Add Cache to avoid frequently loading calendar (#766)

qlib/__init__.py

@@ -15,6 +15,16 @@ from .log import get_module_logger
 
 # init qlib
 def init(default_conf="client", **kwargs):
+    """
+
+    Parameters
+    ----------
+    **kwargs :
+        clear_mem_cache: str
+            the default value is True;
+            Will the memory cache be clear.
+            It is often used to improve performance when init will be called for multiple times
+    """
     from .config import C
     from .data.cache import H
 
@@ -28,7 +38,9 @@ def init(default_conf="client", **kwargs):
         logger.warning("Skip initialization because `skip_if_reg is True`")
         return
 
-    H.clear()
+    clear_mem_cache = kwargs.pop("clear_mem_cache", True)
+    if clear_mem_cache:
+        H.clear()
     C.set(default_conf, **kwargs)
 
     # mount nfs