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modify tests.config.py

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lzh222333
2021-06-01 09:40:53 +00:00
parent 231bdf8608
commit 8d05cd2daf
3 changed files with 138 additions and 26 deletions
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64
examples/online_srv/online_management_simulate.py
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@@ -5,6 +5,7 @@
This example is about how can simulate the OnlineManager based on rolling tasks. This example is about how can simulate the OnlineManager based on rolling tasks.
""" """
from pprint import pprint
import fire import fire
import qlib import qlib
from qlib.model.trainer import DelayTrainerR, DelayTrainerRM, TrainerR, TrainerRM from qlib.model.trainer import DelayTrainerR, DelayTrainerRM, TrainerR, TrainerRM
@@ -13,7 +14,63 @@ from qlib.workflow.online.manager import OnlineManager
from qlib.workflow.online.strategy import RollingStrategy from qlib.workflow.online.strategy import RollingStrategy
from qlib.workflow.task.gen import RollingGen from qlib.workflow.task.gen import RollingGen
from qlib.workflow.task.manage import TaskManager from qlib.workflow.task.manage import TaskManager
from qlib.tests.config import CSI100_RECORD_LGB_TASK_CONFIG, CSI100_RECORD_XGBOOST_TASK_CONFIG from qlib.tests.config import CSI100_RECORD_LGB_TASK_CONFIG_ONLINE, CSI100_RECORD_XGBOOST_TASK_CONFIG_ONLINE
data_handler_config = {
"start_time": "2018-01-01",
"end_time": "2018-10-31",
"fit_start_time": "2018-01-01",
"fit_end_time": "2018-03-31",
"instruments": "csi100",
}
dataset_config = {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": data_handler_config,
},
"segments": {
"train": ("2018-01-01", "2018-03-31"),
"valid": ("2018-04-01", "2018-05-31"),
"test": ("2018-06-01", "2018-09-10"),
},
},
}
record_config = [
{
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
},
{
"class": "SigAnaRecord",
"module_path": "qlib.workflow.record_temp",
},
]
# use lgb model
task_lgb_config = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
},
"dataset": dataset_config,
"record": record_config,
}
# use xgboost model
task_xgboost_config = {
"model": {
"class": "XGBModel",
"module_path": "qlib.contrib.model.xgboost",
},
"dataset": dataset_config,
"record": record_config,
}
class OnlineSimulationExample: class OnlineSimulationExample:
@@ -46,7 +103,10 @@ class OnlineSimulationExample:
tasks (dict or list[dict]): a set of the task config waiting for rolling and training tasks (dict or list[dict]): a set of the task config waiting for rolling and training
""" """
if tasks is None: if tasks is None:
tasks = [CSI100_RECORD_XGBOOST_TASK_CONFIG, CSI100_RECORD_LGB_TASK_CONFIG] #tasks = [CSI100_RECORD_XGBOOST_TASK_CONFIG_ONLINE, CSI100_RECORD_LGB_TASK_CONFIG_ONLINE]
tasks = [task_xgboost_config, task_lgb_config]
#pprint(CSI100_RECORD_XGBOOST_TASK_CONFIG_ONLINE)
#pprint(task_xgboost_config)
self.exp_name = exp_name self.exp_name = exp_name
self.task_pool = task_pool self.task_pool = task_pool
self.start_time = start_time self.start_time = start_time

6
examples/online_srv/rolling_online_management.py
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@@ -18,7 +18,7 @@ from qlib.workflow import R
from qlib.workflow.online.strategy import RollingStrategy from qlib.workflow.online.strategy import RollingStrategy
from qlib.workflow.task.gen import RollingGen from qlib.workflow.task.gen import RollingGen
from qlib.workflow.online.manager import OnlineManager from qlib.workflow.online.manager import OnlineManager
from qlib.tests.config import CSI100_RECORD_XGBOOST_TASK_CONFIG, CSI100_RECORD_LGB_TASK_CONFIG from qlib.tests.config import CSI100_RECORD_XGBOOST_TASK_CONFIG_ROLLING, CSI100_RECORD_LGB_TASK_CONFIG_ROLLING
class RollingOnlineExample: class RollingOnlineExample:
@@ -34,9 +34,9 @@ class RollingOnlineExample:
add_tasks=None, add_tasks=None,
): ):
if add_tasks is None: if add_tasks is None:
add_tasks = [CSI100_RECORD_LGB_TASK_CONFIG] add_tasks = [CSI100_RECORD_LGB_TASK_CONFIG_ROLLING]
if tasks is None: if tasks is None:
tasks = [CSI100_RECORD_XGBOOST_TASK_CONFIG] tasks = [CSI100_RECORD_XGBOOST_TASK_CONFIG_ROLLING]
mongo_conf = { mongo_conf = {
"task_url": task_url, # your MongoDB url "task_url": task_url, # your MongoDB url
"task_db_name": task_db_name, # database name "task_db_name": task_db_name, # database name

94
qlib/tests/config.py
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@@ -43,17 +43,29 @@ RECORD_CONFIG = [
] ]
def get_data_handler_config(market=CSI300_MARKET): def get_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_MARKET,
):
return { return {
"start_time": "2008-01-01", "start_time": start_time,
"end_time": "2020-08-01", "end_time": end_time,
"fit_start_time": "2008-01-01", "fit_start_time": fit_start_time,
"fit_end_time": "2014-12-31", "fit_end_time": fit_end_time,
"instruments": market, "instruments": instruments,
} }
def get_dataset_config(market=CSI300_MARKET, dataset_class=DATASET_ALPHA158_CLASS): def get_dataset_config(
dataset_class=DATASET_ALPHA158_CLASS,
train=("2008-01-01", "2014-12-31"),
valid=("2015-01-01", "2016-12-31"),
test=("2017-01-01", "2020-08-01"),
handler_kwargs={"instruments": CSI300_MARKET},
):
return { return {
"class": "DatasetH", "class": "DatasetH",
"module_path": "qlib.data.dataset", "module_path": "qlib.data.dataset",
@@ -61,48 +73,88 @@ def get_dataset_config(market=CSI300_MARKET, dataset_class=DATASET_ALPHA158_CLAS
"handler": { "handler": {
"class": dataset_class, "class": dataset_class,
"module_path": "qlib.contrib.data.handler", "module_path": "qlib.contrib.data.handler",
"kwargs": get_data_handler_config(market), "kwargs": get_data_handler_config(**handler_kwargs),
}, },
"segments": { "segments": {
"train": ("2008-01-01", "2014-12-31"), "train": train,
"valid": ("2015-01-01", "2016-12-31"), "valid": valid,
"test": ("2017-01-01", "2020-08-01"), "test": test,
}, },
}, },
} }
def get_gbdt_task(market=CSI300_MARKET): def get_gbdt_task(dataset_kwargs={}, handler_kwargs={"instruments": CSI300_MARKET}):
return { return {
"model": GBDT_MODEL, "model": GBDT_MODEL,
"dataset": get_dataset_config(market), "dataset": get_dataset_config(**dataset_kwargs, handler_kwargs=handler_kwargs),
} }
def get_record_lgb_config(market=CSI300_MARKET): def get_record_lgb_config(dataset_kwargs={}, handler_kwargs={"instruments": CSI300_MARKET}):
return { return {
"model": { "model": {
"class": "LGBModel", "class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt", "module_path": "qlib.contrib.model.gbdt",
}, },
"dataset": get_dataset_config(market), "dataset": get_dataset_config(**dataset_kwargs, handler_kwargs=handler_kwargs),
"record": RECORD_CONFIG, "record": RECORD_CONFIG,
} }
def get_record_xgboost_config(market=CSI300_MARKET): def get_record_xgboost_config(dataset_kwargs={}, handler_kwargs={"instruments": CSI300_MARKET}):
return { return {
"model": { "model": {
"class": "XGBModel", "class": "XGBModel",
"module_path": "qlib.contrib.model.xgboost", "module_path": "qlib.contrib.model.xgboost",
}, },
"dataset": get_dataset_config(market), "dataset": get_dataset_config(**dataset_kwargs, handler_kwargs=handler_kwargs),
"record": RECORD_CONFIG, "record": RECORD_CONFIG,
} }
CSI300_DATASET_CONFIG = get_dataset_config(market=CSI300_MARKET) CSI300_DATASET_CONFIG = get_dataset_config(handler_kwargs={"instruments": CSI300_MARKET})
CSI300_GBDT_TASK = get_gbdt_task(market=CSI300_MARKET) CSI300_GBDT_TASK = get_gbdt_task(handler_kwargs={"instruments": CSI300_MARKET})
CSI100_RECORD_XGBOOST_TASK_CONFIG = get_record_xgboost_config(market=CSI100_MARKET) CSI100_RECORD_XGBOOST_TASK_CONFIG = get_record_xgboost_config(handler_kwargs={"instruments": CSI100_MARKET})
CSI100_RECORD_LGB_TASK_CONFIG = get_record_lgb_config(market=CSI100_MARKET) CSI100_RECORD_LGB_TASK_CONFIG = get_record_lgb_config(handler_kwargs={"instruments": CSI100_MARKET})
# use for rolling_online_managment.py
ROLLING_HANDLER_CONFIG = {
"start_time": "2013-01-01",
"end_time": "2020-09-25",
"fit_start_time": "2013-01-01",
"fit_end_time": "2014-12-31",
"instruments": CSI100_MARKET,
}
ROLLING_DATASET_CONFIG = {
"train": ("2013-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2015-12-31"),
"test": ("2016-01-01", "2020-07-10"),
}
CSI100_RECORD_XGBOOST_TASK_CONFIG_ROLLING = get_record_xgboost_config(
dataset_kwargs=ROLLING_DATASET_CONFIG, handler_kwargs=ROLLING_HANDLER_CONFIG
)
CSI100_RECORD_LGB_TASK_CONFIG_ROLLING = get_record_lgb_config(
dataset_kwargs=ROLLING_DATASET_CONFIG, handler_kwargs=ROLLING_HANDLER_CONFIG
)
# use for online_management_simulate.py
ONLINE_HANDLER_CONFIG = {
"start_time": "2018-01-01",
"end_time": "2018-10-31",
"fit_start_time": "2018-01-01",
"fit_end_time": "2018-03-31",
"instruments": CSI100_MARKET,
}
ONLINE_DATASET_CONFIG = {
"train": ("2018-01-01", "2018-03-31"),
"valid": ("2018-04-01", "2018-05-31"),
"test": ("2018-06-01", "2018-09-10"),
}
CSI100_RECORD_XGBOOST_TASK_CONFIG_ONLINE = get_record_xgboost_config(
dataset_kwargs=ONLINE_DATASET_CONFIG, handler_kwargs=ONLINE_HANDLER_CONFIG
)
CSI100_RECORD_LGB_TASK_CONFIG_ONLINE = get_record_lgb_config(
dataset_kwargs=ONLINE_DATASET_CONFIG, handler_kwargs=ONLINE_HANDLER_CONFIG
)