fix(client): fix missing dependencies and unsafe pickle usage

Makefile

@@ -100,8 +100,11 @@ test:
 analysis:
 	python -m pip install -e .[analysis]
 
+client:
+	python -m pip install -e .[client]
+
 all:
-	python -m pip install -e .[pywinpty,dev,lint,docs,package,test,analysis,rl]
+	python -m pip install -e .[pywinpty,dev,lint,docs,package,test,analysis,rl,client]
 
 install: prerequisite dependencies
 

pyproject.toml

@@ -101,6 +101,10 @@ analysis = [
   "plotly",
   "statsmodels",
 ]
+client = [
+  "python-socketio<6",
+  "tables",
+]
 
 # In the process of releasing a new version, when checking the manylinux package with twine, an error is reported:
 # InvalidDistribution: Invalid distribution metadata: unrecognized or malformed field 'license-file'

qlib/data/client.py

@@ -2,15 +2,16 @@
 # Licensed under the MIT License.
 
 
-from __future__ import division
-from __future__ import print_function
+from __future__ import division, print_function
+
+import json
 
 import socketio
 
 import qlib
+
 from ..config import C
 from ..log import get_module_logger
-import pickle
 
 
 class Client:
@@ -96,7 +97,7 @@ class Client:
         self.logger.debug("connected")
         # The pickle is for passing some parameters with special type(such as
         # pd.Timestamp)
-        request_content = {"head": head_info, "body": pickle.dumps(request_content, protocol=C.dump_protocol_version)}
+        request_content = {"head": head_info, "body": json.dumps(request_content, default=str)}
         self.sio.on(request_type + "_response", request_callback)
         self.logger.debug("try sending")
         self.sio.emit(request_type + "_request", request_content)