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1,630 Commits 46 Branches 26 Tags
2bb8a4ce0ed35387f46df7cd8ec0893d0b105e76
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Author SHA1 Message Date
luocy16
2bb8a4ce0e Supporting Arctic Backend Provider & Orderbook, Tick Data Example (#744) 
* change weight_decay & batchsize

* del weight_decay

* big weight_decay

* mid weight_decay

* small layer

* 2 layer

* full layer

* no weight decay

* divide into two data source

* change parse field

* delete some debug

* add Toperator

* new format of arctic

* fix cache bug to arctic read

* fix connection problem

* add some operator

* final version for arcitc

* clear HZ cache

* remove not used function

* add topswrappers

* successfully import data and run first test

* A simpler version to support arctic

* Successfully run all high-freq expressions

* Black format and fix add docs

* Add docs for download and test data

* update scripts and docs

* Add docs

* fix bug

* Refine docs

* fix test bug

* fix CI error

* clean code

Co-authored-by: bxdd <bxddream@gmail.com>
Co-authored-by: wangwenxi.handsome <wangwenxi.handsome@gmail.com>
Co-authored-by: Young <afe.young@gmail.com>
 2022-01-18 09:13:11 +08:00
you-n-g
7f274b1e4e Fix code and docs for issues (#853) 
* Docs for model and strategy

* add some docs about workflow and online

* safe_load yaml

* DDG-DA paper link and comments for code
 2022-01-17 13:57:44 +08:00
Pengrong Zhu
2aee9e0145 Add future calendar collector (#795) 
* fix Windows mount

* add future_calendar_collector

* update docs

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-01-16 10:14:27 +08:00
you-n-g
a62e2ec4de Update __init__.py 2022-01-15 23:07:31 +08:00
Young
e7954bdb32 update version v0.8.1 2022-01-15 22:49:14 +08:00
you-n-g
d6f69aefea Update data.rst 2022-01-15 19:22:31 +08:00
you-n-g
1bebe9780e Fix the read the docs error (#852) 2022-01-15 19:15:06 +08:00
you-n-g
7a4a92bc69 Update data.rst 2022-01-14 13:17:52 +08:00
you-n-g
271782c9dd Update data.rst 2022-01-14 09:19:12 +08:00
you-n-g
d0113ea7df pylint code refine & Fix nested example (#848) 
* refine code by CI

* fix argument error

* fix nested eample
 2022-01-14 09:09:21 +08:00
you-n-g
c3996955ef Update README.md 2022-01-13 15:29:43 +08:00
Jiabao Qu
8261965015 fix: highfreq_gdbt_model of prepare data (#846) 
Co-authored-by: Jiabao Qu <qujiabao@logiocean.com>
 2022-01-12 21:36:23 +08:00
Jiabao Qu
6f71f8a46b chore: remove hard code input dimension of model pytorch_tcts (#843) 
Co-authored-by: Jiabao Qu <qujiabao@logiocean.com>
 2022-01-12 19:12:20 +08:00
Chia-hung Tai
edd8badeaf [840] - Test case for operators. (#841) 
* [840] - Test case for operators.

* Move import to the head of file and add test_setting.
 2022-01-11 18:44:15 +08:00
Young
19689024d4 Fix exp uri CI bug 2022-01-10 17:29:27 +08:00
you-n-g
0304df0d5b Update README.md 2022-01-10 16:56:18 +08:00
Young
181ee3c070 FIX File Name 2022-01-10 16:55:20 +08:00
you-n-g
cf35562e84 DDG-DA paper code (#743) 
* Merge data selection to main

* Update trainer for reweighter

* Typos fixed.

* update data selection interface

* successfully run exp after refactor some interface

* data selection share handler &  trainer

* fix meta model time series bug

* fix online workflow set_uri bug

* fix set_uri bug

* updawte ds docs and delay trainer bug

* docs

* resume reweighter

* add reweighting result

* fix qlib model import

* make recorder more friendly

* fix experiment workflow bug

* commit for merging master incase of conflictions

* Successful run DDG-DA with a single command

* remove unused code

* asdd more docs

* Update README.md

* Update & fix some bugs.

* Update configuration & remove debug functions

* Update README.md

* Modfify horizon from code rather than yaml

* Update performance in README.md

* fix part comments

* Remove unfinished TCTS.

* Fix some details.

* Update meta docs

* Update README.md of the benchmarks_dynamic

* Update README.md files

* Add README.md to the rolling_benchmark baseline.

* Refine the docs and link

* Rename README.md in benchmarks_dynamic.

* Remove comments.

* auto download data

Co-authored-by: wendili-cs <wendili.academic@qq.com>
Co-authored-by: demon143 <785696300@qq.com>
 2022-01-10 16:52:37 +08:00
Chia-hung Tai
184ce34a34 [807] Move the REG_CONSTANT/EPS to constant.py. (#811) 
* [807] Move the REG_CONSTANT to constant.py.

* import REG_US.

* Move EPS to constant.py.
 2022-01-09 21:39:46 +08:00
Chia-hung Tai
382ababc01 Add description of the pu template. (#812) 2022-01-09 21:14:11 +08:00
Chia-hung Tai
bcf18c14de Fix typos and comments. (#815) 
* Fix typos and comments.

* Add comma before and.
 2022-01-09 21:13:25 +08:00
Chia-hung Tai
6c1332f604 Fix some warnings in log.py. (#805) 
* Fix some warnings in log.py.

* Fix typo and using black format.

* Fix black.

* Rename dict_ to attrs
 2022-01-06 15:36:00 +08:00
you-n-g
93088485c3 Update README.md (#802) 
* Update README.md

* Update README.md

* Update README.md

* Update README.md
 2022-01-04 19:16:04 +08:00
Chia-hung Tai
c633d3fec0 Fix BaseStrategy path. (#801) 
qlib.strategy.base.BaseStrategy is the current path.
 2022-01-04 18:55:40 +08:00
you-n-g
0b6d99bd38 Add a more understandable example of data workflow (#797) 
* Update data.rst

* Update data.rst
 2022-01-04 09:07:44 +08:00
you-n-g
03cce8c908 Some Optimization of online code (#784) 
* Some Optimization of online code

* more flexible updater and load_object & fix p*_uri

* make recorder more friendly

* remove unused import
 2022-01-03 15:52:03 +08:00
安阁锐
e76b409d9a Fix $volume normalization issue (#792) 
* Fix $volume normalization issue

Fix: https://github.com/microsoft/qlib/issues/765

* black formatting

black formatting

* black formatting

black formatting

* black formatting

black formatting
 2022-01-01 23:44:17 +08:00
Arthur Cui
3e79a088ef Add Crypto dataset from coingecko (#733) 
* add crypto symbols collectors

* add crypto data collector

* add crypto symbols collectors

* add crypto data collector

* solver region and source problem

* fix merge

* fix merge

* clean all cn information

Co-authored-by: DefangCui <170007807@pku.edu.cn>
 2021-12-31 22:24:26 +08:00
SunsetWolf
dfc0ed3c01 fix_typo (#790) 
Signed-off-by: unknown <lv.linlang@qq.com>
 2021-12-31 22:14:47 +08:00
you-n-g
f59cfe51e0 Fix account shared bug (#791) 
* Fix account shared bug

* fix bug in nested executor
 2021-12-31 15:56:21 +08:00
Pengrong Zhu
1ecdfd45fe fix dump_bin:DumpDataUpdate (#783) 2021-12-29 09:29:08 +08:00
Chao Ning
622303b83a add map_location to torch.load to make it work when cuda is unavailable (#782) 2021-12-29 00:02:04 +08:00
Chao Ning
6bafd0a09b Reformat example data names: use {region}_data for 1-day data, and {region}_data_1min for 1-min data (#781) 
* Fix high-freq data name from `yahoo_cn_1min` to `cn_data_1min`

* re-format example data names using `qlib_{region}_{feq}`, e.g. qlib_cn_1d

* re-format example data names using `{region}_{feq}`, e.g. us_1d and cn_1min

* keep using  for 1day data, and change 1min data to
 2021-12-28 23:58:49 +08:00
you-n-g
aed9c09091 Update news 2021-12-28 19:54:30 +08:00
Dong Zhou
1b8f0b4575 support optimization based strategy (#754) 
* support optimization based strategy

* fix riskdata not found & update doc

* refactor signal_strategy

* add portfolio example

* Update examples/portfolio/prepare_riskdata.py

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* fix typo

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* fix typo

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* update doc

* fix riskmodel doc

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2021-12-28 18:44:20 +08:00
you-n-g
4709909782 Add hook for supporting RL strategy (#768) 2021-12-27 12:16:36 +08:00
Pengrong Zhu
a0f49fe2e7 fix cn_index collector (#780) 2021-12-26 14:12:48 +08:00
you-n-g
2840570dd3 Fix Typo in README.md 2021-12-26 00:42:16 +08:00
you-n-g
00ad122175 Update Contributor list (#779) 2021-12-26 00:25:03 +08:00
you-n-g
3493f29e16 Enhance Task Dict Var (#778) 2021-12-26 00:18:44 +08:00
you-n-g
e33de44cb9 Update Docs of Alpha360 (#777) 2021-12-25 18:07:44 +08:00
Chia-hung Tai
e843e021a2 Use encoding="utf-8" in open. (#773) 2021-12-25 18:00:56 +08:00
Chia-hung Tai
5aa5a6f356 Replace scripts/get_data.py to get_data.py. (#775) 
For the consitency in this page, replace scripts/get_data.py to get_data.py.
 2021-12-25 16:12:04 +08:00
Chia-hung Tai
f490708025 Fix typo leanable to learnable. (#774) 2021-12-25 16:07:40 +08:00
you-n-g
41a5778684 Update strategy.rst 
Add docs for the prediction score
 2021-12-25 15:24:58 +08:00
you-n-g
ef161715f7 Add docs about the patameters (#771) 2021-12-24 15:26:27 +08:00
you-n-g
d087054a59 Add Cache to avoid frequently loading calendar (#766) 2021-12-23 09:08:52 +08:00
cuicorey
350fbe91c9 Change BCELoss in MLP model (#756) 2021-12-20 19:03:33 +08:00
you-n-g
2aca74cd21 Black Format 2021-12-20 18:21:31 +08:00
you-n-g
92ff3d20b9 Update processor.py 2021-12-20 18:18:59 +08:00