Order execution open source (#1447)

* Waiting for bin data

* Complete readme

* CI

* Add inst filter by time

* Update qlib/data/dataset/processor.py

* typo

* Fix time filter bug

* Add Filter and set Universe

* Complete data pipeline

* Fix Provider Logger Info Args

* Add DQN; a minor bugfix in ppo reward.

* update readme. modify assertion logic in strategy check.

* Fix Doc issues and fix black

* Fix pylint Error

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Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

examples/rl_order_execution/scripts/gen_pickle_data.py

@@ -0,0 +1,46 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import yaml
+import argparse
+import os
+import shutil
+from copy import deepcopy
+
+from qlib.contrib.data.highfreq_provider import HighFreqProvider
+
+loader = yaml.FullLoader
+
+if __name__ == "__main__":
+    parser = argparse.ArgumentParser()
+    parser.add_argument("-c", "--config", type=str, default="config.yml")
+    parser.add_argument("-d", "--dest", type=str, default=".")
+    parser.add_argument("-s", "--split", type=str, choices=["none", "date", "stock", "both"], default="stock")
+    args = parser.parse_args()
+
+    conf = yaml.load(open(args.config), Loader=loader)
+
+    for k, v in conf.items():
+        if isinstance(v, dict) and "path" in v:
+            v["path"] = os.path.join(args.dest, v["path"])
+    provider = HighFreqProvider(**conf)
+
+    # Gen dataframe
+    if "feature_conf" in conf:
+        feature = provider._gen_dataframe(deepcopy(provider.feature_conf))
+    if "backtest_conf" in conf:
+        backtest = provider._gen_dataframe(deepcopy(provider.backtest_conf))
+
+    provider.feature_conf["path"] = os.path.splitext(provider.feature_conf["path"])[0] + "/"
+    provider.backtest_conf["path"] = os.path.splitext(provider.backtest_conf["path"])[0] + "/"
+    # Split by date
+    if args.split == "date" or args.split == "both":
+        provider._gen_day_dataset(deepcopy(provider.feature_conf), "feature")
+        provider._gen_day_dataset(deepcopy(provider.backtest_conf), "backtest")
+
+    # Split by stock
+    if args.split == "stock" or args.split == "both":
+        provider._gen_stock_dataset(deepcopy(provider.feature_conf), "feature")
+        provider._gen_stock_dataset(deepcopy(provider.backtest_conf), "backtest")
+
+    shutil.rmtree("stat/", ignore_errors=True)