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bug fixed & examples fire

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This commit is contained in:
lzh222333
2021-04-07 03:33:27 +00:00
parent 431a9c92c1
commit cb42e99bee
10 changed files with 250 additions and 232 deletions
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18
examples/model_rolling/task_manager_rolling.py
View File

@@ -97,8 +97,8 @@ def task_generating():
def task_training(tasks, task_pool, exp_name): def task_training(tasks, task_pool, exp_name):
trainer = TrainerRM() trainer = TrainerRM(exp_name, task_pool)
trainer.train(tasks, exp_name, task_pool) trainer.train(tasks)
# This part corresponds to "Task Collecting" in the document # This part corresponds to "Task Collecting" in the document
@@ -119,7 +119,7 @@ def task_collecting(task_pool, exp_name):
return False return False
artifact = ens_workflow( artifact = ens_workflow(
RecorderCollector(exp_name=exp_name, rec_key_func=rec_key), RollingGroup(), rec_filter_func=my_filter RecorderCollector(exp_name=exp_name, rec_key_func=rec_key, rec_filter_func=my_filter), RollingGroup(),
) )
print(artifact) print(artifact)
@@ -128,7 +128,7 @@ def main(
provider_uri="~/.qlib/qlib_data/cn_data", provider_uri="~/.qlib/qlib_data/cn_data",
task_url="mongodb://10.0.0.4:27017/", task_url="mongodb://10.0.0.4:27017/",
task_db_name="rolling_db", task_db_name="rolling_db",
exp_name="rolling_exp", experiment_name="rolling_exp",
task_pool="rolling_task", task_pool="rolling_task",
): ):
mongo_conf = { mongo_conf = {
@@ -137,11 +137,13 @@ def main(
} }
qlib.init(provider_uri=provider_uri, region=REG_CN, mongo=mongo_conf) qlib.init(provider_uri=provider_uri, region=REG_CN, mongo=mongo_conf)
# reset(task_pool, exp_name) reset(task_pool, experiment_name)
# tasks = task_generating() tasks = task_generating()
# task_training(tasks, task_pool, exp_name) task_training(tasks, task_pool, experiment_name)
task_collecting(task_pool, exp_name) task_collecting(task_pool, experiment_name)
if __name__ == "__main__": if __name__ == "__main__":
## to see the whole process with your own parameters, use the command below
# python update_online_pred.py main --experiment_name="your_exp_name"
fire.Fire() fire.Fire()

166
examples/online_srv/task_manager_rolling_with_updating.py
View File

@@ -70,89 +70,106 @@ task_xgboost_config = {
"record": record_config, "record": record_config,
} }
class RollingOnlineExample:
def print_online_model(): def __init__(self, exp_name="rolling_exp", task_pool="rolling_task", provider_uri="~/.qlib/qlib_data/cn_data", region="cn", task_url="mongodb://10.0.0.4:27017/", task_db_name="rolling_db", rolling_step=550):
print("========== print_online_model ==========") self.exp_name = exp_name
print("Current 'online' model:") self.task_pool = task_pool
for rid, rec in list_recorders(exp_name).items(): mongo_conf = {
if rolling_online_manager.get_online_tag(rec) == rolling_online_manager.ONLINE_TAG: "task_url": task_url, # your MongoDB url
print(rid) "task_db_name": task_db_name, # database name
print("Current 'next online' model:") }
for rid, rec in list_recorders(exp_name).items(): qlib.init(provider_uri=provider_uri, region=region, mongo=mongo_conf)
if rolling_online_manager.get_online_tag(rec) == rolling_online_manager.NEXT_ONLINE_TAG:
print(rid) self.rolling_gen = RollingGen(step=rolling_step, rtype=RollingGen.ROLL_SD)
self.trainer = TrainerRM(self.exp_name, self.task_pool)
self.task_manager = TaskManager(self.task_pool)
self.rolling_online_manager = RollingOnlineManager(experiment_name=exp_name, rolling_gen=self.rolling_gen, trainer=self.trainer)
def print_online_model(self):
print("========== print_online_model ==========")
print("Current 'online' model:")
for rid, rec in list_recorders(self.exp_name).items():
if self.rolling_online_manager.get_online_tag(rec) == self.rolling_online_manager.ONLINE_TAG:
print(rid)
print("Current 'next online' model:")
for rid, rec in list_recorders(self.exp_name).items():
if self.rolling_online_manager.get_online_tag(rec) == self.rolling_online_manager.NEXT_ONLINE_TAG:
print(rid)
# This part corresponds to "Task Generating" in the document # This part corresponds to "Task Generating" in the document
def task_generating(): def task_generating(self):
print("========== task_generating ==========") print("========== task_generating ==========")
tasks = task_generator( tasks = task_generator(
tasks=[task_xgboost_config, task_lgb_config], tasks=[task_xgboost_config, task_lgb_config],
generators=rolling_gen, # generate different date segment generators=self.rolling_gen, # generate different date segment
) )
pprint(tasks) pprint(tasks)
return tasks return tasks
def task_training(tasks): def task_training(self, tasks):
trainer.train(tasks, exp_name, task_pool) self.trainer.train(tasks)
# This part corresponds to "Task Collecting" in the document # This part corresponds to "Task Collecting" in the document
def task_collecting(): def task_collecting(self):
print("========== task_collecting ==========") print("========== task_collecting ==========")
def rec_key(recorder): def rec_key(recorder):
task_config = recorder.load_object("task") task_config = recorder.load_object("task")
model_key = task_config["model"]["class"] model_key = task_config["model"]["class"]
rolling_key = task_config["dataset"]["kwargs"]["segments"]["test"] rolling_key = task_config["dataset"]["kwargs"]["segments"]["test"]
return model_key, rolling_key return model_key, rolling_key
def my_filter(recorder): def my_filter(recorder):
# only choose the results of "LGBModel" # only choose the results of "LGBModel"
model_key, rolling_key = rec_key(recorder) model_key, rolling_key = rec_key(recorder)
if model_key == "LGBModel": if model_key == "LGBModel":
return True return True
return False return False
artifact = ens_workflow( artifact = ens_workflow(
RecorderCollector(exp_name=exp_name, rec_key_func=rec_key), RollingGroup(), rec_filter_func=my_filter RecorderCollector(exp_name=self.exp_name, rec_key_func=rec_key, rec_filter_func=my_filter), RollingGroup()
) )
print(artifact) print(artifact)
# Reset all things to the first status, be careful to save important data # Reset all things to the first status, be careful to save important data
def reset(): def reset(self):
print("========== reset ==========") print("========== reset ==========")
task_manager.remove() self.task_manager.remove()
exp = R.get_exp(experiment_name=exp_name) exp = R.get_exp(experiment_name=self.exp_name)
for rid in exp.list_recorders(): for rid in exp.list_recorders():
exp.delete_recorder(rid) exp.delete_recorder(rid)
# Run this firstly to see the workflow in Task Management # Run this firstly to see the workflow in Task Management
def first_run(): def first_run(self):
print("========== first_run ==========") print("========== first_run ==========")
reset() self.reset()
tasks = task_generating() tasks = self.task_generating()
task_training(tasks) self.task_training(tasks)
task_collecting() self.task_collecting()
latest_rec, _ = rolling_online_manager.list_latest_recorders() latest_rec, _ = self.rolling_online_manager.list_latest_recorders()
rolling_online_manager.reset_online_tag(latest_rec.values()) self.rolling_online_manager.reset_online_tag(list(latest_rec.values()))
def routine(): def routine(self):
print("========== routine ==========") print("========== routine ==========")
print_online_model() self.print_online_model()
rolling_online_manager.routine() self.rolling_online_manager.routine()
print_online_model() self.print_online_model()
task_collecting() self.task_collecting()
if __name__ == "__main__": if __name__ == "__main__":
@@ -161,26 +178,7 @@ if __name__ == "__main__":
####### to update the models and predictions after the trading time, use the command below ####### to update the models and predictions after the trading time, use the command below
# python task_manager_rolling_with_updating.py after_day # python task_manager_rolling_with_updating.py after_day
#################### you need to finish the configurations below ######################### ####### to define your own parameters, use `--`
# python task_manager_rolling_with_updating.py first_run --exp_name='your_exp_name' --rolling_step=40
provider_uri = "~/.qlib/qlib_data/cn_data" # data_dir fire.Fire(RollingOnlineExample)
mongo_conf = {
"task_url": "mongodb://10.0.0.4:27017/", # your MongoDB url
"task_db_name": "rolling_db", # database name
}
qlib.init(provider_uri=provider_uri, region=REG_CN, mongo=mongo_conf)
exp_name = "rolling_exp" # experiment name, will be used as the experiment in MLflow
task_pool = "rolling_task" # task pool name, will be used as the document in MongoDB
rolling_step = 550
##########################################################################################
rolling_gen = RollingGen(step=rolling_step, rtype=RollingGen.ROLL_SD)
task_manager = TaskManager(task_pool=task_pool)
trainer = TrainerRM()
rolling_online_manager = RollingOnlineManager(
experiment_name=exp_name, rolling_gen=rolling_gen, task_manager=task_manager, trainer=trainer
)
fire.Fire()

14
examples/online_srv/update_online_pred.py
View File

@@ -54,10 +54,10 @@ task = {
def first_train(experiment_name="online_srv"): def first_train(experiment_name="online_srv"):
rid = task_train(task_config=task, experiment_name=experiment_name) rec = task_train(task_config=task, experiment_name=experiment_name)
online_manager = OnlineManagerR(experiment_name) online_manager = OnlineManagerR(experiment_name)
online_manager.reset_online_tag(rid) online_manager.reset_online_tag(rec)
def update_online_pred(experiment_name="online_srv"): def update_online_pred(experiment_name="online_srv"):
@@ -71,13 +71,17 @@ def update_online_pred(experiment_name="online_srv"):
online_manager.update_online_pred() online_manager.update_online_pred()
def main(provider_uri = "~/.qlib/qlib_data/cn_data", region=REG_CN, experiment_name="online_srv"):
provider_uri = "~/.qlib/qlib_data/cn_data" # target_dir
qlib.init(provider_uri=provider_uri, region=region)
first_train(experiment_name)
update_online_pred(experiment_name)
if __name__ == "__main__": if __name__ == "__main__":
## to train a model and set it to online model, use the command below ## to train a model and set it to online model, use the command below
# python update_online_pred.py first_train # python update_online_pred.py first_train
## to update online predictions once a day, use the command below ## to update online predictions once a day, use the command below
# python update_online_pred.py update_online_pred # python update_online_pred.py update_online_pred
## to see the whole process with your own parameters, use the command below
provider_uri = "~/.qlib/qlib_data/cn_data" # target_dir # python update_online_pred.py main --experiment_name="your_exp_name"
qlib.init(provider_uri=provider_uri, region=REG_CN)
fire.Fire() fire.Fire()

2
qlib/config.py
View File

@@ -147,7 +147,7 @@ _default_config = {
"mongo": { "mongo": {
"task_url": "mongodb://localhost:27017/", "task_url": "mongodb://localhost:27017/",
"task_db_name": "default_task_db", "task_db_name": "default_task_db",
} },
} }
MODE_CONF = { MODE_CONF = {

37
qlib/model/ens/ensemble.py
View File

@@ -3,9 +3,10 @@ from typing import Callable, Union
import pandas as pd import pandas as pd
from qlib.workflow.task.collect import Collector from qlib.workflow.task.collect import Collector
from qlib.utils.serial import Serializable
def ens_workflow(collector: Collector, process_list, artifacts_key=None, rec_filter_func=None, *args, **kwargs): def ens_workflow(collector: Collector, process_list, *args, **kwargs):
"""the ensemble workflow based on collector and different dict processors. """the ensemble workflow based on collector and different dict processors.
Args: Args:
@@ -21,7 +22,7 @@ def ens_workflow(collector: Collector, process_list, artifacts_key=None, rec_fil
Returns: Returns:
dict: the ensemble dict dict: the ensemble dict
""" """
collect_dict = collector.collect(artifacts_key=artifacts_key, rec_filter_func=rec_filter_func) collect_dict = collector.collect()
if not isinstance(process_list, list): if not isinstance(process_list, list):
process_list = [process_list] process_list = [process_list]
@@ -37,23 +38,12 @@ def ens_workflow(collector: Collector, process_list, artifacts_key=None, rec_fil
return ensemble return ensemble
class Ensemble: class Ensemble(Serializable):
"""Merge the objects in an Ensemble.""" """Merge the objects in an Ensemble."""
def __init__(self, merge_func=None):
"""init Ensemble
Args:
merge_func (Callable, optional): Given a dict and return the ensemble.
For example: {Rollinga_b: object, Rollingb_c: object} -> object
Defaults to None.
"""
self._merge = merge_func
def __call__(self, ensemble_dict: dict, *args, **kwargs): def __call__(self, ensemble_dict: dict, *args, **kwargs):
"""Merge the ensemble_dict into an ensemble object. """Merge the ensemble_dict into an ensemble object.
For example: {Rollinga_b: object, Rollingb_c: object} -> object
Args: Args:
ensemble_dict (dict): the ensemble dict waiting for merging like {name: things} ensemble_dict (dict): the ensemble dict waiting for merging like {name: things}
@@ -61,38 +51,29 @@ class Ensemble:
Returns: Returns:
object: the ensemble object object: the ensemble object
""" """
if isinstance(getattr(self, "_merge", None), Callable): raise NotImplementedError(f"Please implement the `__call__` method.")
return self._merge(ensemble_dict, *args, **kwargs)
else:
raise NotImplementedError(f"Please specify valid merge_func.")
class RollingEnsemble(Ensemble): class RollingEnsemble(Ensemble):
"""Merge the rolling objects in an Ensemble""" """Merge the rolling objects in an Ensemble"""
@staticmethod def __call__(self, ensemble_dict: dict, *args, **kwargs):
def rolling_merge(rolling_dict: dict):
"""Merge a dict of rolling dataframe like `prediction` or `IC` into an ensemble. """Merge a dict of rolling dataframe like `prediction` or `IC` into an ensemble.
NOTE: The values of dict must be pd.Dataframe, and have the index "datetime" NOTE: The values of dict must be pd.Dataframe, and have the index "datetime"
Args: Args:
rolling_dict (dict): a dict like {"A": pd.Dataframe, "B": pd.Dataframe}. ensemble_dict (dict): a dict like {"A": pd.Dataframe, "B": pd.Dataframe}.
The key of the dict will be ignored. The key of the dict will be ignored.
Returns: Returns:
pd.Dataframe: the complete result of rolling. pd.Dataframe: the complete result of rolling.
""" """
artifact_list = list(rolling_dict.values()) artifact_list = list(ensemble_dict.values())
artifact_list.sort(key=lambda x: x.index.get_level_values("datetime").min()) artifact_list.sort(key=lambda x: x.index.get_level_values("datetime").min())
artifact = pd.concat(artifact_list) artifact = pd.concat(artifact_list)
# If there are duplicated predition, use the latest perdiction # If there are duplicated predition, use the latest perdiction
artifact = artifact[~artifact.index.duplicated(keep="last")] artifact = artifact[~artifact.index.duplicated(keep="last")]
artifact = artifact.sort_index() artifact = artifact.sort_index()
return artifact return artifact
def __init__(self, merge_func=None):
super().__init__(merge_func=merge_func)
if merge_func is None:
self._merge = RollingEnsemble.rolling_merge

19
qlib/model/ens/group.py
View File

@@ -1,8 +1,9 @@
from qlib.model.ens.ensemble import Ensemble, RollingEnsemble from qlib.model.ens.ensemble import Ensemble, RollingEnsemble
from typing import Callable, Union from typing import Callable, Union
from qlib.utils.serial import Serializable
class Group: class Group(Serializable):
"""Group the objects based on dict""" """Group the objects based on dict"""
def __init__(self, group_func=None, ens: Ensemble = None): def __init__(self, group_func=None, ens: Ensemble = None):
@@ -17,8 +18,8 @@ class Group:
ens (Ensemble, optional): If not None, do ensemble for grouped value after grouping. ens (Ensemble, optional): If not None, do ensemble for grouped value after grouping.
""" """
self._group = group_func self.group = group_func
self._ens = ens self.ens = ens
def __call__(self, ungrouped_dict: dict, *args, **kwargs): def __call__(self, ungrouped_dict: dict, *args, **kwargs):
"""Group the ungrouped_dict into different groups. """Group the ungrouped_dict into different groups.
@@ -29,16 +30,16 @@ class Group:
Returns: Returns:
dict: grouped_dict like {G1: object, G2: object} dict: grouped_dict like {G1: object, G2: object}
""" """
if isinstance(getattr(self, "_group", None), Callable): if isinstance(getattr(self, "group", None), Callable):
grouped_dict = self._group(ungrouped_dict, *args, **kwargs) grouped_dict = self.group(ungrouped_dict, *args, **kwargs)
if self._ens is not None: if self.ens is not None:
ens_dict = {} ens_dict = {}
for key, value in grouped_dict.items(): for key, value in grouped_dict.items():
ens_dict[key] = self._ens(value) ens_dict[key] = self.ens(value)
grouped_dict = ens_dict grouped_dict = ens_dict
return grouped_dict return grouped_dict
else: else:
raise NotImplementedError(f"Please specify valid merge_func.") raise NotImplementedError(f"Please specify valid group_func.")
class RollingGroup(Group): class RollingGroup(Group):
@@ -65,4 +66,4 @@ class RollingGroup(Group):
def __init__(self, group_func=None, ens: Ensemble = RollingEnsemble()): def __init__(self, group_func=None, ens: Ensemble = RollingEnsemble()):
super().__init__(group_func=group_func, ens=ens) super().__init__(group_func=group_func, ens=ens)
if group_func is None: if group_func is None:
self._group = RollingGroup.rolling_group self.group = RollingGroup.rolling_group

39
qlib/model/trainer.py
View File

@@ -3,11 +3,12 @@
from qlib.utils import init_instance_by_config, flatten_dict from qlib.utils import init_instance_by_config, flatten_dict
from qlib.workflow import R from qlib.workflow import R
from qlib.workflow.recorder import Recorder
from qlib.workflow.record_temp import SignalRecord from qlib.workflow.record_temp import SignalRecord
from qlib.workflow.task.manage import TaskManager, run_task from qlib.workflow.task.manage import TaskManager, run_task
def task_train(task_config: dict, experiment_name: str) -> str: def task_train(task_config: dict, experiment_name: str) -> Recorder:
""" """
task based training task based training
@@ -20,8 +21,7 @@ def task_train(task_config: dict, experiment_name: str) -> str:
Returns Returns
---------- ----------
rid : str Recorder : The instance of the recorder
The id of the recorder of this task
""" """
# model initiaiton # model initiaiton
@@ -80,30 +80,40 @@ class TrainerR(Trainer):
Assumption: models were defined by `task` and the results will saved to `Recorder` Assumption: models were defined by `task` and the results will saved to `Recorder`
""" """
def train(self, tasks: list, experiment_name: str, train_func=task_train, *args, **kwargs): def __init__(self, experiment_name, train_func=task_train):
self.experiment_name = experiment_name
self.train_func = train_func
def train(self, tasks: list, train_func=None, *args, **kwargs):
"""Given a list of `task`s and return a list of trained Recorder. The order can be guaranteed. """Given a list of `task`s and return a list of trained Recorder. The order can be guaranteed.
Args: Args:
tasks (list): a list of definition based on `task` dict tasks (list): a list of definition based on `task` dict
experiment_name (str): the experiment name train_func (Callable): the train method which need at least `task` and `experiment_name`. None for default.
train_func (Callable): the train method which need at least `task` and `experiment_name`
Returns: Returns:
list: a list of Recorders list: a list of Recorders
""" """
if train_func is None:
train_func = self.train_func
recs = [] recs = []
for task in tasks: for task in tasks:
recs.append(train_func(task, experiment_name, *args, **kwargs)) recs.append(train_func(task, self.experiment_name, *args, **kwargs))
return recs return recs
class TrainerRM(TrainerR): class TrainerRM(Trainer):
"""Trainer based on (R)ecorder and Task(M)anager """Trainer based on (R)ecorder and Task(M)anager
Assumption: `task` will be saved to TaskManager and `task` will be fetched and trained from TaskManager Assumption: `task` will be saved to TaskManager and `task` will be fetched and trained from TaskManager
""" """
def train(self, tasks: list, experiment_name: str, task_pool: str, train_func=task_train, *args, **kwargs): def __init__(self, experiment_name: str, task_pool: str, train_func=task_train):
self.experiment_name = experiment_name
self.task_pool = task_pool
self.train_func = train_func
def train(self, tasks: list, train_func=None, *args, **kwargs):
"""Given a list of `task`s and return a list of trained Recorder. The order can be guaranteed. """Given a list of `task`s and return a list of trained Recorder. The order can be guaranteed.
This method defaults to a single process, but TaskManager offered a great way to parallel training. This method defaults to a single process, but TaskManager offered a great way to parallel training.
@@ -111,17 +121,18 @@ class TrainerRM(TrainerR):
Args: Args:
tasks (list): a list of definition based on `task` dict tasks (list): a list of definition based on `task` dict
experiment_name (str): the experiment name train_func (Callable): the train method which need at least `task` and `experiment_name`. None for default.
train_func (Callable): the train method which need at least `task` and `experiment_name`
Returns: Returns:
list: a list of Recorders list: a list of Recorders
""" """
tm = TaskManager(task_pool=task_pool) if train_func is None:
train_func = self.train_func
tm = TaskManager(task_pool=self.task_pool)
_id_list = tm.create_task(tasks) # all tasks will be saved to MongoDB _id_list = tm.create_task(tasks) # all tasks will be saved to MongoDB
run_task(train_func, task_pool, experiment_name=experiment_name, *args, **kwargs) run_task(train_func, self.task_pool, experiment_name=self.experiment_name, *args, **kwargs)
recs = [] recs = []
for _id in _id_list: for _id in _id_list:
recs.append(tm.re_query(_id)["res"]) recs.append(tm.re_query(_id)["res"])
return recs return recs

36
qlib/workflow/online/manager.py
View File

@@ -20,7 +20,7 @@ class OnlineManager(Serializable):
NEXT_ONLINE_TAG = "next_online" # the 'next online' model, which can be 'online' model when call reset_online_model NEXT_ONLINE_TAG = "next_online" # the 'next online' model, which can be 'online' model when call reset_online_model
OFFLINE_TAG = "offline" # the 'offline' model, not for online serving OFFLINE_TAG = "offline" # the 'offline' model, not for online serving
def __init__(self, trainer: Trainer = None) -> None: def __init__(self, trainer: Trainer = None):
self._trainer = trainer self._trainer = trainer
self.logger = get_module_logger(self.__class__.__name__) self.logger = get_module_logger(self.__class__.__name__)
@@ -81,7 +81,8 @@ class OnlineManagerR(OnlineManager):
""" """
def __init__(self, experiment_name: str, trainer: Trainer = TrainerR()) -> None: def __init__(self, experiment_name: str, trainer: Trainer = None):
trainer = TrainerR(experiment_name)
super().__init__(trainer) super().__init__(trainer)
self.logger = get_module_logger(self.__class__.__name__) self.logger = get_module_logger(self.__class__.__name__)
self.exp_name = experiment_name self.exp_name = experiment_name
@@ -105,20 +106,22 @@ class OnlineManagerR(OnlineManager):
the recorders you want to reset to 'online'. If don't give, set 'next online' model to 'online' model. If there isn't any 'next online' model, then maintain existing 'online' model. the recorders you want to reset to 'online'. If don't give, set 'next online' model to 'online' model. If there isn't any 'next online' model, then maintain existing 'online' model.
""" """
if recorder is None: if recorder is None:
recorder = list_recorders( recorder = list(
self.exp_name, lambda rec: self.get_online_tag(rec) == OnlineManager.NEXT_ONLINE_TAG list_recorders(
).values() self.exp_name, lambda rec: self.get_online_tag(rec) == OnlineManager.NEXT_ONLINE_TAG
).values()
)
if isinstance(recorder, Recorder): if isinstance(recorder, Recorder):
recorder = [recorder] recorder = [recorder]
if len(recorder) == 0: if len(recorder) == 0:
self.logger.info("No 'next online' model, just use current 'online' models.") self.logger.info("No 'next online' model, just use current 'online' models.")
return return
recs = list_recorders(self.exp_name) recs = list_recorders(self.exp_name)
self.set_online_tag(OnlineManager.OFFLINE_TAG, recs.values()) self.set_online_tag(OnlineManager.OFFLINE_TAG, list(recs.values()))
self.set_online_tag(OnlineManager.ONLINE_TAG, recorder) self.set_online_tag(OnlineManager.ONLINE_TAG, recorder)
self.logger.info(f"Reset {len(recorder)} models to 'online'.") self.logger.info(f"Reset {len(recorder)} models to 'online'.")
def update_online_pred(self): def update_online_pred(self, *args, **kwargs):
"""update all online model predictions to the latest day in Calendar""" """update all online model predictions to the latest day in Calendar"""
mu = ModelUpdater(self.exp_name) mu = ModelUpdater(self.exp_name)
cnt = mu.update_all_pred(lambda rec: self.get_online_tag(rec) == OnlineManager.ONLINE_TAG) cnt = mu.update_all_pred(lambda rec: self.get_online_tag(rec) == OnlineManager.ONLINE_TAG)
@@ -126,25 +129,24 @@ class OnlineManagerR(OnlineManager):
class RollingOnlineManager(OnlineManagerR): class RollingOnlineManager(OnlineManagerR):
"""An implementation of OnlineManager based on Rolling. """An implementation of OnlineManager based on Rolling."""
"""
def __init__( def __init__(
self, self,
experiment_name: str, experiment_name: str,
rolling_gen: RollingGen, rolling_gen: RollingGen,
trainer: Trainer = TrainerR(), trainer: Trainer = None,
) -> None: ):
trainer = TrainerR(experiment_name)
super().__init__(experiment_name, trainer) super().__init__(experiment_name, trainer)
self.ta = TimeAdjuster() self.ta = TimeAdjuster()
self.rg = rolling_gen self.rg = rolling_gen
self.logger = get_module_logger(self.__class__.__name__) self.logger = get_module_logger(self.__class__.__name__)
def prepare_signals(self): def prepare_signals(self, *args, **kwargs):
pass pass
def prepare_tasks(self): def prepare_tasks(self, *args, **kwargs):
"""prepare new tasks based on new date. """prepare new tasks based on new date.
Returns: Returns:
@@ -155,7 +157,7 @@ class RollingOnlineManager(OnlineManagerR):
) )
if max_test is None: if max_test is None:
self.logger.warn(f"No latest online recorders, no new tasks.") self.logger.warn(f"No latest online recorders, no new tasks.")
return None return []
calendar_latest = self.ta.last_date() calendar_latest = self.ta.last_date()
if self.ta.cal_interval(calendar_latest, max_test[0]) > self.rg.step: if self.ta.cal_interval(calendar_latest, max_test[0]) > self.rg.step:
old_tasks = [] old_tasks = []
@@ -168,7 +170,7 @@ class RollingOnlineManager(OnlineManagerR):
new_tasks_tmp = task_generator(old_tasks, self.rg) new_tasks_tmp = task_generator(old_tasks, self.rg)
new_tasks = [task for task in new_tasks_tmp if task not in old_tasks] new_tasks = [task for task in new_tasks_tmp if task not in old_tasks]
return new_tasks return new_tasks
return None return []
def list_latest_recorders(self, rec_filter_func=None): def list_latest_recorders(self, rec_filter_func=None):
"""find latest recorders based on test segments. """find latest recorders based on test segments.
@@ -187,4 +189,4 @@ class RollingOnlineManager(OnlineManagerR):
for rid, rec in recs_flt.items(): for rid, rec in recs_flt.items():
if rec.load_object("task")["dataset"]["kwargs"]["segments"]["test"] == max_test: if rec.load_object("task")["dataset"]["kwargs"]["segments"]["test"] == max_test:
latest_rec[rid] = rec latest_rec[rid] = rec
return latest_rec, max_test return latest_rec, max_test

34
qlib/workflow/task/collect.py
View File

@@ -1,9 +1,10 @@
from abc import abstractmethod from abc import abstractmethod
from typing import Callable, Union from typing import Callable, Union
from qlib.workflow.task.utils import list_recorders from qlib.workflow.task.utils import list_recorders
from qlib.utils.serial import Serializable
class Collector: class Collector(Serializable):
"""The collector to collect different results""" """The collector to collect different results"""
def collect(self, *args, **kwargs): def collect(self, *args, **kwargs):
@@ -25,33 +26,46 @@ class Collector:
class RecorderCollector(Collector): class RecorderCollector(Collector):
def __init__( def __init__(
self, exp_name, artifacts_path={"pred": "pred.pkl", "IC": "sig_analysis/ic.pkl"}, rec_key_func=None self,
) -> None: exp_name,
artifacts_path={"pred": "pred.pkl", "IC": "sig_analysis/ic.pkl"},
rec_key_func=None,
artifacts_key=None,
rec_filter_func=None,
):
"""init RecorderCollector """init RecorderCollector
Args: Args:
exp_name (str): the name of Experiment exp_name (str): the name of Experiment
artifacts_path (dict, optional): The artifacts name and its path in Recorder. Defaults to {"pred": "pred.pkl", "IC": "sig_analysis/ic.pkl"}. artifacts_path (dict, optional): The artifacts name and its path in Recorder. Defaults to {"pred": "pred.pkl", "IC": "sig_analysis/ic.pkl"}.
rec_key_func (Callable): a function to get the key of a recorder. If None, use recorder id. rec_key_func (Callable): a function to get the key of a recorder. If None, use recorder id.
artifacts_key (str or List, optional): the artifacts key you want to get. If None, get all artifacts.
rec_filter_func (Callable, optional): filter the recorder by return True or False. Defaults to None.
""" """
self.exp_name = exp_name self.exp_name = exp_name
self.artifacts_path = artifacts_path self.artifacts_path = artifacts_path
if rec_key_func is None: if rec_key_func is None:
rec_key_func = lambda rec: rec.info["id"] rec_key_func = lambda rec: rec.info["id"]
self._get_key = rec_key_func if artifacts_key is None:
artifacts_key = self.artifacts_path.keys()
self.rec_key = rec_key_func
self.artifacts_key = artifacts_key
self.rec_filter = rec_filter_func
def collect(self, artifacts_key=None, rec_filter_func=None): # ensemble, get_group_key_func, def collect(self, artifacts_key=None, rec_filter_func=None):
"""Collect different artifacts based on recorder after filtering. """Collect different artifacts based on recorder after filtering.
Args: Args:
artifacts_key (str or List, optional): the artifacts key you want to get. If None, get all artifacts. artifacts_key (str or List, optional): the artifacts key you want to get. If None, use default.
rec_filter_func (Callable, optional): filter the recorder by return True or False. Defaults to None. rec_filter_func (Callable, optional): filter the recorder by return True or False. If None, use default.
Returns: Returns:
dict: the dict after collected like {artifact: {rec_key: object}} dict: the dict after collected like {artifact: {rec_key: object}}
""" """
if artifacts_key is None: if artifacts_key is None:
artifacts_key = self.artifacts_path.keys() artifacts_key = self.artifacts_key
if rec_filter_func is None:
rec_filter_func = self.rec_filter
if isinstance(artifacts_key, str): if isinstance(artifacts_key, str):
artifacts_key = [artifacts_key] artifacts_key = [artifacts_key]
@@ -60,9 +74,9 @@ class RecorderCollector(Collector):
# filter records # filter records
recs_flt = list_recorders(self.exp_name, rec_filter_func) recs_flt = list_recorders(self.exp_name, rec_filter_func)
for _, rec in recs_flt.items(): for _, rec in recs_flt.items():
rec_key = self._get_key(rec) rec_key = self.rec_key(rec)
for key in artifacts_key: for key in artifacts_key:
artifact = rec.load_object(self.artifacts_path[key]) artifact = rec.load_object(self.artifacts_path[key])
collect_dict.setdefault(key, {})[rec_key] = artifact collect_dict.setdefault(key, {})[rec_key] = artifact
return collect_dict return collect_dict

117
qlib/workflow/task/manage.py
View File

@@ -49,7 +49,7 @@ class TaskManager:
ENCODE_FIELDS_PREFIX = ["def", "res"] ENCODE_FIELDS_PREFIX = ["def", "res"]
def __init__(self, task_pool=None): def __init__(self, task_pool: str):
""" """
init Task Manager, remember to make the statement of MongoDB url and database name firstly. init Task Manager, remember to make the statement of MongoDB url and database name firstly.
@@ -59,9 +59,13 @@ class TaskManager:
the name of Collection in MongoDB the name of Collection in MongoDB
""" """
self.mdb = get_mongodb() self.mdb = get_mongodb()
self.task_pool = task_pool self.task_pool = getattr(self.mdb, task_pool)
self.logger = get_module_logger(self.__class__.__name__) self.logger = get_module_logger(self.__class__.__name__)
# @property
# def task_pool(self):
# return self._task_pool
def list(self): def list(self):
return self.mdb.list_collection_names() return self.mdb.list_collection_names()
@@ -79,39 +83,39 @@ class TaskManager:
task[k] = pickle.loads(task[k]) task[k] = pickle.loads(task[k])
return task return task
def _get_task_pool(self, task_pool=None): # def _get_task_pool(self, task_pool=None):
if task_pool is None: # if task_pool is None:
task_pool = self.task_pool # task_pool = self.task_pool
if task_pool is None: # if task_pool is None:
raise ValueError("You must specify a task pool.") # raise ValueError("You must specify a task pool.")
if isinstance(task_pool, str): # if isinstance(task_pool, str):
return getattr(self.mdb, task_pool) # return getattr(self.mdb, task_pool)
return task_pool # return task_pool
def _dict_to_str(self, flt): def _dict_to_str(self, flt):
return {k: str(v) for k, v in flt.items()} return {k: str(v) for k, v in flt.items()}
def replace_task(self, task, new_task, task_pool=None): def replace_task(self, task, new_task):
# assume that the data out of interface was decoded and the data in interface was encoded # assume that the data out of interface was decoded and the data in interface was encoded
new_task = self._encode_task(new_task) new_task = self._encode_task(new_task)
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
query = {"_id": ObjectId(task["_id"])} query = {"_id": ObjectId(task["_id"])}
try: try:
task_pool.replace_one(query, new_task) self.task_pool.replace_one(query, new_task)
except InvalidDocument: except InvalidDocument:
task["filter"] = self._dict_to_str(task["filter"]) task["filter"] = self._dict_to_str(task["filter"])
task_pool.replace_one(query, new_task) self.task_pool.replace_one(query, new_task)
def insert_task(self, task, task_pool=None): def insert_task(self, task):
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
try: try:
insert_result = task_pool.insert_one(task) insert_result = self.task_pool.insert_one(task)
except InvalidDocument: except InvalidDocument:
task["filter"] = self._dict_to_str(task["filter"]) task["filter"] = self._dict_to_str(task["filter"])
insert_result = task_pool.insert_one(task) insert_result = self.task_pool.insert_one(task)
return insert_result return insert_result
def insert_task_def(self, task_def, task_pool=None): def insert_task_def(self, task_def):
""" """
insert a task to task_pool insert a task to task_pool
@@ -126,7 +130,7 @@ class TaskManager:
------- -------
""" """
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
task = self._encode_task( task = self._encode_task(
{ {
"def": task_def, "def": task_def,
@@ -134,10 +138,10 @@ class TaskManager:
"status": self.STATUS_WAITING, "status": self.STATUS_WAITING,
} }
) )
insert_result = self.insert_task(task, task_pool) insert_result = self.insert_task(task)
return insert_result return insert_result
def create_task(self, task_def_l, task_pool=None, dry_run=False, print_nt=False): def create_task(self, task_def_l, dry_run=False, print_nt=False):
""" """
if the tasks in task_def_l is new, then insert new tasks into the task_pool if the tasks in task_def_l is new, then insert new tasks into the task_pool
@@ -156,13 +160,13 @@ class TaskManager:
list list
a list of the _id of new tasks a list of the _id of new tasks
""" """
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
new_tasks = [] new_tasks = []
for t in task_def_l: for t in task_def_l:
try: try:
r = task_pool.find_one({"filter": t}) r = self.task_pool.find_one({"filter": t})
except InvalidDocument: except InvalidDocument:
r = task_pool.find_one({"filter": self._dict_to_str(t)}) r = self.task_pool.find_one({"filter": self._dict_to_str(t)})
if r is None: if r is None:
new_tasks.append(t) new_tasks.append(t)
self.logger.info(f"Total Tasks: {len(task_def_l)}, New Tasks: {len(new_tasks)}") self.logger.info(f"Total Tasks: {len(task_def_l)}, New Tasks: {len(new_tasks)}")
@@ -176,18 +180,18 @@ class TaskManager:
_id_list = [] _id_list = []
for t in new_tasks: for t in new_tasks:
insert_result = self.insert_task_def(t, task_pool) insert_result = self.insert_task_def(t)
_id_list.append(insert_result.inserted_id) _id_list.append(insert_result.inserted_id)
return _id_list return _id_list
def fetch_task(self, query={}, task_pool=None): def fetch_task(self, query={}):
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
query = query.copy() query = query.copy()
if "_id" in query: if "_id" in query:
query["_id"] = ObjectId(query["_id"]) query["_id"] = ObjectId(query["_id"])
query.update({"status": self.STATUS_WAITING}) query.update({"status": self.STATUS_WAITING})
task = task_pool.find_one_and_update( task = self.task_pool.find_one_and_update(
query, {"$set": {"status": self.STATUS_RUNNING}}, sort=[("priority", pymongo.DESCENDING)] query, {"$set": {"status": self.STATUS_RUNNING}}, sort=[("priority", pymongo.DESCENDING)]
) )
# null will be at the top after sorting when using ASCENDING, so the larger the number higher, the higher the priority # null will be at the top after sorting when using ASCENDING, so the larger the number higher, the higher the priority
@@ -197,7 +201,7 @@ class TaskManager:
return self._decode_task(task) return self._decode_task(task)
@contextmanager @contextmanager
def safe_fetch_task(self, query={}, task_pool=None): def safe_fetch_task(self, query={}):
""" """
fetch task from task_pool using query with contextmanager fetch task from task_pool using query with contextmanager
@@ -212,7 +216,7 @@ class TaskManager:
------- -------
""" """
task = self.fetch_task(query=query, task_pool=task_pool) task = self.fetch_task(query=query)
try: try:
yield task yield task
except Exception: except Exception:
@@ -229,7 +233,7 @@ class TaskManager:
break break
yield task yield task
def query(self, query={}, decode=True, task_pool=None): def query(self, query={}, decode=True):
""" """
This function may raise exception `pymongo.errors.CursorNotFound: cursor id not found` if it takes too long to iterate the generator This function may raise exception `pymongo.errors.CursorNotFound: cursor id not found` if it takes too long to iterate the generator
@@ -248,29 +252,30 @@ class TaskManager:
query = query.copy() query = query.copy()
if "_id" in query: if "_id" in query:
query["_id"] = ObjectId(query["_id"]) query["_id"] = ObjectId(query["_id"])
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
for t in task_pool.find(query): for t in self.task_pool.find(query):
yield self._decode_task(t) yield self._decode_task(t)
def re_query(self, _id, task_pool=None): def re_query(self, _id):
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
return task_pool.find_one({"_id": ObjectId(_id)}) t = self.task_pool.find_one({"_id": ObjectId(_id)})
return self._decode_task(t)
def commit_task_res(self, task, res, status=None, task_pool=None): def commit_task_res(self, task, res, status=None):
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
# A workaround to use the class attribute. # A workaround to use the class attribute.
if status is None: if status is None:
status = TaskManager.STATUS_DONE status = TaskManager.STATUS_DONE
task_pool.update_one({"_id": task["_id"]}, {"$set": {"status": status, "res": Binary(pickle.dumps(res))}}) self.task_pool.update_one({"_id": task["_id"]}, {"$set": {"status": status, "res": Binary(pickle.dumps(res))}})
def return_task(self, task, status=None, task_pool=None): def return_task(self, task, status=None):
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
if status is None: if status is None:
status = TaskManager.STATUS_WAITING status = TaskManager.STATUS_WAITING
update_dict = {"$set": {"status": status}} update_dict = {"$set": {"status": status}}
task_pool.update_one({"_id": task["_id"]}, update_dict) self.task_pool.update_one({"_id": task["_id"]}, update_dict)
def remove(self, query={}, task_pool=None): def remove(self, query={}):
""" """
remove the task using query remove the task using query
@@ -286,16 +291,16 @@ class TaskManager:
""" """
query = query.copy() query = query.copy()
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
if "_id" in query: if "_id" in query:
query["_id"] = ObjectId(query["_id"]) query["_id"] = ObjectId(query["_id"])
task_pool.delete_many(query) self.task_pool.delete_many(query)
def task_stat(self, query={}, task_pool=None): def task_stat(self, query={}):
query = query.copy() query = query.copy()
if "_id" in query: if "_id" in query:
query["_id"] = ObjectId(query["_id"]) query["_id"] = ObjectId(query["_id"])
tasks = self.query(task_pool=task_pool, query=query, decode=False) tasks = self.query(query=query, decode=False)
status_stat = {} status_stat = {}
for t in tasks: for t in tasks:
status_stat[t["status"]] = status_stat.get(t["status"], 0) + 1 status_stat[t["status"]] = status_stat.get(t["status"], 0) + 1
@@ -306,14 +311,14 @@ class TaskManager:
# default query # default query
if "status" not in query: if "status" not in query:
query["status"] = self.STATUS_RUNNING query["status"] = self.STATUS_RUNNING
return self.reset_status(query=query, status=self.STATUS_WAITING, task_pool=task_pool) return self.reset_status(query=query, status=self.STATUS_WAITING)
def reset_status(self, query, status, task_pool=None): def reset_status(self, query, status):
query = query.copy() query = query.copy()
task_pool = self._get_task_pool(task_pool) # task_pool = self._get_task_pool(task_pool)
if "_id" in query: if "_id" in query:
query["_id"] = ObjectId(query["_id"]) query["_id"] = ObjectId(query["_id"])
print(task_pool.update_many(query, {"$set": {"status": status}})) print(self.task_pool.update_many(query, {"$set": {"status": status}}))
def _get_undone_n(self, task_stat): def _get_undone_n(self, task_stat):
return task_stat.get(self.STATUS_WAITING, 0) + task_stat.get(self.STATUS_RUNNING, 0) return task_stat.get(self.STATUS_WAITING, 0) + task_stat.get(self.STATUS_RUNNING, 0)
@@ -321,14 +326,14 @@ class TaskManager:
def _get_total(self, task_stat): def _get_total(self, task_stat):
return sum(task_stat.values()) return sum(task_stat.values())
def wait(self, query={}, task_pool=None): def wait(self, query={}):
task_stat = self.task_stat(query, task_pool) task_stat = self.task_stat(query)
total = self._get_total(task_stat) total = self._get_total(task_stat)
last_undone_n = self._get_undone_n(task_stat) last_undone_n = self._get_undone_n(task_stat)
with tqdm(total=total, initial=total - last_undone_n) as pbar: with tqdm(total=total, initial=total - last_undone_n) as pbar:
while True: while True:
time.sleep(10) time.sleep(10)
undone_n = self._get_undone_n(self.task_stat(query, task_pool)) undone_n = self._get_undone_n(self.task_stat(query))
pbar.update(last_undone_n - undone_n) pbar.update(last_undone_n - undone_n)
last_undone_n = undone_n last_undone_n = undone_n
if undone_n == 0: if undone_n == 0:
@@ -365,7 +370,7 @@ def run_task(task_func, task_pool, force_release=False, *args, **kwargs):
break break
get_module_logger("run_task").info(task["def"]) get_module_logger("run_task").info(task["def"])
if force_release: if force_release:
with concurrent.futures.ProcessPoolExecutor(max_workers=1) as executor: with concurrent.futures.ProcessPoolExecutor(max_workers=1) as executor: # what this means?
res = executor.submit(task_func, task["def"], *args, **kwargs).result() res = executor.submit(task_func, task["def"], *args, **kwargs).result()
else: else:
res = task_func(task["def"], *args, **kwargs) res = task_func(task["def"], *args, **kwargs)