Migrate backtest logic from NT (#1263)

* Backtest migration

* Minor bug fix in test

* Reorganize file to avoid loop import

* Fix test SAOE bug

* Remove unnecessary names

* Resolve PR comments; remove private classes;

* Fix CI error

* Resolve PR comments

* Refactor data interfaces

* Remove convert_instance_config and change config

* Pylint issue

* Pylint issue

* Fix tempfile warning

* Resolve PR comments

* Add more comments

qlib/rl/contrib/naive_config_parser.py

@@ -0,0 +1,103 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import os
+import platform
+import shutil
+import sys
+import tempfile
+from importlib import import_module
+
+import yaml
+
+
+def merge_a_into_b(a: dict, b: dict) -> dict:
+    b = b.copy()
+    for k, v in a.items():
+        if isinstance(v, dict) and k in b:
+            v.pop("_delete_", False)  # TODO: make this more elegant
+            b[k] = merge_a_into_b(v, b[k])
+        else:
+            b[k] = v
+    return b
+
+
+def check_file_exist(filename: str, msg_tmpl: str = 'file "{}" does not exist') -> None:
+    if not os.path.isfile(filename):
+        raise FileNotFoundError(msg_tmpl.format(filename))
+
+
+def parse_backtest_config(path: str) -> dict:
+    abs_path = os.path.abspath(path)
+    check_file_exist(abs_path)
+
+    file_ext_name = os.path.splitext(abs_path)[1]
+    if file_ext_name not in (".py", ".json", ".yaml", ".yml"):
+        raise IOError("Only py/yml/yaml/json type are supported now!")
+
+    with tempfile.TemporaryDirectory() as tmp_config_dir:
+        with tempfile.NamedTemporaryFile(dir=tmp_config_dir, suffix=file_ext_name) as tmp_config_file:
+            if platform.system() == "Windows":
+                tmp_config_file.close()
+
+            tmp_config_name = os.path.basename(tmp_config_file.name)
+            shutil.copyfile(abs_path, tmp_config_file.name)
+
+            if abs_path.endswith(".py"):
+                tmp_module_name = os.path.splitext(tmp_config_name)[0]
+                sys.path.insert(0, tmp_config_dir)
+                module = import_module(tmp_module_name)
+                sys.path.pop(0)
+
+                config = {k: v for k, v in module.__dict__.items() if not k.startswith("__")}
+
+                del sys.modules[tmp_module_name]
+            else:
+                config = yaml.safe_load(open(tmp_config_file.name))
+
+    if "_base_" in config:
+        base_file_name = config.pop("_base_")
+        if not isinstance(base_file_name, list):
+            base_file_name = [base_file_name]
+
+        for f in base_file_name:
+            base_config = parse_backtest_config(os.path.join(os.path.dirname(abs_path), f))
+            config = merge_a_into_b(a=config, b=base_config)
+
+    return config
+
+
+def _convert_all_list_to_tuple(config: dict) -> dict:
+    for k, v in config.items():
+        if isinstance(v, list):
+            config[k] = tuple(v)
+        elif isinstance(v, dict):
+            config[k] = _convert_all_list_to_tuple(v)
+    return config
+
+
+def get_backtest_config_fromfile(path: str) -> dict:
+    backtest_config = parse_backtest_config(path)
+
+    exchange_config_default = {
+        "open_cost": 0.0005,
+        "close_cost": 0.0015,
+        "min_cost": 5.0,
+        "trade_unit": 100.0,
+        "cash_limit": None,
+        "generate_report": False,
+    }
+    backtest_config["exchange"] = merge_a_into_b(a=backtest_config["exchange"], b=exchange_config_default)
+    backtest_config["exchange"] = _convert_all_list_to_tuple(backtest_config["exchange"])
+
+    backtest_config_default = {
+        "debug_single_stock": None,
+        "debug_single_day": None,
+        "concurrency": -1,
+        "multiplier": 1.0,
+        "output_dir": "outputs/",
+        # "runtime": {},
+    }
+    backtest_config = merge_a_into_b(a=backtest_config, b=backtest_config_default)
+
+    return backtest_config