handler demo cache (#606)

* handler demo  cache

* Update data_cache_demo.py

* example to reusing processed data in memory

* Skip dumping task of task_train

* FIX Black

Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com>

examples/data_demo/README.md

@@ -0,0 +1,2 @@
+# Introduction
+The examples in this folder try to demonstrate some common usage of data-related modules of Qlib

examples/data_demo/data_cache_demo.py

@@ -0,0 +1,53 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+"""
+    The motivation of this demo
+    - To show the data modules of Qlib is Serializable, users can dump processed data to disk to avoid duplicated data preprocessing
+"""
+
+from copy import deepcopy
+from pathlib import Path
+import pickle
+from pprint import pprint
+import subprocess
+import yaml
+from qlib.log import TimeInspector
+
+from qlib import init
+from qlib.data.dataset.handler import DataHandlerLP
+from qlib.utils import init_instance_by_config
+
+# For general purpose, we use relative path
+DIRNAME = Path(__file__).absolute().resolve().parent
+
+if __name__ == "__main__":
+    init()
+
+    config_path = DIRNAME.parent / "benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml"
+
+    # 1) show original time
+    with TimeInspector.logt("The original time without handler cache:"):
+        subprocess.run(f"qrun {config_path}", shell=True)
+
+    # 2) dump handler
+    task_config = yaml.safe_load(config_path.open())
+    hd_conf = task_config["task"]["dataset"]["kwargs"]["handler"]
+    pprint(hd_conf)
+    hd: DataHandlerLP = init_instance_by_config(hd_conf)
+    hd_path = DIRNAME / "handler.pkl"
+    hd.to_pickle(hd_path, dump_all=True)
+
+    # 3) create new task with handler cache
+    new_task_config = deepcopy(task_config)
+    new_task_config["task"]["dataset"]["kwargs"]["handler"] = f"file://{hd_path}"
+    new_task_config
+    new_task_path = DIRNAME / "new_task.yaml"
+    print("The location of the new task", new_task_path)
+
+    # save new task
+    with new_task_path.open("w") as f:
+        yaml.safe_dump(new_task_config, f)
+
+    # 4) train model with new task
+    with TimeInspector.logt("The time for task with handler cache:"):
+        subprocess.run(f"qrun {new_task_path}", shell=True)

examples/data_demo/data_mem_resuse_demo.py

@@ -0,0 +1,59 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+"""
+    The motivation of this demo
+    - To show the data modules of Qlib is Serializable, users can dump processed data to disk to avoid duplicated data preprocessing
+"""
+
+from copy import deepcopy
+from pathlib import Path
+import pickle
+from pprint import pprint
+import subprocess
+
+import yaml
+
+from qlib import init
+from qlib.data.dataset.handler import DataHandlerLP
+from qlib.log import TimeInspector
+from qlib.model.trainer import task_train
+from qlib.utils import init_instance_by_config
+
+# For general purpose, we use relative path
+DIRNAME = Path(__file__).absolute().resolve().parent
+
+if __name__ == "__main__":
+    init()
+
+    repeat = 2
+    exp_name = "data_mem_reuse_demo"
+
+    config_path = DIRNAME.parent / "benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml"
+    task_config = yaml.safe_load(config_path.open())
+
+    # 1) without using processed data in memory
+    with TimeInspector.logt("The original time without reusing processed data in memory:"):
+        for i in range(repeat):
+            task_train(task_config["task"], experiment_name=exp_name)
+
+    # 2) prepare processed data in memory.
+    hd_conf = task_config["task"]["dataset"]["kwargs"]["handler"]
+    pprint(hd_conf)
+    hd: DataHandlerLP = init_instance_by_config(hd_conf)
+
+    # 3) with reusing processed data in memory
+    new_task = deepcopy(task_config["task"])
+    new_task["dataset"]["kwargs"]["handler"] = hd
+    print(new_task)
+
+    with TimeInspector.logt("The time with reusing processed data in memory:"):
+        # this will save the time to reload and process data from disk(in `DataHandlerLP`)
+        # It still takes a lot of time in the backtest phase
+        for i in range(repeat):
+            task_train(new_task, experiment_name=exp_name)
+
+    # 4) User can change other parts exclude processed data in memory(handler)
+    new_task = deepcopy(task_config["task"])
+    new_task["dataset"]["kwargs"]["segments"]["train"] = ("20100101", "20131231")
+    with TimeInspector.logt("The time with reusing processed data in memory:"):
+        task_train(new_task, experiment_name=exp_name)

qlib/model/trainer.py

@@ -16,6 +16,7 @@ import time
 import re
 from typing import Callable, List
 
+from tqdm.auto import tqdm
 from qlib.data.dataset import Dataset
 from qlib.log import get_module_logger
 from qlib.model.base import Model
@@ -25,6 +26,48 @@ from qlib.workflow.record_temp import SignalRecord
 from qlib.workflow.recorder import Recorder
 from qlib.workflow.task.manage import TaskManager, run_task
 
+# from qlib.data.dataset.weight import Reweighter
+
+
+def _log_task_info(task_config: dict):
+    R.log_params(**flatten_dict(task_config))
+    R.save_objects(**{"task": task_config})  # keep the original format and datatype
+    R.set_tags(**{"hostname": socket.gethostname()})
+
+
+def _exe_task(task_config: dict):
+    rec = R.get_recorder()
+    # model & dataset initiation
+    model: Model = init_instance_by_config(task_config["model"])
+    dataset: Dataset = init_instance_by_config(task_config["dataset"])
+    # FIXME: resume reweighter after merging data selection
+    # reweighter: Reweighter = task_config.get("reweighter", None)
+    # model training
+    # auto_filter_kwargs(model.fit)(dataset, reweighter=reweighter)
+    model.fit(dataset)
+    R.save_objects(**{"params.pkl": model})
+    # this dataset is saved for online inference. So the concrete data should not be dumped
+    dataset.config(dump_all=False, recursive=True)
+    R.save_objects(**{"dataset": dataset})
+    # fill placehorder
+    placehorder_value = {"<MODEL>": model, "<DATASET>": dataset}
+    task_config = fill_placeholder(task_config, placehorder_value)
+    # generate records: prediction, backtest, and analysis
+    records = task_config.get("record", [])
+    if isinstance(records, dict):  # prevent only one dict
+        records = [records]
+    for record in records:
+        # Some recorder require the parameter `model` and `dataset`.
+        # try to automatically pass in them to the initialization function
+        # to make defining the tasking easier
+        r = init_instance_by_config(
+            record,
+            recorder=rec,
+            default_module="qlib.workflow.record_temp",
+            try_kwargs={"model": model, "dataset": dataset},
+        )
+        r.generate()
+
 
 def begin_task_train(task_config: dict, experiment_name: str, recorder_name: str = None) -> Recorder:
     """
@@ -39,11 +82,8 @@ def begin_task_train(task_config: dict, experiment_name: str, recorder_name: str
         Recorder: the model recorder
     """
     with R.start(experiment_name=experiment_name, recorder_name=recorder_name):
-        R.log_params(**flatten_dict(task_config))
-        R.save_objects(**{"task": task_config})  # keep the original format and datatype
-        R.set_tags(**{"hostname": socket.gethostname()})
-        recorder: Recorder = R.get_recorder()
-    return recorder
+        _log_task_info(task_config)
+        return R.get_recorder()
 
 
 def fill_placeholder(config: dict, config_extend: dict):
@@ -100,38 +140,11 @@ def end_task_train(rec: Recorder, experiment_name: str) -> Recorder:
     """
     with R.start(experiment_name=experiment_name, recorder_id=rec.info["id"], resume=True):
         task_config = R.load_object("task")
-        # model & dataset initiation
-        model: Model = init_instance_by_config(task_config["model"])
-        dataset: Dataset = init_instance_by_config(task_config["dataset"])
-        # model training
-        model.fit(dataset)
-        R.save_objects(**{"params.pkl": model})
-        # this dataset is saved for online inference. So the concrete data should not be dumped
-        dataset.config(dump_all=False, recursive=True)
-        R.save_objects(**{"dataset": dataset})
-        # fill placehorder
-        placehorder_value = {"<MODEL>": model, "<DATASET>": dataset}
-        task_config = fill_placeholder(task_config, placehorder_value)
-        # generate records: prediction, backtest, and analysis
-        records = task_config.get("record", [])
-        if isinstance(records, dict):  # uniform the data format to list
-            records = [records]
-
-        for record in records:
-            # Some recorder require the parameter `model` and `dataset`.
-            # try to automatically pass in them to the initialization function
-            # to make defining the tasking easier
-            r = init_instance_by_config(
-                record,
-                recorder=rec,
-                default_module="qlib.workflow.record_temp",
-                try_kwargs={"model": model, "dataset": dataset},
-            )
-            r.generate()
+        _exe_task(task_config)
     return rec
 
 
-def task_train(task_config: dict, experiment_name: str) -> Recorder:
+def task_train(task_config: dict, experiment_name: str, recorder_name: str = None) -> Recorder:
     """
     Task based training, will be divided into two steps.
 
@@ -141,14 +154,17 @@ def task_train(task_config: dict, experiment_name: str) -> Recorder:
         The config of a task.
     experiment_name: str
         The name of experiment
+    recorder_name: str
+        The name of recorder
 
     Returns
     ----------
     Recorder: The instance of the recorder
     """
-    recorder = begin_task_train(task_config, experiment_name)
-    recorder = end_task_train(recorder, experiment_name)
-    return recorder
+    with R.start(experiment_name=experiment_name, recorder_name=recorder_name):
+        _log_task_info(task_config)
+        _exe_task(task_config)
+        return R.get_recorder()
 
 
 class Trainer:
@@ -204,6 +220,30 @@ class Trainer:
     def __call__(self, *args, **kwargs) -> list:
         return self.end_train(self.train(*args, **kwargs))
 
+    def has_worker(self) -> bool:
+        """
+        Some trainer has backend worker to support parallel training
+        This method can tell if the worker is enabled.
+
+        Returns
+        -------
+        bool:
+            if the worker is enabled
+
+        """
+        return False
+
+    def worker(self):
+        """
+        start the worker
+
+        Raises
+        ------
+        NotImplementedError:
+            If the worker is not supported
+        """
+        raise NotImplementedError(f"Please implement the `worker` method")
+
 
 class TrainerR(Trainer):
     """
@@ -252,7 +292,7 @@ class TrainerR(Trainer):
         if experiment_name is None:
             experiment_name = self.experiment_name
         recs = []
-        for task in tasks:
+        for task in tqdm(tasks):
             rec = train_func(task, experiment_name, **kwargs)
             rec.set_tags(**{self.STATUS_KEY: self.STATUS_BEGIN})
             recs.append(rec)
@@ -457,6 +497,9 @@ class TrainerRM(Trainer):
             task_pool = experiment_name
         run_task(train_func, task_pool=task_pool, experiment_name=experiment_name)
 
+    def has_worker(self) -> bool:
+        return True
+
 
 class DelayTrainerRM(TrainerRM):
     """
@@ -579,3 +622,6 @@ class DelayTrainerRM(TrainerRM):
             experiment_name=experiment_name,
             before_status=TaskManager.STATUS_PART_DONE,
         )
+
+    def has_worker(self) -> bool:
+        return True