Merge remote-tracking branch 'microsoft/qlib/main' into online_srv

qlib/data/dataset/handler.py

@@ -6,6 +6,7 @@ import abc
 import bisect
 import logging
 import warnings
+from inspect import getfullargspec
 from typing import Union, Tuple, List, Iterator, Optional
 
 import pandas as pd
@@ -16,7 +17,7 @@ from ...data import D
 from ...config import C
 from ...utils import parse_config, transform_end_date, init_instance_by_config
 from ...utils.serial import Serializable
-from .utils import get_level_index, fetch_df_by_index
+from .utils import fetch_df_by_index
 from pathlib import Path
 from .loader import DataLoader
 
@@ -102,10 +103,10 @@ class DataHandler(Serializable):
         self.fetch_orig = fetch_orig
         if init_data:
             with TimeInspector.logt("Init data"):
-                self.init()
+                self.setup_data()
         super().__init__()
 
-    def conf_data(self, **kwargs):
+    def config(self, **kwargs):
         """
         configuration of data.
         # what data to be loaded from data source
@@ -118,13 +119,16 @@ class DataHandler(Serializable):
         for k, v in kwargs.items():
             if k in attr_list:
                 setattr(self, k, v)
-            else:
-                raise KeyError("Such config is not supported.")
 
-    def init(self, enable_cache: bool = False):
+        for attr in attr_list:
+            if attr in kwargs:
+                kwargs.pop(attr)
+
+        super().config(**kwargs)
+
+    def setup_data(self, enable_cache: bool = False):
         """
-        initialize the data.
-        In case of running intialization for multiple time, it will do nothing for the second time.
+        Set Up the data in case of running intialization for multiple time
 
         It is responsible for maintaining following variable
         1) self._data
@@ -412,14 +416,28 @@ class DataHandlerLP(DataHandler):
         if self.drop_raw:
             del self._data
 
+    def config(self, processor_kwargs: dict = None, **kwargs):
+        """
+        configuration of data.
+        # what data to be loaded from data source
+
+        This method will be used when loading pickled handler from dataset.
+        The data will be initialized with different time range.
+
+        """
+        super().config(**kwargs)
+        if processor_kwargs is not None:
+            for processor in self.get_all_processors():
+                processor.config(**processor_kwargs)
+
     # init type
     IT_FIT_SEQ = "fit_seq"  # the input of `fit` will be the output of the previous processor
     IT_FIT_IND = "fit_ind"  # the input of `fit` will be the original df
     IT_LS = "load_state"  # The state of the object has been load by pickle
 
-    def init(self, init_type: str = IT_FIT_SEQ, enable_cache: bool = False):
+    def setup_data(self, init_type: str = IT_FIT_SEQ, **kwargs):
         """
-        Initialize the data of Qlib
+        Set up the data in case of running intialization for multiple time
 
         Parameters
         ----------
@@ -434,7 +452,7 @@ class DataHandlerLP(DataHandler):
                 when we call `init` next time
         """
         # init raw data
-        super().init(enable_cache=enable_cache)
+        super().setup_data(**kwargs)
 
         with TimeInspector.logt("fit & process data"):
             if init_type == DataHandlerLP.IT_FIT_IND: