Optimize the implementation of uri & Fix async log bug (#1364)

* Optimize the implementation of uri

* remove redundant func

* Set the right order of _set_client_uri

* Update qlib/workflow/expm.py

* Simplify client & add test.Add docs; Fix async bug

* Fix comments & pylint

* Improve README

tests/dependency_tests/README.md

@@ -0,0 +1,3 @@
+Some implementations of Qlib depend on some assumptions of its dependencies.
+
+So some tests are requried to ensure that these assumptions are valid.

tests/dependency_tests/test_mlflow.py

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+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+import unittest
+import mlflow
+import time
+from pathlib import Path
+import shutil
+
+
+class MLflowTest(unittest.TestCase):
+    TMP_PATH = Path("./.mlruns_tmp/")
+
+    def tearDown(self) -> None:
+        if self.TMP_PATH.exists():
+            shutil.rmtree(self.TMP_PATH)
+
+    def test_creating_client(self):
+        """
+        Please refer to qlib/workflow/expm.py:MLflowExpManager._client
+        we don't cache _client (this is helpful to reduce maintainance work when MLflowExpManager's uri is chagned)
+
+        This implementation is based on the assumption creating a client is fast
+        """
+        start = time.time()
+        for i in range(10):
+            _ = mlflow.tracking.MlflowClient(tracking_uri=str(self.TMP_PATH))
+        end = time.time()
+        elasped = end - start
+        self.assertLess(elasped, 1e-2)  # it can be done in less than 10ms
+        print(elasped)
+
+
+if __name__ == "__main__":
+    unittest.main()