fix some small bug

qlib/data/data.py

@@ -664,9 +664,11 @@ class LocalExpressionProvider(ExpressionProvider):
         lft_etd, rght_etd = expression.get_extended_window_size()
         series = expression.load(instrument, max(0, start_index - lft_etd), end_index + rght_etd, freq)
         # Ensure that each column type is consistent
-        # FIXME: The stock data is currently float. If there is other types of data, this part needs to be re-implemented.
+        # FIXME:
+        # 1) The stock data is currently float. If there is other types of data, this part needs to be re-implemented.
+        # 2) The the precision should be configurable
         try:
-            series = series.astype(float)
+            series = series.astype(np.float32)
         except ValueError:
             pass
         if not series.empty:

qlib/data/dataset/handler.py

@@ -99,10 +99,11 @@ class DataHandler(Serializable):
             self._data = self.data_loader.load(self.instruments, self.start_time, self.end_time)
         # TODO: cache
 
-    CS_ALL = "__all"
+    CS_ALL = "__all"  # return all columns with single-level index column
+    CS_RAW = "__raw"  # return raw data with multi-level index column
 
     def _fetch_df_by_col(self, df: pd.DataFrame, col_set: str) -> pd.DataFrame:
-        if not isinstance(df.columns, pd.MultiIndex):
+        if not isinstance(df.columns, pd.MultiIndex) or col_set == self.CS_RAW:
             return df
         elif col_set == self.CS_ALL:
             return df.droplevel(axis=1, level=0)
@@ -111,7 +112,7 @@ class DataHandler(Serializable):
 
     def fetch(
         self,
-        selector: Union[pd.Timestamp, slice, str],
+        selector: Union[pd.Timestamp, slice, str] = slice(None, None),
         level: Union[str, int] = "datetime",
         col_set: Union[str, List[str]] = CS_ALL,
         squeeze: bool = False,
@@ -371,7 +372,7 @@ class DataHandlerLP(DataHandler):
 
     def fetch(
         self,
-        selector: Union[pd.Timestamp, slice, str],
+        selector: Union[pd.Timestamp, slice, str] = slice(None, None),
         level: Union[str, int] = "datetime",
         col_set=DataHandler.CS_ALL,
         data_key: str = DK_I,

qlib/data/dataset/utils.py

@@ -52,4 +52,4 @@ def fetch_df_by_index(
     idx_slc = (selector, slice(None, None))
     if get_level_index(df, level) == 1:
         idx_slc = idx_slc[1], idx_slc[0]
-    return df.loc(axis=0)[idx_slc]
+    return df.loc[pd.IndexSlice[idx_slc], ]  # This could be faster than df.loc(axis=0)[idx_slc]

qlib/utils/__init__.py

@@ -185,7 +185,7 @@ def get_cls_kwargs(config: Union[dict, str], module) -> (type, dict):
     if isinstance(config, dict):
         # raise AttributeError
         klass = getattr(module, config["class"])
-        kwargs = config["kwargs"]
+        kwargs = config.get("kwargs", {})
     elif isinstance(config, str):
         klass = getattr(module, config)
         kwargs = {}
@@ -619,6 +619,28 @@ def exists_qlib_data(qlib_dir):
     return True
 
 
+def lexsort_index(df: pd.DataFrame) -> pd.DataFrame:
+    """
+    make the df index lexsorted
+
+    df.sort_index() will take a lot of time even when `df.is_lexsorted() == True`
+    This function could avoid such case
+
+    Parameters
+    ----------
+    df : pd.DataFrame
+
+    Returns
+    -------
+    pd.DataFrame:
+        sorted dataframe
+    """
+    if df.index.is_lexsorted():
+        return df
+    else:
+        return df.sort_index()
+
+
 #################### Wrapper #####################
 class Wrapper(object):
     """Data Provider Wrapper"""

qlib/workflow/expm.py

@@ -14,7 +14,7 @@ logger = get_module_logger("workflow", "INFO")
 
 class ExpManager:
     """
-    This is the `ExpManager` class for managing the experiments. The API is designed similar to mlflow.
+    This is the `ExpManager` class for managing experiments. The API is designed similar to mlflow.
     (The link: https://mlflow.org/docs/latest/python_api/mlflow.html)
     """
 
@@ -34,10 +34,6 @@ class ExpManager:
             name of the active experiment.
         uri : str
             the current tracking URI.
-        artifact_location : str
-            the location to store all the artifacts.
-        nested : boolean
-            controls whether run is nested in parent run.
 
         Returns
         -------
@@ -99,7 +95,7 @@ class ExpManager:
         """
         raise NotImplementedError(f"Please implement the `create_exp` method.")
 
-    def get_exp(self, experiment_id=None, experiment_name=None):
+    def get_exp(self, experiment_id=None, experiment_name=None, create: bool = True):
         """
         Retrieve an experiment by experiment_id from the backend store.
 
@@ -107,6 +103,8 @@ class ExpManager:
         ----------
         experiment_id : str
             the experiment id to return.
+        create : boolean
+            create the experiment if it does not exists
 
         Returns
         -------

qlib/workflow/recorder.py

@@ -139,13 +139,13 @@ class Recorder:
         """
         raise NotImplementedError(f"Please implement the `delete_tags` method.")
 
-    def list_artifacts(self, artifact_path=None):
+    def list_artifacts(self, artifact_path: str = None):
         """
         List all the artifacts of a recorder.
 
         Parameters
         ----------
-        artifact_path=None : str
+        artifact_path : str
             the relative path for the artifact to be stored in the URI.
 
         Returns
@@ -186,7 +186,7 @@ class MLflowRecorder(Recorder):
         assert status in ["SCHEDULED", "RUNNING", "FINISHED", "FAILED"], f"The status type {status} is not supported."
         mlflow.end_run(status)
         self.end_time = datetime.datetime.now().strftime("%Y-%m-%d %H:%M:%S")
-        if self.status is not "FINISHED":
+        if self.status != "FINISHED":
             self.status = status
         shutil.rmtree(self.temp_dir)