -class Pipeline(object): +class Pipeline: GLOBAL_BEST_PARAMS_NAME = "global_best_params.json" diff --git a/qlib/contrib/tuner/tuner.py b/qlib/contrib/tuner/tuner.py index 8da40bc69..2ce957859 100644 --- a/qlib/contrib/tuner/tuner.py +++ b/qlib/contrib/tuner/tuner.py @@ -19,7 +19,7 @@ from hyperopt import fmin, tpe from hyperopt import STATUS_OK, STATUS_FAIL -class Tuner(object): +class Tuner: def __init__(self, tuner_config, optim_config): self.logger = get_module_logger("Tuner", sh_level=logging.INFO) diff --git a/qlib/data/_libs/expanding.pyx b/qlib/data/_libs/expanding.pyx index 47bc49610..6c27c07eb 100644 --- a/qlib/data/_libs/expanding.pyx +++ b/qlib/data/_libs/expanding.pyx @@ -8,7 +8,7 @@ from libc.math cimport sqrt, isnan, NAN from libcpp.vector cimport vector -cdef class Expanding(object): +cdef class Expanding: """1-D array expanding""" cdef vector[double] barv cdef int na_count diff --git a/qlib/data/_libs/rolling.pyx b/qlib/data/_libs/rolling.pyx index 37d27ffa4..a18679a99 100644 --- a/qlib/data/_libs/rolling.pyx +++ b/qlib/data/_libs/rolling.pyx @@ -8,7 +8,7 @@ from libc.math cimport sqrt, isnan, NAN from libcpp.deque cimport deque -cdef class Rolling(object): +cdef class Rolling: """1-D array rolling""" cdef int window cdef deque[double] barv diff --git a/qlib/data/cache.py b/qlib/data/cache.py index 027ef89ef..243736ddc 100644 --- a/qlib/data/cache.py +++ b/qlib/data/cache.py @@ -13,6 +13,7 @@ import pickle import traceback import redis_lock import contextlib +import abc from pathlib import Path import numpy as np import pandas as pd @@ -39,36 +40,100 @@ class QlibCacheException(RuntimeError): pass -class MemCacheUnit(OrderedDict): +class MemCacheUnit(abc.ABC): """Memory Cache Unit.""" - # TODO: use min_heap to replace ordereddict for better performance - def __init__(self, *args, **kwargs): - self.size_limit = kwargs.pop("size_limit", None) - # limit_type: check size_limit type, length(call fun: len) or size(call fun: sys.getsizeof) - self.limit_type = kwargs.pop("limit_type", "length") - super(MemCacheUnit, self).__init__(*args, **kwargs) - self._check_size_limit() + self.size_limit = kwargs.pop("size_limit", 0) + self._size = 0 + self.od = OrderedDict() def __setitem__(self, key, value): - super(MemCacheUnit, self).__setitem__(key, value) - self._check_size_limit() + # TODO: thread safe?__setitem__ failure might cause inconsistent size? - def __getitem__(self, key): - value = super(MemCacheUnit, self).__getitem__(key) - super(MemCacheUnit, self).__delitem__(key) - super(MemCacheUnit, self).__setitem__(key, value) - return value + # precalculate the size after od.__setitem__ + self._adjust_size(key, value) - def _check_size_limit(self): - if self.size_limit is not None: - get_cur_size = lambda x: len(x) if self.limit_type == "length" else sum(map(sys.getsizeof, x.values())) - while get_cur_size(self) > self.size_limit: + self.od.__setitem__(key, value) + + # move the key to end,make it latest + self.od.move_to_end(key) + + if self.limited: + # pop the oldest items beyond size limit + while self._size > self.size_limit: self.popitem(last=False) + def __getitem__(self, key): + v = self.od.__getitem__(key) + self.od.move_to_end(key) + return v -class MemCache(object): + def __contains__(self, key): + return key in self.od + + def __len__(self): + return self.od.__len__() + + def __repr__(self): + return f"{self.__class__.__name__}\n{self.od.__repr__()}" + + def set_limit_size(self, limit): + self.size_limit = limit + + @property + def limited(self): + """whether memory cache is limited""" + return self.size_limit > 0 + + @property + def total_size(self): + return self._size + + def clear(self): + self._size = 0 + self.od.clear() + + def popitem(self, last=True): + k, v = self.od.popitem(last=last) + self._size -= self._get_value_size(v) + + return k, v + + def pop(self, key): + v = self.od.pop(key) + self._size -= self._get_value_size(v) + + return v + + def _adjust_size(self, key, value): + if key in self.od: + self._size -= self._get_value_size(self.od[key]) + + self._size += self._get_value_size(value) + + @abc.abstractmethod + def _get_value_size(self, value): + raise NotImplementedError + + +class MemCacheLengthUnit(MemCacheUnit): + def __init__(self, size_limit=0): + super().__init__(size_limit=size_limit) + + def _get_value_size(self, value): + return 1 + + +class MemCacheSizeofUnit(MemCacheUnit): + def __init__(self, size_limit=0): + super().__init__(size_limit=size_limit) + + def _get_value_size(self, value): + return sys.getsizeof(value) + + +class MemCache: """Memory cache.""" def __init__(self, mem_cache_size_limit=None, limit_type="length"): @@ -79,21 +144,19 @@ class MemCache(object): mem_cache_size_limit: cache max size. limit_type: length or sizeof; length(call fun: len), size(call fun: sys.getsizeof). """ - if limit_type not in ["length", "sizeof"]: + + size_limit = C.mem_cache_size_limit if mem_cache_size_limit is None else mem_cache_size_limit + + if limit_type == "length": + klass = MemCacheLengthUnit + elif limit_type == "sizeof": + klass = MemCacheSizeofUnit + else: raise ValueError(f"limit_type must be length or sizeof, your limit_type is {limit_type}") - self.__calendar_mem_cache = MemCacheUnit( - size_limit=C.mem_cache_size_limit if mem_cache_size_limit is None else mem_cache_size_limit, - limit_type=limit_type, - ) - self.__instrument_mem_cache = MemCacheUnit( - size_limit=C.mem_cache_size_limit if mem_cache_size_limit is None else mem_cache_size_limit, - limit_type=limit_type, - ) - self.__feature_mem_cache = MemCacheUnit( - size_limit=C.mem_cache_size_limit if mem_cache_size_limit is None else mem_cache_size_limit, - limit_type=limit_type, - ) + self.__calendar_mem_cache = klass(size_limit) + self.__instrument_mem_cache = klass(size_limit) + self.__feature_mem_cache = klass(size_limit) def __getitem__(self, key): if key == "c": @@ -140,7 +203,7 @@ class MemCacheExpire: return value, expire -class CacheUtils(object): +class CacheUtils: LOCK_ID = "QLIB" @staticmethod @@ -224,7 +287,7 @@ class CacheUtils(object): current_cache_wlock.release() -class BaseProviderCache(object): +class BaseProviderCache: """Provider cache base class""" def __init__(self, provider): diff --git a/qlib/data/client.py b/qlib/data/client.py index 65a830f20..5244a7e45 100644 --- a/qlib/data/client.py +++ b/qlib/data/client.py @@ -12,7 +12,7 @@ from ..log import get_module_logger import pickle -class Client(object): +class Client: """A client class Provide the connection tool functions for ClientProvider. diff --git a/qlib/data/data.py b/qlib/data/data.py index 89a2502f9..020cc1c3e 100644 --- a/qlib/data/data.py +++ b/qlib/data/data.py @@ -1051,7 +1051,7 @@ def register_all_wrappers(C): if getattr(C, "calendar_cache", None) is not None: _calendar_provider = init_instance_by_config(C.calendar_cache, module, provide=_calendar_provider) register_wrapper(Cal, _calendar_provider, "qlib.data") - logger.debug(f"registering Cal {C.calendar_provider}-{C.calenar_cache}") + logger.debug(f"registering Cal {C.calendar_provider}-{C.calendar_cache}") register_wrapper(Inst, C.instrument_provider, "qlib.data") logger.debug(f"registering Inst {C.instrument_provider}") diff --git a/qlib/data/ops.py b/qlib/data/ops.py index f80ca7450..c988db3b5 100644 --- a/qlib/data/ops.py +++ b/qlib/data/ops.py @@ -18,7 +18,9 @@ try: from ._libs.rolling import rolling_slope, rolling_rsquare, rolling_resi from ._libs.expanding import expanding_slope, expanding_rsquare, expanding_resi except ImportError as err: - print("Do not import qlib package in the repository directory!") + print( + "#### Do not import qlib package in the repository directory in case of importing qlib from . without compiling #####" + ) raise @@ -96,6 +98,15 @@ class Sign(ElemOperator): def __init__(self, feature): super(Sign, self).__init__(feature, "sign") + def _load_internal(self, instrument, start_index, end_index, freq): + """ + To avoid error raised by bool type input, we transform the data into float32. + """ + series = self.feature.load(instrument, start_index, end_index, freq) + # TODO: More precision types should be configurable + series = series.astype(np.float32) + return getattr(np, self.func)(series) + class Log(ElemOperator): """Feature Log diff --git a/qlib/log.py b/qlib/log.py index 422a4c00b..6553dcb11 100644 --- a/qlib/log.py +++ b/qlib/log.py @@ -36,7 +36,7 @@ def get_module_logger(module_name, level=None): return module_logger -class TimeInspector(object): +class TimeInspector: timer_logger = get_module_logger("timer", level=logging.WARNING) diff --git a/qlib/model/base.py b/qlib/model/base.py index 4a81d5a31..5a295787f 100644 --- a/qlib/model/base.py +++ b/qlib/model/base.py @@ -30,11 +30,6 @@ class Model(BaseModel): The attribute names of learned model should `not` start with '_'. So that the model could be dumped to disk. - Parameters - ---------- - dataset : Dataset - dataset will generate the processed data from model training. - The following code example shows how to retrieve `x_train`, `y_train` and `w_train` from the `dataset`: .. code-block:: Python @@ -53,6 +48,12 @@ class Model(BaseModel): except KeyError as e: w_train = pd.DataFrame(np.ones_like(y_train.values), index=y_train.index) w_valid = pd.DataFrame(np.ones_like(y_valid.values), index=y_valid.index) + + Parameters + ---------- + dataset : Dataset + dataset will generate the processed data from model training. + """ raise NotImplementedError() diff --git a/qlib/portfolio/optimizer.py b/qlib/portfolio/optimizer.py index 534a66e2d..0e7d27254 100644 --- a/qlib/portfolio/optimizer.py +++ b/qlib/portfolio/optimizer.py @@ -9,7 +9,7 @@ import scipy.optimize as so from typing import Optional, Union, Callable, List -class PortfolioOptimizer(object): +class PortfolioOptimizer: """Portfolio Optimizer The following optimization algorithms are supported: diff --git a/qlib/tests/data.py b/qlib/tests/data.py index 66bfb0e29..9db6270ad 100644 --- a/qlib/tests/data.py +++ b/qlib/tests/data.py @@ -31,20 +31,20 @@ class GetData: if resp.status_code != 200: raise requests.exceptions.HTTPError() - chuck_size = 1024 + chunk_size = 1024 logger.warning( f"The data for the example is collected from Yahoo Finance. Please be aware that the quality of the data might not be perfect. (You can refer to the original data source: https://finance.yahoo.com/lookup.)" ) logger.info(f"{file_name} downloading......") with tqdm(total=int(resp.headers.get("Content-Length", 0))) as p_bar: with target_path.open("wb") as fp: - for chuck in resp.iter_content(chunk_size=chuck_size): - fp.write(chuck) - p_bar.update(chuck_size) + for chunk in resp.iter_content(chunk_size=chunk_size): + fp.write(chunk) + p_bar.update(chunk_size) self._unzip(target_path, target_dir) if self.delete_zip_file: - target_path.unlike() + target_path.unlink() @staticmethod def _unzip(file_path: Path, target_dir: Path): diff --git a/qlib/utils/__init__.py b/qlib/utils/__init__.py index 17a12ae9c..7e029d05e 100644 --- a/qlib/utils/__init__.py +++ b/qlib/utils/__init__.py @@ -281,8 +281,10 @@ def compare_dict_value(src_data: dict, dst_data: dict): def create_save_path(save_path=None): """Create save path - :param save_path: - :return: + Parameters + ---------- + save_path: str + """ if save_path: if not os.path.exists(save_path): @@ -473,30 +475,28 @@ def is_tradable_date(cur_date): return str(cur_date.date()) == str(D.calendar(start_time=cur_date, future=True)[0].date()) -def get_date_range(trading_date, shift, future=False): +def get_date_range(trading_date, left_shift=0, right_shift=0, future=False): """get trading date range by shift - :param trading_date: - :param shift: int - :param future: bool - :return: + Parameters + ---------- + trading_date: pd.Timestamp + left_shift: int + right_shift: int + future: bool + """ + from ..data import D - calendar = D.calendar(future=future) - if pd.to_datetime(trading_date) not in list(calendar): - raise ValueError("{} is not trading day!".format(str(trading_date))) - day_index = bisect.bisect_left(calendar, trading_date) - if 0 <= (day_index + shift) < len(calendar): - if shift > 0: - return calendar[day_index + 1 : day_index + 1 + shift] - else: - return calendar[day_index + shift : day_index] - else: - return calendar + start = get_date_by_shift(trading_date, left_shift, future=future) + end = get_date_by_shift(trading_date, right_shift, future=future) + + calendar = D.calendar(start, end, future=future) + return calendar -def get_date_by_shift(trading_date, shift, future=False): +def get_date_by_shift(trading_date, shift, future=False, clip_shift=True): """get trading date with shift bias wil cur_date e.g. : shift == 1, return next trading date shift == -1, return previous trading date @@ -504,8 +504,22 @@ def get_date_by_shift(trading_date, shift, future=False): trading_date : pandas.Timestamp current date shift : int + clip_shift: bool + """ - return get_date_range(trading_date, shift, future)[0 if shift < 0 else -1] if shift != 0 else trading_date + from qlib.data import D + + cal = D.calendar(future=future) + if pd.to_datetime(trading_date) not in list(cal): + raise ValueError("{} is not trading day!".format(str(trading_date))) + _index = bisect.bisect_left(cal, trading_date) + shift_index = _index + shift + if shift_index < 0 or shift_index >= len(cal): + if clip_shift: + shift_index = np.clip(shift_index, 0, len(cal) - 1) + else: + raise IndexError(f"The shift_index({shift_index}) of the trading day ({trading_date}) is out of range") + return cal[shift_index] def get_next_trading_date(trading_date, future=False): @@ -688,7 +702,7 @@ def flatten_dict(d, parent_key="", sep="."): #################### Wrapper ##################### -class Wrapper(object): +class Wrapper: """Wrapper class for anything that needs to set up during qlib.init""" def __init__(self): diff --git a/qlib/workflow/cli.py b/qlib/workflow/cli.py index 8270d2db7..f7455797b 100644 --- a/qlib/workflow/cli.py +++ b/qlib/workflow/cli.py @@ -44,7 +44,7 @@ def sys_config(config, config_path): # worflow handler function def workflow(config_path, experiment_name="workflow", uri_folder="mlruns"): with open(config_path) as fp: - config = yaml.load(fp, Loader=yaml.Loader) + config = yaml.load(fp, Loader=yaml.SafeLoader) # config the `sys` section sys_config(config, config_path) diff --git a/qlib/workflow/exp.py b/qlib/workflow/exp.py index a92a9a9ea..c2548971a 100644 --- a/qlib/workflow/exp.py +++ b/qlib/workflow/exp.py @@ -65,13 +65,13 @@ class Experiment: """ raise NotImplementedError(f"Please implement the `end` method.") - def create_recorder(self, name=None): + def create_recorder(self, recorder_name=None): """ Create a recorder for each experiment. Parameters ---------- - name : str + recorder_name : str the name of the recorder to be created. Returns diff --git a/qlib/workflow/record_temp.py b/qlib/workflow/record_temp.py index a617f5d1f..be458a24d 100644 --- a/qlib/workflow/record_temp.py +++ b/qlib/workflow/record_temp.py @@ -5,10 +5,9 @@ import re import pandas as pd from pathlib import Path from pprint import pprint -from ..contrib.evaluate import ( - backtest as normal_backtest, - risk_analysis, -) +from ..contrib.evaluate import risk_analysis +from ..contrib.backtest import backtest as normal_backtest + from ..data.dataset import DatasetH from ..data.dataset.handler import DataHandlerLP from ..utils import init_instance_by_config, get_module_by_module_path @@ -213,6 +212,11 @@ class SigAnaRecord(SignalRecord): class PortAnaRecord(SignalRecord): """ This is the Portfolio Analysis Record class that generates the analysis results such as those of backtest. This class inherits the ``RecordTemp`` class. + + The following files will be stored in recorder + - report_normal.pkl & positions_normal.pkl: + - The return report and detailed positions of the backtest, returned by `qlib/contrib/evaluate.py:backtest` + - port_analysis.pkl : The risk analysis of your portfolio, returned by `qlib/contrib/evaluate.py:risk_analysis` """ artifact_path = "portfolio_analysis" @@ -236,9 +240,14 @@ class PortAnaRecord(SignalRecord): # custom strategy and get backtest pred_score = super().load() - report_normal, positions_normal = normal_backtest(pred_score, strategy=self.strategy, **self.backtest_config) + report_dict = normal_backtest(pred_score, strategy=self.strategy, **self.backtest_config) + report_normal = report_dict.get("report_df") + positions_normal = report_dict.get("positions") self.recorder.save_objects(**{"report_normal.pkl": report_normal}, artifact_path=PortAnaRecord.get_path()) self.recorder.save_objects(**{"positions_normal.pkl": positions_normal}, artifact_path=PortAnaRecord.get_path()) + order_normal = report_dict.get("order_list") + if order_normal: + self.recorder.save_objects(**{"order_normal.pkl": order_normal}, artifact_path=PortAnaRecord.get_path()) # analysis analysis = dict() diff --git a/qlib/workflow/recorder.py b/qlib/workflow/recorder.py index 4c1ddfdfe..ceb57150c 100644 --- a/qlib/workflow/recorder.py +++ b/qlib/workflow/recorder.py @@ -2,7 +2,7 @@ # Licensed under the MIT License. import mlflow -import shutil, os, pickle, tempfile, codecs +import shutil, os, pickle, tempfile, codecs, pickle from pathlib import Path from datetime import datetime from ..utils.objm import FileManager @@ -202,9 +202,6 @@ class MLflowRecorder(Recorder): super(MLflowRecorder, self).__init__(experiment_id, name) self._uri = uri self.artifact_uri = None - # set up file manager for saving objects - self.temp_dir = tempfile.mkdtemp() - self.fm = FileManager(Path(self.temp_dir).absolute()) self.client = mlflow.tracking.MlflowClient(tracking_uri=self._uri) # construct from mlflow run if mlflow_run is not None: @@ -248,16 +245,18 @@ class MLflowRecorder(Recorder): self.end_time = datetime.now().strftime("%Y-%m-%d %H:%M:%S") if self.status != Recorder.STATUS_S: self.status = status - shutil.rmtree(self.temp_dir) def save_objects(self, local_path=None, artifact_path=None, **kwargs): assert self._uri is not None, "Please start the experiment and recorder first before using recorder directly." if local_path is not None: self.client.log_artifacts(self.id, local_path, artifact_path) else: + temp_dir = Path(tempfile.mkdtemp()).resolve() for name, data in kwargs.items(): - self.fm.save_obj(data, name) - self.client.log_artifact(self.id, self.fm.path / name, artifact_path) + with (temp_dir / name).open("wb") as f: + pickle.dump(data, f) + self.client.log_artifact(self.id, temp_dir / name, artifact_path) + shutil.rmtree(temp_dir) def load_object(self, name): assert self._uri is not None, "Please start the experiment and recorder first before using recorder directly." diff --git a/scripts/README.md b/scripts/README.md index 99af4a457..b4eac4998 100644 --- a/scripts/README.md +++ b/scripts/README.md @@ -43,7 +43,7 @@ python get_data.py qlib_data --help ### US data -> Need to download data first: [Downlaod US Data](#Downlaod-US-Data) +> Need to download data first: [Download US Data](#Download-US-Data) ```python import qlib diff --git a/scripts/collect_info.py b/scripts/collect_info.py index c9a9440b9..874686a3c 100644 --- a/scripts/collect_info.py +++ b/scripts/collect_info.py @@ -1,28 +1,71 @@ -import sys, platform +import sys +import platform import qlib +import fire +import pkg_resources +from pathlib import Path + +QLIB_PATH = Path(__file__).absolute().resolve().parent.parent -def linux_distribution(): - try: - return platform.linux_distribution() - except: - return "N/A" +class InfoCollector: + """ + User could collect system info by following commands + `cd scripts && python collect_info.py all` + - NOTE: please avoid running this script in the project folder which contains `qlib` + """ + + def sys(self): + """collect system related info""" + for method in ["system", "machine", "platform", "version"]: + print(getattr(platform, method)()) + + def py(self): + """collect Python related info""" + print("Python version: {}".format(sys.version.replace("\n", " "))) + + def qlib(self): + """collect qlib related info""" + print("Qlib version: {}".format(qlib.__version__)) + REQUIRED = [ + "numpy", + "pandas", + "scipy", + "requests", + "sacred", + "python-socketio", + "redis", + "python-redis-lock", + "schedule", + "cvxpy", + "hyperopt", + "fire", + "statsmodels", + "xlrd", + "plotly", + "matplotlib", + "tables", + "pyyaml", + "mlflow", + "tqdm", + "loguru", + "lightgbm", + "tornado", + "joblib", + "fire", + "ruamel.yaml", + ] + + for package in REQUIRED: + version = pkg_resources.get_distribution(package).version + print(f"{package}=={version}") + + def all(self): + """collect all info""" + for method in ["sys", "py", "qlib"]: + getattr(self, method)() + print() -print("Qlib version: {} \n".format(qlib.__version__)) -print( - """Python version: {} \n -linux_distribution: {} -system: {} -machine: {} -platform: {} -version: {} -""".format( - sys.version.split("\n"), - linux_distribution(), - platform.system(), - platform.machine(), - platform.platform(), - platform.version(), - ) -) +if __name__ == "__main__": + fire.Fire(InfoCollector) diff --git a/setup.py b/setup.py index cc495824e..7dcea5da7 100644 --- a/setup.py +++ b/setup.py @@ -11,7 +11,7 @@ NAME = "pyqlib" DESCRIPTION = "A Quantitative-research Platform" REQUIRES_PYTHON = ">=3.5.0" -VERSION = "0.6.0.dev" +VERSION = "0.6.1.dev" # Detect Cython try: @@ -35,7 +35,6 @@ REQUIRED = [ "scipy>=1.0.0", "requests>=2.18.0", "sacred>=0.7.4", - "pymongo==3.7.2", "python-socketio==3.1.2", "redis>=3.0.1", "python-redis-lock>=3.3.1", @@ -55,7 +54,6 @@ REQUIRED = [ "lightgbm", "tornado", "joblib>=0.17.0", - "fire>=0.3.1", "ruamel.yaml>=0.16.12", ]