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Update docs and fix tabnet

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.. _data:
================================
Data Layer: Data Framework&Usage
Data Layer: Data Framework & Usage
================================
Introduction
@@ -15,7 +15,9 @@ The introduction of ``Data Layer`` includes the following parts.
- Data Preparation
- Data API
- Data Loader
- Data Handler
- Dataset
- Cache
- Data and Cache File Structure
@@ -146,43 +148,161 @@ Filter
To know more about ``Filter``, please refer to `Filter API <../reference/api.html#module-qlib.data.filter>`_.
Reference
-------------
To know more about ``Data API``, please refer to `Data API <../reference/api.html#data>`_.
Data Loader
=================
``Data Loader`` in ``Qlib`` is designed to load raw data from the original data source. It will be loaded and used in the ``Data Handler`` module.
The ``QlibDataLoader`` class in ``Qlib`` is such an interface that allows users to load raw data from the data source.
Interface
------------
Here are some interfaces of the ``QlibDataLoader`` class:
- `load(instruments, start_time=None, end_time=None)`
- This method loads the data as pd.DataFrame
- Parameters:
- `instruments` : str or dict
it can either be the market name or the config file of instruments generated by InstrumentProvider.
- `start_time` : str
start of the time range.
- `end_time` : str
end of the time range.
- Returns:
- The data being loaded with type `pd.DataFrame`
- `load_group_df(instruments, exprs: list, names: list, start_time=None, end_time=None)`
- This method loads the dataframe for specific group.
- Parameters:
- `instruments` : str or dict
it can either be the market name or the config file of instruments generated by InstrumentProvider.
- `exprs` : list
the expressions to describe the content of the data.
- `names` : list
the name of the data.
- `start_time` : str
start of the time range.
- `end_time` : str
end of the time range.
- Returns:
- The queried data in type `pd.DataFrame`.
API
-----------
To know more about ``Data Loader``, please refer to `Data Loader API <../reference/api.html#module-qlib.data.dataset.loader>`_.
Data Handler
=================
Users can use ``Data Handler`` in an automatic workflow by ``Estimator``, refer to `Estimator: Workflow Management <estimator.html>`_ for more details.
The ``Data Handler`` module in ``Qlib`` is designed to handler those common data processing methods which will be used by most of the models.
Users can use ``Data Handler`` in an automatic workflow by ``qrun``, refer to `Workflow: Workflow Management <workflow.html>`_ for more details.
Also, ``Data Handler`` can be used as an independent module, by which users can easily preprocess data(standardization, remove NaN, etc.) and build datasets. It is a subclass of ``qlib.data.dataset.handler.DataHandlerLP``, which provides some interfaces as follows.
Base Class & Interface
----------------------
Qlib provides a base class `qlib.data.dataset.DataHandlerLP <../reference/api.html#qlib.data.dataset.handler.DataHandlerLP>`_, which provides the following interfaces:
In addition to use ``Data Handler`` in an automatic workflow with ``qrun``, ``Data Handler`` can be used as an independent module, by which users can easily preprocess data (standardization, remove NaN, etc.) and build datasets.
- `load_feature`
Implement the interface to load the data features.
In order to achieve so, ``Qlib`` provides a base class `qlib.data.dataset.DataHandlerLP <../reference/api.html#qlib.data.dataset.handler.DataHandlerLP>`_. The core idea of this class is that: we will have some leanable ``Processors`` which can learn the parameters of data processing. When new data comes in, these `trained` ``Processors`` can then infer on the new data and thus processing real-time data in an efficient way. More information about ``Processors`` will be listed in the next subsection.
- `load_label`
Implement the interface to load the data labels and calculate the users' labels.
Here are some important interfaces that ``DataHandlerLP`` provides:
- `setup_processed_data`
Implement the interface for data preprocessing, such as preparing feature columns, discarding blank lines, and so on.
- `__init__(instruments=None, start_time=None, end_time=None, data_loader: Tuple[dict, str, DataLoader] = None, infer_processors=[], learn_processors=[], process_type=PTYPE_A, **kwargs)`
- Initialization of the class.
- Parameters:
- `infer_processors` : list
- list of <description info> of processors to generate data for inference
- example of <description info>:
Qlib also provides two functions to help users init the data handler, users can override them for users' needs.
.. code-block::
1) classname & kwargs:
{
"class": "MinMaxNorm",
"kwargs": {
"fit_start_time": "20080101",
"fit_end_time": "20121231"
}
}
2) Only classname:
"DropnaFeature"
3) object instance of Processor
- `_init_raw_data`
Users can init the raw df, feature names, and label names of data handler in this function.
If the index of feature df and label df are not the same, users need to override this method to merge them (e.g. inner, left, right merge).
- `learn_processors` : list
similar to infer_processors, but for generating data for learning models
- `process_type`: str
- PTYPE_I = 'independent'
- self._infer will processed by infer_processors
- self._learn will be processed by learn_processors
- PTYPE_A = 'append'
- self._infer will processed by infer_processors
- self._learn will be processed by infer_processors + learn_processors
- (e.g. self._infer processed by learn_processors )
- `fetch(selector: Union[pd.Timestamp, slice, str] = slice(None, None), level: Union[str, int] = "datetime", col_set=DataHandler.CS_ALL, data_key: str = DK_I)`
- This method fetches data from underlying data source
- Parameters:
- `selector` : Union[pd.Timestamp, slice, str]
describe how to select data by index.
- `level` : Union[str, int]
which index level to select the data.
- `col_set` : str
select a set of meaningful columns.(e.g. features, columns).
- `data_key` : str
The data to fetch: DK_*.
- Returns:
- The retrieved results in the type: `pd.DataFrame`.
- `get_cols(col_set=DataHandler.CS_ALL, data_key: str = DK_I)`
- This method gets the column names.
- Parameters:
- `col_set` : str
select a set of meaningful columns.(e.g. features, columns).
- `data_key` : str
the data to fetch: DK_*.
- Returns:
- A list of column names.
If users want to load features and labels by config, users can inherit ``qlib.data.dataset.handler.ConfigDataHandler``, ``Qlib`` also provides some preprocess method in this subclass.
If users want to use qlib data, `QLibDataHandler` is recommended. Users can inherit their custom class from `QLibDataHandler`, which is also a subclass of `ConfigDataHandler`.
Processor
----------
The ``Processor`` module in ``Qlib`` is designed to be learnable and it is responsible for handling data processing such as `normalization` and `drop none/nan features/labels`.
``Qlib`` provides the following ``Processors``:
- ``DropnaProcessor``: `processor` that drops N/A features.
- ``DropnaLabel``: `processor` that drops N/A labels.
- ``TanhProcess``: `processor` that uses `tanh` to process noise data.
- ``ProcessInf``: `processor` that handles infinity values, it will be replaces by the mean of the column.
- ``Fillna``: `processor` that handles N/A values, which will fill the N/A value by 0 or other given number.
- ``MinMaxNorm``: `processor` that applies min-max normalization.
- ``ZscoreNorm``: `processor` that applies z-score normalization.
- ``CSZScoreNorm``: `processor` that applies cross sectional z-score normalization.
- ``CSRankNorm``: `processor` that applies cross sectional rank normalization.
Users can also create their own `processor` by inheriting the base class of ``Processor``. Please refer to the implementation of all the processors for more information (`Processor Link <https://github.com/microsoft/qlib/blob/main/qlib/data/dataset/processor.py>`_).
API
---------
To know more about ``Processor``, please refer to `Processor API <../reference/api.html#module-qlib.data.dataset.processor>`_.
Usage
--------------
@@ -194,15 +314,12 @@ Usage
- `get_rolling_data`
- According to the start and end dates, and `rolling_period`, an iterator is returned, which can be used to traverse the features and labels used for rolling.
Example
--------------
``Data Handler`` can be run with ``estimator`` by modifying the configuration file, and can also be used as a single module.
``Data Handler`` can be run with ``qrun`` by modifying the configuration file, and can also be used as a single module.
Know more about how to run ``Data Handler`` with ``Estimator``, please refer to `Estimator: Workflow Management <estimator.html>`_
Know more about how to run ``Data Handler`` with ``qrun``, please refer to `Workflow: Workflow Management <workflow.html>`_
Qlib provides implemented data handler `Alpha158`. The following example shows how to run `Alpha158` as a single module.
@@ -211,45 +328,70 @@ Qlib provides implemented data handler `Alpha158`. The following example shows h
.. code-block:: Python
import qlib
from qlib.contrib.data.handler import Alpha158
from qlib.contrib.model.gbdt import LGBModel
DATA_HANDLER_CONFIG = {
"dropna_label": True,
"start_date": "2007-01-01",
"end_date": "2020-08-01",
"market": "csi300",
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": "csi300",
}
TRAINER_CONFIG = {
"train_start_date": "2007-01-01",
"train_end_date": "2014-12-31",
"validate_start_date": "2015-01-01",
"validate_end_date": "2016-12-31",
"test_start_date": "2017-01-01",
"test_end_date": "2020-08-01",
}
if __name__ == "__main__":
qlib.init()
h = Alpha158(**data_handler_config)
exampleDataHandler = Alpha158(**DATA_HANDLER_CONFIG)
# get all the columns of the data
print(h.get_cols())
# example of 'get_split_data'
x_train, y_train, x_validate, y_validate, x_test, y_test = exampleDataHandler.get_split_data(**TRAINER_CONFIG)
# fetch all the labels
print(h.fetch(col_set="label"))
# example of 'get_rolling_data'
for (x_train, y_train, x_validate, y_validate, x_test, y_test) in exampleDataHandler.get_rolling_data(**TRAINER_CONFIG):
print(x_train, y_train, x_validate, y_validate, x_test, y_test)
.. note:: (x_train, y_train, x_validate, y_validate, x_test, y_test) can be used as arguments for the `fit`, `predic``, and `score` methods of the ``Interday Model`` , please refer to `Model <model.html#base-class-interface>`_.
Also, the above example has been given in ``examples.estimator.train_backtest_analyze.ipynb``.
# fetch all the features
print(h.fetch(col_set="feature"))
API
---------
To know more about ``Data Handler``, please refer to `Data Handler API <../reference/api.html#module-qlib.data.dataset.handler>`_.
Dataset
=================
The ``Dataset`` module in ``Qlib`` aims to prepare data for model training and inferencing.
The motivation of this module is that we want to maximize the flexibility of of different models to handle data that are suitable for themselves. This module gives the model the rights to process their data in an unique way. For instance, models such as ``GBDT`` may work well on data that contains `nan` or `None` value, while neural networks such as ``DNN`` will break down on such data.
The ``DatasetH`` class is the `dataset` with `Data Handler`. Here is the most important interface of the class:
- `prepare(segments: Union[List[str], Tuple[str], str, slice], col_set=DataHandler.CS_ALL, data_key=DataHandlerLP.DK_I, **kwargs)`
- This method prepares the data for learning and inference.
- Parameters:
- `segments` : Union[List[str], Tuple[str], str, slice]
Describe the scope of the data to be prepared
Here are some examples:
- 'train'
- ['train', 'valid']
- `col_set` : str
The col_set will be passed to self._handler when fetching data.
- `data_key` : str
The data to fetch: DK_*
Default is DK_I, which indicate fetching data for **inference**.
API
---------
To know more about ``Dataset``, please refer to `Dataset API <../reference/api.html#module-qlib.data.dataset.__init__>`_.
Cache
==========

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@@ -7,7 +7,7 @@ Interday Model: Model Training & Prediction
Introduction
===================
``Interday Model`` is designed to make the `prediction score` about stocks. Users can use the ``Interday Model`` in an automatic workflow by ``Estimator``, please refer to `Estimator: Workflow Management <estimator.html>`_.
``Interday Model`` is designed to make the `prediction score` about stocks. Users can use the ``Interday Model`` in an automatic workflow by ``qrun``, please refer to `Workflow: Workflow Management <workflow.html>`_.
Because the components in ``Qlib`` are designed in a loosely-coupled way, ``Interday Model`` can be used as an independent module also.
@@ -20,151 +20,125 @@ The base class provides the following interfaces:
- `__init__(**kwargs)`
- Initialization.
- If users use ``Estimator`` to start an `experiment`, the parameter of `__init__` method shoule be consistent with the hyperparameters in the configuration file.
- `fit(self, x_train, y_train, x_valid, y_valid, w_train=None, w_valid=None, **kwargs)`
- `fit(self, dataset, **kwargs)`
- Train model.
- Parameter:
- `x_train`, pd.DataFrame type, train feature
The following example explains the value of `x_train`:
- `dataset`, ``Qlib``'s ``DatasetH`` type. For more information about ``DatasetH``, users can refer to the related document: `Qlib Dataset <../component/data.html#dataset>`_.
The `dataset` is passed into the `model`'s method because there are some unique data preprocessing procedures for each, we want to give each model maximum flexibility to handle the data that is suitable for their own.
The following code example shows how to retrieve `x_train`, `y_train` and `w_train` from the `dataset`:
.. code-block:: YAML
KMID KLEN KMID2 KUP KUP2
instrument datetime
SH600004 2012-01-04 0.000000 0.017685 0.000000 0.012862 0.727275
2012-01-05 -0.006473 0.025890 -0.250001 0.012945 0.499998
2012-01-06 0.008117 0.019481 0.416666 0.008117 0.416666
2012-01-09 0.016051 0.025682 0.624998 0.006421 0.250001
2012-01-10 0.017323 0.026772 0.647057 0.003150 0.117648
... ... ... ... ... ...
SZ300273 2014-12-25 -0.005295 0.038697 -0.136843 0.016293 0.421052
2014-12-26 -0.022486 0.041701 -0.539215 0.002453 0.058824
2014-12-29 -0.031526 0.039092 -0.806451 0.000000 0.000000
2014-12-30 -0.010000 0.032174 -0.310811 0.013913 0.432433
2014-12-31 0.010917 0.020087 0.543479 0.001310 0.065216
.. code-block:: Python
`x_train` is a pandas DataFrame, whose index is MultiIndex <instrument(str), datetime(pd.Timestamp)>. Each column of `x_train` corresponds to a feature, and the column name is the feature name.
.. note::
The number and names of the columns are determined by the data handler, please refer to `Data Handler <data.html#data-handler>`_ and `Estimator Data Section <estimator.html#data-section>`_.
- `y_train`, pd.DataFrame type, train label
The following example explains the value of `y_train`:
# get features and labels
df_train, df_valid = dataset.prepare(
["train", "valid"], col_set=["feature", "label"], data_key=DataHandlerLP.DK_L
)
x_train, y_train = df_train["feature"], df_train["label"]
x_valid, y_valid = df_valid["feature"], df_valid["label"]
.. code-block:: YAML
LABEL
instrument datetime
SH600004 2012-01-04 -0.798456
2012-01-05 -1.366716
2012-01-06 -0.491026
2012-01-09 0.296900
2012-01-10 0.501426
... ...
SZ300273 2014-12-25 -0.465540
2014-12-26 0.233864
2014-12-29 0.471368
2014-12-30 0.411914
2014-12-31 1.342723
`y_train` is a pandas DataFrame, whose index is MultiIndex <instrument(str), datetime(pd.Timestamp)>. The `LABEL` column represents the value of train label.
.. note::
The number and names of the columns are determined by the ``Data Handler``, please refer to `Data Handler <data.html#data-handler>`_.
- `x_valid`, pd.DataFrame type, validation feature
The format of `x_valid` is same as `x_train`
- `y_valid`, pd.DataFrame type, validation label
The format of `y_valid` is same as `y_train`
- `w_train`(Optional args, default is None), pd.DataFrame type, train weight
`w_train` is a pandas DataFrame, whose shape and index is same as `x_train`. The float value in `w_train` represents the weight of the feature at the same position in `x_train`.
- `w_train`(Optional args, default is None), pd.DataFrame type, validation weight
`w_train` is a pandas DataFrame, whose shape and index is the same as `x_valid`. The float value in `w_train` represents the weight of the feature at the same position in `x_train`.
- `predict(self, x_test, **kwargs)`
- Predict test data 'x_test'
- Parameter:
- `x_test`, pd.DataFrame type, test features
The form of `x_test` is same as `x_train` in 'fit' method.
- Return:
- `label`, np.ndarray type, test label
The label of `x_test` that predicted by model.
- `score(self, x_test, y_test, w_test=None, **kwargs)`
- Evaluate model with test feature/label
- Parameter:
- `x_test`, pd.DataFrame type, test feature
The format of `x_test` is same as `x_train` in `fit` method.
# get weights
try:
wdf_train, wdf_valid = dataset.prepare(["train", "valid"], col_set=["weight"], data_key=DataHandlerLP.DK_L)
w_train, w_valid = wdf_train["weight"], wdf_valid["weight"]
except KeyError as e:
w_train = pd.DataFrame(np.ones_like(y_train.values), index=y_train.index)
w_valid = pd.DataFrame(np.ones_like(y_valid.values), index=y_valid.index)
- `x_test`, pd.DataFrame type, test label
The format of `y_test` is same as `y_train` in `fit` method.
- `predict(self, dataset, **kwargs)`
- Predict test data.
- Parameter:
- `dataset`, ``Qlib``'s ``DatasetH`` type. The usage is similar to the example above.
- Returns:
- Predic results with type: `pandas.Series`.
- `w_test`, pd.DataFrame type, test weight
The format of `w_test` is same as `w_train` in `fit` method.
- Return: float type, evaluation score
- `finetune(self, dataset, **kwargs)`
- Finetune the model.
- Parameter:
- `dataset`, ``Qlib``'s ``DatasetH`` type. The usage is similar to the example above.
For other interfaces such as `save`, `load`, `finetune`, please refer to `Model API <../reference/api.html#module-qlib.model.base>`_.
For other interfaces such as `finetune`, please refer to `Model API <../reference/api.html#module-qlib.model.base>`_.
Example
==================
``Qlib`` provides ``LightGBM`` and ``DNN`` models as the baseline, the following steps show how to run`` LightGBM`` as an independent module.
``Qlib``'s `Model Zoo` includes models such as ``LightGBM``, ``DNN``, ``LSTM``, etc.. These models are treated as the baselines of ``Interday Model``. The following steps show how to run`` LightGBM`` as an independent module.
- Initialize ``Qlib`` with `qlib.init` first, please refer to `Initialization <../start/initialization.html>`_.
- Run the following code to get the `prediction score` `pred_score`
.. code-block:: Python
from qlib.contrib.data.handler import Alpha158
from qlib.contrib.model.gbdt import LGBModel
from qlib.contrib.data.handler import Alpha158
from qlib.utils import init_instance_by_config, flatten_dict
from qlib.workflow import R
from qlib.workflow.record_temp import SignalRecord, PortAnaRecord
DATA_HANDLER_CONFIG = {
"dropna_label": True,
"start_date": "2007-01-01",
"end_date": "2020-08-01",
"market": MARKET,
market = "csi300"
benchmark = "SH000300"
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": market,
}
TRAINER_CONFIG = {
"train_start_date": "2007-01-01",
"train_end_date": "2014-12-31",
"validate_start_date": "2015-01-01",
"validate_end_date": "2016-12-31",
"test_start_date": "2017-01-01",
"test_end_date": "2020-08-01",
task = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
"kwargs": {
"loss": "mse",
"colsample_bytree": 0.8879,
"learning_rate": 0.0421,
"subsample": 0.8789,
"lambda_l1": 205.6999,
"lambda_l2": 580.9768,
"max_depth": 8,
"num_leaves": 210,
"num_threads": 20,
},
},
"dataset": {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-31"),
"test": ("2017-01-01", "2020-08-01"),
},
},
},
}
# model initiaiton
model = init_instance_by_config(task["model"])
dataset = init_instance_by_config(task["dataset"])
x_train, y_train, x_validate, y_validate, x_test, y_test = Alpha158(
**DATA_HANDLER_CONFIG
).get_split_data(**TRAINER_CONFIG)
# start exp
with R.start(experiment_name="workflow"):
# train
R.log_params(**flatten_dict(task))
model.fit(dataset)
# prediction
recorder = R.get_recorder()
sr = SignalRecord(model, dataset, recorder)
sr.generate()
MODEL_CONFIG = {
"loss": "mse",
"colsample_bytree": 0.8879,
"learning_rate": 0.0421,
"subsample": 0.8789,
"lambda_l1": 205.6999,
"lambda_l2": 580.9768,
"max_depth": 8,
"num_leaves": 210,
"num_threads": 20,
}
# use default model
model = LGBModel(**MODEL_CONFIG)
model.fit(x_train, y_train, x_validate, y_validate)
_pred = model.predict(x_test)
pred_score = pd.DataFrame(index=_pred.index)
pred_score["score"] = _pred.iloc(axis=1)[0]
.. note:: `Alpha158` is the data handler provided by ``Qlib``, please refer to `Data Handler <data.html#data-handler>`_.
.. note::
`Alpha158` is the data handler provided by ``Qlib``, please refer to `Data Handler <data.html#data-handler>`_.
`SignalRecord` is the `Record Template` in ``Qlib``, please refer to `Workflow <recorder.html#record-template>`_.
Also, the above example has been given in ``examples/train_backtest_analyze.ipynb``.

View File

@@ -402,8 +402,8 @@ Record Template
The ``RecordTemp`` class is a class that enables generate experiment results such as IC and backtest in a certain format. We have provided three different `Record Template` class:
- ``SignalRecord``: This class generates the `preidction` of the model.
- ``SigAnaRecord``: This class generates the `IC`, `ICIR`, `Rank IC` and `Rank ICIR`.
- ``SignalRecord``: This class generates the `preidction` results of the model.
- ``SigAnaRecord``: This class generates the `IC`, `ICIR`, `Rank IC` and `Rank ICIR` of the model.
- ``PortAnaRecord``: This class generates the results of `backtest`. The detailed information about `backtest` as well as the available `strategy`, users can refer to `Strategy <../component/strategy.html>`_ and `Backtest <../component/backtest.html>`_.
For more information, please refer to `Record Template API <../reference/api.html#module-qlib.workflow.record_temp>`_.
For more information about the APIs, please refer to `Record Template API <../reference/api.html#module-qlib.workflow.record_temp>`_.