250s

qlib/backtest/high_performance_ds.py

@@ -604,13 +604,21 @@ class NumpyOrderIndicator(BaseOrderIndicator):
 
     @staticmethod
     def sum_all_indicators(order_indicator, indicators: list, metrics: Union[str, List[str]], fill_value=0):
+        # get all index(stock_id)
+        stocks = set()
+        for indicator in indicators:
+            # set(np.ndarray.tolist()) is faster than set(np.ndarray)
+            stocks = stocks | set(indicator.data[metrics[0]].index.tolist())
+        stocks = list(stocks)
+        stocks.sort()
+
+        # add metric by index
         if isinstance(metrics, str):
             metrics = [metrics]
         for metric in metrics:
-            tmp_metric = idd.SingleData()
-            for indicator in indicators:
-                tmp_metric = tmp_metric.add(indicator.data[metric], fill_value)
-            order_indicator.data[metric] = tmp_metric
+            order_indicator.data[metric] = idd.sum_by_index(
+                [indicator.data[metric] for indicator in indicators], stocks, fill_value
+            )
 
     def __repr__(self):
         return repr(self.data)

qlib/utils/index_data.py

@@ -22,7 +22,7 @@ def concat(data_list: Union["SingleData"], axis=0) -> "MultiData":
 
     Parameters
     ----------
-    index_data_list : List[SingleData]
+    data_list : List[SingleData]
         the list of all SingleData to concat.
 
     Returns
@@ -52,6 +52,36 @@ def concat(data_list: Union["SingleData"], axis=0) -> "MultiData":
         raise ValueError(f"axis must be 0 or 1")
 
 
+def sum_by_index(data_list: Union["SingleData"], new_index: list, fill_value=0) -> "SingleData":
+    """concat all SingleData by new index.
+
+    Parameters
+    ----------
+    data_list : List[SingleData]
+        the list of all SingleData to sum.
+    new_index : list
+        the new_index of new SingleData.
+    fill_value : float
+        fill the missing values ​​or replace np.NaN.
+
+    Returns
+    -------
+    SingleData
+        the SingleData with new_index and values after sum.
+    """
+    data_list = [data.to_dict() for data in data_list]
+    data_sum = {}
+    for id in new_index:
+        item_sum = 0
+        for data in data_list:
+            if id in data and data[id] != np.NaN:
+                item_sum += data[id]
+            else:
+                item_sum += fill_value
+        data_sum[id] = item_sum
+    return SingleData(data_sum)
+
+
 class Index:
     """
     This is for indexing(rows or columns)
@@ -155,6 +185,10 @@ class Index:
         idx._is_sorted = True
         return idx, sorted_idx
 
+    def tolist(self):
+        """return the index with the format of list."""
+        return self.idx_list.tolist()
+
 
 class LocIndexer:
     """
@@ -529,8 +563,7 @@ class SingleData(IndexData):
         tmp_data = np.full(len(index), fill_value, dtype=np.float64)
         for index_id, index_item in enumerate(index):
             try:
-                item_data = self.loc[index_item]
-                tmp_data[index_id] = item_data if item_data != np.NaN else fill_value
+                tmp_data[index_id] = self.loc[index_item]
             except KeyError:
                 pass
         return SingleData(tmp_data, index)
@@ -542,7 +575,7 @@ class SingleData(IndexData):
         common_index, _ = common_index.sort()
         tmp_data1 = self.reindex(common_index, fill_value)
         tmp_data2 = other.reindex(common_index, fill_value)
-        return tmp_data1 + tmp_data2
+        return tmp_data1.fillna(fill_value) + tmp_data2.fillna(fill_value)
 
     def to_dict(self):
         """convert SingleData to dict.