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

---------

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/pickle_data_config.yml

@@ -0,0 +1,77 @@
+# start & end time for training/validation/test datasets
+start_time: !!str &start 2020-01-01
+end_time: !!str &end 2021-12-31
+train_end_time: !!str &tend 2021-06-30
+valid_start_time: !!str &vstart 2021-07-01
+valid_end_time: !!str &vend 2021-09-30
+test_start_time: !!str &tstart 2021-10-01
+# the instrument set
+instruments: &ins csi300s19_22
+# qlib related configuration
+qlib_conf:
+    provider_uri: 
+        5min: ./data/bin # path to generated qlib bin
+    redis_port: 233
+feature_conf:
+    path: ./data/pickle/feature.pkl # output path of feature
+    class: DatasetH
+    module_path: qlib.data.dataset
+    kwargs:
+        handler:
+            class: HighFreqGeneralHandler
+            module_path: qlib.contrib.data.highfreq_handler
+            kwargs:
+                start_time: *start
+                end_time: *end
+                fit_start_time: *start
+                fit_end_time: *tend
+                instruments: *ins
+                day_length: 240 # how many minutes in one trading day
+                freq: 5min
+                columns: ["$open", "$high", "$low", "$close"]
+                infer_processors:
+                - class: HighFreqNorm
+                  module_path: qlib.contrib.data.highfreq_processor
+                  kwargs:
+                    feature_save_dir: ./stat/  #  output path of statistics of features (for feature normalization)
+                    norm_groups: 
+                        price: 8
+                        volume: 2
+                inst_processors:
+                - class: TimeRangeFlt
+                  module_path: qlib.data.dataset.processor
+                  kwargs:
+                    start_time: "2020-01-01"
+                    end_time: "2021-12-31"
+                    freq: 5min
+        segments:
+            train: !!python/tuple [*start, *tend]
+            valid: !!python/tuple [*vstart, *vend]
+            test: !!python/tuple [*tstart, *end]
+backtest_conf:
+    path: ./data/pickle/backtest.pkl # output path of backtest
+    class: DatasetH
+    module_path: qlib.data.dataset
+    kwargs:
+        handler:
+            class: HighFreqGeneralBacktestHandler
+            module_path: qlib.contrib.data.highfreq_handler
+            kwargs:
+                start_time: *start
+                end_time: *end
+                instruments: *ins
+                day_length: 240
+                freq: 5min
+                columns: ["$close", "$volume"]
+                inst_processors:
+                - class: TimeRangeFlt
+                  module_path: qlib.data.dataset.processor
+                  kwargs:
+                    start_time: "2020-01-01"
+                    end_time: "2021-12-31"
+                    freq: 5min
+        segments:
+            train: !!python/tuple [*start, *tend]
+            valid: !!python/tuple [*vstart, *vend]
+            test: !!python/tuple [*tstart, *end]
+freq: 5min