add test/config.py

qlib/tests/__init__.py

@@ -1,6 +1,4 @@
-import sys
 import unittest
-from ..utils import exists_qlib_data
 from .data import GetData
 from .. import init
 from ..config import REG_CN
@@ -14,14 +12,12 @@ class TestAutoData(unittest.TestCase):
     @classmethod
     def setUpClass(cls) -> None:
         # use default data
-        if not exists_qlib_data(cls.provider_uri):
-            print(f"Qlib data is not found in {cls.provider_uri}")
 
-            GetData().qlib_data(
-                name="qlib_data_simple",
-                region="cn",
-                interval="1d",
-                target_dir=cls.provider_uri,
-                delete_old=False,
-            )
+        GetData().qlib_data(
+            name="qlib_data_simple",
+            region=REG_CN,
+            interval="1d",
+            target_dir=cls.provider_uri,
+            delete_old=False,
+        )
         init(provider_uri=cls.provider_uri, region=REG_CN, **cls._setup_kwargs)

qlib/tests/config.py

@@ -0,0 +1,108 @@
+#  Copyright (c) Microsoft Corporation.
+#  Licensed under the MIT License.
+
+CSI300_MARKET = "csi300"
+CSI100_MARKET = "csi100"
+
+CSI300_BENCH = "SH000300"
+
+DATASET_ALPHA158_CLASS = "Alpha158"
+DATASET_ALPHA360_CLASS = "Alpha360"
+
+###################################
+# config
+###################################
+
+
+GBDT_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,
+    },
+}
+
+
+RECORD_CONFIG = [
+    {
+        "class": "SignalRecord",
+        "module_path": "qlib.workflow.record_temp",
+    },
+    {
+        "class": "SigAnaRecord",
+        "module_path": "qlib.workflow.record_temp",
+    },
+]
+
+
+def get_data_handler_config(market=CSI300_MARKET):
+    return {
+        "start_time": "2008-01-01",
+        "end_time": "2020-08-01",
+        "fit_start_time": "2008-01-01",
+        "fit_end_time": "2014-12-31",
+        "instruments": market,
+    }
+
+
+def get_dataset_config(market=CSI300_MARKET, dataset_class=DATASET_ALPHA158_CLASS):
+    return {
+        "class": "DatasetH",
+        "module_path": "qlib.data.dataset",
+        "kwargs": {
+            "handler": {
+                "class": dataset_class,
+                "module_path": "qlib.contrib.data.handler",
+                "kwargs": get_data_handler_config(market),
+            },
+            "segments": {
+                "train": ("2008-01-01", "2014-12-31"),
+                "valid": ("2015-01-01", "2016-12-31"),
+                "test": ("2017-01-01", "2020-08-01"),
+            },
+        },
+    }
+
+
+def get_gbdt_task(market=CSI300_MARKET):
+    return {
+        "model": GBDT_MODEL,
+        "dataset": get_dataset_config(market),
+    }
+
+
+def get_record_lgb_config(market=CSI300_MARKET):
+    return {
+        "model": {
+            "class": "LGBModel",
+            "module_path": "qlib.contrib.model.gbdt",
+        },
+        "dataset": get_dataset_config(market),
+        "record": RECORD_CONFIG,
+    }
+
+
+def get_record_xgboost_config(market=CSI300_MARKET):
+    return {
+        "model": {
+            "class": "XGBModel",
+            "module_path": "qlib.contrib.model.xgboost",
+        },
+        "dataset": get_dataset_config(market),
+        "record": RECORD_CONFIG,
+    }
+
+
+CSI300_DATASET_CONFIG = get_dataset_config(market=CSI300_MARKET)
+CSI300_GBDT_TASK = get_gbdt_task(market=CSI300_MARKET)
+
+CSI100_RECORD_XGBOOST_TASK_CONFIG = get_record_xgboost_config(market=CSI100_MARKET)
+CSI100_RECORD_LGB_TASK_CONFIG = get_record_lgb_config(market=CSI100_MARKET)

qlib/tests/data.py

@@ -10,6 +10,7 @@ import datetime
 from tqdm import tqdm
 from pathlib import Path
 from loguru import logger
+from qlib.utils import exists_qlib_data
 
 
 class GetData:
@@ -112,6 +113,7 @@ class GetData:
         interval="1d",
         region="cn",
         delete_old=True,
+        exists_skip=True,
     ):
         """download cn qlib data from remote
 
@@ -129,6 +131,8 @@ class GetData:
             data region, value from [cn, us], by default cn
         delete_old: bool
             delete an existing directory, by default True
+        exists_skip: bool
+            exists skip, by default True
 
         Examples
         ---------
@@ -140,6 +144,9 @@ class GetData:
         -------
 
         """
+        if exists_skip and exists_qlib_data(target_dir):
+            return
+
         qlib_version = ".".join(re.findall(r"(\d+)\.+", qlib.__version__))
 
         def _get_file_name(v):