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.. _data:
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================================
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Data Layer: Data Framework&Usage
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Data Layer: Data Framework & Usage
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================================
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Introduction
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@@ -15,7 +15,9 @@ The introduction of ``Data Layer`` includes the following parts.
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- Data Preparation
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- Data API
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- Data Loader
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- Data Handler
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- Dataset
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- Cache
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- Data and Cache File Structure
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@@ -146,43 +148,161 @@ Filter
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To know more about ``Filter``, please refer to `Filter API <../reference/api.html#module-qlib.data.filter>`_.
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Reference
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-------------
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To know more about ``Data API``, please refer to `Data API <../reference/api.html#data>`_.
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Data Loader
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=================
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``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.
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The ``QlibDataLoader`` class in ``Qlib`` is such an interface that allows users to load raw data from the data source.
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Interface
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------------
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Here are some interfaces of the ``QlibDataLoader`` class:
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- `load(instruments, start_time=None, end_time=None)`
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- This method loads the data as pd.DataFrame
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- Parameters:
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- `instruments` : str or dict
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it can either be the market name or the config file of instruments generated by InstrumentProvider.
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- `start_time` : str
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start of the time range.
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- `end_time` : str
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end of the time range.
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- Returns:
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- The data being loaded with type `pd.DataFrame`
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- `load_group_df(instruments, exprs: list, names: list, start_time=None, end_time=None)`
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- This method loads the dataframe for specific group.
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- Parameters:
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- `instruments` : str or dict
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it can either be the market name or the config file of instruments generated by InstrumentProvider.
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- `exprs` : list
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the expressions to describe the content of the data.
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- `names` : list
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the name of the data.
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- `start_time` : str
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start of the time range.
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- `end_time` : str
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end of the time range.
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- Returns:
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- The queried data in type `pd.DataFrame`.
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API
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-----------
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To know more about ``Data Loader``, please refer to `Data Loader API <../reference/api.html#module-qlib.data.dataset.loader>`_.
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Data Handler
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=================
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Users can use ``Data Handler`` in an automatic workflow by ``Estimator``, refer to `Estimator: Workflow Management <estimator.html>`_ for more details.
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The ``Data Handler`` module in ``Qlib`` is designed to handler those common data processing methods which will be used by most of the models.
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Users can use ``Data Handler`` in an automatic workflow by ``qrun``, refer to `Workflow: Workflow Management <workflow.html>`_ for more details.
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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.
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Base Class & Interface
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----------------------
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Qlib provides a base class `qlib.data.dataset.DataHandlerLP <../reference/api.html#qlib.data.dataset.handler.DataHandlerLP>`_, which provides the following interfaces:
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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.
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- `load_feature`
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Implement the interface to load the data features.
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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.
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- `load_label`
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Implement the interface to load the data labels and calculate the users' labels.
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Here are some important interfaces that ``DataHandlerLP`` provides:
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- `setup_processed_data`
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Implement the interface for data preprocessing, such as preparing feature columns, discarding blank lines, and so on.
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- `__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)`
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- Initialization of the class.
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- Parameters:
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- `infer_processors` : list
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- list of <description info> of processors to generate data for inference
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- example of <description info>:
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Qlib also provides two functions to help users init the data handler, users can override them for users' needs.
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.. code-block::
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1) classname & kwargs:
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{
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"class": "MinMaxNorm",
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"kwargs": {
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"fit_start_time": "20080101",
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"fit_end_time": "20121231"
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}
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}
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2) Only classname:
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"DropnaFeature"
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3) object instance of Processor
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- `_init_raw_data`
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Users can init the raw df, feature names, and label names of data handler in this function.
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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).
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- `learn_processors` : list
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similar to infer_processors, but for generating data for learning models
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- `process_type`: str
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- PTYPE_I = 'independent'
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- self._infer will processed by infer_processors
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- self._learn will be processed by learn_processors
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- PTYPE_A = 'append'
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- self._infer will processed by infer_processors
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- self._learn will be processed by infer_processors + learn_processors
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- (e.g. self._infer processed by learn_processors )
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- `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)`
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- This method fetches data from underlying data source
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- Parameters:
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- `selector` : Union[pd.Timestamp, slice, str]
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describe how to select data by index.
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- `level` : Union[str, int]
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which index level to select the data.
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- `col_set` : str
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select a set of meaningful columns.(e.g. features, columns).
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- `data_key` : str
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The data to fetch: DK_*.
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- Returns:
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- The retrieved results in the type: `pd.DataFrame`.
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- `get_cols(col_set=DataHandler.CS_ALL, data_key: str = DK_I)`
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- This method gets the column names.
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- Parameters:
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- `col_set` : str
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select a set of meaningful columns.(e.g. features, columns).
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- `data_key` : str
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the data to fetch: DK_*.
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- Returns:
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- A list of column names.
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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.
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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`.
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Processor
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----------
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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`.
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``Qlib`` provides the following ``Processors``:
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- ``DropnaProcessor``: `processor` that drops N/A features.
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- ``DropnaLabel``: `processor` that drops N/A labels.
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- ``TanhProcess``: `processor` that uses `tanh` to process noise data.
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- ``ProcessInf``: `processor` that handles infinity values, it will be replaces by the mean of the column.
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- ``Fillna``: `processor` that handles N/A values, which will fill the N/A value by 0 or other given number.
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- ``MinMaxNorm``: `processor` that applies min-max normalization.
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- ``ZscoreNorm``: `processor` that applies z-score normalization.
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- ``CSZScoreNorm``: `processor` that applies cross sectional z-score normalization.
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- ``CSRankNorm``: `processor` that applies cross sectional rank normalization.
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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>`_).
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API
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---------
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To know more about ``Processor``, please refer to `Processor API <../reference/api.html#module-qlib.data.dataset.processor>`_.
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Usage
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--------------
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@@ -194,15 +314,12 @@ Usage
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- `get_rolling_data`
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- 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.
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Example
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--------------
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``Data Handler`` can be run with ``estimator`` by modifying the configuration file, and can also be used as a single module.
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``Data Handler`` can be run with ``qrun`` by modifying the configuration file, and can also be used as a single module.
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Know more about how to run ``Data Handler`` with ``Estimator``, please refer to `Estimator: Workflow Management <estimator.html>`_
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Know more about how to run ``Data Handler`` with ``qrun``, please refer to `Workflow: Workflow Management <workflow.html>`_
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Qlib provides implemented data handler `Alpha158`. The following example shows how to run `Alpha158` as a single module.
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@@ -211,45 +328,70 @@ Qlib provides implemented data handler `Alpha158`. The following example shows h
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.. code-block:: Python
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import qlib
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from qlib.contrib.data.handler import Alpha158
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from qlib.contrib.model.gbdt import LGBModel
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DATA_HANDLER_CONFIG = {
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"dropna_label": True,
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"start_date": "2007-01-01",
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"end_date": "2020-08-01",
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"market": "csi300",
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data_handler_config = {
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"start_time": "2008-01-01",
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"end_time": "2020-08-01",
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"fit_start_time": "2008-01-01",
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"fit_end_time": "2014-12-31",
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"instruments": "csi300",
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}
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TRAINER_CONFIG = {
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"train_start_date": "2007-01-01",
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"train_end_date": "2014-12-31",
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"validate_start_date": "2015-01-01",
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"validate_end_date": "2016-12-31",
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"test_start_date": "2017-01-01",
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"test_end_date": "2020-08-01",
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}
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if __name__ == "__main__":
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qlib.init()
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h = Alpha158(**data_handler_config)
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exampleDataHandler = Alpha158(**DATA_HANDLER_CONFIG)
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# get all the columns of the data
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print(h.get_cols())
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# example of 'get_split_data'
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x_train, y_train, x_validate, y_validate, x_test, y_test = exampleDataHandler.get_split_data(**TRAINER_CONFIG)
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# fetch all the labels
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print(h.fetch(col_set="label"))
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# example of 'get_rolling_data'
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for (x_train, y_train, x_validate, y_validate, x_test, y_test) in exampleDataHandler.get_rolling_data(**TRAINER_CONFIG):
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print(x_train, y_train, x_validate, y_validate, x_test, y_test)
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.. 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>`_.
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Also, the above example has been given in ``examples.estimator.train_backtest_analyze.ipynb``.
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# fetch all the features
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print(h.fetch(col_set="feature"))
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API
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---------
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To know more about ``Data Handler``, please refer to `Data Handler API <../reference/api.html#module-qlib.data.dataset.handler>`_.
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Dataset
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=================
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The ``Dataset`` module in ``Qlib`` aims to prepare data for model training and inferencing.
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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.
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The ``DatasetH`` class is the `dataset` with `Data Handler`. Here is the most important interface of the class:
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- `prepare(segments: Union[List[str], Tuple[str], str, slice], col_set=DataHandler.CS_ALL, data_key=DataHandlerLP.DK_I, **kwargs)`
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- This method prepares the data for learning and inference.
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- Parameters:
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- `segments` : Union[List[str], Tuple[str], str, slice]
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Describe the scope of the data to be prepared
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Here are some examples:
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- 'train'
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- ['train', 'valid']
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- `col_set` : str
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The col_set will be passed to self._handler when fetching data.
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- `data_key` : str
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The data to fetch: DK_*
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Default is DK_I, which indicate fetching data for **inference**.
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API
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---------
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To know more about ``Dataset``, please refer to `Dataset API <../reference/api.html#module-qlib.data.dataset.__init__>`_.
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Cache
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==========
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