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split_CI (#1141)

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Linlang
2022-06-28 10:17:29 +08:00
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parent a87b02619a
commit 50d74b5560
12 changed files with 175 additions and 144 deletions
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94
.github/workflows/test_macos.yml vendored
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@@ -1,94 +0,0 @@
# There are some issues (in the downloading data phase) on MacOS when running with other tests. So we split it into an individual config.
name: Test MacOS
on:
push:
branches: [ main ]
pull_request:
branches: [ main ]
jobs:
build:
timeout-minutes: 120
runs-on: ${{ matrix.os }}
strategy:
matrix:
os: [macos-11, macos-latest]
# not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
python-version: [3.7, 3.8]
steps:
- uses: actions/checkout@v2
- name: Set up Python ${{ matrix.python-version }}
uses: actions/setup-python@v2
with:
python-version: ${{ matrix.python-version }}
- name: Lint with Black
run: |
cd ..
python -m pip install pip --upgrade
python -m pip install wheel --upgrade
python -m pip install black
python -m black qlib -l 120 --check --diff
# Test Qlib installed with pip
- name: Check Qlib with flake8
run: |
pip install --upgrade pip
pip install flake8
flake8 --ignore=E501,F541,E266,E402,W503,E731,E203 --per-file-ignores="__init__.py:F401,F403" qlib
- name: Install Qlib with pip
run: |
python -m pip install numpy==1.19.5
python -m pip install pyqlib --ignore-installed ruamel.yaml numpy
- name: Make html with sphnix
run: |
pip install -U sphinx
pip install sphinx_rtd_theme readthedocs_sphinx_ext
pip install --exists-action=w --no-cache-dir -r docs/requirements.txt
cd docs
sphinx-build -b html . build
cd ..
- name: Install Lightgbm for MacOS
run: |
/bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)"
HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm
# FIX MacOS error: Segmentation fault
# reference: https://github.com/microsoft/LightGBM/issues/4229
wget https://raw.githubusercontent.com/Homebrew/homebrew-core/fb8323f2b170bd4ae97e1bac9bf3e2983af3fdb0/Formula/libomp.rb
brew unlink libomp
brew install libomp.rb
- name: Test data downloads
run: |
python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data_simple --interval 1d --region cn
python -c "import os; userpath=os.path.expanduser('~'); os.rename(userpath + '/.qlib/qlib_data/cn_data_simple', userpath + '/.qlib/qlib_data/cn_data')"
azcopy copy https://qlibpublic.blob.core.windows.net/data /tmp/qlibpublic --recursive
mv /tmp/qlibpublic/data tests/.data
- name: Test workflow by config (install from pip)
run: |
python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
python -m pip uninstall -y pyqlib
# Test Qlib installed from source
- name: Install Qlib from source
run: |
python -m pip install --upgrade cython
python -m pip install numpy jupyter jupyter_contrib_nbextensions
python -m pip install -U scipy scikit-learn # installing without this line will cause errors on GitHub Actions, while instsalling locally won't
python -m pip install gym tianshou torch
pip install -e .
- name: Install test dependencies
run: |
python -m pip install --upgrade pip
python -m pip install -U pyopenssl idna
python -m pip install black pytest
- name: Unit tests with Pytest
run: |
pip install -r scripts/data_collector/pit/requirements.txt
cd tests
python -m pytest . --durations=0
- name: Test workflow by config (install from source)
run: |
python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml

46
.github/workflows/test_qlib_from_pip.yml vendored Normal file
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@@ -0,0 +1,46 @@
name: Test qlib from pip
on:
push:
branches: [ main ]
pull_request:
branches: [ main ]
jobs:
build:
timeout-minutes: 120
runs-on: ${{ matrix.os }}
strategy:
matrix:
os: [windows-latest, ubuntu-18.04, ubuntu-20.04, macos-11, macos-latest]
# not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
python-version: [3.7, 3.8]
steps:
- name: Test qlib from pip
uses: actions/checkout@v2
- name: Set up Python ${{ matrix.python-version }}
uses: actions/setup-python@v2
with:
python-version: ${{ matrix.python-version }}
- name: Update pip to the latest version
run: |
python -m pip install --upgrade pip
- name: Qlib installation test
run: |
python -m pip install pyqlib
# Specify the numpy version because the numpy upgrade caused the CI test to fail,
# and this line of code will be removed when the next version of qlib is released.
python -m pip install "numpy<1.23"
- name: Downloads dependencies data
run: |
python scripts/get_data.py qlib_data --name qlib_data_simple --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

87
.github/workflows/test.yml → .github/workflows/test_qlib_from_source.yml vendored
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@@ -1,4 +1,4 @@
name: Test name: Test qlib from source
on: on:
push: push:
@@ -9,41 +9,60 @@ on:
jobs: jobs:
build: build:
timeout-minutes: 120 timeout-minutes: 120
runs-on: ${{ matrix.os }} runs-on: ${{ matrix.os }}
strategy: strategy:
matrix: matrix:
os: [windows-latest, ubuntu-18.04, ubuntu-20.04] os: [windows-latest, ubuntu-18.04, ubuntu-20.04, macos-11, macos-latest]
# not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129 # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
python-version: [3.7, 3.8] python-version: [3.7, 3.8]
steps: steps:
- uses: actions/checkout@v2 - name: Test qlib from source
uses: actions/checkout@v2
- name: Set up Python ${{ matrix.python-version }} - name: Set up Python ${{ matrix.python-version }}
uses: actions/setup-python@v2 uses: actions/setup-python@v2
with: with:
python-version: ${{ matrix.python-version }} python-version: ${{ matrix.python-version }}
- name: Update pip to the latest version
run: |
python -m pip install --upgrade pip
- name: Installing pytorch for macos
if: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
run: |
python -m pip install torch torchvision torchaudio
brew install libomp # lightgbm dependencies
- name: Installing pytorch for ubuntu
if: ${{ matrix.os == 'ubuntu-18.04' || matrix.os == 'ubuntu-20.04' }}
run: |
python -m pip install --upgrade pip
python -m pip install torch torchvision torchaudio --extra-index-url https://download.pytorch.org/whl/cpu
- name: Installing pytorch for windows
if: ${{ matrix.os == 'windows-latest' }}
run: |
python -m pip install --upgrade pip
python -m pip install torch torchvision torchaudio
- name: Set up Python tools
run: |
python -m pip install --upgrade cython
python -m pip install -e .[dev]
- name: Lint with Black - name: Lint with Black
run: | run: |
pip install --upgrade pip black . -l 120 --check --diff
pip install black wheel
black qlib -l 120 --check --diff
- name: Install Qlib with pip
run: |
pip install numpy==1.19.5 ruamel.yaml
pip install pyqlib --ignore-installed
- name: Make html with sphinx - name: Make html with sphinx
run: | run: |
pip install -U sphinx
pip install sphinx_rtd_theme readthedocs_sphinx_ext
pip install --exists-action=w --no-cache-dir -r docs/requirements.txt
cd docs cd docs
sphinx-build -b html . build sphinx-build -b html . build
cd .. cd ..
# Check Qlib with pylint # Check Qlib with pylint
# TODO: These problems we will solve in the future. Important among them are: W0221, W0223, W0237, E1102 # TODO: These problems we will solve in the future. Important among them are: W0221, W0223, W0237, E1102
# C0103: invalid-name # C0103: invalid-name
@@ -67,11 +86,9 @@ jobs:
# W1309: f-string-without-interpolation # W1309: f-string-without-interpolation
# E1102: not-callable # E1102: not-callable
# E1136: unsubscriptable-object # E1136: unsubscriptable-object
# References for parameters: https://github.com/PyCQA/pylint/issues/4577#issuecomment-1000245962 # References for parameters: https://github.com/PyCQA/pylint/issues/4577#issuecomment-1000245962
- name: Check Qlib with pylint - name: Check Qlib with pylint
run: | run: |
pip install --upgrade pip
pip install pylint
pylint --disable=C0104,C0114,C0115,C0116,C0301,C0302,C0411,C0413,C1802,R0401,R0801,R0902,R0903,R0911,R0912,R0913,R0914,R0915,R1720,W0105,W0123,W0201,W0511,W0613,W1113,W1514,E0401,E1121,C0103,C0209,R0402,R1705,R1710,R1725,R1735,W0102,W0212,W0221,W0223,W0231,W0237,W0612,W0621,W0622,W0703,W1309,E1102,E1136 --const-rgx='[a-z_][a-z0-9_]{2,30}$' qlib --init-hook "import astroid; astroid.context.InferenceContext.max_inferred = 500" pylint --disable=C0104,C0114,C0115,C0116,C0301,C0302,C0411,C0413,C1802,R0401,R0801,R0902,R0903,R0911,R0912,R0913,R0914,R0915,R1720,W0105,W0123,W0201,W0511,W0613,W1113,W1514,E0401,E1121,C0103,C0209,R0402,R1705,R1710,R1725,R1735,W0102,W0212,W0221,W0223,W0231,W0237,W0612,W0621,W0622,W0703,W1309,E1102,E1136 --const-rgx='[a-z_][a-z0-9_]{2,30}$' qlib --init-hook "import astroid; astroid.context.InferenceContext.max_inferred = 500"
# The following flake8 error codes were ignored: # The following flake8 error codes were ignored:
@@ -95,47 +112,29 @@ jobs:
# Description: If there is whitespace before ":", it cannot pass the black check. # Description: If there is whitespace before ":", it cannot pass the black check.
- name: Check Qlib with flake8 - name: Check Qlib with flake8
run: | run: |
pip install --upgrade pip
pip install flake8
flake8 --ignore=E501,F541,E266,E402,W503,E731,E203 --per-file-ignores="__init__.py:F401,F403" qlib flake8 --ignore=E501,F541,E266,E402,W503,E731,E203 --per-file-ignores="__init__.py:F401,F403" qlib
# https://github.com/python/mypy/issues/10600 # https://github.com/python/mypy/issues/10600
- name: Check Qlib with mypy - name: Check Qlib with mypy
run: | run: |
pip install mypy
mypy qlib --install-types --non-interactive || true mypy qlib --install-types --non-interactive || true
mypy qlib mypy qlib --verbose
- name: Test data downloads - name: Test data downloads
run: | run: |
python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data_simple --interval 1d --region cn python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data --interval 1d --region cn
python -c "import os; userpath=os.path.expanduser('~'); os.rename(userpath + '/.qlib/qlib_data/cn_data_simple', userpath + '/.qlib/qlib_data/cn_data')"
azcopy copy https://qlibpublic.blob.core.windows.net/data/rl /tmp/qlibpublic/data --recursive azcopy copy https://qlibpublic.blob.core.windows.net/data/rl /tmp/qlibpublic/data --recursive
mv /tmp/qlibpublic/data tests/.data mv /tmp/qlibpublic/data tests/.data
- name: Test workflow by config (install from pip) - name: Test workflow by config (install from source)
run: | run: |
# Version 0.52.0 of numba must be installed manually in CI, otherwise it will cause incompatibility with the latest version of numpy.
python -m pip install numba==0.52.0
# You must update numpy manually, because when installing python tools, it will try to uninstall numpy and cause CI to fail.
python -m pip install --upgrade numpy
python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
python -m pip uninstall -y pyqlib
# Test Qlib installed from source
- name: Install Qlib from source
run: |
pip install --upgrade cython jupyter jupyter_contrib_nbextensions numpy scipy scikit-learn # installing without this line will cause errors on GitHub Actions, while instsalling locally won't
pip install gym tianshou torch
pip install -e .
- name: Install test dependencies
run: |
pip install --upgrade pip
pip install black pytest
- name: Unit tests with Pytest - name: Unit tests with Pytest
run: | run: |
pip install -r scripts/data_collector/pit/requirements.txt
cd tests cd tests
python -m pytest . --durations=10 python -m pytest . -m "not slow" --durations=0
- name: Test workflow by config (install from source)
run: |
python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml

52
.github/workflows/test_qlib_from_source_slow.yml vendored Normal file
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@@ -0,0 +1,52 @@
name: Test qlib from source slow
on:
push:
branches: [ main ]
pull_request:
branches: [ main ]
jobs:
build:
timeout-minutes: 120
runs-on: ${{ matrix.os }}
strategy:
matrix:
os: [windows-latest, ubuntu-18.04, ubuntu-20.04, macos-11, macos-latest]
# not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
python-version: [3.7, 3.8]
steps:
- name: Test qlib from source slow
uses: actions/checkout@v2
- name: Set up Python ${{ matrix.python-version }}
uses: actions/setup-python@v2
with:
python-version: ${{ matrix.python-version }}
- name: Set up Python tools
run: |
pip install --upgrade cython numpy pip
pip install -e .[dev]
- name: Downloads dependencies data
run: |
python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data --interval 1d --region cn
- name: Install Lightgbm for MacOS
if: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
run: |
/bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)"
HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm
# FIX MacOS error: Segmentation fault
# reference: https://github.com/microsoft/LightGBM/issues/4229
wget https://raw.githubusercontent.com/Homebrew/homebrew-core/fb8323f2b170bd4ae97e1bac9bf3e2983af3fdb0/Formula/libomp.rb
brew unlink libomp
brew install libomp.rb
- name: Unit tests with Pytest
run: |
cd tests
python -m pytest . -m "slow" --durations=0

5
qlib/data/storage/file_storage.py
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@@ -106,10 +106,7 @@ class FileCalendarStorage(FileStorageMixin, CalendarStorage):
if not self.uri.exists(): if not self.uri.exists():
self._write_calendar(values=[]) self._write_calendar(values=[])
with self.uri.open("rb") as fp: with self.uri.open("rb") as fp:
return [ return [str(x) for x in np.loadtxt(fp, str, skiprows=skip_rows, max_rows=n_rows, encoding="utf-8")]
str(x)
for x in np.loadtxt(fp, str, skiprows=skip_rows, max_rows=n_rows, delimiter="\n", encoding="utf-8")
]
def _write_calendar(self, values: Iterable[CalVT], mode: str = "wb"): def _write_calendar(self, values: Iterable[CalVT], mode: str = "wb"):
with self.uri.open(mode=mode) as fp: with self.uri.open(mode=mode) as fp:

16
setup.py
View File

@@ -137,10 +137,24 @@ setup(
"sphinx", "sphinx",
"sphinx_rtd_theme", "sphinx_rtd_theme",
"pre-commit", "pre-commit",
# CI dependencies
"wheel",
"setuptools",
"black",
"pylint",
"mypy",
"flake8",
"readthedocs_sphinx_ext",
"cmake",
"lxml",
"baostock",
"yahooquery",
"beautifulsoup4",
"tianshou",
"gym>=0.24", # If you do not put gym at the end, gym will degrade causing pytest results to fail.
], ],
"rl": [ "rl": [
"tianshou", "tianshou",
"gym",
"torch", "torch",
], ],
}, },

2
tests/pytest.ini
View File

@@ -1,4 +1,6 @@
[pytest] [pytest]
markers =
slow: marks tests as slow (deselect with '-m "not slow"')
filterwarnings = filterwarnings =
ignore:.*rng.randint:DeprecationWarning ignore:.*rng.randint:DeprecationWarning
ignore:.*Casting input x to numpy array:UserWarning ignore:.*Casting input x to numpy array:UserWarning

3
tests/rolling_tests/test_update_pred.py
View File

@@ -1,5 +1,6 @@
import copy import copy
import unittest import unittest
import pytest
import fire import fire
import pandas as pd import pandas as pd
@@ -14,6 +15,7 @@ from qlib.workflow.online.update import LabelUpdater
class TestRolling(TestAutoData): class TestRolling(TestAutoData):
@pytest.mark.slow
def test_update_pred(self): def test_update_pred(self):
""" """
This test is for testing if it will raise error if the `to_date` is out of the boundary. This test is for testing if it will raise error if the `to_date` is out of the boundary.
@@ -73,6 +75,7 @@ class TestRolling(TestAutoData):
# this range is fixed now # this range is fixed now
self.assertTrue((updated_pred.loc[mod_range2] == -2).all().item()) self.assertTrue((updated_pred.loc[mod_range2] == -2).all().item())
@pytest.mark.slow
def test_update_label(self): def test_update_label(self):
task = copy.deepcopy(CSI300_GBDT_TASK) task = copy.deepcopy(CSI300_GBDT_TASK)

5
tests/test_all_pipeline.py
View File

@@ -4,6 +4,7 @@
import sys import sys
import shutil import shutil
import unittest import unittest
import pytest
from pathlib import Path from pathlib import Path
import qlib import qlib
@@ -184,16 +185,19 @@ class TestAllFlow(TestAutoData):
def tearDownClass(cls) -> None: def tearDownClass(cls) -> None:
shutil.rmtree(cls.URI_PATH.lstrip("file:")) shutil.rmtree(cls.URI_PATH.lstrip("file:"))
@pytest.mark.slow
def test_0_train_with_sigana(self): def test_0_train_with_sigana(self):
TestAllFlow.PRED_SCORE, ic_ric, uri_path = train_with_sigana(self.URI_PATH) 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["ic"].all(), 0, "train failed")
self.assertGreaterEqual(ic_ric["ric"].all(), 0, "train failed") self.assertGreaterEqual(ic_ric["ric"].all(), 0, "train failed")
@pytest.mark.slow
def test_1_train(self): def test_1_train(self):
TestAllFlow.PRED_SCORE, ic_ric, TestAllFlow.RID = train(self.URI_PATH) TestAllFlow.PRED_SCORE, ic_ric, TestAllFlow.RID = train(self.URI_PATH)
self.assertGreaterEqual(ic_ric["ic"].all(), 0, "train failed") self.assertGreaterEqual(ic_ric["ic"].all(), 0, "train failed")
self.assertGreaterEqual(ic_ric["ric"].all(), 0, "train failed") self.assertGreaterEqual(ic_ric["ric"].all(), 0, "train failed")
@pytest.mark.slow
def test_2_backtest(self): def test_2_backtest(self):
analyze_df = backtest_analysis(TestAllFlow.PRED_SCORE, TestAllFlow.RID, self.URI_PATH) analyze_df = backtest_analysis(TestAllFlow.PRED_SCORE, TestAllFlow.RID, self.URI_PATH)
self.assertGreaterEqual( self.assertGreaterEqual(
@@ -203,6 +207,7 @@ class TestAllFlow(TestAutoData):
) )
self.assertTrue(not analyze_df.isna().any().any(), "backtest failed") self.assertTrue(not analyze_df.isna().any().any(), "backtest failed")
@pytest.mark.slow
def test_3_expmanager(self): def test_3_expmanager(self):
pass_default, pass_current, uri_path = fake_experiment() pass_default, pass_current, uri_path = fake_experiment()
self.assertTrue(pass_default, msg="default uri is incorrect") self.assertTrue(pass_default, msg="default uri is incorrect")

3
tests/test_contrib_workflow.py
View File

@@ -4,6 +4,7 @@
from qlib.workflow.record_temp import SignalRecord from qlib.workflow.record_temp import SignalRecord
import shutil import shutil
import unittest import unittest
import pytest
from pathlib import Path from pathlib import Path
from qlib.contrib.workflow import MultiSegRecord, SignalMseRecord from qlib.contrib.workflow import MultiSegRecord, SignalMseRecord
@@ -47,9 +48,11 @@ class TestAllFlow(TestAutoData):
def tearDownClass(cls) -> None: def tearDownClass(cls) -> None:
shutil.rmtree(cls.URI_PATH.lstrip("file:")) shutil.rmtree(cls.URI_PATH.lstrip("file:"))
@pytest.mark.slow
def test_0_multiseg(self): def test_0_multiseg(self):
uri_path = train_multiseg(self.URI_PATH) uri_path = train_multiseg(self.URI_PATH)
@pytest.mark.slow
def test_1_mse(self): def test_1_mse(self):
uri_path = train_mse(self.URI_PATH) uri_path = train_mse(self.URI_PATH)

2
tests/test_dataset.py
View File

@@ -2,6 +2,7 @@
# Licensed under the MIT License. # Licensed under the MIT License.
import unittest import unittest
import pytest
import sys import sys
from qlib.tests import TestAutoData from qlib.tests import TestAutoData
from qlib.data.dataset import TSDatasetH from qlib.data.dataset import TSDatasetH
@@ -11,6 +12,7 @@ from qlib.data.dataset.handler import DataHandlerLP
class TestDataset(TestAutoData): class TestDataset(TestAutoData):
@pytest.mark.slow
def testTSDataset(self): def testTSDataset(self):
tsdh = TSDatasetH( tsdh = TSDatasetH(
handler={ handler={

4
tests/test_pit.py
View File

@@ -6,12 +6,13 @@ import sys
import qlib import qlib
import shutil import shutil
import unittest import unittest
import pytest
import pandas as pd import pandas as pd
import baostock as bs import baostock as bs
from pathlib import Path from pathlib import Path
from qlib.data import D from qlib.data import D
from scripts.get_data import GetData from qlib.tests.data import GetData
from scripts.dump_pit import DumpPitData from scripts.dump_pit import DumpPitData
sys.path.append(str(Path(__file__).resolve().parent.parent.joinpath("scripts/data_collector/pit"))) sys.path.append(str(Path(__file__).resolve().parent.parent.joinpath("scripts/data_collector/pit")))
@@ -119,6 +120,7 @@ class TestPIT(unittest.TestCase):
""" """
self.check_same(data, expect) self.check_same(data, expect)
@pytest.mark.slow
def test_expr(self): def test_expr(self):
fields = [ fields = [
"P(Mean($$roewa_q, 1))", "P(Mean($$roewa_q, 1))",