Linlang
fbba768006
fixed a problem with multi index caused by the default value of groupkey ( #1917 )
...
* fixed a problem with multi index caused by the default value of groupkey
* modify group_key default value
* limit pandas verion
* format with black
* fix docs error
* fix docs error
* fixed bugs caused by pandas upgrade
* remove needless code
* reformat with black
* limit version & add docs
2025-05-13 16:02:49 +08:00
Chia-hung Tai
23d9d5a0a9
Fix the empty price_s case and self.instruments in SBBStrategyEMA. ( #1677 )
...
* Fix the empty price_s case and self.instruments in SBBStrategyEMA.
* Update qlib/contrib/strategy/rule_strategy.py
* Update qlib/contrib/strategy/rule_strategy.py
---------
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
Co-authored-by: Linlang <Lv.Linlang@hotmail.com >
2024-12-26 15:56:41 +08:00
Linlang
a0cef033cb
update python version ( #1868 )
...
* update python version
* fix: Correct selector handling and add time filtering in storage.py
* fix: convert index and columns to list in repr methods
* feat: Add Makefile for managing project prerequisites
* feat: Add Cython extensions for rolling and expanding operations
* resolve install error
* fix lint error
* fix lint error
* fix lint error
* fix lint error
* fix lint error
* update build package
* update makefile
* update ci yaml
* fix docs build error
* fix ubuntu install error
* fix docs build error
* fix install error
* fix install error
* fix install error
* fix install error
* fix pylint error
* fix pylint error
* fix pylint error
* fix pylint error
* fix pylint error E1123
* fix pylint error R0917
* fix pytest error
* fix pytest error
* fix pytest error
* update code
* update code
* fix ci error
* fix pylint error
* fix black error
* fix pytest error
* fix CI error
* fix CI error
* add python version to CI
* add python version to CI
* add python version to CI
* fix pylint error
* fix pytest general nn error
* fix CI error
* optimize code
* add coments
* Extended macos version
* remove build package
---------
Co-authored-by: Young <afe.young@gmail.com >
2024-12-17 11:30:06 +08:00
Linlang
39f88daaa7
download orderbook data ( #1754 )
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* download orderbook data
* fix CI error
* fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* optimize get_data code
* optimize get_data code
* optimize get_data code
* optimize README
---------
Co-authored-by: Linlang <v-linlanglv@microsoft.com >
2024-03-07 14:41:21 +08:00
Huoran Li
5eb5ac1f1f
RL backtest pipeline on 5-min data ( #1417 )
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* Workflow runnable
* CI
* Slight changes to make the workflow runnable. The changes of handler/provider should be reverted before merging.
* Train experiment successful
* Refine handler & provider
* test passed
* Ready to test on server
* Minor
* Test passed
* TWAP training
* Add PPOReward
* Add a FIXME
* Refine PPO reward according to PR comments
* Minor
* Resolve PR comments
* CI issues
* CI issues
* CI issues
2023-02-13 12:43:22 +08:00
Huoran Li
23c657a7a2
Backtest Mypy ( #1130 )
...
* Done
* Fix test errors
* Revert profit_attribution.py
* Minor
* A minor update on collect_data type hint
* Resolve PR comments
* Use black to format code
* Fix CI errors
2022-06-28 22:16:46 +08:00
Huoran Li
89972f6c6f
Refine backtest codes ( #1120 )
...
* Refine backtest code
* Keep working
* Minor
* Resolve PR comments
* Fix import error
* Fix import error
2022-06-10 12:14:48 +08:00
SunsetWolf
144e1e2459
Fix pylint ( #888 )
...
* add_pylint_to_workflow
* fix-pylint
* fix_pylinterror
* fix-issue
2022-01-26 19:27:24 +08:00
you-n-g
d0113ea7df
pylint code refine & Fix nested example ( #848 )
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* refine code by CI
* fix argument error
* fix nested eample
2022-01-14 09:09:21 +08:00
SunsetWolf
dfc0ed3c01
fix_typo ( #790 )
...
Signed-off-by: unknown <lv.linlang@qq.com >
2021-12-31 22:14:47 +08:00
wangwenxi-handsome
3760a18a8d
Merge nested main ( #597 )
...
* MVP for Indian Stocks in qlib using yahooquery
* cleaned with black
* cleaned with black
* add YahooNormalizeIN and YahooNormalizeIN1d
* cleaned the code
* added 1min for IN and also updated readme
* update comments
* fix comments
* recorder support upload both raw file and directory
* fix comments
* Update README.md
* Fix docs of QlibRecorder
* sort index after loader (#538 )
make sure the fetch method is based on a index-sorted pd.DataFrame
* refactor online serving rolling api
* refactor TRA
* format by black
* fix horizon
* fix TRA when use single head
* clean up
* improve pretrain
* update README
* fix tra when logdir is None
* fix tra when logdir is None
* Update strategy.py
* Update README.md
* Update README.md
* Conda Suggestion
* code standard docs
* Update ensemble.py (#560 )
* Fix CI Bug (#575 )
Co-authored-by: yuxwang <anduinnn@foxmail.com >
* Update gen.py (#576 )
* Fix multi-process loop calls (#574 )
* check lexsort in the 'lazy_sort_index' function (#566 )
* check lexsort
* check lexsort
* lexsort comment
* lexsort comment
* Delete .DS_Store
* Update README.md
* bug fix & use oracle transport pretrain
* mend
* Add `backend_freq_config` parameter, support multi-freq uri
* Add sample_config to QlibDataLoader, support multi-freq
* add multi-freq example
* get_cls_kwargs renamed get_callable_kwargs
* support multi-freq uri
* Add inst_processors to D.features
* Fix typo
* Fix the index type of the multi-freq example
* Fix duplicate mlflow directories in tests
* Add DataPathManager to QlibConfig && modify inst_processors to supports list only
* Modify the default value in the multi_freq example
* Modify client-server mode and dataset-cache to disable inst_processor
* Add wheel package to github CI
* fix comment
* Update FAQ.rst
* Update README.md
Fix wrong link
* Update the docs of TaskManager (#586 )
* Update manage.py
* update yaml
* update run_all_model
* Modify the Feature to be case sensitive (#589 )
* update README
* remove verbose
* fix spell bug
* fix typos (#592 )
* Update Release Note
* fix portfolio bug
* Add calendar support for resample
* add freq kwargs
* test.yml: Remove redundant code (#595 )
* Supporting shared processor (#596 )
* Supporting shared processor
* fix readonly reverse bug
* remove pytests dependency
* with fit bug
* fix parameter error
* fix comments
* Fix undefined names in Python code (#599 )
* Update pytorch_tabnet.py
$ `flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics`
```
./qlib/qlib/contrib/model/pytorch_tabnet.py:567:38: F821 undefined name 'inp'
self.independ.append(GLU(inp, out_dim, vbs=vbs))
^
./qlib/examples/model_rolling/task_manager_rolling.py:75:18: F821 undefined name 'task_train'
run_task(task_train, self.task_pool, experiment_name=self.experiment_name)
^
2 F821 undefined name 'task_train'
2
```
* Fix undefined names in Python code
* from qlib.model.trainer import task_train
* update seed
* fix some docstring
* add comments
* Fix SimpleDatasetCache
* Update setup.py
updated classifiers
* Update setup.py
change to matplotlib==3.3
* Update python-publish.yml
added python 3.9
* updategrade version number
* Update model list
* fix the type of filter_pipe
* fix comment
* fix record_temp
* update cvxpy version
* Update code_standard.rst (#587 )
* Update code_standard.rst
* Update docs/developer/code_standard.rst
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 >
* Add file lock for MLflowExpManager (#619 )
* fix torch version
* Share version number (#620 )
* Update initialization.rst (#622 )
* Update initialization.rst
* Update docs/start/initialization.rst
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
* Update docs/start/initialization.rst
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 >
* fix bugs for running previous exmaple
* fix deal amount bug
* update change doc (#623 )
* Add files via upload
* Update README.md
* Update README.md
* Update README.md
* Delete change doc.gif
* Add files via upload
* Update README.md
* Delete change doc.gif
* Add files via upload
* Delete change doc.gif
* Add files via upload
* Update README.md
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 >
* update doc
* simplify run all model
* fix run all model bug
* Fix Models (#483 )
* fix gat dataset
* fix tft model
* Update tft.py
* Fix tft.py
Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com >
* type and skip empty exp
* fix model yaml config
* fix tft import bug
* skip empty result
* fix model and yaml bug
* fix wrong generate parameter
* Modify multi-freq example (#626 )
* modify the example of multi-freq
* add Copyright
* add a comment to average_ops.py
* modify the example of multi-freq
* add comment to multi_freq_handler.py
* add the Ref expression description to multi_freq_handler.py
* add expression description to multi_freq_handler.py
* update images
* fix workflow and update framework
Co-authored-by: Gaurav <2796gaurav@gmail.com >
Co-authored-by: 2796gaurav <17353992+2796gaurav@users.noreply.github.com >
Co-authored-by: bxdd <bxd98@126.com >
Co-authored-by: Young <afe.young@gmail.com >
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com >
Co-authored-by: Dong Zhou <Zhou.Dong@microsoft.com >
Co-authored-by: ZhangTP1996 <ztp18@mails.tsinghua.edu.cn >
Co-authored-by: demon143 <59681577+demon143@users.noreply.github.com >
Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com >
Co-authored-by: yuxwang <anduinnn@foxmail.com >
Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com >
Co-authored-by: Mark Zhao <50850474+markzhao98@users.noreply.github.com >
Co-authored-by: cslwqxx <cslwqxx@users.noreply.github.com >
Co-authored-by: Dong Zhou <evanzd@users.noreply.github.com >
Co-authored-by: SaintMalik <37118134+saintmalik@users.noreply.github.com >
Co-authored-by: Christian Clauss <cclauss@me.com >
Co-authored-by: Anurag Kumar <mailanu98@gmail.com >
Co-authored-by: demon143 <785696300@qq.com >
2021-10-01 02:15:30 +08:00
you-n-g
6203e4c09e
Update the docs of Report
2021-09-13 17:53:34 +08:00
Young
5003e49197
fix metric calculation error
2021-09-02 09:56:38 +08:00
Young
9a74471ab6
Pass basic tests
2021-09-02 09:56:38 +08:00
Young
d39c8de800
draft design
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
43a8f502ed
fix bug
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
25f54ddaeb
new high freq struc
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
d9ad8ff791
index_data
2021-09-02 09:56:38 +08:00
Young
13a9b7cea0
type error bug
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
f111e34bd2
align interface
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
e134c358fd
fix index data bug
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
16b954866f
get_base_info
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
f7d7f1a223
fix nanmean
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
8eb7a1fddc
numpy_order_indicator
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
222c2fd21a
fix exchange bug
2021-09-02 09:56:38 +08:00
wangwenxi.handsome
f67b99a30e
update exchange
2021-09-02 09:56:38 +08:00
v-mingzhehan
0b607da690
Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy
2021-07-27 14:32:36 +00:00
Young
0d41ca26ab
fix data format bug & twap peeking strategy
2021-07-27 14:17:59 +00:00
wangwenxi.handsome
ba1c575aa9
doc and black for indicator
2021-07-27 12:14:43 +00:00
wangwenxi.handsome
66971d5f0d
fix indicator
2021-07-27 09:06:13 +00:00
wangwenxi.handsome
4924717276
fix black
2021-07-26 11:25:14 +00:00
wangwenxi.handsome
c202a4b1e6
fix _get_base_vol_pri clip_time_range
2021-07-26 11:21:05 +00:00
Young
bdebe12cf2
support empty benchmark
...
Empty benchmark could accelerate the learning process
2021-07-26 06:14:57 +00:00
wangwenxi.handsome
301e0477ec
Merge branch 'nested_decision_exe' of https://github.com/wangwenxi-handsome/qlib into nested_decision_exe
2021-07-23 05:52:09 +00:00
wangwenxi.handsome
0ec6b87d39
fix little bug
2021-07-23 05:50:41 +00:00
you-n-g
bbba9600a1
Merge branch 'nested_decision_exe' into nested_decision_exe
2021-07-23 12:15:45 +08:00
wangwenxi.handsome
2c8a3ded08
high_performance_data_structure
2021-07-22 15:20:03 +00:00
wangwenxi.handsome
10c182e2b0
add order_indicator doc
2021-07-21 14:09:12 +00:00
wangwenxi.handsome
83d4387e9f
pandas_order_indicator
2021-07-21 12:47:31 +00:00
Young
7738f39546
filter zero base price
2021-07-17 06:54:44 +00:00
Young
d907817ce9
unify variable names
2021-07-15 13:17:26 +00:00
Young
94b456714d
refactor index_range to trade_range
2021-07-15 08:02:09 +00:00
Young
9b38e62f21
Add more friendly index range by timing
2021-07-13 14:46:53 +00:00
wangwenxi.handsome
4c4b30ebec
fix base price and volumn
2021-07-13 16:15:52 +08:00
Young
45bde7527e
move the pa sign from last step to first
2021-07-11 01:53:21 +00:00
Young
cbd52b7905
align range limit
2021-07-09 08:17:10 +00:00
Young
17d8b8a7cc
fix calculating base_price
2021-07-09 08:16:01 +00:00
Young
50c0e99f98
fix ffr and order amount
2021-07-04 08:08:03 +00:00
bxdd
8dd5788bac
fix comments & update resam ts_last method
2021-07-01 16:31:58 +00:00
Young
27f0db669f
black format & add comments & add randStrategy direction
2021-06-28 17:47:30 +08:00
