liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-10 22:36:55 +08:00
Code Activity

Support Point-in-time Data Operation (#343)

Browse Source 
* add period ops class

* black format

* add pit data read

* fix bug in period ops

* update ops runnable

* update PIT test example

* black format

* update PIT test

* update tets_PIT

* update code format

* add check_feature_exist

* black format

* optimize the PIT Algorithm

* fix bug

* update example

* update test_PIT name

* add pit collector

* black format

* fix bugs

* fix try

* fix bug & add dump_pit.py

* Successfully run and understand PIT

* Add some docs and remove a bug

* mv crypto collector

* black format

* Run succesfully after merging master

* Pass test and fix code

* remove useless PIT code

* fix PYlint

* Rename

Co-authored-by: Young <afe.young@gmail.com>
This commit is contained in:
bxdd
2022-03-10 14:27:52 +08:00
committed by GitHub
parent 3a911bc09b
commit faa99f30fa
19 changed files with 1459 additions and 141 deletions
Download Patch File Download Diff File Expand all files Collapse all files

32
qlib/config.py
View File

@@ -92,6 +92,7 @@ _default_config = {
"calendar_provider": "LocalCalendarProvider",
"instrument_provider": "LocalInstrumentProvider",
"feature_provider": "LocalFeatureProvider",
"pit_provider": "LocalPITProvider",
"expression_provider": "LocalExpressionProvider",
"dataset_provider": "LocalDatasetProvider",
"provider": "LocalProvider",
@@ -108,7 +109,6 @@ _default_config = {
"provider_uri": "",
# cache
"expression_cache": None,
"dataset_cache": None,
"calendar_cache": None,
# for simple dataset cache
"local_cache_path": None,
@@ -171,6 +171,18 @@ _default_config = {
"default_exp_name": "Experiment",
},
},
"pit_record_type": {
"date": "I", # uint32
"period": "I", # uint32
"value": "d", # float64
"index": "I", # uint32
},
"pit_record_nan": {
"date": 0,
"period": 0,
"value": float("NAN"),
"index": 0xFFFFFFFF,
},
# Default config for MongoDB
"mongo": {
"task_url": "mongodb://localhost:27017/",
@@ -184,20 +196,12 @@ _default_config = {
MODE_CONF = {
"server": {
# data provider config
"calendar_provider": "LocalCalendarProvider",
"instrument_provider": "LocalInstrumentProvider",
"feature_provider": "LocalFeatureProvider",
"expression_provider": "LocalExpressionProvider",
"dataset_provider": "LocalDatasetProvider",
"provider": "LocalProvider",
# config it in qlib.init()
"provider_uri": "",
# redis
"redis_host": "127.0.0.1",
"redis_port": 6379,
"redis_task_db": 1,
"kernels": NUM_USABLE_CPU,
# cache
"expression_cache": DISK_EXPRESSION_CACHE,
"dataset_cache": DISK_DATASET_CACHE,
@@ -205,25 +209,15 @@ MODE_CONF = {
"mount_path": None,
},
"client": {
# data provider config
"calendar_provider": "LocalCalendarProvider",
"instrument_provider": "LocalInstrumentProvider",
"feature_provider": "LocalFeatureProvider",
"expression_provider": "LocalExpressionProvider",
"dataset_provider": "LocalDatasetProvider",
"provider": "LocalProvider",
# config it in user's own code
"provider_uri": "~/.qlib/qlib_data/cn_data",
# cache
# Using parameter 'remote' to announce the client is using server_cache, and the writing access will be disabled.
# Disable cache by default. Avoid introduce advanced features for beginners
"expression_cache": None,
"dataset_cache": None,
# SimpleDatasetCache directory
"local_cache_path": Path("~/.cache/qlib_simple_cache").expanduser().resolve(),
"calendar_cache": None,
# client config
"kernels": NUM_USABLE_CPU,
"mount_path": None,
"auto_mount": False, # The nfs is already mounted on our server[auto_mount: False].
# The nfs should be auto-mounted by qlib on other